# EDGAR Filing Document

**Accession Number:** 0001562565
**File Stem:** 0001752724-25-176708
**Filing Date:** 2025-7
**Character Count:** 346709
**Document Hash:** b9e5f62c50510d8cfd75e643d3c07efe
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-176708.hdr.sgml**: 20250724

**ACCESSION NUMBER**: 0001752724-25-176708

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20250531

**FILED AS OF DATE**: 20250724

**DATE AS OF CHANGE**: 20250724

**PERIOD START**: 20250831

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Fidelity Merrimack Street Trust
- **CENTRAL INDEX KEY:** 0001562565

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0831

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22796
- **FILM NUMBER:** 251146301

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

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

## Series and Classes Contracts Data

### Fidelity Investment Grade Bond ETF (Series ID: S000071131)

| Class ID   | Class Name                         | Ticker Symbol   |
|:---|:---|:---|
| C000225826 | Fidelity Investment Grade Bond ETF | FIGB            |

## Nport-Ex

**Quarterly Holdings Report**

**for**

**Fidelity® Investment Grade Bond ETF**

**May 31, 2025**

FIE-NPRT3-0725

1.9900959.104 ---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Asset-Backed Securities - 8.7%** | &nbsp;&nbsp;**Asset-Backed Securities - 8.7%** | &nbsp;&nbsp;**Asset-Backed Securities - 8.7%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| BAILIWICK OF JERSEY - 0.5%  |  |  |
| Aimco Clo 22 Ltd / Aimco Clo 22 LLC Series 2024-22A Class A, CME Term SOFR 3 month Index + 1.5%, 5.7695% 4/19/2037 (b)(c)(d) | 250000 | 250737 |
| Blueberry Park Clo Ltd Series 2024-1A Class A, CME Term SOFR 3 month Index + 1.35%, 5.6195% 10/20/2037 (b)(c)(d) | 250000 | 249730 |
| Dryden 108 Clo Ltd / Dryden 108 Clo LLC Series 2024-108A Class A1R, CME Term SOFR 3 month Index + 1.36%, 5.6295% 7/18/2037 (b)(c)(d) | 250000 | 250494 |
| Invesco US CLO Ltd Series 2024-3A Class A, CME Term SOFR 3 month Index + 1.51%, 5.7795% 7/20/2037 (b)(c)(d) | 250000 | 249618 |
| TOTAL BAILIWICK OF JERSEY |  | 1000579 |
| BERMUDA - 0.1%  |  |  |
| SYMP Series 2022-32A Class A1, CME Term SOFR 3 month Index + 1.32%, 5.5993% 4/23/2035 (b)(c)(d) | 250000 | 250038 |
| GRAND CAYMAN (UK OVERSEAS TER) - 4.7%  |  |  |
| Aimco CLO 11 Ltd Series 2024-11A Class A1R2, CME Term SOFR 3 month Index + 1.34%, 5.6198% 7/17/2037 (b)(c)(d) | 250000 | 250024 |
| AIMCO CLO Series 2024-BA Class ARR, CME Term SOFR 3 month Index + 1.5%, 5.7605% 4/16/2037 (b)(c)(d) | 250000 | 250733 |
| Allegro Clo Xii Ltd Series 2024-1A Class A1R, CME Term SOFR 3 month Index + 1.44%, 5.7095% 7/21/2037 (b)(c)(d) | 250000 | 250089 |
| Ares Lviii Clo Ltd / Ares Lviii Clo LLC Series 2025-58A Class A1R2, CME Term SOFR 3 month Index + 1.24%, 5.5279% 4/15/2038 (b)(c)(d) | 142000 | 142161 |
| Barings Clo Ltd Series 2024-4A Class A, CME Term SOFR 3 month Index + 1.75%, 6.0195% 1/20/2037 (b)(c)(d) | 250000 | 250750 |
| Barings Clo Ltd Series 2024-4A Class AR, CME Term SOFR 3 month Index + 1.37%, 5.6395% 10/20/2037 (b)(c)(d) | 250000 | 250186 |
| BCRED BSL Static Clo Ltd / LLC Series 2025-1A Class AR, CME Term SOFR 3 month Index + 1.25%, 5.5413% 7/24/2035 (b)(c)(d) | 250000 | 250272 |
| Carlyle US CLO Ltd Series 2024-10A Class A1R, CME Term SOFR 3 month Index + 1.31%, 5.5795% 1/20/2038 (b)(c)(d) | 250000 | 250075 |
| Carlyle US CLO Ltd Series 2024-11A Class A1R, CME Term SOFR 3 month Index + 1.41%, 5.6918% 7/25/2037 (b)(c)(d) | 250000 | 250388 |
| Cedar Fdg Xii Clo Ltd / Cedar Fdg Xii Clo LLC Series 2025-12A Class ARR, CME Term SOFR 3 month Index + 1.2%, 5.4566% 1/25/2038 (b)(c)(d) | 120000 | 119991 |
| Clover Clo Ltd Series 2025-1A Class ARR, CME Term SOFR 3 month Index + 1%, 5.3091% 4/18/2035 (b)(c)(d) | 250000 | 248627 |
| Dryden CLO Ltd Series 2024-85A Class A1R2, CME Term SOFR 3 month Index + 1.38%, 5.6361% 7/15/2037 (b)(c)(d) | 250000 | 250591 |
| Dryden Senior Loan Fund Series 2024-78A Class A1R, CME Term SOFR 3 month Index + 1.53%, 5.8098% 4/17/2037 (b)(c)(d) | 250000 | 250623 |
| Eaton Vance CLO Ltd Series 2024-1A Class ARR, CME Term SOFR 3 month Index + 1.39%, 5.6461% 10/15/2037 (b)(c)(d) | 250000 | 250233 |
| Eaton Vance CLO Ltd Series 2024-2A Class AR2, CME Term SOFR 3 month Index + 1.38%, 5.6361% 10/15/2037 (b)(c)(d) | 250000 | 250222 |
| Flat Series 2025-30A Class A1, CME Term SOFR 3 month Index + 1.16%, 5.4434% 4/15/2038 (b)(c)(d) | 150000 | 150012 |
| Flatiron Clo Ltd Series 2024-1A Class A1R, CME Term SOFR 3 month Index + 1.36%, 5.6295% 10/19/2037 (b)(c)(d) | 250000 | 250581 |
| Lakeside Pk Clo Ltd / Lakeside Pk Clo LLC Series 2025-1A Class A, CME Term SOFR 3 month Index + 1.15%, 5.4061% 4/15/2038 (b)(c)(d) | 250000 | 249250 |
| Madison Park Funding 2015 Series 2024-19A Class AR3, CME Term SOFR 3 month Index + 1.6%, 5.8724% 1/22/2037 (b)(c)(d) | 250000 | 250538 |
| Madison Pk Fdg Xlv Ltd / Madison Pk Fdg Xlv LLC Series 2024-45A Class ARR, CME Term SOFR 3 month Index + 1.08%, 5.3361% 7/15/2034 (b)(c)(d) | 250000 | 249171 |
| Magnetite CLO LTD Series 2025-36A Class AR, CME Term SOFR 3 month Index + 1.32%, 1.32% 7/25/2038 (b)(c)(d) | 250000 | 250000 |
| Magnetite CLO Ltd Series 2023-36A Class A, CME Term SOFR 3 month Index + 1.8%, 6.0724% 4/22/2036 (b)(c)(d) | 250000 | 250000 |
| Magnetite Clo Ltd Series 2025-45A Class A1, CME Term SOFR 3 month Index + 1.15%, 5.435% 4/15/2038 (b)(c)(d) | 100000 | 100105 |
| Magnetite Xli Ltd Series 2024-41A Class A, CME Term SOFR 3 month Index + 1.29%, 5.603% 1/25/2038 (b)(c)(d) | 250000 | 250483 |
| Magnetite Xxvi Ltd / Magnetite Xxvi LLC Series 2025-26A Class AR2, CME Term SOFR 3 month Index + 1.15%, 5.4163% 1/25/2038 (b)(c)(d) | 250000 | 249250 |
| Magnetite Xxviii Ltd Series 2025-28A Class A1RR, CME Term SOFR 3 month Index + 1.24%, 5.4961% 1/15/2038 (b)(c)(d) | 250000 | 249461 |
| Morgan Stanley Eaton Vance CLO Ltd / LLC Series 2025-21A Class A1, CME Term SOFR 3 month Index + 1.17%, 5.2849% 4/15/2038 (b)(c)(d) | 163000 | 162625 |
| Neuberger Berman Loan Advisers Clo 25 Ltd Series 2024-25A Class AR2, CME Term SOFR 3 month Index + 1.4%, 5.6695% 7/18/2038 (b)(c)(d) | 250000 | 250561 |
| Oak Hill Credit Partners Series 2024-13A Class AR, CME Term SOFR 3 month Index + 1.35%, 5.6195% 7/20/2037 (b)(c)(d) | 250000 | 250528 |
| Oha Cr Fdg 4 Ltd / Oha Cr Fdg 4 LLC Series 2024-4A Class AR2, CME Term SOFR 3 month Index + 1.29%, 5.5624% 1/22/2038 (b)(c)(d) | 250000 | 249857 |
| Oha Credit Funding 14-R Ltd Series 2025-14RA Class A, CME Term SOFR 3 month Index + 1.23%, 5.6252% 4/20/2038 (b)(c)(d) | 250000 | 249133 |
| OHA Credit Funding 6 Ltd Series 2024-6A Class AR2, CME Term SOFR 3 month Index + 1.33%, 5.5995% 10/20/2037 (b)(c)(d) | 250000 | 249861 |
| OHA Credit Partners Ltd Series 2024-18A Class A1, CME Term SOFR 3 month Index + 1.5%, 5.7695% 4/20/2037 (b)(c)(d) | 250000 | 250682 |
| Oha Credit Partners VII Ltd Series 2025-7A Class AR4, CME Term SOFR 3 month Index + 1.14%, 5.462% 2/20/2038 (b)(c)(d) | 500000 | 498250 |
| OHA Credit Partners XVII Ltd Series 2024-17A Class A, CME Term SOFR 3 month Index + 1.32%, 5.7215% 1/18/2038 (b)(c)(d) | 250000 | 250472 |
| Palmer Square Loan Funding Ltd Series 2024-2A Class A1N, CME Term SOFR 3 month Index + 1%, 5.2561% 1/15/2033 (b)(c)(d) | 227229 | 227265 |
| Palmer Square Loan Funding Ltd Series 2025-1A Class A1, CME Term SOFR 3 month Index + 0.8%, 5.1206% 2/15/2033 (b)(c)(d) | 250000 | 249160 |
| Rr 34 Ltd Series 2024-34RA Class A1R, CME Term SOFR 3 month Index + 1.35%, 5.6061% 10/15/2039 (b)(c)(d) | 250000 | 251092 |
| Thunderbolt Aircraft Lease Series 2018-A Class A, 4.147% 9/15/2038 (b)(c) | 80265 | 79865 |
| TOTAL GRAND CAYMAN (UK OVERSEAS TER) |  | 9233167 |
| IRELAND - 0.1%  |  |  |
| Volofin Finance Designated Activity Co Series 2024-1A Class A, 5.935% 6/15/2037 (b) | 202623 | 203250 |
| MULTI-NATIONAL - 0.1%  |  |  |
| Aimco Clo 21 Ltd / Aimco Clo 21 LLC Series 2024-21A Class A1, CME Term SOFR 3 month Index + 1.5%, 5.7695% 4/18/2037 (b)(c)(d) | 250000 | 250740 |
| UNITED STATES - 3.2%  |  |  |
| Aaset 2024-1 US Ltd / Aaset 2024-1 Intl Ltd Series 2024-1A Class A1, 6.261% 5/16/2049 (b) | 237435 | 239071 |
| Aaset 2024-1 US Ltd / Aaset 2024-1 Intl Ltd Series 2024-1A Class A2, 6.261% 5/16/2049 (b) | 237435 | 239071 |
| Aaset 2025-1 Ltd / Aaset 2025-1 LLC Series 2025-1A Class A, 5.943% 2/16/2050 (b) | 245428 | 245843 |
| AASET Trust Series 2021-1A Class A, 2.95% 11/16/2041 (b) | 116334 | 109451 |
| Aimco Clo 17 Ltd / Aimco Clo 17 LLC Series 2024-17A Class A1R, CME Term SOFR 3 month Index + 1.35%, 5.6224% 7/20/2037 (b)(c)(d) | 250000 | 250022 |
| Aimco Clo 19 Ltd / Aimco Clo 19 LLC Series 2024-19A Class A, CME Term SOFR 3 month Index + 1.35%, 5.6195% 10/20/2037 (b)(c)(d) | 250000 | 249860 |
| Altde Trust Series 2025-1A Class A, 5.9% 8/15/2050 (b) | 246141 | 245696 |
| American Tower Trust #1 Series 2023, 5.49% 3/15/2053 (b) | 220000 | 222788 |
| Blackbird Cap II Aircraft Lease Ltd / Blackbird Cap II Aircraft Lease Us L Series 2021-1A Class A, 2.443% 7/15/2046 (b) | 334768 | 311507 |
| Cedar Funding Ltd Series 2022-15A Class A, CME Term SOFR 3 month Index + 1.32%, 5.5924% 4/20/2035 (b)(c)(d) | 100000 | 99998 |
| DB Master Finance LLC Series 2017-1A Class A2II, 4.03% 11/20/2047 (b) | 46375 | 45640 |
| DB Master Finance LLC Series 2019-1A Class A23, 4.352% 5/20/2049 (b) | 47125 | 45866 |
| DB Master Finance LLC Series 2021-1A Class A23, 2.791% 11/20/2051 (b) | 48250 | 41589 |
| DB Master Finance LLC Series 2021-1A Class A2I, 2.045% 11/20/2051 (b) | 371525 | 355989 |
| DB Master Finance LLC Series 2021-1A Class A2II, 2.493% 11/20/2051 (b) | 209405 | 192192 |
| Domino's Pizza Master Issuer LLC Series 2017-1A Class A23, 4.118% 7/25/2047 (b) | 188000 | 184557 |
| Domino's Pizza Master Issuer LLC Series 2018-1A Class A2II, 4.328% 7/25/2048 (b) | 94750 | 93495 |
| Domino's Pizza Master Issuer LLC Series 2019-1A Class A2, 3.668% 10/25/2049 (b) | 48000 | 45307 |
| Domino's Pizza Master Issuer LLC Series 2021-1A Class A2I, 2.662% 4/25/2051 (b) | 141985 | 131641 |
| Domino's Pizza Master Issuer LLC Series 2021-1A Class A2II, 3.151% 4/25/2051 (b) | 48625 | 43345 |
| Eaton Vance CLO Ltd Series 2024-1A Class AR2, CME Term SOFR 3 month Index + 1.51%, 5.7661% 7/15/2037 (b)(c)(d) | 250000 | 250608 |
| Flatiron Clo 26 Ltd / Flatiron Clo 26 LLC Series 2024-4A Class A, CME Term SOFR 3 month Index + 1.33%, 5.5861% 1/15/2038 (b)(c)(d) | 250000 | 249724 |
| Gilead Aviation LLC Series 2025-1A Class A, 5.789% 3/15/2050 (b) | 247967 | 245709 |
| GMF Floorplan Owner Revolving Trust Series 2024-4A Class A1, 4.73% 11/15/2029 (b) | 100000 | 100591 |
| GMF Floorplan Owner Revolving Trust Series 2024-4A Class B, 4.98% 11/15/2029 (b) | 120000 | 120638 |
| Green Lakes Park Clo LLC Series 2025-1A Class ARR, CME Term SOFR 3 month Index + 1.18%, 5.4688% 1/25/2038 (b)(c)(d) | 250000 | 249833 |
| Hamlin Pk Clo Ltd / Hamlin Pk Clo LLC Series 2024-1A Class A, CME Term SOFR 3 month Index + 1.34%, 5.6095% 10/20/2037 (b)(c)(d) | 250000 | 249224 |
| Horizon Aircraft Finance I Limited Series 2018-1 Class A, 4.458% 12/15/2038 (b) | 132611 | 126642 |
| Jersey Mike's Funding Series 2019-1A Class A2, 4.433% 2/15/2050 (b) | 232063 | 229773 |
| Jersey Mike's Funding Series 2024-1A Class A2, 5.636% 2/15/2055 (b) | 99750 | 100502 |
| Planet Fitness Master Issuer LLC Series 2019-1A Class A2, 3.858% 12/5/2049 (b) | 568500 | 537261 |
| Planet Fitness Master Issuer LLC Series 2022-1A Class A2I, 3.251% 12/5/2051 (b) | 48500 | 47051 |
| Subway Funding LLC Series 2024-1A Class A23, 6.505% 7/30/2054 (b) | 48755 | 49492 |
| Subway Funding LLC Series 2024-1A Class A2I, 6.028% 7/30/2054 (b) | 123380 | 124511 |
| Subway Funding LLC Series 2024-1A Class A2II, 6.268% 7/30/2054 (b) | 55720 | 56734 |
| Subway Funding LLC Series 2024-3A Class A23, 5.914% 7/30/2054 (b) | 108455 | 105858 |
| Subway Funding LLC Series 2024-3A Class A2I, 5.246% 7/30/2054 (b) | 112435 | 110416 |
| Subway Funding LLC Series 2024-3A Class A2II, 5.566% 7/30/2054 (b) | 214920 | 210932 |
| TOTAL UNITED STATES |  | 6558427 |
| <br> **TOTAL ASSET-BACKED SECURITIES**<br> (Cost $17,449,239) |  | <br> **17496201** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Commercial Mortgage Securities - 4.1%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 4.1%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 4.1%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 4.1%  |  |  |
| BBCMS Mortgage Trust Series 2023-C21 Class A3, 6.2958% 9/15/2056 (c) | 14000 | 14880 |
| BLP Commercial Mortgage Trust Series 2024-IND2 Class A, CME Term SOFR 1 month Index + 1.3422%, 5.6709% 3/15/2041 (b)(c)(d) | 94883 | 94942 |
| BMP Series 2024-MF23 Class B, CME Term SOFR 1 month Index + 1.6416%, 5.9703% 6/15/2041 (b)(c)(d) | 100000 | 100063 |
| BPR Commercial Mortgage Trust Series 2024-PARK Class A, 5.218% 11/5/2039 (b)(c) | 231000 | 232157 |
| BPR Commercial Mortgage Trust Series 2024-PARK Class B, 5.7976% 11/5/2039 (b)(c) | 100000 | 100647 |
| BPR Trust Series 2022-OANA Class A, CME Term SOFR 1 month Index + 1.898%, 6.2267% 4/15/2037 (b)(c)(d) | 44000 | 43986 |
| BX Commercial Mortgage Trust 2024-XL5 Series 2024-XL5 Class A, CME Term SOFR 1 month Index + 1.3917%, 5.7204% 3/15/2041 (b)(c)(d) | 512990 | 513310 |
| BX Commercial Mortgage Trust 21-SOAR Series 2022-IND Class A, CME Term SOFR 1 month Index + 1.491%, 5.8197% 4/15/2037 (b)(c)(d) | 11649 | 11649 |
| BX Commercial Mortgage Trust 24-MDHS Series 2024-MDHS Class A, 5.97% 5/15/2041 (b)(c) | 87633 | 87742 |
| BX Commercial Mortgage Trust Series 2021-PAC Class A, CME Term SOFR 1 month Index + 0.8036%, 5.1326% 10/15/2036 (b)(c)(d) | 100000 | 99563 |
| BX Commercial Mortgage Trust Series 2021-PAC Class B, CME Term SOFR 1 month Index + 1.0133%, 5.3423% 10/15/2036 (b)(c)(d) | 100000 | 99438 |
| BX Commercial Mortgage Trust Series 2021-PAC Class C, CME Term SOFR 1 month Index + 1.2131%, 5.5421% 10/15/2036 (b)(c)(d) | 100000 | 99312 |
| BX Commercial Mortgage Trust Series 2022-LP2 Class A, CME Term SOFR 1 month Index + 1.0129%, 5.3416% 2/15/2039 (b)(c)(d) | 105945 | 105747 |
| BX Commercial Mortgage Trust Series 2022-LP2 Class B, CME Term SOFR 1 month Index + 1.3123%, 5.641% 2/15/2039 (b)(c)(d) | 95900 | 95600 |
| BX Commercial Mortgage Trust Series 2023-XL3 Class A, CME Term SOFR 1 month Index + 1.7614%, 6.0901% 12/9/2040 (b)(c)(d) | 71601 | 71892 |
| BX Commercial Mortgage Trust Series 2024-GPA3 Class A, CME Term SOFR 1 month Index + 1.2928%, 5.6215% 12/15/2039 (b)(c)(d) | 120965 | 120965 |
| BX Commercial Mortgage Trust Series 2025-SPOT Class A, CME Term SOFR 1 month Index + 1.4434%, 5.7721% 4/15/2040 (b)(c)(d) | 310000 | 310036 |
| Bx Tr 2025-Tail Series 2025-TAIL Class A, CME Term SOFR 1 month Index + 1.4%, 5.7% 6/15/2035 (b)(c)(d) | 100000 | 100135 |
| BX Trust 2024-CNY Series 2024-CNYN Class A, CME Term SOFR 1 month Index + 1.4419%, 5.7706% 4/15/2041 (b)(c)(d) | 167849 | 168059 |
| BX Trust 2024-CNY Series 2024-CNYN Class B, CME Term SOFR 1 month Index + 1.6915%, 6.0202% 4/15/2041 (b)(c)(d) | 83924 | 84029 |
| BX Trust 2025-ROIC Series 2025-ROIC Class A, CME Term SOFR 1 month Index + 1.1438%, 5.4725% 3/15/2030 (b)(c)(d) | 382000 | 379135 |
| BX Trust 2025-ROIC Series 2025-ROIC Class B, CME Term SOFR 1 month Index + 1.3935%, 5.7222% 3/15/2030 (b)(c)(d) | 56000 | 55440 |
| BX Trust 2025-ROIC Series 2025-ROIC Class C, CME Term SOFR 1 month Index + 1.69%, 5.872% 3/15/2030 (b)(c)(d) | 79000 | 77618 |
| BX Trust Series 2020-VIV3 Class B, 3.5439% 3/9/2044 (b)(c) | 500000 | 459961 |
| BX Trust Series 2021-LBA Class AJV, CME Term SOFR 1 month Index + 0.9145%, 5.2435% 2/15/2036 (b)(c)(d) | 51000 | 50968 |
| BX Trust Series 2021-MFM1 Class A, CME Term SOFR 1 month Index + 0.8145%, 5.1435% 1/15/2034 (b)(c)(d) | 22860 | 22846 |
| BX Trust Series 2021-SOAR Class A, CME Term SOFR 1 month Index + 0.7845%, 5.1135% 6/15/2038 (b)(c)(d) | 403299 | 403047 |
| BX Trust Series 2022-IND Class B, CME Term SOFR 1 month Index + 1.94%, 6.2687% 4/15/2037 (b)(c)(d) | 7000 | 6999 |
| BX Trust Series 2024-XL4 Class A, CME Term SOFR 1 month Index + 1.442%, 5.7707% 2/15/2039 (b)(c)(d) | 291667 | 292031 |
| BX Trust Series 2024-XL4 Class B, CME Term SOFR 1 month Index + 1.7915%, 6.1203% 2/15/2039 (b)(c)(d) | 726326 | 727007 |
| BX Trust Series 2024-XL5 Class B, CME Term SOFR 1 month Index + 1.6912%, 6.0199% 3/15/2041 (b)(c)(d) | 83822 | 83874 |
| BX Trust Series 2024-XL5 Class C, CME Term SOFR 1 month Index + 1.9409%, 6.2696% 3/15/2041 (b)(c)(d) | 83822 | 83874 |
| BX Trust Series 2025-DIME Class A, CME Term SOFR 1 month Index + 1.15%, 5.4787% 2/15/2035 (b)(c)(d) | 122000 | 121543 |
| CF Hippolyta Issuer LLC Series 2021-1A Class A1, 1.53% 3/15/2061 (b) | 94245 | 90737 |
| DTP Commercial Mortgage Trust Series 2023-STE2 Class A, 5.8433% 1/15/2041 (b)(c) | 100000 | 102110 |
| Extended Stay America Trust Series 2021-ESH Class B, CME Term SOFR 1 month Index + 1.4945%, 5.8235% 7/15/2038 (b)(c)(d) | 85773 | 85773 |
| Extended Stay America Trust Series 2021-ESH Class C, CME Term SOFR 1 month Index + 1.8145%, 6.1435% 7/15/2038 (b)(c)(d) | 85773 | 85773 |
| Extended Stay America Trust Series 2021-ESH Class D, CME Term SOFR 1 month Index + 2.3645%, 6.6935% 7/15/2038 (b)(c)(d) | 85773 | 85772 |
| GS Mortgage Securities Trust Series 2021-IP Class A, CME Term SOFR 1 month Index + 1.0645%, 5.3935% 10/15/2036 (b)(c)(d) | 100000 | 99375 |
| GS Mortgage Securities Trust Series 2021-IP Class C, CME Term SOFR 1 month Index + 1.6645%, 5.9935% 10/15/2036 (b)(c)(d) | 100000 | 99250 |
| Hilton USA Trust Series 2016-HHV Class B, 4.1935% 11/5/2038 (b)(c) | 128000 | 125902 |
| LIFE Mortgage Trust Series 2021-BMR Class E, CME Term SOFR 1 month Index + 1.8645%, 6.1935% 3/15/2038 (b)(c)(d) | 70000 | 69125 |
| MHC Commercial Mortgage Trust Series 2021-MHC Class A, CME Term SOFR 1 month Index + 0.9154%, 5.2444% 4/15/2038 (b)(c)(d) | 45409 | 45380 |
| OPEN Trust Series 2023-AIR Class A, CME Term SOFR 1 month Index + 3.0891%, 7.4178% 11/15/2040 (b)(c)(d) | 25737 | 25808 |
| OPEN Trust Series 2023-AIR Class B, CME Term SOFR 1 month Index + 3.838%, 8.1667% 11/15/2040 (b)(c)(d) | 80000 | 80000 |
| SREIT Trust Series 2021-FLWR Class A, CME Term SOFR 1 month Index + 0.691%, 5.02% 7/15/2036 (b)(c)(d) | 7612 | 7607 |
| SREIT Trust Series 2021-MFP Class A, CME Term SOFR 1 month Index + 0.8453%, 5.174% 11/15/2038 (b)(c)(d) | 277657 | 277309 |
| SREIT Trust Series 2021-MFP Class B, CME Term SOFR 1 month Index + 1.1943%, 5.523% 11/15/2038 (b)(c)(d) | 167768 | 167244 |
| SREIT Trust Series 2021-MFP Class D, CME Term SOFR 1 month Index + 1.6927%, 6.0214% 11/15/2038 (b)(c)(d) | 503305 | 501418 |
| TCO Commercial Mortgage Trust Series 2024-DPM Class A, CME Term SOFR 1 month Index + 1.2429%, 5.5716% 12/15/2039 (b)(c)(d) | 335000 | 334895 |
| TCO Commercial Mortgage Trust Series 2024-DPM Class B, CME Term SOFR 1 month Index + 1.5924%, 5.9211% 12/15/2039 (b)(c)(d) | 100000 | 99624 |
| TCO Commercial Mortgage Trust Series 2024-DPM Class C, CME Term SOFR 1 month Index + 1.9919%, 6.3206% 12/15/2039 (b)(c)(d) | 670000 | 665782 |
| TOTAL UNITED STATES |  | 8367379 |
| <br> **TOTAL COMMERCIAL MORTGAGE SECURITIES**<br> (Cost $8,364,845) |  | <br> **8367379** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 26.1%** | &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 26.1%** | &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 26.1%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| CANADA - 0.1%  |  |  |
| Energy - 0.1% |  |  |
| Oil, Gas & Consumable Fuels - 0.1% |  |  |
| Canadian Natural Resources Ltd 5% 12/15/2029 (b) | 125000 | 124506 |
| FRANCE - 0.2%  |  |  |
| Financials - 0.2% |  |  |
| Banks - 0.2% |  |  |
| BNP Paribas SA 5.786% 1/13/2033 (b)(c) | 166000 | 170032 |
| Societe Generale SA 5.5% 4/13/2029 (b)(c) | 264000 | 267193 |
| TOTAL FRANCE |  | 437225 |
| GERMANY - 0.4%  |  |  |
| Financials - 0.4% |  |  |
| Capital Markets - 0.4% |  |  |
| Deutsche Bank AG/New York NY 4.1% 1/13/2026  | 100000 | 99481 |
| Deutsche Bank AG/New York NY 4.999% 9/11/2030 (c) | 564000 | 561519 |
|  |  | 661000 |
| Health Care - 0.0% |  |  |
| Pharmaceuticals - 0.0% |  |  |
| Bayer US Finance II LLC 4.375% 12/15/2028 (b) | 72000 | 70625 |
| TOTAL GERMANY |  | 731625 |
| IRELAND - 0.8%  |  |  |
| Financials - 0.5% |  |  |
| Consumer Finance - 0.5% |  |  |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 3% 10/29/2028  | 846000 | 798596 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 6.1% 1/15/2027  | 150000 | 152948 |
|  |  | 951544 |
| Industrials - 0.3% |  |  |
| Transportation Infrastructure - 0.3% |  |  |
| Avolon Holdings Funding Ltd 4.95% 1/15/2028 (b) | 400000 | 398854 |
| Avolon Holdings Funding Ltd 5.15% 1/15/2030 (b) | 15000 | 14946 |
| Avolon Holdings Funding Ltd 5.375% 5/30/2030 (b) | 79000 | 79014 |
| Avolon Holdings Funding Ltd 6.375% 5/4/2028 (b) | 207000 | 214284 |
|  |  | 707098 |
| TOTAL IRELAND |  | 1658642 |
| MEXICO - 0.7%  |  |  |
| Energy - 0.7% |  |  |
| Oil, Gas & Consumable Fuels - 0.7% |  |  |
| Petroleos Mexicanos 5.95% 1/28/2031  | 946000 | 817723 |
| Petroleos Mexicanos 7.69% 1/23/2050  | 743000 | 547145 |
| TOTAL MEXICO |  | 1364868 |
| NETHERLANDS - 0.2%  |  |  |
| Financials - 0.2% |  |  |
| Banks - 0.2% |  |  |
| ABN AMRO Bank NV 4.988% 12/3/2028 (b)(c) | 500000 | 503404 |
| SWITZERLAND - 0.6%  |  |  |
| Financials - 0.5% |  |  |
| Capital Markets - 0.5% |  |  |
| UBS Group AG 5.428% 2/8/2030 (b)(c) | 64000 | 65279 |
| UBS Group AG 6.246% 9/22/2029 (b)(c) | 845000 | 884124 |
|  |  | 949403 |
| Materials - 0.1% |  |  |
| Construction Materials - 0.1% |  |  |
| Holcim Finance US LLC 4.6% 4/7/2027 (b) | 178000 | 178178 |
| Holcim Finance US LLC 4.7% 4/7/2028 (b) | 128000 | 128655 |
|  |  | 306833 |
| TOTAL SWITZERLAND |  | 1256236 |
| UNITED KINGDOM - 0.8%  |  |  |
| Financials - 0.8% |  |  |
| Banks - 0.8% |  |  |
| Barclays PLC 5.69% 3/12/2030 (c) | 64000 | 65616 |
| Barclays PLC 6.49% 9/13/2029 (c) | 845000 | 886822 |
| NatWest Group PLC 3.073% 5/22/2028 (c) | 745000 | 722521 |
| TOTAL UNITED KINGDOM |  | 1674959 |
| UNITED STATES - 22.3%  |  |  |
| Communication Services - 2.5% |  |  |
| Diversified Telecommunication Services - 0.8% |  |  |
| AT&T Inc 2.55% 12/1/2033  | 690000 | 567492 |
| AT&T Inc 3.65% 9/15/2059  | 3000 | 1971 |
| AT&T Inc 4.3% 2/15/2030  | 310000 | 306733 |
| Verizon Communications Inc 2.355% 3/15/2032  | 623000 | 531334 |
| Verizon Communications Inc 3.15% 3/22/2030  | 228000 | 213787 |
| Verizon Communications Inc 4.78% 2/15/2035  | 80000 | 76991 |
|  |  | 1698308 |
| Entertainment - 0.1% |  |  |
| Walt Disney Co/The 2.65% 1/13/2031  | 186000 | 169463 |
| Media - 1.3% |  |  |
| Charter Communications Operating LLC / Charter Communications Operating Capital 2.3% 2/1/2032  | 1366000 | 1126003 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 2.8% 4/1/2031  | 465000 | 408294 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 5.05% 3/30/2029  | 20000 | 20092 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 5.375% 5/1/2047  | 64000 | 53762 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 6.1% 6/1/2029  | 36000 | 37476 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 6.55% 6/1/2034  | 24000 | 25108 |
| Discovery Communications LLC 3.625% 5/15/2030  | 3000 | 2653 |
| Time Warner Cable LLC 5.5% 9/1/2041  | 60000 | 52879 |
| Warnermedia Holdings Inc 3.755% 3/15/2027  | 3000 | 2908 |
| Warnermedia Holdings Inc 4.054% 3/15/2029  | 2000 | 1862 |
| Warnermedia Holdings Inc 4.279% 3/15/2032  | 1019000 | 864693 |
| Warnermedia Holdings Inc 5.05% 3/15/2042  | 3000 | 2158 |
| Warnermedia Holdings Inc 5.141% 3/15/2052  | 90000 | 58343 |
|  |  | 2656231 |
| Wireless Telecommunication Services - 0.3% |  |  |
| T-Mobile USA Inc 3.875% 4/15/2030  | 72000 | 69427 |
| T-Mobile USA Inc 4.2% 10/1/2029  | 400000 | 394245 |
| T-Mobile USA Inc 4.5% 4/15/2050  | 126000 | 101656 |
|  |  | 565328 |
| TOTAL COMMUNICATION SERVICES |  | 5089330 |
| Consumer Discretionary - 1.1% |  |  |
| Automobiles - 0.3% |  |  |
| General Motors Financial Co Inc 5.85% 4/6/2030  | 5000 | 5107 |
| Stellantis Finance US Inc 5.35% 3/17/2028 (b) | 500000 | 501440 |
|  |  | 506547 |
| Distributors - 0.1% |  |  |
| Genuine Parts Co 4.95% 8/15/2029  | 300000 | 302682 |
| Leisure Products - 0.1% |  |  |
| Brunswick Corp/DE 5.85% 3/18/2029  | 140000 | 142238 |
| Specialty Retail - 0.6% |  |  |
| AutoZone Inc 5.165% 6/15/2030  | 97000 | 98533 |
| AutoZone Inc 6.25% 11/1/2028  | 410000 | 433494 |
| Lowe's Cos Inc 3.35% 4/1/2027  | 2000 | 1964 |
| Lowe's Cos Inc 3.75% 4/1/2032  | 662000 | 616077 |
| Lowe's Cos Inc 4.25% 4/1/2052  | 10000 | 7587 |
| Lowe's Cos Inc 4.45% 4/1/2062  | 10000 | 7532 |
|  |  | 1165187 |
| Textiles, Apparel & Luxury Goods - 0.0% |  |  |
| Tapestry Inc 3.05% 3/15/2032  | 18000 | 15707 |
| TOTAL CONSUMER DISCRETIONARY |  | 2132361 |
| Consumer Staples - 0.4% |  |  |
| Consumer Staples Distribution & Retail - 0.4% |  |  |
| Kroger Co/The 5.5% 9/15/2054  | 300000 | 277405 |
| Mars Inc 4.8% 3/1/2030 (b) | 135000 | 135833 |
| Mars Inc 5% 3/1/2032 (b) | 101000 | 101340 |
| Mars Inc 5.2% 3/1/2035 (b) | 84000 | 83685 |
| Mars Inc 5.65% 5/1/2045 (b) | 82000 | 80445 |
| Mars Inc 5.7% 5/1/2055 (b) | 163000 | 158126 |
|  |  | 836834 |
| Energy - 2.1% |  |  |
| Oil, Gas & Consumable Fuels - 2.1% |  |  |
| Columbia Pipelines Operating Co LLC 5.439% 2/15/2035 (b) | 500000 | 489748 |
| Columbia Pipelines Operating Co LLC 5.927% 8/15/2030 (b) | 3000 | 3117 |
| Columbia Pipelines Operating Co LLC 6.036% 11/15/2033 (b) | 50000 | 51465 |
| Columbia Pipelines Operating Co LLC 6.497% 8/15/2043 (b) | 3000 | 3014 |
| Columbia Pipelines Operating Co LLC 6.544% 11/15/2053 (b) | 5000 | 5025 |
| Columbia Pipelines Operating Co LLC 6.714% 8/15/2063 (b) | 3000 | 3045 |
| Energy Transfer LP 4.95% 6/15/2028  | 148000 | 149007 |
| Energy Transfer LP 5.25% 7/1/2029  | 23000 | 23376 |
| Energy Transfer LP 5.6% 9/1/2034  | 144000 | 143308 |
| Energy Transfer LP 5.75% 2/15/2033  | 573000 | 584347 |
| Hess Corp 4.3% 4/1/2027  | 155000 | 154378 |
| Hess Corp 5.6% 2/15/2041  | 90000 | 87239 |
| MPLX LP 4.8% 2/15/2029  | 148000 | 148492 |
| Occidental Petroleum Corp 5.2% 8/1/2029  | 73000 | 72515 |
| Occidental Petroleum Corp 5.375% 1/1/2032  | 93000 | 89772 |
| Occidental Petroleum Corp 7.5% 5/1/2031  | 535000 | 575862 |
| ONEOK Inc 4.25% 9/24/2027  | 32000 | 31789 |
| ONEOK Inc 4.4% 10/15/2029  | 33000 | 32472 |
| ONEOK Inc 4.75% 10/15/2031  | 65000 | 63449 |
| Plains All American Pipeline LP / PAA Finance Corp 3.55% 12/15/2029  | 516000 | 487979 |
| Western Gas Partners LP 4.05% 2/1/2030 (e) | 724000 | 688259 |
| Williams Cos Inc/The 4.65% 8/15/2032  | 134000 | 129685 |
| Williams Cos Inc/The 4.8% 11/15/2029  | 148000 | 148825 |
| Williams Cos Inc/The 5.3% 8/15/2052  | 2000 | 1769 |
|  |  | 4167937 |
| Financials - 9.4% |  |  |
| Banks - 4.1% |  |  |
| Bank of America Corp 2.299% 7/21/2032 (c) | 5000 | 4289 |
| Bank of America Corp 2.496% 2/13/2031 (c) | 192000 | 173165 |
| Bank of America Corp 4.183% 11/25/2027  | 254000 | 251806 |
| Bank of America Corp 5.015% 7/22/2033 (c) | 372000 | 370707 |
| Bank of America Corp 5.819% 9/15/2029 (c) | 1333000 | 1381027 |
| Citigroup Inc 2.976% 11/5/2030 (c) | 152000 | 140652 |
| Citigroup Inc 4.45% 9/29/2027  | 236000 | 235029 |
| Citigroup Inc 6.27% 11/17/2033 (c) | 745000 | 790394 |
| Citizens Financial Group Inc 5.718% 7/23/2032 (c) | 135000 | 137816 |
| JPMorgan Chase & Co 4.493% 3/24/2031 (c) | 728000 | 719363 |
| JPMorgan Chase & Co 4.912% 7/25/2033 (c) | 40000 | 39641 |
| JPMorgan Chase & Co 5.103% 4/22/2031 (c) | 146000 | 148118 |
| JPMorgan Chase & Co 5.35% 6/1/2034 (c) | 1376000 | 1391721 |
| JPMorgan Chase & Co 5.572% 4/22/2036 (c) | 174000 | 177031 |
| Wells Fargo & Co 2.879% 10/30/2030 (c) | 184000 | 169801 |
| Wells Fargo & Co 4.478% 4/4/2031 (c) | 432000 | 424785 |
| Wells Fargo & Co 4.897% 7/25/2033 (c) | 40000 | 39313 |
| Wells Fargo & Co 5.15% 4/23/2031 (c) | 198000 | 200370 |
| Wells Fargo & Co 5.605% 4/23/2036 (c) | 175000 | 177044 |
| Wells Fargo & Co 6.303% 10/23/2029 (c) | 1290000 | 1353714 |
|  |  | 8325786 |
| Capital Markets - 2.8% |  |  |
| Ares Capital Corp 3.875% 1/15/2026  | 132000 | 131123 |
| Ares Strategic Income Fund 5.6% 2/15/2030  | 200000 | 196537 |
| Ares Strategic Income Fund 5.7% 3/15/2028  | 455000 | 455754 |
| Athene Global Funding 4.721% 10/8/2029 (b) | 400000 | 394746 |
| Athene Global Funding 5.339% 1/15/2027 (b) | 62000 | 62558 |
| Athene Global Funding 5.583% 1/9/2029 (b) | 92000 | 93900 |
| Blackstone Private Credit Fund 5.6% 11/22/2029  | 56000 | 55690 |
| Blackstone Private Credit Fund 7.05% 9/29/2025  | 8000 | 8051 |
| Blackstone Private Credit Fund 7.3% 11/27/2028  | 190000 | 201209 |
| Goldman Sachs Group Inc/The 2.383% 7/21/2032 (c) | 4000 | 3442 |
| Goldman Sachs Group Inc/The 3.8% 3/15/2030  | 734000 | 708134 |
| HPS Corporate Lending Fund 5.45% 1/14/2028  | 340000 | 339937 |
| LPL Holdings Inc 4.9% 4/3/2028  | 210000 | 210284 |
| Moody's Corp 5% 8/5/2034  | 320000 | 318102 |
| Morgan Stanley 4.431% 1/23/2030 (c) | 538000 | 533534 |
| Morgan Stanley 4.654% 10/18/2030 (c) | 168000 | 166880 |
| Morgan Stanley 5.192% 4/17/2031 (c) | 133000 | 134942 |
| Morgan Stanley 5.32% 7/19/2035 (c) | 400000 | 397392 |
| Morgan Stanley 5.664% 4/17/2036 (c) | 105000 | 106715 |
| Morgan Stanley 6.342% 10/18/2033 (c) | 40000 | 42776 |
| Sammons Financial Group Global Funding 5.05% 1/10/2028 (b) | 200000 | 202361 |
| Sammons Financial Group Global Funding 5.1% 12/10/2029 (b) | 286000 | 289483 |
| Sixth Street Specialty Lending Inc 5.625% 8/15/2030  | 500000 | 498017 |
| Sixth Street Specialty Lending Inc 6.125% 3/1/2029  | 15000 | 15249 |
|  |  | 5566816 |
| Consumer Finance - 1.2% |  |  |
| Ally Financial Inc 5.543% 1/17/2031 (c) | 24000 | 23954 |
| Ally Financial Inc 5.737% 5/15/2029 (c) | 48000 | 48470 |
| Ally Financial Inc 6.992% 6/13/2029 (c) | 392000 | 409554 |
| Ally Financial Inc 7.1% 11/15/2027  | 98000 | 102777 |
| Ally Financial Inc 8% 11/1/2031  | 45000 | 50353 |
| American Express Co 5.085% 1/30/2031 (c) | 121000 | 122836 |
| Capital One Financial Corp 2.359% 7/29/2032 (c) | 16000 | 13247 |
| Capital One Financial Corp 3.8% 1/31/2028  | 164000 | 160778 |
| Capital One Financial Corp 4.985% 7/24/2026 (c) | 6000 | 6000 |
| Capital One Financial Corp 5.247% 7/26/2030 (c) | 73000 | 73662 |
| Capital One Financial Corp 6.312% 6/8/2029 (c) | 430000 | 447840 |
| Capital One Financial Corp 7.624% 10/30/2031 (c) | 30000 | 33457 |
| Ford Motor Credit Co LLC 6.8% 5/12/2028  | 897000 | 915788 |
|  |  | 2408716 |
| Financial Services - 1.0% |  |  |
| Corebridge Financial Inc 3.9% 4/5/2032  | 669000 | 615798 |
| Corebridge Financial Inc 4.35% 4/5/2042  | 2000 | 1640 |
| Corebridge Financial Inc 4.4% 4/5/2052  | 2000 | 1552 |
| Corebridge Global Funding 4.65% 8/20/2027 (b) | 104000 | 104247 |
| Corebridge Global Funding 4.9% 12/3/2029 (b) | 300000 | 301972 |
| Corebridge Global Funding 5.2% 1/12/2029 (b) | 100000 | 101814 |
| Equitable Holdings Inc 5% 4/20/2048  | 34000 | 29160 |
| Jackson Financial Inc 3.125% 11/23/2031  | 58000 | 50364 |
| Jackson Financial Inc 5.17% 6/8/2027  | 4000 | 4031 |
| Jackson Financial Inc 5.67% 6/8/2032  | 4000 | 3997 |
| JBS USA Holding Lux Sarl/ JBS USA Food Co/ JBS Lux Co Sarl 3.625% 1/15/2032  | 133000 | 119564 |
| JBS USA Holding Lux Sarl/ JBS USA Food Co/ JBS Lux Co Sarl 5.125% 2/1/2028  | 5000 | 5050 |
| JBS USA Holding Lux Sarl/ JBS USA Food Co/ JBS Lux Co Sarl 5.5% 1/15/2030  | 117000 | 118411 |
| JBS USA Holding Lux Sarl/ JBS USA Food Co/ JBS Lux Co Sarl 5.75% 4/1/2033  | 423000 | 428474 |
| Sixth Street Lending Partners 6.125% 7/15/2030 (b) | 108000 | 109154 |
|  |  | 1995228 |
| Insurance - 0.3% |  |  |
| Marsh & McLennan Cos Inc 4.65% 3/15/2030  | 400000 | 401642 |
| Unum Group 4% 6/15/2029  | 56000 | 54383 |
| Unum Group 6% 6/15/2054  | 230000 | 221095 |
| Western-Southern Global Funding 4.9% 5/1/2030 (b) | 58000 | 58162 |
|  |  | 735282 |
| TOTAL FINANCIALS |  | 19031828 |
| Health Care - 1.6% |  |  |
| Biotechnology - 0.3% |  |  |
| Amgen Inc 5.15% 3/2/2028  | 7000 | 7128 |
| Amgen Inc 5.25% 3/2/2030  | 135000 | 138410 |
| Amgen Inc 5.25% 3/2/2033  | 480000 | 484406 |
| Amgen Inc 5.6% 3/2/2043  | 7000 | 6793 |
| Amgen Inc 5.75% 3/2/2063  | 6000 | 5672 |
|  |  | 642409 |
| Health Care Providers & Services - 1.3% |  |  |
| Centene Corp 2.45% 7/15/2028  | 13000 | 11973 |
| Centene Corp 2.5% 3/1/2031  | 603000 | 511995 |
| Centene Corp 2.625% 8/1/2031  | 5000 | 4235 |
| Centene Corp 3% 10/15/2030  | 113000 | 99403 |
| Centene Corp 4.625% 12/15/2029  | 302000 | 290826 |
| Cigna Group/The 2.375% 3/15/2031  | 48000 | 41970 |
| Cigna Group/The 4.8% 8/15/2038  | 256000 | 234111 |
| CVS Health Corp 5.25% 1/30/2031  | 48000 | 48401 |
| CVS Health Corp 5.3% 6/1/2033  | 903000 | 891383 |
| HCA Inc 5.45% 4/1/2031  | 300000 | 305419 |
| Humana Inc 5.375% 4/15/2031  | 31000 | 31198 |
| Sabra Health Care LP 3.2% 12/1/2031  | 92000 | 80127 |
|  |  | 2551041 |
| TOTAL HEALTH CARE |  | 3193450 |
| Industrials - 0.2% |  |  |
| Aerospace & Defense - 0.2% |  |  |
| Boeing Co 5.15% 5/1/2030  | 348000 | 351051 |
| Boeing Co 6.528% 5/1/2034  | 80000 | 85390 |
|  |  | 436441 |
| Building Products - 0.0% |  |  |
| Carrier Global Corp 5.9% 3/15/2034  | 4000 | 4203 |
| Carrier Global Corp 6.2% 3/15/2054  | 2000 | 2113 |
|  |  | 6316 |
| Professional Services - 0.0% |  |  |
| Paychex Inc 5.1% 4/15/2030  | 18000 | 18233 |
| Paychex Inc 5.35% 4/15/2032  | 24000 | 24356 |
| Paychex Inc 5.6% 4/15/2035  | 19000 | 19320 |
|  |  | 61909 |
| TOTAL INDUSTRIALS |  | 504666 |
| Information Technology - 0.7% |  |  |
| Electronic Equipment, Instruments & Components - 0.1% |  |  |
| Dell International LLC / EMC Corp 6.2% 7/15/2030  | 110000 | 116511 |
| IT Services - 0.1% |  |  |
| VeriSign Inc 5.25% 6/1/2032  | 161000 | 162272 |
| Semiconductors & Semiconductor Equipment - 0.5% |  |  |
| Broadcom Inc 2.45% 2/15/2031 (b) | 735000 | 649838 |
| Broadcom Inc 2.6% 2/15/2033 (b) | 104000 | 87795 |
| Broadcom Inc 5.15% 11/15/2031  | 225000 | 229057 |
| Marvell Technology Inc 2.95% 4/15/2031  | 38000 | 33978 |
|  |  | 1000668 |
| Software - 0.0% |  |  |
| Oracle Corp 3.6% 4/1/2040  | 74000 | 57804 |
| VMware LLC 1.4% 8/15/2026  | 7000 | 6739 |
|  |  | 64543 |
| TOTAL INFORMATION TECHNOLOGY |  | 1343994 |
| Materials - 0.1% |  |  |
| Chemicals - 0.1% |  |  |
| Celanese US Holdings LLC 6.85% 11/15/2028 (c) | 62000 | 64193 |
| Celanese US Holdings LLC 7.05% 11/15/2030 (c) | 117000 | 120578 |
| Celanese US Holdings LLC 7.2% 11/15/2033 (c) | 9000 | 9395 |
|  |  | 194166 |
| Real Estate - 2.6% |  |  |
| Diversified REITs - 0.2% |  |  |
| Piedmont Operating Partnership LP 2.75% 4/1/2032  | 2000 | 1608 |
| Piedmont Operating Partnership LP 9.25% 7/20/2028  | 99000 | 109324 |
| VICI Properties LP 4.75% 2/15/2028  | 7000 | 7002 |
| VICI Properties LP 4.75% 4/1/2028  | 33000 | 32986 |
| VICI Properties LP 4.95% 2/15/2030  | 171000 | 169657 |
| VICI Properties LP 5.75% 4/1/2034  | 6000 | 6020 |
| Vornado Realty LP 2.15% 6/1/2026  | 1000 | 967 |
| Vornado Realty LP 3.4% 6/1/2031  | 3000 | 2578 |
|  |  | 330142 |
| Health Care REITs - 0.6% |  |  |
| Healthpeak OP LLC 5.375% 2/15/2035  | 500000 | 494856 |
| Omega Healthcare Investors Inc 3.25% 4/15/2033  | 674000 | 569800 |
| Omega Healthcare Investors Inc 3.375% 2/1/2031  | 114000 | 102854 |
| Omega Healthcare Investors Inc 3.625% 10/1/2029  | 74000 | 69626 |
|  |  | 1237136 |
| Industrial REITs - 0.0% |  |  |
| LXP Industrial Trust 2.7% 9/15/2030  | 66000 | 58073 |
| Office REITs - 0.3% |  |  |
| COPT Defense Properties LP 2.75% 4/15/2031  | 772000 | 670048 |
| Real Estate Management & Development - 0.2% |  |  |
| Brandywine Operating Partnership LP 8.3% 3/15/2028  | 9000 | 9436 |
| CBRE Services Inc 2.5% 4/1/2031  | 8000 | 6979 |
| Essex Portfolio LP 5.5% 4/1/2034  | 300000 | 301412 |
| Tanger Properties LP 2.75% 9/1/2031  | 86000 | 74316 |
| Tanger Properties LP 3.875% 7/15/2027  | 74000 | 72696 |
|  |  | 464839 |
| Residential REITs - 0.4% |  |  |
| American Homes 4 Rent LP 2.375% 7/15/2031  | 1000 | 858 |
| American Homes 4 Rent LP 3.375% 7/15/2051  | 2000 | 1278 |
| American Homes 4 Rent LP 3.625% 4/15/2032  | 3000 | 2723 |
| American Homes 4 Rent LP 4.3% 4/15/2052  | 2000 | 1514 |
| American Homes 4 Rent LP 5.5% 7/15/2034  | 81000 | 80668 |
| Invitation Homes Operating Partnership LP 2% 8/15/2031  | 784000 | 656370 |
| Sun Communities Operating LP 2.3% 11/1/2028  | 2000 | 1851 |
| Sun Communities Operating LP 2.7% 7/15/2031  | 48000 | 41814 |
| UDR Inc 5.125% 9/1/2034  | 45000 | 43865 |
|  |  | 830941 |
| Retail REITs - 0.7% |  |  |
| Agree LP 5.6% 6/15/2035  | 135000 | 135458 |
| Agree LP 5.625% 6/15/2034  | 224000 | 225885 |
| Brixmor Operating Partnership LP 4.05% 7/1/2030  | 56000 | 53651 |
| Brixmor Operating Partnership LP 5.2% 4/1/2032  | 178000 | 176977 |
| Brixmor Operating Partnership LP 5.75% 2/15/2035  | 150000 | 151572 |
| Kite Realty Group Trust 4.75% 9/15/2030  | 74000 | 72894 |
| NNN REIT Inc 5.5% 6/15/2034  | 121000 | 121145 |
| Phillips Edison Grocery Center Operating Partnership I LP 4.95% 1/15/2035  | 54000 | 51416 |
| Phillips Edison Grocery Center Operating Partnership I LP 5.75% 7/15/2034  | 75000 | 75565 |
| Regency Centers LP 5% 7/15/2032  | 137000 | 136752 |
| Regency Centers LP 5.1% 1/15/2035  | 52000 | 51293 |
|  |  | 1252608 |
| Specialized REITs - 0.2% |  |  |
| American Tower Corp 5% 1/31/2030  | 400000 | 404321 |
| TOTAL REAL ESTATE |  | 5248108 |
| Utilities - 1.6% |  |  |
| Electric Utilities - 0.9% |  |  |
| Cleco Corporate Holdings LLC 3.743% 5/1/2026  | 60000 | 59301 |
| Consolidated Edison Co of New York Inc 5.375% 5/15/2034  | 160000 | 162744 |
| Duke Energy Corp 5.45% 6/15/2034  | 230000 | 232109 |
| Duquesne Light Holdings Inc 2.532% 10/1/2030 (b) | 74000 | 64650 |
| Duquesne Light Holdings Inc 2.775% 1/7/2032 (b) | 6000 | 5116 |
| Exelon Corp 5.3% 3/15/2033  | 387000 | 391382 |
| FirstEnergy Transmission LLC 4.55% 1/15/2030  | 250000 | 247704 |
| FirstEnergy Transmission LLC 5% 1/15/2035  | 250000 | 243763 |
| Southern Co/The 4.85% 3/15/2035  | 366000 | 352230 |
|  |  | 1758999 |
| Independent Power and Renewable Electricity Producers - 0.3% |  |  |
| AES Corp/The 2.45% 1/15/2031  | 532000 | 454907 |
| AES Corp/The 3.95% 7/15/2030 (b) | 170000 | 158653 |
|  |  | 613560 |
| Multi-Utilities - 0.4% |  |  |
| NiSource Inc 3.6% 5/1/2030  | 403000 | 383482 |
| Puget Energy Inc 5.725% 3/15/2035 (b) | 500000 | 495057 |
|  |  | 878539 |
| TOTAL UTILITIES |  | 3251098 |
| TOTAL UNITED STATES |  | 44993772 |
| <br> **TOTAL NON-CONVERTIBLE CORPORATE BONDS**<br> (Cost $52,612,901) |  | <br> **52745237** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 23.9%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 23.9%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 23.9%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 23.9%  |  |  |
| Fannie Mae 2% 3/1/2052  | 104613 | 81827 |
| Fannie Mae 2.5% 1/1/2052  | 112984 | 92770 |
| Fannie Mae 2.5% 4/1/2052  | 532312 | 439902 |
| Fannie Mae 2.5% 4/1/2052  | 56836 | 47128 |
| Fannie Mae 2.5% 6/1/2052  | 105982 | 87882 |
| Fannie Mae 3% 6/1/2052  | 83964 | 72762 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 7/1/2036  | 728904 | 640840 |
| Fannie Mae Mortgage pass-thru certificates 2% 1/1/2052  | 27875 | 22012 |
| Fannie Mae Mortgage pass-thru certificates 2% 1/1/2052  | 12139 | 9533 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2040  | 21971 | 18739 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2052  | 96752 | 76433 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 777641 | 605828 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 52728 | 41655 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2051  | 39161 | 30631 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2052  | 78241 | 61248 |
| Fannie Mae Mortgage pass-thru certificates 2% 5/1/2042  | 109332 | 92957 |
| Fannie Mae Mortgage pass-thru certificates 2% 6/1/2035  | 52012 | 47424 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2035  | 43507 | 39670 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2050  | 216737 | 170070 |
| Fannie Mae Mortgage pass-thru certificates 2% 8/1/2035  | 49539 | 45169 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2051  | 48894 | 40238 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2051  | 23435 | 19294 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2050  | 19147 | 15961 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2037  | 174738 | 161768 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2050  | 195812 | 161697 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2052  | 208900 | 172961 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2049  | 496761 | 418440 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2051  | 27218 | 23387 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2051  | 30038 | 25810 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2052  | 161105 | 138428 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2052  | 94244 | 80949 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2048  | 302846 | 266606 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2052  | 309500 | 267434 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2052  | 40377 | 34693 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2052  | 267886 | 231978 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2052  | 52498 | 45117 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2049  | 108050 | 93431 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2048  | 23199 | 21092 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2050  | 131419 | 121476 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2047  | 21793 | 19834 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2045  | 62925 | 57112 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2048  | 92532 | 84099 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2046  | 48745 | 45012 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2052  | 1747 | 1559 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2048  | 59979 | 54138 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2049  | 15925 | 14304 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2049  | 10327 | 9322 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2047  | 40864 | 37815 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2052  | 106288 | 95472 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2047  | 14158 | 12885 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2051  | 21414 | 19885 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2053  | 255982 | 248332 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 10/1/2052  | 59474 | 59268 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 10/1/2054  | 144364 | 144677 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2054  | 48021 | 47675 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 7/1/2054  | 266991 | 265067 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 8/1/2054  | 312542 | 309801 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 9/1/2054  | 194977 | 193511 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2053  | 650442 | 658124 |
| Fannie Mae Mortgage pass-thru certificates 6% 5/1/2054  | 93645 | 94626 |
| Fannie Mae Mortgage pass-thru certificates 6% 5/1/2054  | 23706 | 23994 |
| Fannie Mae Mortgage pass-thru certificates 6% 5/1/2055  | 197856 | 202249 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2054  | 47891 | 48472 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2053  | 103977 | 106148 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2054  | 192389 | 194662 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 6/1/2054  | 15488 | 15922 |
| Freddie Mac Gold Pool 1.5% 12/1/2035  | 22469 | 19817 |
| Freddie Mac Gold Pool 1.5% 2/1/2037  | 494569 | 434817 |
| Freddie Mac Gold Pool 1.5% 4/1/2051  | 65920 | 48717 |
| Freddie Mac Gold Pool 2% 1/1/2052  | 291976 | 227466 |
| Freddie Mac Gold Pool 2% 10/1/2051  | 47673 | 37125 |
| Freddie Mac Gold Pool 2% 11/1/2050  | 264009 | 206834 |
| Freddie Mac Gold Pool 2% 3/1/2051  | 126677 | 99401 |
| Freddie Mac Gold Pool 2% 3/1/2052  | 51396 | 40394 |
| Freddie Mac Gold Pool 2% 4/1/2042  | 122691 | 104248 |
| Freddie Mac Gold Pool 2% 6/1/2050  | 411271 | 322975 |
| Freddie Mac Gold Pool 2% 9/1/2050  | 298052 | 233876 |
| Freddie Mac Gold Pool 2.5% 1/1/2052  | 206783 | 171015 |
| Freddie Mac Gold Pool 2.5% 10/1/2051  | 50012 | 41158 |
| Freddie Mac Gold Pool 2.5% 2/1/2051  | 131311 | 109090 |
| Freddie Mac Gold Pool 2.5% 3/1/2050  | 114432 | 94495 |
| Freddie Mac Gold Pool 2.5% 4/1/2042  | 117436 | 102329 |
| Freddie Mac Gold Pool 2.5% 4/1/2052  | 200028 | 165866 |
| Freddie Mac Gold Pool 2.5% 5/1/2051  | 20686 | 17302 |
| Freddie Mac Gold Pool 2.5% 7/1/2036  | 27689 | 25704 |
| Freddie Mac Gold Pool 2.5% 8/1/2041  | 137686 | 120465 |
| Freddie Mac Gold Pool 2.5% 9/1/2051  | 29762 | 24502 |
| Freddie Mac Gold Pool 3% 1/1/2052  | 21193 | 18210 |
| Freddie Mac Gold Pool 3% 10/1/2049  | 31334 | 27065 |
| Freddie Mac Gold Pool 3% 2/1/2050  | 54329 | 47047 |
| Freddie Mac Gold Pool 3% 3/1/2050  | 56734 | 48934 |
| Freddie Mac Gold Pool 3% 3/1/2052  | 19338 | 16571 |
| Freddie Mac Gold Pool 3% 4/1/2050  | 56882 | 49062 |
| Freddie Mac Gold Pool 3% 6/1/2052  | 61965 | 53233 |
| Freddie Mac Gold Pool 3% 6/1/2052  | 35454 | 30380 |
| Freddie Mac Gold Pool 3.5% 1/1/2048  | 13660 | 12330 |
| Freddie Mac Gold Pool 3.5% 11/1/2047  | 10064 | 9159 |
| Freddie Mac Gold Pool 3.5% 2/1/2043  | 21144 | 19580 |
| Freddie Mac Gold Pool 3.5% 7/1/2042  | 12954 | 11998 |
| Freddie Mac Gold Pool 3.5% 7/1/2047  | 11665 | 10616 |
| Freddie Mac Gold Pool 3.5% 7/1/2052  | 147209 | 130803 |
| Freddie Mac Gold Pool 3.5% 8/1/2047  | 17962 | 16348 |
| Freddie Mac Gold Pool 3.5% 9/1/2042  | 30278 | 28022 |
| Freddie Mac Gold Pool 3.5% 9/1/2042  | 16408 | 15176 |
| Freddie Mac Gold Pool 4% 2/1/2053  | 380429 | 352574 |
| Freddie Mac Gold Pool 4% 2/1/2053  | 140008 | 129757 |
| Freddie Mac Gold Pool 4.5% 1/1/2054  | 116253 | 110025 |
| Freddie Mac Gold Pool 5.5% 1/1/2055  | 157746 | 158285 |
| Freddie Mac Gold Pool 5.5% 3/1/2053  | 40219 | 40331 |
| Freddie Mac Gold Pool 5.5% 7/1/2054  | 343950 | 340933 |
| Freddie Mac Gold Pool 5.5% 9/1/2054  | 144353 | 144440 |
| Freddie Mac Gold Pool 6% 12/1/2052  | 67804 | 69198 |
| Freddie Mac Gold Pool 6% 4/1/2054  | 89624 | 91719 |
| Freddie Mac Gold Pool 6% 5/1/2054  | 214884 | 220108 |
| Freddie Mac Gold Pool 6.5% 6/1/2054  | 184195 | 191869 |
| Freddie Mac Gold Pool 6.5% 9/1/2054  | 218307 | 227539 |
| Ginnie Mae I Pool 4% 10/20/2052  | 44376 | 40970 |
| Ginnie Mae I Pool 4.5% 4/20/2053  | 45129 | 42783 |
| Ginnie Mae I Pool 5% 10/20/2054  | 667497 | 648005 |
| Ginnie Mae II Pool 2% 1/20/2051  | 480710 | 386383 |
| Ginnie Mae II Pool 2% 10/20/2050  | 184935 | 148646 |
| Ginnie Mae II Pool 2% 11/20/2050  | 45981 | 36958 |
| Ginnie Mae II Pool 2% 12/20/2050  | 90482 | 72727 |
| Ginnie Mae II Pool 2% 2/20/2052  | 443354 | 356357 |
| Ginnie Mae II Pool 2% 3/20/2052  | 218864 | 175986 |
| Ginnie Mae II Pool 2% 6/1/2055 (f) | 2050000 | 1647025 |
| Ginnie Mae II Pool 2% 7/1/2055 (f) | 500000 | 401655 |
| Ginnie Mae II Pool 2% 9/20/2050  | 99208 | 79803 |
| Ginnie Mae II Pool 2.5% 5/20/2052  | 254513 | 213519 |
| Ginnie Mae II Pool 2.5% 6/1/2055 (f) | 950000 | 796132 |
| Ginnie Mae II Pool 2.5% 7/1/2055 (f) | 425000 | 356032 |
| Ginnie Mae II Pool 2.5% 8/20/2051  | 277715 | 232940 |
| Ginnie Mae II Pool 3% 3/20/2050  | 48426 | 42304 |
| Ginnie Mae II Pool 3% 6/1/2055 (f) | 1275000 | 1111158 |
| Ginnie Mae II Pool 3.5% 6/1/2055 (f) | 800000 | 712073 |
| Ginnie Mae II Pool 3.5% 7/1/2055 (f) | 600000 | 533843 |
| Ginnie Mae II Pool 4% 12/20/2054  | 198001 | 181476 |
| Ginnie Mae II Pool 4% 6/1/2055 (f) | 350000 | 320770 |
| Ginnie Mae II Pool 4.5% 6/1/2055 (f) | 550000 | 519231 |
| Ginnie Mae II Pool 5% 12/20/2054  | 49405 | 47958 |
| Ginnie Mae II Pool 5.5% 6/1/2055 (f) | 425000 | 420596 |
| Ginnie Mae II Pool 5.5% 7/1/2055 (f) | 425000 | 421687 |
| Ginnie Mae II Pool 6% 1/20/2055  | 49384 | 49902 |
| Ginnie Mae II Pool 6% 12/20/2054  | 98547 | 99671 |
| Ginnie Mae II Pool 6% 6/1/2055 (f) | 1700000 | 1713577 |
| Ginnie Mae II Pool 6% 7/1/2055 (f) | 1700000 | 1713922 |
| Ginnie Mae II Pool 6.5% 6/1/2055 (f) | 525000 | 535526 |
| Ginnie Mae II Pool 6.5% 7/1/2055 (f) | 525000 | 535857 |
| Uniform Mortgage Backed Securities 2% 6/1/2040 (f) | 775000 | 699892 |
| Uniform Mortgage Backed Securities 2% 6/1/2055 (f) | 5775000 | 4488934 |
| Uniform Mortgage Backed Securities 2% 7/1/2055 (f) | 4550000 | 3538691 |
| Uniform Mortgage Backed Securities 2.5% 6/1/2055 (f) | 1325000 | 1079823 |
| Uniform Mortgage Backed Securities 3% 6/1/2055 (f) | 1200000 | 1021499 |
| Uniform Mortgage Backed Securities 3.5% 6/1/2055 (f) | 2325000 | 2062347 |
| Uniform Mortgage Backed Securities 3.5% 7/1/2055 (f) | 1825000 | 1618475 |
| Uniform Mortgage Backed Securities 5% 6/1/2040 (f) | 200000 | 200125 |
| Uniform Mortgage Backed Securities 5% 6/1/2055 (f) | 900000 | 871418 |
| Uniform Mortgage Backed Securities 6% 6/1/2055 (f) | 3650000 | 3686643 |
| Uniform Mortgage Backed Securities 6% 7/1/2055 (f) | 300000 | 302625 |
| Uniform Mortgage Backed Securities 6.5% 6/1/2055 (f) | 500000 | 513437 |
| Uniform Mortgage Backed Securities 6.5% 7/1/2055 (f) | 250000 | 256484 |
| TOTAL UNITED STATES |  | 48333978 |
| <br> **TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES**<br> (Cost $48,473,158) |  | <br> **48333978** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Treasury Obligations - 43.1%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 43.1%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 43.1%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 43.1%** |
|  | Yield (%) (g) | Principal<br> Amount (a)<br>| Value ($)<br>|
| US Treasury Bonds 3.625% 2/15/2053  | 3.66 to 4.43 | 2011000 | 1606051 |
| US Treasury Bonds 3.625% 5/15/2053  | 4.20 | 300000 | 239332 |
| US Treasury Bonds 4.125% 8/15/2053  | 4.05 to 4.95 | 10775000 | 9420970 |
| US Treasury Bonds 4.25% 2/15/2054  | 4.26 to 4.78 | 2220000 | 1982824 |
| US Treasury Bonds 4.25% 8/15/2054  | 4.34 to 4.65 | 1215000 | 1086476 |
| US Treasury Bonds 4.5% 11/15/2054  | 4.34 to 4.99 | 3786000 | 3533994 |
| US Treasury Bonds 4.625% 2/15/2055  | 4.52 to 4.66 | 2960000 | 2823487 |
| US Treasury Bonds 4.625% 5/15/2054  | 4.22 to 4.68 | 1670000 | 1588522 |
| US Treasury Bonds 4.75% 11/15/2053  | 4.77 to 4.79 | 270000 | 262005 |
| US Treasury Bonds 4.75% 5/15/2055  | 4.93 to 4.97 | 1540000 | 1500538 |
| US Treasury Notes 3.5% 1/31/2030  | 3.51 to 4.46 | 2644000 | 2592669 |
| US Treasury Notes 3.625% 9/30/2031  | 3.92 to 4.10 | 2500000 | 2431738 |
| US Treasury Notes 3.75% 12/31/2030  | 3.91 to 4.08 | 1900000 | 1872465 |
| US Treasury Notes 3.75% 8/31/2031  | 3.54 | 800000 | 784156 |
| US Treasury Notes 3.875% 8/15/2033  | 3.69 to 4.90 | 5614000 | 5460931 |
| US Treasury Notes 3.875% 8/15/2034  | 4.22 to 4.28 | 3730000 | 3592704 |
| US Treasury Notes 4.125% 11/30/2031  | 4.46 | 450000 | 449754 |
| US Treasury Notes 4.125% 3/31/2031  | 4.30 to 4.62 | 3350000 | 3359553 |
| US Treasury Notes 4.125% 7/31/2031  | 3.78 | 2400000 | 2403051 |
| US Treasury Notes 4.25% 11/15/2034  | 4.18 to 4.62 | 4852000 | 4804238 |
| US Treasury Notes 4.25% 2/28/2031  | 4.22 to 4.33 | 1140000 | 1151355 |
| US Treasury Notes 4.25% 5/15/2035  | 4.52 | 500000 | 494375 |
| US Treasury Notes 4.25% 6/30/2031  | 4.15 to 4.40 | 9000000 | 9075234 |
| US Treasury Notes 4.375% 1/31/2032  | 4.41 | 980000 | 992709 |
| US Treasury Notes 4.375% 12/31/2029  | 4.02 to 4.42 | 1352000 | 1375660 |
| US Treasury Notes 4.375% 5/15/2034  | 3.80 to 4.44 | 2590000 | 2597284 |
| US Treasury Notes 4.5% 11/15/2033  | 4.18 to 4.29 | 1289000 | 1308234 |
| US Treasury Notes 4.5% 12/31/2031  | 4.15 to 4.56 | 4707000 | 4803163 |
| US Treasury Notes 4.625% 2/15/2035  | 4.53 | 1000000 | 1018456 |
| US Treasury Notes 4.625% 4/30/2031  | 4.45 to 4.56 | 1500000 | 1543008 |
| US Treasury Notes 4.625% 9/30/2030  | 3.57 to 4.71 | 10495000 | 10801242 |
| <br> **TOTAL U.S. TREASURY OBLIGATIONS**<br> (Cost $88,673,944) |  |  | **86956178** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Money Market Funds - 9.9%** | &nbsp;&nbsp;**Money Market Funds - 9.9%** | &nbsp;&nbsp;**Money Market Funds - 9.9%** | &nbsp;&nbsp;**Money Market Funds - 9.9%** |
|  | Yield (%) | Shares | Value ($)<br>|
| Fidelity Cash Central Fund (h)<br>(Cost $19,922,255)<br>| 4.32 | 19918271 | **19922255** |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 115.8%**<br> (Cost $235,496,342)<br>| <br>**233821228** |
| **NET OTHER ASSETS (LIABILITIES) - (15.8)%**  | **(31882719)** |
| **NET ASSETS - 100.0%** | **201938509** |

---

---

| | | |
|:---|:---|:---|
| **TBA Sale Commitments**  | **TBA Sale Commitments**  | **TBA Sale Commitments**  |
|  | Principal<br> Amount (a) | Value ($) |
| U.S. Government Agency - Mortgage Securities |  |  |
| Ginnie Mae II Pool 2% 6/1/2055 | (800000) | (642741) |
| Ginnie Mae II Pool 2.5% 6/1/2055 | (425000) | (356164) |
| Ginnie Mae II Pool 3.5% 6/1/2055 | (600000) | (534054) |
| Ginnie Mae II Pool 5.5% 6/1/2055 | (425000) | (420596) |
| Ginnie Mae II Pool 6% 6/1/2055 | (1700000) | (1713578) |
| Ginnie Mae II Pool 6.5% 6/1/2055 | (525000) | (535526) |
| Uniform Mortgage Backed Securities 2% 6/1/2055 | (4650000) | (3614466) |
| Uniform Mortgage Backed Securities 2.5% 6/1/2055 | (500000) | (407480) |
| Uniform Mortgage Backed Securities 3% 6/1/2055 | (500000) | (425625) |
| Uniform Mortgage Backed Securities 3.5% 6/1/2055 | (1825000) | (1618831) |
| Uniform Mortgage Backed Securities 5% 6/1/2055 | (300000) | (290473) |
| Uniform Mortgage Backed Securities 6% 6/1/2055 | (1500000) | (1515059) |
| Uniform Mortgage Backed Securities 6.5% 6/1/2055 | (450000) | (462094) |
| TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES  |  | (12536687) |
| **TOTAL TBA SALE COMMITMENTS**<br> (Proceeds $12,520,548) |  | <br> **(12536687)** |

---

**Legend**

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

(b) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $33,743,583 or 16.7% of net assets.

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

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

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

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

(g) Yield represents either the annualized yield at the date of purchase, or the stated coupon rate, or, for floating and adjustable rate securities, the rate at period end.

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

**Affiliated Central Funds**

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

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Affiliate  | Value,<br> beginning<br> of period ($) | Purchases ($) | Sales<br> Proceeds ($) | Dividend<br> Income ($) | Realized<br> Gain (loss) ($) | Change in<br> Unrealized<br> appreciation<br> (depreciation) ($) | Value,<br> end<br> of period ($) | <br>Shares,<br> end<br> of period  | % ownership,<br> end<br> of period |
| Fidelity Cash Central Fund | 13204234 | 44345291 | 37627270 | 467225 | - | - | 19922255 | 19918271 | 0.0% |
| Total | 13204234 | 44345291 | 37627270 | 467225 | - | - | 19922255 |  |  |

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

**Investment Valuation**

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

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

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

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

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

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

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing services or from brokers who make markets in such securities. U.S. Treasury Obligations and Non-Convertible Corporate Bonds are valued by pricing services who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Asset-Backed Securities, Commercial Mortgage Securities and U.S. Government Agency - Mortgage Securities are valued by pricing services who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

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

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

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

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

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

- **b. Investment Company Act file number:** 811-22796

- **c. CIK number of Registrant:** 0001562565

- **d. LEI of Registrant:** 549300782HVYOIE6CE74

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

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

  - **City:** Boston

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02210

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

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

- **a. Name of Series:** Fidelity Investment Grade Bond ETF

- **b. EDGAR series identifier (if any):** S000071131

- **c. LEI of Series:** 549300X4MUYWBSV82480

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

- **a. Date of fiscal year-end:** 2025-08-31

- **b. Date as of which information is reported:** 2025-05-31

**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:** $247799993.65

**Total Liabilities:** $45889734.95

**Net Assets:** $201910258.70

**Delayed Delivery Securities:** $32057052.80

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 2555.59014436 | **1-Year:** 14508.52167964 | **5-Year:** 46797.44390505 | **10-Year:** 32992.18916065 | **30-Year:** 24424.18948719

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

- **3-Month:** 3.74522357 | **1-Year:** 36.83996747 | **5-Year:** 44.59557791 | **10-Year:** 0.28555614 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000225826 | 0.03%                | 0.42%                | -0.69%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $269565.08               | $-884660.05                                |
| Month 2  | $-56412.78               | $186687.16                                 |
| Month 3  | $-97400.68               | $-1969014.08                               |

**Designated Index Information**

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

- **Index Identifier:** 19808143

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| BX COML MTG TR 2024-XL4                                                            | BX COML MTG TR 2024-XL4 A TSFR1M+144.203 02/15/2039 144A                                          | CUSIP: 05611VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    291667 | PA      | $292030.84    | 0.14%             | 2039-02-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                        | BNP PARIBAS 5.786%/VAR 01/13/2033 144A                                                            | CUSIP: 09659W3A0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    166000 | PA      | $170032.35    | 0.08%             | 2033-01-13      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BMP 2024-MF23                                                                      | BMP 2024-MF23 TSFR1M+174.142 06/15/2041 144A                                                      | CUSIP: 05593JAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $100062.50    | 0.05%             | 2041-06-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 2.5% 04/01/2042#RB5154                                                                  | CUSIP: 3133KYWP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    117436 | PA      | $102329.20    | 0.05%             | 2042-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 4.625% 02/15/2055                                                     | CUSIP: 912810UG1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2960000 | PA      | $2823486.87   | 1.40%             | 2055-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 07/01/2055 #TBA                                                                      | CUSIP: 21H032670<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    600000 | PA      | $533843.46    | 0.26%             | 2055-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.5% 01/01/2055#SL0307                                                                  | CUSIP: 31427MKV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    157746 | PA      | $158285.48    | 0.08%             | 2055-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 04/01/2052#FS5385                                                                  | CUSIP: 3140XL6X1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    208900 | PA      | $172961.32    | 0.09%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 10/01/2054#CB9320                                                                  | CUSIP: 3140QVLA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    144364 | PA      | $144677.30    | 0.07%             | 2054-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 09/01/2042#ZS3589                                                                  | CUSIP: 3132A37A2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30278 | PA      | $28021.88     | 0.01%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JACKSON FINANCIAL INC                                                              | JACKSON FINANCIAL INC 5.17% 06/08/2027                                                            | CUSIP: 46817MAR8<br>LEI: 213800WXW2KG1N4CO374 | Long             | DBT              | CORP              | US        |      4000 | PA      | $4030.91      | 0.00%             | 2027-06-08      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| KROGER CO                                                                          | KROGER CO 5.5% 09/15/2054                                                                         | CUSIP: 501044DW8<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |    300000 | PA      | $277404.88    | 0.14%             | 2054-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 03/01/2051#SD2903                                                                    | CUSIP: 3132DQGL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    126677 | PA      | $99401.08     | 0.05%             | 2051-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 07/01/2052#SD8226                                                                  | CUSIP: 3132DWD75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    147209 | PA      | $130802.97    | 0.06%             | 2052-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PIEDMONT OPERATING PARTNERSHIP LP                                                  | PIEDMONT OPERATING PARTNERSHIP LP 2.75% 04/01/2032                                                | CUSIP: 720198AF7<br>LEI: 549300WKGDPAS39FBD10 | Long             | DBT              | CORP              | US        |      2000 | PA      | $1607.68      | 0.00%             | 2032-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BRUNSWICK CORP                                                                     | BRUNSWICK CORP 5.85% 03/18/2029                                                                   | CUSIP: 117043AW9<br>LEI: YM4O38W15AX4YLLQKU27 | Long             | DBT              | CORP              | US        |    140000 | PA      | $142238.28    | 0.07%             | 2029-03-18      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MAGNE 2023-36A                                                                     | MAGNE 2023-36A A TSFR3M+180 04/22/2036 144A                                                       | CUSIP: 559922AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250000.00    | 0.12%             | 2036-04-22      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                     | MORGAN STANLEY 4.431%/VAR 01/23/2030                                                              | CUSIP: 6174468G7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    538000 | PA      | $533533.28    | 0.26%             | 2030-01-23      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 11/01/2048#FS6649                                                                  | CUSIP: 3140XNL77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92532 | PA      | $84099.08     | 0.04%             | 2048-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DB MASTER FIN LLC                                                                  | DB MASTER FIN LLC 2.493% 11/20/2051 144A                                                          | CUSIP: 233046AQ4<br>LEI: 549300F17UZJL70BPB08 | Long             | ABS-CBDO         | CORP              | US        |    209405 | PA      | $192191.62    | 0.10%             | 2051-11-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FLATIRON CLO 26 LTD / FLATIRON CLO 26 LLC                                          | FLATIRON CLO 26 LTD / FLATIRON CLO 26 LLC A TSFR3M+133 01/15/2038 144A                            | CUSIP: 33888AAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $249724.25    | 0.12%             | 2038-01-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| ARES STRATEGIC INCOME FUND                                                         | ARES STRATEGIC INCOME FUND 5.7% 03/15/2028                                                        | CUSIP: 04020EAG2<br>LEI: 549300IANZJVZPTICV54 | Long             | DBT              | CORP              | US        |    455000 | PA      | $455753.48    | 0.23%             | 2028-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| EXELON CORP                                                                        | EXELON CORP 5.3% 03/15/2033                                                                       | CUSIP: 30161NBK6<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |    387000 | PA      | $391381.98    | 0.19%             | 2033-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 06/01/2055 #TBA                                                                      | CUSIP: 21H032662<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |   -600000 | PA      | $-534054.42   | -0.26%            | 2055-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                            | MPLX LP 4.8% 02/15/2029                                                                           | CUSIP: 55336VAS9<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    148000 | PA      | $148491.59    | 0.07%             | 2029-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SREIT TR 2021-FLWR                                                                 | SREIT TR 2021-FLWR TSFR1M+69.103 66 07/15/2036 144A                                               | CUSIP: 78485GAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7612 | PA      | $7607.27      | 0.00%             | 2036-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                                                   | WILLIAMS COS INC 5.3% 08/15/2052                                                                  | CUSIP: 969457CA6<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |      2000 | PA      | $1769.26      | 0.00%             | 2052-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ALLEGRO CLO XII LTD                                                                | ALLEGRO CLO XII LTD A1R TSFR3M+144 07/21/2037 144A                                                | CUSIP: 01750TAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250088.75    | 0.12%             | 2037-07-21      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                                 | ALLY FINL INC 5.737%/VAR 05/15/2029                                                               | CUSIP: 02005NBZ2<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |     48000 | PA      | $48470.13     | 0.02%             | 2029-05-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                          | ONEOK INC 4.75% 10/15/2031                                                                        | CUSIP: 682680CD3<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     65000 | PA      | $63448.52     | 0.03%             | 2031-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.5% 12/31/2031                                                                         | CUSIP: 91282CMC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4707000 | PA      | $4803162.55   | 2.38%             | 2031-12-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VERISIGN INC                                                                       | VERISIGN INC 5.25% 06/01/2032                                                                     | CUSIP: 92343EAQ5<br>LEI: LMPL4N8ZOJRMF0KOF759 | Long             | DBT              | CORP              | US        |    161000 | PA      | $162271.74    | 0.08%             | 2032-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 04/01/2052#CB3233                                                                    | CUSIP: 3140QNSX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52498 | PA      | $45116.96     | 0.02%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 03/01/2052#FS0840                                                                    | CUSIP: 3140XF5A5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40377 | PA      | $34693.21     | 0.02%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CARLYLE US CLO 2021-11 LTD                                                         | CARLYLE US CLO 2021-11 LTD A1R TSFR3M+141 07/25/2037 144A                                         | CUSIP: 143122AJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250387.50    | 0.12%             | 2037-07-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 02/01/2050#SD0265                                                                    | CUSIP: 3132DMJJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     54329 | PA      | $47046.76     | 0.02%             | 2050-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                    | CVS HEALTH CORP 5.3% 06/01/2033                                                                   | CUSIP: 126650DY3<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    903000 | PA      | $891382.62    | 0.44%             | 2033-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MAGNETITE XXVI LTD / MAGNETITE XXVI LLC                                            | MAGNETITE XXVI LTD / MAGNETITE XXVI LLC AR2 TSFR3M+115 01/25/2038 144A                            | CUSIP: 55954YAW5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $249250.00    | 0.12%             | 2038-01-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 10/01/2052#BX1225                                                                  | CUSIP: 3140N5LF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59474 | PA      | $59268.36     | 0.03%             | 2052-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BX TRUST                                                                           | BX TRUST 0.8% 06/15/2023 144A                                                                     | CUSIP: 05608WAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    403299 | PA      | $403047.33    | 0.20%             | 2038-06-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CELANESE US HLDGS LLC                                                              | CELANESE US HLDGS LLC VAR 11/15/2030                                                              | CUSIP: 15089QAX2<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |    117000 | PA      | $120577.86    | 0.06%             | 2030-11-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 3.5% 06/01/2055 #TBA                                                                    | CUSIP: 01F032666<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -1825000 | PA      | $-1618831.21  | -0.80%            | 2055-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                         | CAPITAL ONE FINANCIAL CORP 2.359%/VAR 07/29/2032                                                  | CUSIP: 14040HCG8<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |     16000 | PA      | $13246.99     | 0.01%             | 2032-07-29      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| HESS CORP                                                                          | HESS CORP 5.6% 02/15/2041                                                                         | CUSIP: 42809HAD9<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |     90000 | PA      | $87238.61     | 0.04%             | 2041-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2025-SPOT                                             | BX COMMERCIAL MORTGAGE TRUST 2025-SPOT TSFR1M+144.34 04/15/2040 144A                              | CUSIP: 12433FAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    310000 | PA      | $310036.05    | 0.15%             | 2040-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 6% 12/20/2054#MB0093                                                                      | CUSIP: 3618N5C72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     98547 | PA      | $99671.44     | 0.05%             | 2054-12-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BARINGS CLO LTD 2020-IV                                                            | BARINGS CLO LTD 2020-IV AR TSFR3M+137 10/20/2037 144A                                             | CUSIP: 06762BAS9<br>LEI: 549300Q89L7I93JSRH83 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250185.75    | 0.12%             | 2037-10-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 3.625% 02/15/2053                                                     | CUSIP: 912810TN8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2011000 | PA      | $1606050.58   | 0.80%             | 2053-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                         | CAPITAL ONE FINANCIAL CORP 6.312%/VAR 06/08/2029                                                  | CUSIP: 14040HCZ6<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    430000 | PA      | $447840.09    | 0.22%             | 2029-06-08      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 3.75% 12/31/2030                                                                        | CUSIP: 91282CJQ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1900000 | PA      | $1872464.84   | 0.93%             | 2030-12-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                                 | VICI PROPERTIES LP 4.75% 04/01/2028                                                               | CUSIP: 925650AJ2<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |     33000 | PA      | $32986.37     | 0.02%             | 2028-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                         | VERIZON COMMUNICATIONS INC 3.15% 03/22/2030                                                       | CUSIP: 92343VFE9<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    228000 | PA      | $213786.55    | 0.11%             | 2030-03-22      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.5% 06/01/2054#CB8729                                                                  | CUSIP: 3140QUVX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15488 | PA      | $15921.93     | 0.01%             | 2054-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE GLOBAL FUNDING                                                          | COREBRIDGE GLOBAL FUNDING 4.9% 12/03/2029 144A                                                    | CUSIP: 00138CBC1<br>LEI: 54930057MDZ7KOVOTV71 | Long             | DBT              | CORP              | US        |    300000 | PA      | $301971.56    | 0.15%             | 2029-12-03      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                                           | WARNERMEDIA HOLDINGS INC 5.05% 03/15/2042                                                         | CUSIP: 55903VBD4<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |      3000 | PA      | $2157.98      | 0.00%             | 2042-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HILTON USA TR 2016-HHV                                                             | HILTON USA TR 2016-HHV B CSTR 11/05/2038 144A                                                     | CUSIP: 43300LAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    128000 | PA      | $125901.54    | 0.06%             | 2038-11-05      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                              | JPMORGAN CHASE and CO 4.912%/VAR 07/25/2033                                                       | CUSIP: 46647PDH6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     40000 | PA      | $39641.32     | 0.02%             | 2033-07-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                                              | TIME WARNER CABLE LLC 5.5% 09/01/2041                                                             | CUSIP: 88732JBB3<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |     60000 | PA      | $52879.45     | 0.03%             | 2041-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BCRED BSL STATIC CLO 2025-1 LTD / LLC                                              | BCRED BSL STATIC CLO 2025-1 A AR LTD / LLC AR TSFR3M+125 07/15/2035 144A                          | CUSIP: 05556KAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250272.00    | 0.12%             | 2035-07-24      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| AIMCO CLO 19 LTD / AIMCO CLO 19 LLC                                                | AIMCO CLO 19 LTD / AIMCO CLO 19 LLC A TSFR3M+135 10/20/2037 144A                                  | CUSIP: 00140HAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $249860.00    | 0.12%             | 2037-10-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| KITE REALTY GROUP TRUST                                                            | KITE RLTY GROUP TRUST 4.75% 09/15/2030                                                            | CUSIP: 76131VAB9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     74000 | PA      | $72894.31     | 0.04%             | 2030-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VORNADO REALTY L P                                                                 | VORNADO REALTY LP 2.15% 06/01/2026                                                                | CUSIP: 929043AK3<br>LEI: 549300BMOJ05INE4YK86 | Long             | DBT              | CORP              | US        |      1000 | PA      | $966.93       | 0.00%             | 2026-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                         | VERIZON COMMUNICATIONS INC 2.355% 03/15/2032                                                      | CUSIP: 92343VGN8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    623000 | PA      | $531334.13    | 0.26%             | 2032-03-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2% 02/20/2052#MA7880                                                                      | CUSIP: 36179WXH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    443354 | PA      | $356357.13    | 0.18%             | 2052-02-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                       | UBS GROUP AG 5.428%/VAR 02/08/2030 144A                                                           | CUSIP: 902613BJ6<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     64000 | PA      | $65279.04     | 0.03%             | 2030-02-08      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| DOMINOS PIZZA MASTER ISSUER LL DOMINOS SPV CDN HLDG CO INC DOMINOS PIZZA DISTR LLC | DOMINOS PIZZA MASTER ISR LLC 2017-1A A23 4.118% 07/25/2047 144A                                   | CUSIP: 25755TAH3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    188000 | PA      | $184556.63    | 0.09%             | 2047-07-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 04/01/2052#CB3239                                                                    | CUSIP: 3140QNS52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    267886 | PA      | $231978.02    | 0.11%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 3.75% 08/31/2031                                                                        | CUSIP: 91282CLJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    800000 | PA      | $784156.25    | 0.39%             | 2031-08-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2.5% 06/01/2055 #TBA                                                                      | CUSIP: 21H022663<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    950000 | PA      | $796132.40    | 0.39%             | 2055-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 15YR 2% 06/01/2040 #TBA                                                                      | CUSIP: 01F020463<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    775000 | PA      | $699891.96    | 0.35%             | 2040-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL    | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 6.55% 06/01/2034  | CUSIP: 161175CR3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     24000 | PA      | $25108.06     | 0.01%             | 2034-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| LIFE 2021-BMR MTG TR                                                               | LIFE 2021-BMR MTG TR 21-BMR E TSFR1M+186.448 6 03/15/2036 144A                                    | CUSIP: 53218CAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     70000 | PA      | $69125.01     | 0.03%             | 2038-03-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 03/01/2050#SD0517                                                                    | CUSIP: 3132DMSE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     56734 | PA      | $48934.11     | 0.02%             | 2050-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BX 2021-LBA                                                                        | BX 2021-LBA TSFR1M+91.45 02/15/2036 144A                                                          | CUSIP: 05609BCD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     51000 | PA      | $50968.13     | 0.03%             | 2036-02-15      | Floating      | 0.05%                 | No            |                  2 | On Loan: No      |
| SYMP 2022-32A A1                                                                   | SYMP 2022-32A A1 A1 TSFR3M+132 04/23/2035 144A                                                    | CUSIP: 87168NAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |    250000 | PA      | $250038.00    | 0.12%             | 2035-04-23      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BX 2024-CNYN                                                                       | BX 2024-CNYN B TSFR1M+169.152 04/15/2029 144A                                                     | CUSIP: 05612HAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     83924 | PA      | $84029.29     | 0.04%             | 2041-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT LP                                                           | AMERICAN HOMES 4 RENT LP 5.5% 07/15/2034                                                          | CUSIP: 02666TAH0<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              | CORP              | US        |     81000 | PA      | $80667.05     | 0.04%             | 2034-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PARTNERSHIP LP                                                   | BRIXMOR OPERATING PARTNERSHIP LP 5.75% 02/15/2035                                                 | CUSIP: 11120BAA5<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |    150000 | PA      | $151571.72    | 0.08%             | 2035-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| NEUBERGER BERMAN LOAN ADVISERS CLO 25 LTD                                          | NEUBERGER BERMAN LOAN ADVISERS CLO 25 LTD AR2 TSFR3M+140 07/18/2038 144A                          | CUSIP: 64131JAU0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250561.25    | 0.12%             | 2038-07-18      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| TAPESTRY INC                                                                       | TAPESTRY INC 3.05% 03/15/2032                                                                     | CUSIP: 876030AA5<br>LEI: 549300LJNVY5SW3VTN33 | Long             | DBT              | CORP              | US        |     18000 | PA      | $15707.17     | 0.01%             | 2032-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                                 | WELLS FARGO and CO NEW 5.15%/VAR 04/23/2031                                                       | CUSIP: 95000U3W1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    198000 | PA      | $200370.28    | 0.10%             | 2031-04-23      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CBRE SERVICES INC                                                                  | CBRE SERVICES INC 2.5% 04/01/2031                                                                 | CUSIP: 12505BAE0<br>LEI: 549300CTE3HOMEUMM603 | Long             | DBT              | CORP              | US        |      8000 | PA      | $6979.22      | 0.00%             | 2031-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TANGER PROPERTIES LP                                                               | TANGER PROPERTIES LP 2.75% 09/01/2031                                                             | CUSIP: 875484AL1<br>LEI: PQPGJDNFN35EXH363L31 | Long             | DBT              | CORP              | US        |     86000 | PA      | $74315.69     | 0.04%             | 2031-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                                 | WELLS FARGO and CO NEW 6.303%/VAR 10/23/2029                                                      | CUSIP: 95000U3G6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1290000 | PA      | $1353713.29   | 0.67%             | 2029-10-23      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                     | MORGAN STANLEY 5.664%/VAR 04/17/2036                                                              | CUSIP: 61747YGA7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    105000 | PA      | $106715.01    | 0.05%             | 2036-04-17      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| OHA CREDIT FUNDING 14-R LTD                                                        | OHA CREDIT FUNDING 14-R LTD A TSFR3M+123 04/20/2038 144A                                          | CUSIP: 67706QAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $249132.50    | 0.12%             | 2038-04-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                       | BARCLAYS PLC 6.49%/VAR 09/13/2029                                                                 | CUSIP: 06738ECK9<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    845000 | PA      | $886822.09    | 0.44%             | 2029-09-13      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                                 | WELLS FARGO and CO NEW 4.478%/VAR 04/04/2031                                                      | CUSIP: 95000U2L6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    432000 | PA      | $424784.99    | 0.21%             | 2031-04-04      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| OAK HILL CREDIT PARTNERS                                                           | OAK HILL CREDIT PARTNERS A1 TSFR3M+150 04/20/2037 144A                                            | CUSIP: 67706JAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250682.25    | 0.12%             | 2037-04-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 03/01/2052#FS7527                                                                    | CUSIP: 3140XPLH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52728 | PA      | $41654.79     | 0.02%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 06/01/2054#CB8711                                                                    | CUSIP: 3140QUVD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47891 | PA      | $48472.05     | 0.02%             | 2054-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CIGNA GROUP (THE)                                                                  | CIGNA GROUP (THE) 2.375% 03/15/2031                                                               | CUSIP: 125523CM0<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |     48000 | PA      | $41970.27     | 0.02%             | 2031-03-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SAMMONS FINANCIAL GROUP GLOBAL FUNDING                                             | SAMMONS FINANCIAL GROUP GLOBAL FUNDING 5.1% 12/10/2029 144A                                       | CUSIP: 79587J2A0<br>LEI: 635400IPRNPM6HDHRS48 | Long             | DBT              | CORP              | US        |    286000 | PA      | $289482.62    | 0.14%             | 2029-12-10      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                   | T-MOBILE USA INC 4.2% 10/01/2029                                                                  | CUSIP: 87264ADL6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    400000 | PA      | $394244.19    | 0.20%             | 2029-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LTD                                                        | AVOLON HOLDINGS FUNDING LTD 6.375% 05/04/2028 144A                                                | CUSIP: 05401AAS0<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    207000 | PA      | $214283.77    | 0.11%             | 2028-05-04      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 07/01/2053#FS5067                                                                    | CUSIP: 3140XLTZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    103977 | PA      | $106147.57    | 0.05%             | 2053-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ABN AMRO BANK NV                                                                   | ABN AMRO BANK NV 4.988%/VAR 12/03/2028 144A                                                       | CUSIP: 00084DBD1<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |    500000 | PA      | $503404.21    | 0.25%             | 2028-12-03      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MAGNETITE XLI LTD                                                                  | MAGNETITE XLI LTD A TSFR3M+129 01/25/2038 144A                                                    | CUSIP: 55956AAA3<br>LEI: 529900IDXPZZY6034K03 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250482.50    | 0.12%             | 2038-01-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 06/01/2049#FM4216                                                                  | CUSIP: 3140X7VJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10327 | PA      | $9321.57      | 0.00%             | 2049-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.625% 09/30/2030                                                                       | CUSIP: 91282CHZ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10495000 | PA      | $10801240.85  | 5.35%             | 2030-09-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AT and T INC                                                                       | AT and T INC 2.55% 12/01/2033                                                                     | CUSIP: 00206RMM1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    690000 | PA      | $567491.72    | 0.28%             | 2033-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                                                   | WILLIAMS COS INC 4.65% 08/15/2032                                                                 | CUSIP: 969457BZ2<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    134000 | PA      | $129684.82    | 0.06%             | 2032-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 4.183% 11/25/2027                                                     | CUSIP: 06051GGC7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    254000 | PA      | $251805.72    | 0.12%             | 2027-11-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MAGNETITE CLO LTD                                                                  | MAGNETITE CLO LTD A1 TSFR3M+115 04/15/2038 144A                                                   | CUSIP: 55956CAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    100000 | PA      | $100106.10    | 0.05%             | 2038-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CLECO CORPORATE HLDGS LLC                                                          | CLECO CORPORATE HLDGS LLC 3.743% 05/01/2026                                                       | CUSIP: 18551PAC3<br>LEI: 5493002H80P81B3HXL31 | Long             | DBT              | CORP              | US        |     60000 | PA      | $59301.15     | 0.03%             | 2026-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                                          | AMGEN INC 5.75% 03/02/2063                                                                        | CUSIP: 031162DU1<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |      6000 | PA      | $5672.43      | 0.00%             | 2063-03-02      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMER TR 2021-ESH                                                     | EXTENDED STAY AMER TR 2021-ESH 1.38% 07/15/2038 144A                                              | CUSIP: 30227FAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     85773 | PA      | $85772.78     | 0.04%             | 2038-07-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| TCO COML MTG TR 2024-DPM                                                           | TAUBMAN CENTERS COMMERCIAL MORTGAGE TRUST 24-DPM A TSFR1M+139.27 12/15/2039 144A                  | CUSIP: 87231EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    335000 | PA      | $334894.81    | 0.17%             | 2039-12-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| VMWARE INC                                                                         | VMWARE INC 1.4% 08/15/2026                                                                        | CUSIP: 928563AJ4<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |      7000 | PA      | $6739.90      | 0.00%             | 2026-08-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2.5% 06/01/2055 #TBA                                                                      | CUSIP: 21H022663<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |   -425000 | PA      | $-356164.49   | -0.18%            | 2055-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                      | GOLDMAN SACHS GROUP INC (THE) 3.8% 03/15/2030                                                     | CUSIP: 38141GXH2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    734000 | PA      | $708133.66    | 0.35%             | 2030-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| Phillips Edison Grocery Center Operating Partnership I LP                          | Phillips Edison Grocery Center Operating Partnership I LP 5.75% 07/15/2034                        | CUSIP: 71845JAB4<br>LEI: 549300WUPIVS6ZE0ZI51 | Long             | DBT              | CORP              | US        |     75000 | PA      | $75564.49     | 0.04%             | 2034-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-PAC                                              | BX COMMERCIAL MORTGAGE TRUST 2021-PAC B TSFR1M+101.328 21 10/15/2036 144A                         | CUSIP: 05609PAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $99437.50     | 0.05%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2025-ROIC                                                                 | BX TRUST 2025-ROIC B TSFR1M+149.33 03/15/2030 144A                                                | CUSIP: 05593VAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     56000 | PA      | $55440.00     | 0.03%             | 2030-03-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                       | BROADCOM INC 5.15% 11/15/2031                                                                     | CUSIP: 11135FBY6<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    225000 | PA      | $229057.35    | 0.11%             | 2031-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINES OPERATING CO LLC                                                | COLUMBIA PIPELINES OPERATING CO LLC 6.036% 11/15/2033 144A                                        | CUSIP: 19828TAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     50000 | PA      | $51465.36     | 0.03%             | 2033-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 6% 06/01/2055 #TBA                                                                      | CUSIP: 01F060667<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3650000 | PA      | $3686642.72   | 1.83%             | 2055-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.625% 02/15/2035                                                                       | CUSIP: 91282CMM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1000000 | PA      | $1018455.70   | 0.50%             | 2035-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINES OPERATING CO LLC                                                | COLUMBIA PIPELINES OPERATING CO LLC 5.927% 08/15/2030 144A                                        | CUSIP: 19828TAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      3000 | PA      | $3116.98      | 0.00%             | 2030-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.375% 12/31/2029                                                                       | CUSIP: 91282CMD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2352000 | PA      | $2393160.00   | 1.19%             | 2029-12-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PARTNERSHIP LP                                                   | BRIXMOR OPERATING PARTNERSHIP LP 4.05% 07/01/2030                                                 | CUSIP: 11120VAJ2<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |     56000 | PA      | $53651.40     | 0.03%             | 2030-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 03/01/2052#MA4562                                                                    | CUSIP: 31418EB82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    777641 | PA      | $605827.75    | 0.30%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 07/01/2042#ZA1228                                                                  | CUSIP: 31329JLH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12954 | PA      | $11997.55     | 0.01%             | 2042-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 12/01/2051#FS0002                                                                    | CUSIP: 3140XFAC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30038 | PA      | $25810.17     | 0.01%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                                              | ATHENE GLOBAL FUNDING 5.339% 01/15/2027 144A                                                      | CUSIP: 04685A3R0<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |     62000 | PA      | $62557.90     | 0.03%             | 2027-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 07/01/2047#ZA4926                                                                  | CUSIP: 31329NPK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11665 | PA      | $10616.40     | 0.01%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALTDE 2025-1 TR                                                                    | ALTDE 2025-1 TR 5.9% 08/15/2050 144A                                                              | CUSIP: 00166NAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    246141 | PA      | $245696.19    | 0.12%             | 2050-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| JBS USA HOLDING LUX/ JBS USA FOOD CO/ JBS LUX CO SARL                              | JBS USA HOLDING LUX/ JBS USA FOOD CO/ JBS LUX CO SARL 5.75% 04/01/2033                            | CUSIP: 46590XAY2<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |    423000 | PA      | $428473.62    | 0.21%             | 2033-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| OHA CR FDG 4 LTD / OHA CR FDG 4 LLC                                                | OHA CR FDG 4 LTD / OHA CR FDG 4 LLC AR2 TSFR3M+129 01/22/2038 144A                                | CUSIP: 67098DBC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $249856.75    | 0.12%             | 2038-01-22      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINES OPERATING CO LLC                                                | COLUMBIA PIPELINES OPERATING CO LLC 6.544% 11/15/2053 144A                                        | CUSIP: 19828TAC0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      5000 | PA      | $5024.99      | 0.00%             | 2053-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.25% 02/28/2031                                                                        | CUSIP: 91282CKC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1140000 | PA      | $1151355.47   | 0.57%             | 2031-02-28      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT LP                                                           | AMERICAN HOMES 4 RENT LP 3.625% 04/15/2032                                                        | CUSIP: 02666TAE7<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              | CORP              | US        |      3000 | PA      | $2723.34      | 0.00%             | 2032-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PARTNERSHIP LP                                                   | BRIXMOR OPERATING PARTNERSHIP LP 5.2% 04/01/2032                                                  | CUSIP: 11120VAN3<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |    178000 | PA      | $176977.13    | 0.09%             | 2032-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 6.5% 06/01/2055 #TBA                                                                      | CUSIP: 21H062669<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    525000 | PA      | $535526.30    | 0.27%             | 2055-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SUBWAY FDG LLC ISSUER                                                              | SUBWAY FDG LLC ISSUER 6.028% 07/30/2054 144A                                                      | CUSIP: 864300AA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    123380 | PA      | $124510.69    | 0.06%             | 2054-07-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                                          | AMGEN INC 5.15% 03/02/2028                                                                        | CUSIP: 031162DP2<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |      7000 | PA      | $7127.99      | 0.00%             | 2028-03-02      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 08/01/2049#MA3744                                                                    | CUSIP: 31418DES7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    108050 | PA      | $93431.45     | 0.05%             | 2049-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMER TR 2021-ESH                                                     | EXTENDED STAY AMER TR 2021-ESH C TSFR1M+181.448 07/15/2038 144A                                   | CUSIP: 30227FAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     85773 | PA      | $85772.78     | 0.04%             | 2038-07-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 4.625% 05/15/2054                                                     | CUSIP: 912810UA4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1670000 | PA      | $1588522.27   | 0.79%             | 2054-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 6% 07/01/2055 #TBA                                                                        | CUSIP: 21H060671<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1700000 | PA      | $1713921.81   | 0.85%             | 2055-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 10/01/2051#RA6275                                                                    | CUSIP: 3133KM6L4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     47673 | PA      | $37125.26     | 0.02%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.125% 07/31/2031                                                                       | CUSIP: 91282CLD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2400000 | PA      | $2403050.64   | 1.19%             | 2031-07-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CELANESE US HLDGS LLC                                                              | CELANESE US HLDGS LLC VAR 11/15/2028                                                              | CUSIP: 15089QAW4<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |     62000 | PA      | $64192.63     | 0.03%             | 2028-11-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| BBCMS MORTGAGE TRUST 2023-C21                                                      | BBCMS MORTGAGE TRUST 2023-C21 A3 CSTR 09/15/2056                                                  | CUSIP: 05553WAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14000 | PA      | $14879.93     | 0.01%             | 2056-09-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| HORIZON 2018                                                                       | HORIZON 2018-1 A 4.458% 12/15/2038 144A                                                           | CUSIP: 440405AE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    132611 | PA      | $126641.75    | 0.06%             | 2038-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JACKSON FINANCIAL INC                                                              | JACKSON FINANCIAL INC 5.67% 06/08/2032                                                            | CUSIP: 46817MAS6<br>LEI: 213800WXW2KG1N4CO374 | Long             | DBT              | CORP              | US        |      4000 | PA      | $3997.44      | 0.00%             | 2032-06-08      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| EATON VANCE CLO 2020-2 LTD                                                         | EATON VANCE CLO 2020-2 LTD AR2 TSFR3M+138 10/15/2037 144A                                         | CUSIP: 27829PAU0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250222.00    | 0.12%             | 2037-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                       | BROADCOM INC 2.6% 02/15/2033 144A                                                                 | CUSIP: 11135FBF7<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    104000 | PA      | $87794.75     | 0.04%             | 2033-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6.5% 06/01/2054#SD5521                                                                  | CUSIP: 3132DTD23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    184195 | PA      | $191869.29    | 0.10%             | 2054-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT LP                                                           | AMERICAN HOMES 4 RENT LP 2.375% 07/15/2031                                                        | CUSIP: 02666TAC1<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              | CORP              | US        |      1000 | PA      | $857.97       | 0.00%             | 2031-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 3% 06/01/2055 #TBA                                                                      | CUSIP: 01F030660<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1200000 | PA      | $1021499.40   | 0.51%             | 2055-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BLACKBIRD CAP II AIRCRAFT LEASE LTD / BLACKBIRD CAP II AIRCRAFT LEASE US L         | BLACKBIRD CAP II AIRCRAFT LEASE LTD / BLACKBIRD CAP II AIRCRAFT LEASE US L 2.443% 07/15/2046 144A | CUSIP: 09229CAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    334768 | PA      | $311506.72    | 0.15%             | 2046-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| WESTERN-SOUTHERN GLOBAL FUNDING                                                    | WESTERN-SOUTHERN GLOBAL FUNDING 4.9% 05/01/2030 144A                                              | CUSIP: 95954A2A0<br>LEI: 635400PFYEGVSGK4VB37 | Long             | DBT              | CORP              | US        |     58000 | PA      | $58162.49     | 0.03%             | 2030-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VORNADO REALTY L P                                                                 | VORNADO REALTY LP 3.4% 06/01/2031                                                                 | CUSIP: 929043AL1<br>LEI: 549300BMOJ05INE4YK86 | Long             | DBT              | CORP              | US        |      3000 | PA      | $2578.44      | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 2% 06/01/2055 #TBA                                                                      | CUSIP: 01F020661<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   5775000 | PA      | $4488934.07   | 2.22%             | 2055-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| DB MASTER FIN LLC                                                                  | DB MASTER FIN LLC 4.352% 05/20/2049                                                               | CUSIP: 233046AL5<br>LEI: 549300F17UZJL70BPB08 | Long             | ABS-CBDO         | CORP              | US        |     47125 | PA      | $45866.48     | 0.02%             | 2049-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 3.875% 11/30/2029                                                                       | CUSIP: 91282CFY2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    800000 | PA      | $797500.00    | 0.39%             | 2029-11-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AGREE LP                                                                           | AGREE LP 5.625% 06/15/2034                                                                        | CUSIP: 008513AE3<br>LEI: 549300DXY3G299V1BO77 | Long             | DBT              | CORP              | US        |    224000 | PA      | $225885.17    | 0.11%             | 2034-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SUN CMNTYS OPER LTD PRTNRSHP                                                       | SUN CMNTYS OPER LTD PRTNRSHP 2.3% 11/01/2028                                                      | CUSIP: 866677AF4<br>LEI: 549300PUNBPJCGT6X741 | Long             | DBT              | CORP              | US        |      2000 | PA      | $1852.08      | 0.00%             | 2028-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| DRYDEN 108 CLO LTD / DRYDEN 108 CLO LLC                                            | DRYDEN 108 CLO LTD / DRYDEN 108 CLO LLC A1R TSFR3M+136 07/18/2037 144A                            | CUSIP: 26253MAN0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    250000 | PA      | $250494.00    | 0.12%             | 2037-07-18      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 4.75% 11/15/2053                                                      | CUSIP: 912810TV0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    270000 | PA      | $262005.47    | 0.13%             | 2053-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DB MASTER FIN LLC                                                                  | DB MASTER FIN LLC 2.045% 11/20/2051 144A                                                          | CUSIP: 233046AN1<br>LEI: 549300F17UZJL70BPB08 | Long             | ABS-CBDO         | CORP              | US        |    371525 | PA      | $355988.90    | 0.18%             | 2051-11-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 06/01/2052#SD1082                                                                    | CUSIP: 3132DNFX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35454 | PA      | $30380.05     | 0.02%             | 2052-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                         | FANNIEMAE 30YR 3% 06/01/2052#FA0115                                                               | CUSIP: 3140W0DV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     83964 | PA      | $72762.16     | 0.04%             | 2052-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.125% 11/30/2031                                                                       | CUSIP: 91282CLZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    450000 | PA      | $449753.90    | 0.22%             | 2031-11-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PLANET FITNESS MASTER ISSUER LLC 18-1A                                             | PLANET FITNESS MASTER ISSUER LLC 18-1A 3.858% 12/05/2049 144A                                     | CUSIP: 72703PAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    568500 | PA      | $537260.47    | 0.27%             | 2049-12-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY TRANSMISSION LLC                                                       | FIRSTENERGY TRANSMISSION LLC 4.55% 01/15/2030                                                     | CUSIP: 33767BAG4<br>LEI: 549300AINIIPOLYX2R63 | Long             | DBT              | CORP              | US        |    250000 | PA      | $247702.93    | 0.12%             | 2030-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 08/01/2047#ZA4942                                                                  | CUSIP: 31329NP36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17962 | PA      | $16347.66     | 0.01%             | 2047-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 12/01/2052#RA8306                                                                    | CUSIP: 3133KQGP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     67804 | PA      | $69197.88     | 0.03%             | 2052-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.125% 03/31/2031                                                                       | CUSIP: 91282CKF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3350000 | PA      | $3359552.73   | 1.66%             | 2031-03-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 02/01/2037#FS3607                                                                  | CUSIP: 3140XKAH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    174738 | PA      | $161768.46    | 0.08%             | 2037-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2.5% 05/20/2052#MA8042                                                                    | CUSIP: 36179W5B0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    254513 | PA      | $213518.53    | 0.11%             | 2052-05-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 4.5% 04/20/2053#MA8799                                                                    | CUSIP: 36179XX43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     45129 | PA      | $42783.10     | 0.02%             | 2053-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 15YR 5% 06/01/2040 #TBA                                                                      | CUSIP: 01F050460<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    200000 | PA      | $200125.02    | 0.10%             | 2040-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2025-ROIC                                                                 | BX TRUST 2025-ROIC C TSFR1M+169 03/15/2030 144A                                                   | CUSIP: 05593VAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     79000 | PA      | $77617.50     | 0.04%             | 2030-03-15      | Floating      | 0.06%                 | No            |                  2 | On Loan: No      |
| BLUEBERRY PARK CLO LTD                                                             | BLUEBERRY PARK CLO LTD A TSFR3M+135 10/20/2037 144A                                               | CUSIP: 09609QAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    250000 | PA      | $249730.25    | 0.12%             | 2037-10-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2% 08/35#MA4095                                                                         | CUSIP: 31418DRR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49539 | PA      | $45169.43     | 0.02%             | 2035-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| HPS CORPORATE LENDING FUND                                                         | HPS CORPORATE LENDING FUND 5.45% 01/14/2028                                                       | CUSIP: 40440VAH8<br>LEI: 549300ZS7IHUA6FKFV61 | Long             | DBT              | CORP              | US        |    340000 | PA      | $339936.79    | 0.17%             | 2028-01-14      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2% 06/01/2055 #TBA                                                                        | CUSIP: 21H020667<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |   -800000 | PA      | $-642741.28   | -0.32%            | 2055-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.5% 07/01/2054#SD8446                                                                  | CUSIP: 3132DWL35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    343950 | PA      | $340933.42    | 0.17%             | 2054-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                              | JPMORGAN CHASE and CO 5.103%/VAR 04/22/2031                                                       | CUSIP: 46647PEY8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    146000 | PA      | $148118.21    | 0.07%             | 2031-04-22      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 6% 07/01/2055 #TBA                                                                      | CUSIP: 01F060675<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    300000 | PA      | $302625.03    | 0.15%             | 2055-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINES OPERATING CO LLC                                                | COLUMBIA PIPELINES OPERATING CO LLC 6.497% 08/15/2043 144A                                        | CUSIP: 19828TAE6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      3000 | PA      | $3014.09      | 0.00%             | 2043-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WESTERN GAS PARTNERS LP                                                            | WESTERN GAS PARTNERS LP STEP 02/01/2030                                                           | CUSIP: 958667AC1<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |    724000 | PA      | $688259.36    | 0.34%             | 2030-02-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| AASET 2024-1 US LTD / AASET 2024-1 INTL LTD                                        | AASET 2024-1 US LTD / AASET 2024-1 INTL LTD 6.261% 05/16/2049 144A                                | CUSIP: 00255JAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    237435 | PA      | $239070.94    | 0.12%             | 2049-05-16      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 3% 06/01/2055 #TBA                                                                      | CUSIP: 01F030660<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |   -500000 | PA      | $-425624.75   | -0.21%            | 2055-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-PAC                                              | BX COMMERCIAL MORTGAGE TRUST 2021-PAC TSFR1M+121.308 21 10/15/2036 144A                           | CUSIP: 05609PAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $99312.50     | 0.05%             | 2036-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| OAK HILL CREDIT PARTNERS                                                           | OAK HILL CREDIT PARTNERS AR TSFR3M+135 07/20/2037 144A                                            | CUSIP: 67116CAL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250528.00    | 0.12%             | 2037-07-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                              | JPMORGAN CHASE and CO 5.572%/VAR 04/22/2036                                                       | CUSIP: 46647PEX0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    174000 | PA      | $177030.96    | 0.09%             | 2036-04-22      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CONSOLIDATED EDISON CO OF NEW YORK INC                                             | CONSOLIDATED EDISON CO OF NY 5.375% 05/15/2034                                                    | CUSIP: 209111GH0<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |    160000 | PA      | $162744.46    | 0.08%             | 2034-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                         | CAPITAL ONE FINANCIAL CORP 5.247%/VAR 07/26/2030                                                  | CUSIP: 14040HCV5<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |     73000 | PA      | $73661.94     | 0.04%             | 2030-07-26      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY EATON VANCE CLO 2025-21 LTD / LLC                                   | MORGAN STANLEY EATON VANCE CLO 2025-21 LTD / LLC A1 TSFR3M+117 04/15/2038 144A                    | CUSIP: 617921AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    163000 | PA      | $162624.61    | 0.08%             | 2038-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 01/01/2052#FS0288                                                                    | CUSIP: 3140XFKA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12139 | PA      | $9533.14      | 0.00%             | 2052-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 02/01/2052#FS0898                                                                    | CUSIP: 3140XF7L9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    161105 | PA      | $138427.96    | 0.07%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE LOAN FUNDING 2024-2 LTD                                              | PALMER SQUARE LOAN FUNDING 2024-2 LTD A1N TSFR3M+100 01/15/2033 144A                              | CUSIP: 69703RAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    227229 | PA      | $227265.09    | 0.11%             | 2033-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                                 | ALLY FINL INC 7.1% 11/15/2027                                                                     | CUSIP: 02005NBR0<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |     98000 | PA      | $102777.02    | 0.05%             | 2027-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| DTP COML MTG TR 2023-STE2                                                          | DTP COML MTG TR 2023-STE2 A CSTR 01/15/2041 144A                                                  | CUSIP: 23346GAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $102109.50    | 0.05%             | 2041-01-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 6% 01/20/2055#MB0148                                                                      | CUSIP: 3618N5EW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     49384 | PA      | $49901.85     | 0.02%             | 2055-01-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 03/01/2050#MA3964                                                                  | CUSIP: 31418DMN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    195812 | PA      | $161696.59    | 0.08%             | 2050-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| OPEN TR 2023-AIR                                                                   | OPEN TR 2023-AIR TSFR1M+383.799 10/15/2028 144A                                                   | CUSIP: 68373BAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     80000 | PA      | $80000.00     | 0.04%             | 2040-11-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 2.5% 06/01/2055 #TBA                                                                    | CUSIP: 01F022667<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |   -500000 | PA      | $-407480.40   | -0.20%            | 2055-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 1.5% 07/01/2036#MA4382                                                                  | CUSIP: 31418D2Q4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    728904 | PA      | $640839.66    | 0.32%             | 2036-07-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GMF FLOORPLAN OWNER REVOLVING TR                                                   | GMF FLOORPLAN OWNER REVOLVING TR 4.98% 11/15/2029 144A                                            | CUSIP: 361886DS0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    120000 | PA      | $120638.14    | 0.06%             | 2029-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GILEAD AVIATION LLC                                                                | GILEAD AVIATION LLC 0% 03/15/2050 144A                                                            | CUSIP: 37556TAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    247967 | PA      | $245709.01    | 0.12%             | 2050-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CARRIER GLOBAL CORP                                                                | CARRIER GLOBAL CORP 6.2% 03/15/2054                                                               | CUSIP: 14448CBD5<br>LEI: 549300JE3W6CWY2NAN77 | Long             | DBT              | CORP              | US        |      2000 | PA      | $2113.65      | 0.00%             | 2054-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 09/01/2042#ZL3774                                                                  | CUSIP: 3131XKFP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16408 | PA      | $15176.19     | 0.01%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| INVITATION HOMES OPERATING PARTNERSHIP LP                                          | INVITATION HOMES OPERATING PARTNERSHIP LP 2% 08/15/2031                                           | CUSIP: 46188BAA0<br>LEI: 549300147YMUQB3GW319 | Long             | DBT              | CORP              | US        |    784000 | PA      | $656369.50    | 0.33%             | 2031-08-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINES OPERATING CO LLC                                                | COLUMBIA PIPELINES OPERATING CO LLC 6.714% 08/15/2063 144A                                        | CUSIP: 19828TAD8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      3000 | PA      | $3045.05      | 0.00%             | 2063-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 04/01/2048#SD4470                                                                  | CUSIP: 3132E06F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59979 | PA      | $54137.74     | 0.03%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 03/01/2052#CB3114                                                                    | CUSIP: 3140QNN81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    309500 | PA      | $267434.00    | 0.13%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6.5% 09/01/2054#SD6620                                                                  | CUSIP: 3132DUK97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    218307 | PA      | $227538.92    | 0.11%             | 2054-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 07/01/2047#FS1789                                                                  | CUSIP: 3140XG7B9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40864 | PA      | $37815.30     | 0.02%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SUBWAY FDG LLC ISSUER                                                              | SUBWAY FDG LLC ISSUER 6.268% 07/30/2054 144A                                                      | CUSIP: 864300AC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     55720 | PA      | $56734.05     | 0.03%             | 2054-07-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 10/01/2051#QC9148                                                                  | CUSIP: 3133AUEV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     50012 | PA      | $41158.31     | 0.02%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AASET 2025-1 LTD / AASET 2025-1 LLC                                                | AASET 2025-1 LTD / AASET 2025-1 LLC 5.943% 02/16/2050 144A                                        | CUSIP: 00258PAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    245428 | PA      | $245842.97    | 0.12%             | 2050-02-16      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                         | FANNIEMAE 30YR 2.5% 04/01/2052#FA0349                                                             | CUSIP: 3140W0L78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56836 | PA      | $47129.42     | 0.02%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 5% 06/01/2055 #TBA                                                                      | CUSIP: 01F050668<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |   -300000 | PA      | $-290472.57   | -0.14%            | 2055-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CF HIPPOLYTA ISSUER LLC                                                            | CF HIPPOLYTA ISSUER LLC 1.53% 03/15/2061 144A                                                     | CUSIP: 12530MAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     94245 | PA      | $90737.36     | 0.04%             | 2061-03-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2% 10/20/2050#MA6930                                                                      | CUSIP: 36179VVX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    184935 | PA      | $148645.76    | 0.07%             | 2050-10-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                 | ENERGY TRANSFER LP 5.75% 02/15/2033                                                               | CUSIP: 29273VAQ3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    573000 | PA      | $584346.60    | 0.29%             | 2033-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2025-ROIC                                                                 | BX Trust 2025-ROIC VAR 03/15/2030 144A                                                            | CUSIP: 05593VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    382000 | PA      | $379135.00    | 0.19%             | 2030-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| SABRA HEALTH CARE LP                                                               | SABRA HEALTH CARE LP 3.2% 12/01/2031                                                              | CUSIP: 78574MAA1<br>LEI: 549300OVKLRFSIQG0H81 | Long             | DBT              | CORP              | US        |     92000 | PA      | $80126.76     | 0.04%             | 2031-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP DEL                                                                   | CENTENE CORP 3% 10/15/2030                                                                        | CUSIP: 15135BAW1<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    113000 | PA      | $99403.40     | 0.05%             | 2030-10-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| REGENCY CTRS LP                                                                    | REGENCY CTRS LP 5.1% 01/15/2035                                                                   | CUSIP: 75884RBC6<br>LEI: 5493008PTR2GAOYBXW28 | Long             | DBT              | CORP              | US        |     52000 | PA      | $51293.20     | 0.03%             | 2035-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BLP COML MTG 2024-INDS                                                             | BLP COML MTG 2024-IND2 A TSFR1M+139.208 03/15/2041 144A                                           | CUSIP: 05625AAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     94883 | PA      | $94942.03     | 0.05%             | 2041-03-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 10/01/2051#CB1872                                                                    | CUSIP: 3140QMCJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27218 | PA      | $23386.71     | 0.01%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 01/01/2052#RA6623                                                                  | CUSIP: 3133KNLC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    206783 | PA      | $171014.58    | 0.08%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HEALTHPEAK OP LLC                                                                  | HEALTHPEAK OP LLC 5.375% 02/15/2035                                                               | CUSIP: 42250GAA1<br>LEI: PZ9HF5U52KPF0MH0QN75 | Long             | DBT              | CORP              | US        |    500000 | PA      | $494856.10    | 0.25%             | 2035-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE PRIVATE CREDIT FUND                                                     | BLACKSTONE PRIVATE CREDIT FUND 7.3% 11/27/2028                                                    | CUSIP: 09261HBC0<br>LEI: 549300ORP3TTCNXSYO43 | Long             | DBT              | CORP              | US        |    190000 | PA      | $201209.34    | 0.10%             | 2028-11-27      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY TRANSMISSION LLC                                                       | FIRSTENERGY TRANSMISSION LLC 5% 01/15/2035                                                        | CUSIP: 33767BAH2<br>LEI: 549300AINIIPOLYX2R63 | Long             | DBT              | CORP              | US        |    250000 | PA      | $243763.15    | 0.12%             | 2035-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MARS INC                                                                           | MARS INC 5.65% 05/01/2045 144A                                                                    | CUSIP: 571676BB0<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |     82000 | PA      | $80444.65     | 0.04%             | 2045-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 3.625% 09/30/2031                                                                       | CUSIP: 91282CLM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2500000 | PA      | $2431738.28   | 1.20%             | 2031-09-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 03/01/2052#CB3174                                                                  | CUSIP: 3140QNQ47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1747 | PA      | $1559.55      | 0.00%             | 2052-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 02/01/2053#SD7561                                                                    | CUSIP: 3132DVMJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    140008 | PA      | $129757.02    | 0.06%             | 2053-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                   | T-MOBILE USA INC 4.5% 04/15/2050                                                                  | CUSIP: 87264AAZ8<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    126000 | PA      | $101656.32    | 0.05%             | 2050-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OHACP 2024-17A                                                                     | OHACP 2024-17A A TSFR3M+132 01/18/2038 144A                                                       | CUSIP: 67120MAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250471.50    | 0.12%             | 2038-01-18      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BRANDYWINE OPER PARTNERSHIP LP                                                     | BRANDYWINE OPER PARTNERSHIP LP 8.3% 03/15/2028                                                    | CUSIP: 105340AR4<br>LEI: IXBXSCONLDQ1ZI73YU71 | Long             | DBT              | CORP              | US        |      9000 | PA      | $9435.64      | 0.00%             | 2028-03-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| HAMLIN PK CLO LTD / HAMLIN PK CLO LLC 2024-1A                                      | HAMLIN PK CLO LTD / HAMLIN PK CLO LLC 2024-1A A TSFR3M+134 10/20/2037 144A                        | CUSIP: 407907AA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $249223.75    | 0.12%             | 2037-10-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE PRIVATE CREDIT FUND                                                     | BLACKSTONE PRIVATE CREDIT FUND 5.6% 11/22/2029                                                    | CUSIP: 09261HBU0<br>LEI: 549300ORP3TTCNXSYO43 | Long             | DBT              | CORP              | US        |     56000 | PA      | $55689.81     | 0.03%             | 2029-11-22      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE LOAN FUNDING 2025-1 LTD                                              | PALMER SQUARE LOAN FUNDING 2025-1 LTD A1 TSFR3M+80 02/15/2033 144A                                | CUSIP: 69704CAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $249160.25    | 0.12%             | 2033-02-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| DUQUESNE LIGHT HLDGS INC                                                           | DUQUESNE LIGHT HLDGS INC 2.532% 10/01/2030 144A                                                   | CUSIP: 266233AH8<br>LEI: 4CUJ1D8WDXK9X7QI6B93 | Long             | DBT              | CORP              | US        |     74000 | PA      | $64649.60     | 0.03%             | 2030-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MHC COML MTG TR 2021-MHC                                                           | MHC COML MTG TR 2021-MHC A TSFR1M+91.544 096 04/15/2026 144A                                      | CUSIP: 55316VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     45409 | PA      | $45380.25     | 0.02%             | 2038-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GENUINE PARTS CO                                                                   | GENUINE PARTS CO 4.95% 08/15/2029                                                                 | CUSIP: 372460AF2<br>LEI: 549300D46DQVEU651W04 | Long             | DBT              | CORP              | US        |    300000 | PA      | $302681.81    | 0.15%             | 2029-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL    | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 5.375% 05/01/2047 | CUSIP: 161175BL7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     64000 | PA      | $53761.98     | 0.03%             | 2047-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 1.5% 12/01/2035#SB8078                                                                  | CUSIP: 3132D56P2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22469 | PA      | $19817.13     | 0.01%             | 2035-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                            | HCA INC 5.45% 04/01/2031                                                                          | CUSIP: 404119CT4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    300000 | PA      | $305419.07    | 0.15%             | 2031-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AT and T INC                                                                       | AT and T INC 3.65% 09/15/2059                                                                     | CUSIP: 00206RLV2<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |      3000 | PA      | $1971.24      | 0.00%             | 2059-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WALT DISNEY CO                                                                     | WALT DISNEY CO 2.65% 01/13/2031                                                                   | CUSIP: 254687FX9<br>LEI: 549300GZKULIZ0WOW665 | Long             | DBT              | CORP              | US        |    186000 | PA      | $169463.13    | 0.08%             | 2031-01-13      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 2% 06/01/2055 #TBA                                                                      | CUSIP: 01F020661<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -4650000 | PA      | $-3614466.39  | -1.79%            | 2055-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BX 2024-CNYN                                                                       | BX 2024-CNYN TSFR1M+144.188 04/15/2029 144A                                                       | CUSIP: 05612HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    167849 | PA      | $168058.58    | 0.08%             | 2041-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                                                           | COREBRIDGE FINANCIAL INC 4.4% 04/05/2052                                                          | CUSIP: 21871XAM1<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |      2000 | PA      | $1552.13      | 0.00%             | 2052-04-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 03/01/2052#RA6926                                                                    | CUSIP: 3133KNVT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19338 | PA      | $16571.02     | 0.01%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MARS INC                                                                           | MARS INC 5% 03/01/2032 144A                                                                       | CUSIP: 571676AZ8<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    101000 | PA      | $101339.65    | 0.05%             | 2032-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                 | ENERGY TRANSFER LP 4.95% 06/15/2028                                                               | CUSIP: 29278NAF0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    148000 | PA      | $149007.09    | 0.07%             | 2028-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.5% 09/01/2054#RJ2412                                                                  | CUSIP: 3142GSVE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    144353 | PA      | $144439.93    | 0.07%             | 2054-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 6% 06/01/2055 #TBA                                                                        | CUSIP: 21H060663<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -1700000 | PA      | $-1713576.71  | -0.85%            | 2055-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                                 | WELLS FARGO and CO NEW 5.605%/VAR 04/23/2036                                                      | CUSIP: 95000U3V3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    175000 | PA      | $177044.26    | 0.09%             | 2036-04-23      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| MADISON PK FDG XLV LTD / MADISON PK FDG XLV LLC                                    | MADISON PK FDG XLV LTD / MADISON PK FDG XLV LLC ARR TSFR3M+108 07/15/2034 144A                    | CUSIP: 55820BAS6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $249171.25    | 0.12%             | 2034-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| STELLANTIS FINANCE US INC                                                          | STELLANTIS FINANCE US INC 5.35% 03/17/2028 144A                                                   | CUSIP: 85855CAM2<br>LEI: 549300QZ0AI8Q7LNON33 | Long             | DBT              | CORP              | US        |    500000 | PA      | $501439.95    | 0.25%             | 2028-03-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 09/01/2047#CA0257                                                                  | CUSIP: 3140Q7JB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14158 | PA      | $12885.04     | 0.01%             | 2047-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 2.5% 08/01/2041#RB5122                                                                  | CUSIP: 3133KYVP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    137686 | PA      | $120464.76    | 0.06%             | 2041-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AES CORP                                                                           | AES CORP 3.95% 07/15/2030 144A                                                                    | CUSIP: 00130HCC7<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |    170000 | PA      | $158652.94    | 0.08%             | 2030-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2024-XL5                                                            | BX COML MTG TR 2024-XL5 A TSFR1M+139.165 03/15/2039 144A                                          | CUSIP: 05612GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    512990 | PA      | $513310.45    | 0.25%             | 2041-03-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 5.5% 06/01/2055 #TBA                                                                      | CUSIP: 21H052660<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    425000 | PA      | $420595.94    | 0.21%             | 2055-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                                | PETROLEOS MEXICANOS 7.69% 01/23/2050                                                              | CUSIP: 71654QDD1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    743000 | PA      | $547145.20    | 0.27%             | 2050-01-23      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| OHA CR FDG 6 LTD / OHA CR FDG 6 LLC                                                | OHA CR FDG 6 LTD / OHA CR FDG 6 LLC AR2 TSFR3M+133 10/20/2037 144A                                | CUSIP: 67098UAY1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $249861.25    | 0.12%             | 2037-10-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| INVESCO US CLO 2024-3 LTD                                                          | INVESCO US CLO 2024-3 LTD A TSFR3M+151 07/20/2037 144A                                            | CUSIP: 46148HAB4<br>LEI: 254900GU4U8LUX3GA959 | Long             | ABS-CBDO         | CORP              | JE        |    250000 | PA      | $249618.00    | 0.12%             | 2037-07-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 1.5% 02/01/2037#SB1503                                                                  | CUSIP: 3132CXU42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    494569 | PA      | $434816.33    | 0.22%             | 2037-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| SOUTHERN COMPANY                                                                   | SOUTHERN COMPANY 4.85% 03/15/2035                                                                 | CUSIP: 842587EA1<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |    366000 | PA      | $352229.69    | 0.17%             | 2035-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 06/01/2050#SD8080                                                                    | CUSIP: 3132DV6R1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    411271 | PA      | $322974.82    | 0.16%             | 2050-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                      | CITIGROUP INC 2.976%/VAR 11/05/2030                                                               | CUSIP: 17308CC53<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    152000 | PA      | $140652.37    | 0.07%             | 2030-11-05      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS CORP TR 2021-IP                                                        | GSMS 2021-IP A TSFR1M+106.448 10/15/2036 144A                                                     | CUSIP: 36262MAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $99375.00     | 0.05%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| COPT DEFENSE PROPERTIES LP                                                         | COPT DEFENSE PROPERTIES LP 2.75% 04/15/2031                                                       | CUSIP: 22003BAM8<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              | CORP              | US        |    772000 | PA      | $670048.02    | 0.33%             | 2031-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 5% 12/20/2054#MB0091                                                                      | CUSIP: 3618N5C56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     49405 | PA      | $47958.15     | 0.02%             | 2054-12-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 5.015%/VAR 07/22/2033                                                 | CUSIP: 06051GKY4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    372000 | PA      | $370707.01    | 0.18%             | 2033-07-22      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 04/01/2051#MA4305                                                                    | CUSIP: 31418DYB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39161 | PA      | $30631.32     | 0.02%             | 2051-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                 | ENERGY TRANSFER LP 5.6% 09/01/2034                                                                | CUSIP: 29273VBA7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    144000 | PA      | $143307.82    | 0.07%             | 2034-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.5% 06/01/2055 #TBA                                                                      | CUSIP: 21H042661<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    550000 | PA      | $519231.19    | 0.26%             | 2055-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 09/01/2051#QC7086                                                                  | CUSIP: 3133AR2T1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29762 | PA      | $24502.13     | 0.01%             | 2051-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2% 07/01/2035#FM3159                                                                    | CUSIP: 3140X6QM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43507 | PA      | $39669.51     | 0.02%             | 2035-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 01/01/2051#FM7031                                                                    | CUSIP: 3140XAY55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21414 | PA      | $19884.72     | 0.01%             | 2051-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                                                   | WILLIAMS COS INC 4.8% 11/15/2029                                                                  | CUSIP: 969457CL2<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    148000 | PA      | $148824.60    | 0.07%             | 2029-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                          | BOEING CO 5.15% 05/01/2030                                                                        | CUSIP: 097023CY9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    348000 | PA      | $351050.95    | 0.17%             | 2030-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                              | JPMORGAN CHASE and CO 5.35%/VAR 06/01/2034                                                        | CUSIP: 46647PDR4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1376000 | PA      | $1391721.49   | 0.69%             | 2034-06-01      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMER TR 2021-ESH                                                     | EXTENDED STAY AMER TR 2021-ESH D TSFR1M+236.448 07/15/2038 144A                                   | CUSIP: 30227FAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     85773 | PA      | $85772.77     | 0.04%             | 2038-07-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2025-DIME                                                                 | BX TRUST 2025-DIME A TSFR1M+115 02/15/2035 144A                                                   | CUSIP: 05613UAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    122000 | PA      | $121542.50    | 0.06%             | 2035-02-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 10/01/2049#SD8016                                                                    | CUSIP: 3132DV3Z6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31334 | PA      | $27065.42     | 0.01%             | 2049-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 02/01/2043#ZS3684                                                                  | CUSIP: 3132A4CV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21144 | PA      | $19579.59     | 0.01%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 01/01/2054#SD4557                                                                  | CUSIP: 3132DSB27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    116253 | PA      | $110025.44    | 0.05%             | 2054-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2% 03/20/2052#                                                                            | CUSIP: 36179WY85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    218864 | PA      | $175986.12    | 0.09%             | 2052-03-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 06/01/2055 #TBA                                                                      | CUSIP: 21H032662<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    800000 | PA      | $712072.56    | 0.35%             | 2055-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 06/01/2054#CB8689                                                                  | CUSIP: 3140QUUP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48021 | PA      | $47674.54     | 0.02%             | 2054-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                                 | ALLY FINL INC 8% 11/01/2031                                                                       | CUSIP: 36186CBY8<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |     45000 | PA      | $50352.78     | 0.02%             | 2031-11-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| SREIT TR 2021-MFP                                                                  | SREIT TR 2021-MFP B TSFR1M+119.428 98 11/15/2038 144A                                             | CUSIP: 78472UAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    167768 | PA      | $167244.02    | 0.08%             | 2038-11-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2% 11/20/2050#MA6994                                                                      | CUSIP: 36179VXX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     45981 | PA      | $36958.22     | 0.02%             | 2050-11-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BPR COML MTG TR 2024-PK                                                            | BPR COML MTG TR 2024-PARK B VAR 11/05/2039 144A                                                   | CUSIP: 05593UAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $100647.21    | 0.05%             | 2039-11-05      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                   | T-MOBILE USA INC 3.875% 04/15/2030                                                                | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     72000 | PA      | $69427.24     | 0.03%             | 2030-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DUQUESNE LIGHT HLDGS INC                                                           | DUQUESNE LIGHT HLDGS INC 2.775% 01/07/2032 144A                                                   | CUSIP: 266233AJ4<br>LEI: 4CUJ1D8WDXK9X7QI6B93 | Long             | DBT              | CORP              | US        |      6000 | PA      | $5116.51      | 0.00%             | 2032-01-07      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CARLYLE US CLO 2021-10 LTD                                                         | CARLYLE US CLO 2021-10 LTD A1R TSFR3M+131 01/20/2038 144A                                         | CUSIP: 14316YAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250074.50    | 0.12%             | 2038-01-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR                                 | AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 3% 10/29/2028                                  | CUSIP: 00774MAW5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    846000 | PA      | $798595.31    | 0.40%             | 2028-10-29      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                                 | ALLY FINL INC 6.992%/VAR 06/13/2029                                                               | CUSIP: 02005NBT6<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |    392000 | PA      | $409553.97    | 0.20%             | 2029-06-13      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 11/01/2053#CB7906                                                                    | CUSIP: 3140QTYC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    650442 | PA      | $658124.16    | 0.33%             | 2053-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                    | CVS HEALTH CORP 5.25% 01/30/2031                                                                  | CUSIP: 126650DX5<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     48000 | PA      | $48401.10     | 0.02%             | 2031-01-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 07/01/2054#CB8840                                                                  | CUSIP: 3140QUZE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    266991 | PA      | $265067.00    | 0.13%             | 2054-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HOLCIM FINANCE US LLC                                                              | HOLCIM FINANCE US LLC 4.7% 04/07/2028 144A                                                        | CUSIP: 43475RAB2<br>LEI: 529900FB2F1WKLFNGY62 | Long             | DBT              | CORP              | US        |    128000 | PA      | $128654.73    | 0.06%             | 2028-04-07      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.375% 05/15/2034                                                                       | CUSIP: 91282CKQ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2590000 | PA      | $2597284.38   | 1.29%             | 2034-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BPR TRUST 2021-TY                                                                  | BPR TRUST 2021-TY TSFR1M+174.77 04/15/2024 144A                                                   | CUSIP: 05592DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     44000 | PA      | $43986.25     | 0.02%             | 2037-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 09/01/2054#CB9216                                                                    | CUSIP: 3140QVG24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    192389 | PA      | $194661.65    | 0.10%             | 2054-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MARS INC                                                                           | MARS INC 5.7% 05/01/2055 144A                                                                     | CUSIP: 571676BC8<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    163000 | PA      | $158126.29    | 0.08%             | 2055-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DOMINOS PIZZA MASTER ISSUER LL DOMINOS SPV CDN HLDG CO INC DOMINOS PIZZA DISTR LLC | DOMINOS PIZZA MASTER ISR LLC 3.668% 10/25/2049 144A                                               | CUSIP: 25755TAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     48000 | PA      | $45307.19     | 0.02%             | 2049-10-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 3.875% 08/15/2034                                                                       | CUSIP: 91282CLF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3730000 | PA      | $3592703.55   | 1.78%             | 2034-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AIMCO CLO 22 LTD / AIMCO CLO 22 LLC                                                | AIMCO CLO 22 LTD / AIMCO CLO 22 LLC A TSFR3M+150 04/19/2037 144A                                  | CUSIP: 00901UAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    250000 | PA      | $250736.25    | 0.12%             | 2037-04-19      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AM PIPELN/PAA FIN C                                                     | PLAINS ALL AM PIPELN/PAA FIN C 3.55% 12/15/2029                                                   | CUSIP: 72650RBM3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    516000 | PA      | $487978.58    | 0.24%             | 2029-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2024-GPA3                                                           | BX COML MTG TR 2024-GPA3 A TSFR1M+149.25 12/15/2029 144A                                          | CUSIP: 123910AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    120965 | PA      | $120965.11    | 0.06%             | 2039-12-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| PAYCHEX INC                                                                        | PAYCHEX INC 5.35% 04/15/2032                                                                      | CUSIP: 704326AB3<br>LEI: 529900K900DW6SUBM174 | Long             | DBT              | CORP              | US        |     24000 | PA      | $24356.31     | 0.01%             | 2032-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CIGNA GROUP (THE)                                                                  | CIGNA GROUP (THE) 4.8% 08/15/2038                                                                 | CUSIP: 125523AJ9<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    256000 | PA      | $234110.91    | 0.12%             | 2038-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 04/01/2054#SD7569                                                                    | CUSIP: 3132DVMS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     89624 | PA      | $91718.89     | 0.05%             | 2054-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                                                | AMERICAN TOWER CORP 5% 01/31/2030                                                                 | CUSIP: 03027XCL2<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    400000 | PA      | $404321.45    | 0.20%             | 2030-01-31      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                          | OCCIDENTAL PETROLEUM CORP 7.5% 05/01/2031                                                         | CUSIP: 674599DD4<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    535000 | PA      | $575862.23    | 0.29%             | 2031-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP DEL                                                                   | CENTENE CORP 2.45% 07/15/2028                                                                     | CUSIP: 15135BAY7<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |     13000 | PA      | $11972.88     | 0.01%             | 2028-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ESSEX PORTFOLIO LP                                                                 | ESSEX PORTFOLIO LP 5.5% 04/01/2034                                                                | CUSIP: 29717PBA4<br>LEI: 5493003GN3O58H286O74 | Long             | DBT              | CORP              | US        |    300000 | PA      | $301411.75    | 0.15%             | 2034-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                                | PETROLEOS MEXICANOS 5.95% 01/28/2031                                                              | CUSIP: 71654QDE9<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    946000 | PA      | $817722.40    | 0.40%             | 2031-01-28      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                         | FANNIEMAE 30YR 2.5% 01/01/2052#FA0375                                                             | CUSIP: 3140W0MZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    112984 | PA      | $92769.53     | 0.05%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 2.5% 06/01/2055 #TBA                                                                    | CUSIP: 01F022667<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1325000 | PA      | $1079823.06   | 0.53%             | 2055-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 6.5% 07/01/2055 #TBA                                                                      | CUSIP: 21H062677<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    525000 | PA      | $535857.32    | 0.27%             | 2055-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                                          | AMGEN INC 5.25% 03/02/2030                                                                        | CUSIP: 031162DQ0<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    135000 | PA      | $138409.57    | 0.07%             | 2030-03-02      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| REGENCY CTRS LP                                                                    | REGENCY CTRS LP 5% 07/15/2032                                                                     | CUSIP: 75884RBD4<br>LEI: 5493008PTR2GAOYBXW28 | Long             | DBT              | CORP              | US        |    137000 | PA      | $136751.42    | 0.07%             | 2032-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 10/01/2051#FM9068                                                                  | CUSIP: 3140XDCE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48894 | PA      | $40237.53     | 0.02%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 11/01/2045#AS6262                                                                  | CUSIP: 3138WF5Y8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62925 | PA      | $57111.87     | 0.03%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 03/01/2052#SD3489                                                                    | CUSIP: 3132DQ2W5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     51396 | PA      | $40393.68     | 0.02%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| LOWES COS INC                                                                      | LOWES COS INC 3.75% 04/01/2032                                                                    | CUSIP: 548661EH6<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |    662000 | PA      | $616075.59    | 0.31%             | 2032-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                                 | VICI PROPERTIES LP 5.75% 04/01/2034                                                               | CUSIP: 925650AF0<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |      6000 | PA      | $6020.47      | 0.00%             | 2034-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 4.5% 11/15/2054                                                       | CUSIP: 912810UE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3786000 | PA      | $3533994.38   | 1.75%             | 2054-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AASET 2021-1 TR                                                                    | AASET 2021-1 TR 2.95% 11/16/2041 144A                                                             | CUSIP: 00038PAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    116334 | PA      | $109450.98    | 0.05%             | 2041-11-16      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CEDAR FUNDING LTD 2022                                                             | CEDAR FUNDING LTD 2022 A TSFR3M+132 04/20/2035 144A                                               | CUSIP: 15032QAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    100000 | PA      | $99999.00     | 0.05%             | 2035-04-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| JBS USA HOLDING LUX/ JBS USA FOOD CO/ JBS LUX CO SARL                              | JBS USA HOLDING LUX/ JBS USA FOOD CO/ JBS LUX CO SARL 5.125% 02/01/2028                           | CUSIP: 46590XAZ9<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |      5000 | PA      | $5050.21      | 0.00%             | 2028-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 05/01/2054#                                                                          | CUSIP: 3140QUNN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23706 | PA      | $23993.56     | 0.01%             | 2054-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AIMCO CLO 17 LTD / AIMCO CLO 17 LLC                                                | AIMCO CLO 17 LTD / AIMCO CLO 17 LLC A1R TSFR3M+135 07/20/2037 144A                                | CUSIP: 00889JAK0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $250021.50    | 0.12%             | 2037-07-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.5% 03/01/2053#SD7559                                                                  | CUSIP: 3132DVMG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40219 | PA      | $40331.33     | 0.02%             | 2053-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ARES STRATEGIC INCOME FUND                                                         | ARES STRATEGIC INCOME FUND 5.6% 02/15/2030                                                        | CUSIP: 04020EAD9<br>LEI: 549300IANZJVZPTICV54 | Long             | DBT              | CORP              | US        |    200000 | PA      | $196537.12    | 0.10%             | 2030-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AASET 2024-1 US LTD / AASET 2024-1 INTL LTD                                        | AASET 2024-1 US LTD / AASET 2024-1 INTL LTD 6.261% 05/16/2049 144A                                | CUSIP: 00255JAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    237435 | PA      | $239070.94    | 0.12%             | 2049-05-16      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SIXTH STREET LENDING PAR                                                           | SIXTH STREET LENDING PAR 6.125% 07/15/2030 144A                                                   | CUSIP: 829932AE2<br>LEI: 549300S9P1HMDERGCR64 | Long             | DBT              | CORP              | US        |    108000 | PA      | $109153.95    | 0.05%             | 2030-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AUTOZONE INC                                                                       | AUTOZONE INC 5.165% 06/15/2030                                                                    | CUSIP: 053332BM3<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |     97000 | PA      | $98532.51     | 0.05%             | 2030-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 5.5% 06/01/2055 #TBA                                                                      | CUSIP: 21H052660<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |   -425000 | PA      | $-420595.94   | -0.21%            | 2055-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 04/01/2052#SD7554                                                                  | CUSIP: 3132DVMB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    200028 | PA      | $165865.97    | 0.08%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 05/01/2055#CC0404                                                                    | CUSIP: 3140Y6NW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    197856 | PA      | $202248.61    | 0.10%             | 2055-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FLAT 2025-30A                                                                      | FLAT 2025-30A A1 TSFR3M+116 04/15/2038 144A                                                       | CUSIP: 33882MAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    150000 | PA      | $150013.35    | 0.07%             | 2038-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                                  | NATWEST GROUP PLC 3.073%/VAR 05/22/2028                                                           | CUSIP: 780097BP5<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    745000 | PA      | $722521.52    | 0.36%             | 2028-05-22      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| RR 34 LTD                                                                          | RR 34 LTD A1R TSFR3M+135 10/15/2039 144A                                                          | CUSIP: 74988WAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $251092.25    | 0.12%             | 2039-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 09/01/2050#SD8090                                                                    | CUSIP: 3132DV7B5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    298052 | PA      | $233876.28    | 0.12%             | 2050-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 4.25% 08/15/2054                                                      | CUSIP: 912810UC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1215000 | PA      | $1086475.78   | 0.54%             | 2054-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SUBWAY FDG LLC ISSUER                                                              | SUBWAY FDG LLC ISSUER 5.246% 07/30/2054 144A                                                      | CUSIP: 864300AG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    112435 | PA      | $110415.86    | 0.05%             | 2054-07-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 12/01/2046#BM5096                                                                  | CUSIP: 3140J9UW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48745 | PA      | $45012.06     | 0.02%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DELL INTERNATIONAL LLC / EMC CORP                                                  | DELL INTL/EMC CORP 6.2% 07/15/2030                                                                | CUSIP: 24703TAH9<br>LEI: 254900ZARLSVK41DKO78 | Long             | DBT              | CORP              | US        |    110000 | PA      | $116510.52    | 0.06%             | 2030-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GENERAL MTRS FINL CO INC                                                           | GENERAL MTRS FINL CO INC 5.85% 04/06/2030                                                         | CUSIP: 37045XEG7<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |      5000 | PA      | $5107.41      | 0.00%             | 2030-04-06      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL    | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 2.8% 04/01/2031   | CUSIP: 161175BU7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    465000 | PA      | $408294.07    | 0.20%             | 2031-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 07/01/2050#MA4077                                                                    | CUSIP: 31418DQ70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    216737 | PA      | $170069.75    | 0.08%             | 2050-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4% 06/01/2055 #TBA                                                                        | CUSIP: 21H040665<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    350000 | PA      | $320770.31    | 0.16%             | 2055-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DB MASTER FIN LLC                                                                  | DB MASTER FIN LLC 21-1A A23 2.791% 11/20/2051 144A                                                | CUSIP: 233046AS0<br>LEI: 549300F17UZJL70BPB08 | Long             | ABS-CBDO         | CORP              | US        |     48250 | PA      | $41588.97     | 0.02%             | 2051-11-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIZENS FINANCIAL GRP INC                                                         | CITIZENS FINANCIAL GRP INC 5.718%/VAR 07/23/2032                                                  | CUSIP: 174610BH7<br>LEI: 2138004JDDA4ZQUPFW65 | Long             | DBT              | CORP              | US        |    135000 | PA      | $137816.20    | 0.07%             | 2032-07-23      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT LP                                                           | AMERICAN HOMES 4 RENT LP 4.3% 04/15/2052                                                          | CUSIP: 02666TAF4<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              | CORP              | US        |      2000 | PA      | $1514.26      | 0.00%             | 2052-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                       | BROADCOM INC 2.45% 02/15/2031 144A                                                                | CUSIP: 11135FBH3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    735000 | PA      | $649838.03    | 0.32%             | 2031-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| LXP INDUSTRIAL TRUST                                                               | LXP INDUSTRIAL TRUST 2.7% 09/15/2030                                                              | CUSIP: 529043AE1<br>LEI: 549300S4MH2ICXDBFV43 | Long             | DBT              | CORP              | US        |     66000 | PA      | $58073.22     | 0.03%             | 2030-09-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3% 03/20/2050#MA6541                                                                      | CUSIP: 36179VHS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     48426 | PA      | $42303.79     | 0.02%             | 2050-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BPR COML MTG TR 2024-PK                                                            | BPR COML MTG TR 2024-PARK A VAR 11/05/2039 144A                                                   | CUSIP: 05593UAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    231000 | PA      | $232156.46    | 0.11%             | 2039-11-05      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                         | CAPITAL ONE FINANCIAL CORP 4.985%/VAR 07/24/2026                                                  | CUSIP: 14040HCU7<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |      6000 | PA      | $5999.95      | 0.00%             | 2026-07-24      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| EQUITABLE HOLDINGS INC                                                             | EQUITABLE HOLDINGS INC 5% 04/20/2048                                                              | CUSIP: 054561AM7<br>LEI: 549300FIBAKMNHPZ4009 | Long             | DBT              | CORP              | US        |     34000 | PA      | $29160.23     | 0.01%             | 2048-04-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 09/01/2054#CB9209                                                                  | CUSIP: 3140QVGT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    194977 | PA      | $193511.08    | 0.10%             | 2054-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| OMEGA HEALTHCARE INVESTORS INC                                                     | OMEGA HEALTHCARE INVESTORS INC 3.375% 02/01/2031                                                  | CUSIP: 681936BM1<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |    114000 | PA      | $102853.70    | 0.05%             | 2031-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 05/01/2054#MA5354                                                                    | CUSIP: 31418E5Q9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93645 | PA      | $94626.31     | 0.05%             | 2054-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DRYDEN 78 CLO LTD                                                                  | DRYDEN 78 CLO LTD A1R TSFR3M+153 04/17/2037 144A                                                  | CUSIP: 26253LAJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250623.00    | 0.12%             | 2037-04-17      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2024-XL4                                                            | BX COML MTG TR 2024-XL5 B TSFR1M+169.12 03/15/2039 144A                                           | CUSIP: 05612GAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     83822 | PA      | $83874.26     | 0.04%             | 2041-03-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| AGREE LP                                                                           | AGREE LP 5.6% 06/15/2035                                                                          | CUSIP: 008513AF0<br>LEI: 549300DXY3G299V1BO77 | Long             | DBT              | CORP              | US        |    135000 | PA      | $135457.53    | 0.07%             | 2035-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2% 01/20/2051#MA7135                                                                      | CUSIP: 36179V4U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    480710 | PA      | $386382.63    | 0.19%             | 2051-01-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| OHA CREDIT PARTNERS VII LTD                                                        | OHA CREDIT PARTNERS VII LTD AR4 TSFR3M+114 02/20/2038 144A                                        | CUSIP: 67102QBK3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $498250.00    | 0.25%             | 2038-02-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                              | JPMORGAN CHASE and CO 4.493%/VAR 03/24/2031                                                       | CUSIP: 46647PBJ4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    728000 | PA      | $719362.50    | 0.36%             | 2031-03-24      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-SOAR                                             | BX TRUST 2022-IND A TSFR1M+139.8 04/15/2024 144A                                                  | CUSIP: 05609WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11649 | PA      | $11649.40     | 0.01%             | 2037-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE PRIVATE CREDIT FUND                                                     | BLACKSTONE PRIVATE CREDIT FUND 7.05% 09/29/2025                                                   | CUSIP: 09261HBA4<br>LEI: 549300ORP3TTCNXSYO43 | Long             | DBT              | CORP              | US        |      8000 | PA      | $8050.74      | 0.00%             | 2025-09-29      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 5% 10/20/2054#MA9964                                                                      | CUSIP: 36180AB93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    667497 | PA      | $648004.84    | 0.32%             | 2054-10-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 11/01/2047#ZM4961                                                                  | CUSIP: 3131XYQN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10064 | PA      | $9159.17      | 0.00%             | 2047-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                 | ENERGY TRANSFER LP 5.25% 07/01/2029                                                               | CUSIP: 29273VAZ3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     23000 | PA      | $23376.85     | 0.01%             | 2029-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DOMINOS PIZZA MASTER ISSUER LL DOMINOS SPV CDN HLDG CO INC DOMINOS PIZZA DISTR LLC | DOMINOS PIZZA MASTER ISR LLC 2.662% 04/25/2051 144A                                               | CUSIP: 25755TAN0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    141985 | PA      | $131641.21    | 0.07%             | 2051-04-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JBS USA HOLDING LUX/ JBS USA FOOD CO/ JBS LUX CO SARL                              | JBS USA HOLDING LUX/ JBS USA FOOD CO/ JBS LUX CO SARL 3.625% 01/15/2032                           | CUSIP: 46590XAU0<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |    133000 | PA      | $119563.81    | 0.06%             | 2032-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AIMCO CLO SER 2018-B / AIMCO CLO SER 2018-B LLC                                    | AIMCO CLO SER 2018-B / AIMCO CLO SER 2018-B LLC ARR TSFR3M+150 04/16/2037 144A                    | CUSIP: 00900PAQ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250732.50    | 0.12%             | 2037-04-16      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                         | CAPITAL ONE FINANCIAL CORP 3.8% 01/31/2028                                                        | CUSIP: 14040HBW4<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    164000 | PA      | $160778.18    | 0.08%             | 2028-01-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CARRIER GLOBAL CORP                                                                | CARRIER GLOBAL CORP 5.9% 03/15/2034                                                               | CUSIP: 14448CBC7<br>LEI: 549300JE3W6CWY2NAN77 | Long             | DBT              | CORP              | US        |      4000 | PA      | $4202.63      | 0.00%             | 2034-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 01/01/2052#RA6694                                                                    | CUSIP: 3133KNNK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    291976 | PA      | $227466.01    | 0.11%             | 2052-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                                                | AMERICAN EXPRESS CO 5.085%/VAR 01/30/2031                                                         | CUSIP: 025816DY2<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    121000 | PA      | $122836.44    | 0.06%             | 2031-01-30      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MARS INC                                                                           | MARS INC 5.2% 03/01/2035 144A                                                                     | CUSIP: 571676BA2<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |     84000 | PA      | $83684.91     | 0.04%             | 2035-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 02/01/2052#FS3884                                                                    | CUSIP: 3140XKJ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94244 | PA      | $80948.62     | 0.04%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JERSEY MIKES FDG LLC                                                               | JERSEY MIKE'S FUNDING 4.433% 02/15/2050 144A                                                      | CUSIP: 476681AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    232062 | PA      | $229772.76    | 0.11%             | 2050-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SUBWAY FDG LLC ISSUER                                                              | SUBWAY FDG LLC ISSUER 6.505% 07/30/2054 144A                                                      | CUSIP: 864300AE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     48755 | PA      | $49492.73     | 0.02%             | 2054-07-30      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AUTOZONE INC                                                                       | AUTOZONE INC 6.25% 11/01/2028                                                                     | CUSIP: 053332BG6<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |    410000 | PA      | $433494.32    | 0.21%             | 2028-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| JERSEY MIKES FDG LLC                                                               | JERSEY MIKES FDG LLC 5.636% 02/15/2055 144A                                                       | CUSIP: 476681AD3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     99750 | PA      | $100502.02    | 0.05%             | 2055-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PAYCHEX INC                                                                        | PAYCHEX INC 5.1% 04/15/2030                                                                       | CUSIP: 704326AA5<br>LEI: 529900K900DW6SUBM174 | Long             | DBT              | CORP              | US        |     18000 | PA      | $18233.38     | 0.01%             | 2030-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DOMINOS PIZZA MASTER ISSUER LL DOMINOS SPV CDN HLDG CO INC DOMINOS PIZZA DISTR LLC | DOMINOS PIZZA MASTER ISR LLC 3.151% 04/25/2051 144A                                               | CUSIP: 25755TAP5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     48625 | PA      | $43344.77     | 0.02%             | 2051-04-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2% 05/01/2042#FS4603                                                                    | CUSIP: 3140XLDH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    109332 | PA      | $92956.54     | 0.05%             | 2042-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| DOMINOS PIZZA MASTER ISSUER LL DOMINOS SPV CDN HLDG CO INC DOMINOS PIZZA DISTR LLC | DOMINOS PIZZA MASTER ISR LLC 2018-1A A2II 4.328% 07/25/2048 144A                                  | CUSIP: 25755TAK6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     94750 | PA      | $93495.46     | 0.05%             | 2048-07-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UDR INC                                                                            | UDR INC 5.125% 09/01/2034                                                                         | CUSIP: 90265EAW0<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              | CORP              | US        |     45000 | PA      | $43864.85     | 0.02%             | 2034-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                         | FANNIEMAE 30YR 2% 03/01/2052#                                                                     | CUSIP: 3140W04U6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    104613 | PA      | $81826.88     | 0.04%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 10/01/2047#CA0526                                                                  | CUSIP: 3140Q7SQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21793 | PA      | $19834.19     | 0.01%             | 2047-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MARS INC                                                                           | MARS INC 4.8% 03/01/2030 144A                                                                     | CUSIP: 571676AY1<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    135000 | PA      | $135833.13    | 0.07%             | 2030-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DB MASTER FIN LLC                                                                  | DNKN 2017-1A A2II 4.03% 11/20/2047 144A                                                           | CUSIP: 233046AF8<br>LEI: 549300F17UZJL70BPB08 | Long             | ABS-CBDO         | CORP              | US        |     46375 | PA      | $45640.36     | 0.02%             | 2047-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.375% 01/31/2032                                                                       | CUSIP: 91282CMK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    980000 | PA      | $992709.38    | 0.49%             | 2032-01-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SREIT TR 2021-MFP                                                                  | SREIT TR 2021-MFP D TSFR1M+169.268 82 11/15/2038 144A                                             | CUSIP: 78472UAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    503305 | PA      | $501417.56    | 0.25%             | 2038-11-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 2% 04/01/2042#SC0481                                                                    | CUSIP: 3132D9RA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    122691 | PA      | $104247.89    | 0.05%             | 2042-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                     | MORGAN STANLEY 4.654%/VAR 10/18/2030                                                              | CUSIP: 61747YFU4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    168000 | PA      | $166879.59    | 0.08%             | 2030-10-18      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                                                       | NISOURCE INC 3.6% 05/01/2030                                                                      | CUSIP: 65473PAJ4<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |    403000 | PA      | $383482.21    | 0.19%             | 2030-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                                 | VICI PROPERTIES LP 4.75% 02/15/2028                                                               | CUSIP: 925650AB9<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |      7000 | PA      | $7001.92      | 0.00%             | 2028-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| JBS USA HOLDING LUX/ JBS USA FOOD CO/ JBS LUX CO SARL                              | JBS USA HOLDING LUX/ JBS USA FOOD CO/ JBS LUX CO SARL 5.5% 01/15/2030                             | CUSIP: 46590XAL0<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |    117000 | PA      | $118411.49    | 0.06%             | 2030-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                          | BOEING CO 6.528% 05/01/2034                                                                       | CUSIP: 097023DS1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     80000 | PA      | $85389.75     | 0.04%             | 2034-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 6.5% 06/01/2055 #TBA                                                                    | CUSIP: 01F062663<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    500000 | PA      | $513437.25    | 0.25%             | 2055-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                      | GOLDMAN SACHS GROUP INC (THE) 2.383%/VAR 07/21/2032                                               | CUSIP: 38141GYJ7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      4000 | PA      | $3442.09      | 0.00%             | 2032-07-21      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| Fidelity Revere Street Trust                                                       | Fidelity Cash Central Fund                                                                        | CUSIP: 31635A105<br>LEI: 549300BDV45LJNXBZC55 | Long             | STIV             | RF                | US        |  19918271 | NS      | $19922255.02  | 9.87%             |  |  |  | No            |                  1 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-PAC                                              | BX COMMERCIAL MORTGAGE TRUST 2021-PAC TSFR1M+80.358 21 10/15/2036 144A                            | CUSIP: 05609PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $99563.18     | 0.05%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                         | CAPITAL ONE FINANCIAL CORP 7.624%/VAR 10/30/2031                                                  | CUSIP: 14040HDC6<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |     30000 | PA      | $33457.27     | 0.02%             | 2031-10-30      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| PIEDMONT OPERATING PARTNERSHIP LP                                                  | PIEDMONT OPERATING PARTNERSHIP LP 9.25% 07/20/2028                                                | CUSIP: 720198AG5<br>LEI: 549300WKGDPAS39FBD10 | Long             | DBT              | CORP              | US        |     99000 | PA      | $109323.89    | 0.05%             | 2028-07-20      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                           | FORD MTR CR CO LLC 6.8% 05/12/2028                                                                | CUSIP: 345397C92<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    897000 | PA      | $915786.71    | 0.45%             | 2028-05-12      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                      | CITIGROUP INC 4.45% 09/29/2027                                                                    | CUSIP: 172967KA8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    236000 | PA      | $235029.11    | 0.12%             | 2027-09-29      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 01/01/2052#QD4275                                                                    | CUSIP: 3133B1XC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21193 | PA      | $18210.17     | 0.01%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| LOWES COS INC                                                                      | LOWES COS INC 3.35% 04/01/2027                                                                    | CUSIP: 548661EG8<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |      2000 | PA      | $1964.49      | 0.00%             | 2027-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DRYDEN 85 CLO LTD / DRYDEN 85 CLO LLC                                              | DRYDEN 85 CLO LTD / DRYDEN 85 CLO LLC A1R2 TSFR3M+138 07/15/2037 144A                             | CUSIP: 26246BAU8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250590.50    | 0.12%             | 2037-07-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| SREIT TR 2021-MFP                                                                  | SREIT TR 2021-MFP TSFR1M+84.528 08 11/15/2038 144A                                                | CUSIP: 78472UAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    277657 | PA      | $277309.47    | 0.14%             | 2038-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 2.299%/VAR 07/21/2032                                                 | CUSIP: 06051GKA6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      5000 | PA      | $4289.89      | 0.00%             | 2032-07-21      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE GLOBAL FUNDING                                                          | COREBRIDGE GLOBAL FUNDING 5.2% 01/12/2029 144A                                                    | CUSIP: 00138CAX6<br>LEI: 54930057MDZ7KOVOTV71 | Long             | DBT              | CORP              | US        |    100000 | PA      | $101814.24    | 0.05%             | 2029-01-12      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 4% 10/20/2052#MA8346                                                                      | CUSIP: 36179XHX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     44376 | PA      | $40970.88     | 0.02%             | 2052-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2.5% 08/20/2051#MA7534                                                                    | CUSIP: 36179WLP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    277715 | PA      | $232940.23    | 0.12%             | 2051-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2022-IND                                                                  | BX TRUST 2022-IND TSFR1M+184.8 04/15/2024 144A                                                    | CUSIP: 05609WAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7000 | PA      | $6999.99      | 0.00%             | 2037-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2024-XL4                                                            | BX COML MTG TR 2024-XL5 C TSFR1M+194.087 03/15/2039 144A                                          | CUSIP: 05612GAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     83822 | PA      | $83874.26     | 0.04%             | 2041-03-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 07/01/2036#SB0535                                                                  | CUSIP: 3132CWSY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27689 | PA      | $25703.54     | 0.01%             | 2036-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                          | ONEOK INC 4.25% 09/24/2027                                                                        | CUSIP: 682680CB7<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     32000 | PA      | $31790.46     | 0.02%             | 2027-09-24      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                                                           | COREBRIDGE FINANCIAL INC 3.9% 04/05/2032                                                          | CUSIP: 21871XAH2<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |    669000 | PA      | $615798.20    | 0.30%             | 2032-04-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5% 11/01/2053#FS7252                                                                    | CUSIP: 3140XPBW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    255982 | PA      | $248332.24    | 0.12%             | 2053-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINES OPERATING CO LLC                                                | COLUMBIA PIPELINES OPERATING CO LLC 5.439% 02/15/2035 144A                                        | CUSIP: 19828TAG1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    500000 | PA      | $489747.07    | 0.24%             | 2035-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GMF FLOORPLAN OWNER REVOLVING TR                                                   | GMF FLOORPLAN OWNER REVOLVING TR 4.73% 11/15/2029 144A                                            | CUSIP: 361886DQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    100000 | PA      | $100590.97    | 0.05%             | 2029-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 01/01/2048#CA0990                                                                  | CUSIP: 3140Q8C45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23199 | PA      | $21091.92     | 0.01%             | 2048-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OMEGA HEALTHCARE INVESTORS INC                                                     | OMEGA HEALTHCARE INVESTORS INC 3.625% 10/01/2029                                                  | CUSIP: 681936BL3<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |     74000 | PA      | $69626.40     | 0.03%             | 2029-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 11/01/2050#SD8106                                                                    | CUSIP: 3132DWAF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    264009 | PA      | $206833.77    | 0.10%             | 2050-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 6% 06/01/2055 #TBA                                                                        | CUSIP: 21H060663<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1700000 | PA      | $1713576.71   | 0.85%             | 2055-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| EATON VANCE CLO 2020-1 LTD                                                         | EATON VANCE CLO 2020-1 LTD ARR TSFR3M+139 10/15/2037 144A                                         | CUSIP: 278300AS7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250233.25    | 0.12%             | 2037-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.5% 11/15/2033                                                                         | CUSIP: 91282CJJ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1289000 | PA      | $1308234.30   | 0.65%             | 2033-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ARES LVIII CLO LTD / ARES LVIII CLO LLC                                            | ARES LVIII CLO LTD / ARES LVIII CLO LLC A1R2 TSFR3M+124 04/15/2038 144A                           | CUSIP: 04018AAY5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    142000 | PA      | $142161.60    | 0.07%             | 2038-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| TANGER PROPERTIES LP                                                               | TANGER PROPERTIES LP 3.875% 07/15/2027                                                            | CUSIP: 875484AK3<br>LEI: PQPGJDNFN35EXH363L31 | Long             | DBT              | CORP              | US        |     74000 | PA      | $72696.29     | 0.04%             | 2027-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2% 06/01/2035#BP5615                                                                    | CUSIP: 3140KDGZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52012 | PA      | $47424.30     | 0.02%             | 2035-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG NEW YORK BNCH                                                     | DEUTSCHE BANK AG NEW YORK BNCH 4.1% 01/13/2026                                                    | CUSIP: 251526BZ1<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | US        |    100000 | PA      | $99480.91     | 0.05%             | 2026-01-13      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 4.25% 02/15/2054                                                      | CUSIP: 912810TX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2220000 | PA      | $1982824.21   | 0.98%             | 2054-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNUM GROUP                                                                         | UNUM GROUP 4% 06/15/2029                                                                          | CUSIP: 91529YAN6<br>LEI: 549300E32YFDO6TZ8R31 | Long             | DBT              | CORP              | US        |     56000 | PA      | $54383.45     | 0.03%             | 2029-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MOODYS CORP                                                                        | MOODYS CORP 5% 08/05/2034                                                                         | CUSIP: 615369BA2<br>LEI: 549300GCEDD8YCF5WU84 | Long             | DBT              | CORP              | US        |    320000 | PA      | $318101.57    | 0.16%             | 2034-08-05      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                         | FANNIEMAE 30YR 2.5% 04/01/2052#FA0063                                                             | CUSIP: 3140W0B95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    532312 | PA      | $439902.39    | 0.22%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| OPEN TR 2023-AIR                                                                   | OPEN TR 2023-AIR TSFR1M+308.92 10/15/2028 144A                                                    | CUSIP: 68373BAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25737 | PA      | $25807.95     | 0.01%             | 2040-11-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.625% 04/30/2031                                                                       | CUSIP: 91282CKN0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1500000 | PA      | $1543007.82   | 0.76%             | 2031-04-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                                   | SOCIETE GENERALE FRANCE 5.5%/VAR 04/13/2029 144A                                                  | CUSIP: 83368RCC4<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    264000 | PA      | $267192.58    | 0.13%             | 2029-04-13      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.25% 05/15/2035                                                                        | CUSIP: 91282CNC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    500000 | PA      | $494375.00    | 0.24%             | 2035-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SUBWAY FDG LLC ISSUER                                                              | SUBWAY FDG LLC ISSUER 5.914% 07/30/2054 144A                                                      | CUSIP: 864300AL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    108455 | PA      | $105858.10    | 0.05%             | 2054-07-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2% 07/01/2055 #TBA                                                                        | CUSIP: 21H020675<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    500000 | PA      | $401654.70    | 0.20%             | 2055-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                                                           | COREBRIDGE FINANCIAL INC 4.35% 04/05/2042                                                         | CUSIP: 21871XAK5<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |      2000 | PA      | $1639.65      | 0.00%             | 2042-04-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP NEW                                                               | DUKE ENERGY CORP NEW 5.45% 06/15/2034                                                             | CUSIP: 26441CCE3<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    230000 | PA      | $232109.43    | 0.11%             | 2034-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AIMCO CLO 21 LTD / AIMCO CLO 21 LLC                                                | AIMCO CLO 21 LTD / AIMCO CLO 21 LLC A1 TSFR3M+150 04/18/2037 144A                                 | CUSIP: 00901WAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    250000 | PA      | $250739.50    | 0.12%             | 2037-04-18      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4% 12/20/2054#MB0089                                                                      | CUSIP: 3618N5C31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    198001 | PA      | $181475.85    | 0.09%             | 2054-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT LP                                                           | AMERICAN HOMES 4 RENT LP 3.375% 07/15/2051                                                        | CUSIP: 02666TAD9<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              | CORP              | US        |      2000 | PA      | $1278.49      | 0.00%             | 2051-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 10/01/2051#BU3295                                                                  | CUSIP: 3140M4UV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23435 | PA      | $19293.68     | 0.01%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 01/01/2048#ZS4751                                                                  | CUSIP: 3132A5H40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13660 | PA      | $12329.87     | 0.01%             | 2048-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL    | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 5.05% 03/30/2029  | CUSIP: 161175BR4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     20000 | PA      | $20091.74     | 0.01%             | 2029-03-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 4.75% 05/15/2055                                                      | CUSIP: 912810UK2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    200000 | PA      | $194875.00    | 0.10%             | 2055-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP DEL                                                                   | CENTENE CORP 2.625% 08/01/2031                                                                    | CUSIP: 15135BAZ4<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |      5000 | PA      | $4235.08      | 0.00%             | 2031-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CANADIAN NATURAL RESOURCES LTD                                                     | CANADIAN NATL RESOURCES LTD 5% 12/15/2029 144A                                                    | CUSIP: 136385BB6<br>LEI: 549300T15RIMIKZC5Q38 | Long             | DBT              | CORP              | CA        |    125000 | PA      | $124506.07    | 0.06%             | 2029-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MARSH and MCLENNAN COS INC                                                         | MARSH and MCLENNAN COS INC 4.65% 03/15/2030                                                       | CUSIP: 571748CA8<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |    400000 | PA      | $401641.56    | 0.20%             | 2030-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| EATON VANCE CLO 2019-1 LTD                                                         | EATON VANCE CLO 2019-1 LTD AR2 TSFR3M+151 07/15/2037 144A                                         | CUSIP: 27830XAW6<br>LEI: 5493007R7GEORNX00105 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250607.75    | 0.12%             | 2037-07-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| AT and T INC                                                                       | AT and T INC 4.3% 02/15/2030                                                                      | CUSIP: 00206RGQ9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    310000 | PA      | $306733.48    | 0.15%             | 2030-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LTD                                                        | AVOLON HOLDINGS FUNDING LTD 5.15% 01/15/2030 144A                                                 | CUSIP: 05401AAX9<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |     15000 | PA      | $14946.49     | 0.01%             | 2030-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AES CORP                                                                           | AES CORP 2.45% 01/15/2031                                                                         | CUSIP: 00130HCG8<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |    532000 | PA      | $454906.90    | 0.23%             | 2031-01-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2020-VIV3 B                                                               | BX TRUST 2020-VIV3 B 3.543% 03/09/2044 144A                                                       | CUSIP: 05608EAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $459960.65    | 0.23%             | 2044-03-09      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| THUNDERBOLT AIRCRAFT LEASE LIM                                                     | THUNDERBOLT AIRCRAFT LEASE 2018-A A STEP 07/15/2038 144A                                          | CUSIP: 886065AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     80265 | PA      | $79865.47     | 0.04%             | 2038-09-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 2.496%/VAR 02/13/2031                                                 | CUSIP: 06051GHZ5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    192000 | PA      | $173164.54    | 0.09%             | 2031-02-13      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.25% 11/15/2034                                                                        | CUSIP: 91282CLW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4852000 | PA      | $4804238.13   | 2.38%             | 2034-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 01/01/2052#FS0286                                                                    | CUSIP: 3140XFJ85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27875 | PA      | $22012.20     | 0.01%             | 2052-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 3.5% 01/31/2030                                                                         | CUSIP: 91282CGJ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2644000 | PA      | $2592669.23   | 1.28%             | 2030-01-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MARVELL TECHNOLOGY INC                                                             | MARVELL TECHNOLOGY INC 2.95% 04/15/2031                                                           | CUSIP: 573874AJ3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     38000 | PA      | $33978.18     | 0.02%             | 2031-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 04/01/2050#SD0516                                                                    | CUSIP: 3132DMSD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     56882 | PA      | $49062.04     | 0.02%             | 2050-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 5.819%/VAR 09/15/2029                                                 | CUSIP: 06051GLS6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1333000 | PA      | $1381027.00   | 0.68%             | 2029-09-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| SUN CMNTYS OPER LTD PRTNRSHP                                                       | SUN CMNTYS OPER LTD PRTNRSHP 2.7% 07/15/2031                                                      | CUSIP: 866677AE7<br>LEI: 549300PUNBPJCGT6X741 | Long             | DBT              | CORP              | US        |     48000 | PA      | $41813.89     | 0.02%             | 2031-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE II LLC                                                            | BAYER US FIN II LLC 4.375% 12/15/2028 144A                                                        | CUSIP: 07274NAL7<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |     72000 | PA      | $70625.32     | 0.03%             | 2028-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 5% 06/01/2055 #TBA                                                                      | CUSIP: 01F050668<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    900000 | PA      | $871417.71    | 0.43%             | 2055-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SAMMONS FINANCIAL GROUP GLOBAL FUNDING                                             | SAMMONS FINANCIAL GROUP GLOBAL FUNDING 5.05% 01/10/2028 144A                                      | CUSIP: 79587J2B8<br>LEI: 635400IPRNPM6HDHRS48 | Long             | DBT              | CORP              | US        |    200000 | PA      | $202361.41    | 0.10%             | 2028-01-10      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VOLOFIN FINANCE DESIGNATED ACTIVITY CO                                             | VOLOFIN FINANCE DESIGNATED ACTIVITY CO 5.935% 06/15/2037 144A                                     | CUSIP: 92873RAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    202623 | PA      | $203251.24    | 0.10%             | 2037-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                                              | ATHENE GLOBAL FUNDING 4.721% 10/08/2029 144A                                                      | CUSIP: 04685A4C2<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    400000 | PA      | $394746.22    | 0.20%             | 2029-10-08      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 6.5% 07/01/2055 #TBA                                                                    | CUSIP: 01F062671<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    250000 | PA      | $256484.25    | 0.13%             | 2055-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| OMEGA HEALTHCARE INVESTORS INC                                                     | OMEGA HEALTHCARE INVESTORS INC 3.25% 04/15/2033                                                   | CUSIP: 681936BN9<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |    674000 | PA      | $569799.26    | 0.28%             | 2033-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JACKSON FINANCIAL INC                                                              | JACKSON FINANCIAL INC 3.125% 11/23/2031                                                           | CUSIP: 46817MAL1<br>LEI: 213800WXW2KG1N4CO374 | Long             | DBT              | CORP              | US        |     58000 | PA      | $50363.45     | 0.02%             | 2031-11-23      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL    | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 2.3% 02/01/2032   | CUSIP: 161175BX1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1366000 | PA      | $1126002.47   | 0.56%             | 2032-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3% 06/01/2055 #TBA                                                                        | CUSIP: 21H030666<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1275000 | PA      | $1111158.04   | 0.55%             | 2055-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 08/01/2054#MA5444                                                                  | CUSIP: 31418FBN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    312542 | PA      | $309800.98    | 0.15%             | 2054-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2024-MDHS                                                           | BX COML MTG TR 2024-MDHS 6.8415% 05/15/2041 144A                                                  | CUSIP: 12433BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     87633 | PA      | $87742.17     | 0.04%             | 2041-05-15      | Floating      | 0.06%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                                           | WARNERMEDIA HOLDINGS INC 4.279% 03/15/2032                                                        | CUSIP: 55903VBC6<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |   1019000 | PA      | $864692.10    | 0.43%             | 2032-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 4.125% 08/15/2053                                                     | CUSIP: 912810TT5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10775000 | PA      | $9420969.75   | 4.67%             | 2053-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 3.625% 05/15/2053                                                     | CUSIP: 912810TR9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    300000 | PA      | $239332.03    | 0.12%             | 2053-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PLANET FITNESS MASTER ISSUER LLC 18-1A                                             | PLANET FITNESS MASTER ISSUER LLC 18-1A 3.251% 12/05/2051 144A                                     | CUSIP: 72703PAD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     48500 | PA      | $47051.03     | 0.02%             | 2051-12-05      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                     | MORGAN STANLEY 5.32%/VAR 07/19/2035                                                               | CUSIP: 61747YFT7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    400000 | PA      | $397392.18    | 0.20%             | 2035-07-19      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BX 2021-MFM1                                                                       | BX 2021-MFM1 A TSFR1M+81.448 01/15/2034 144A                                                      | CUSIP: 05608VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22860 | PA      | $22845.52     | 0.01%             | 2034-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                         | FANNIEMAE 30YR 2.5% 06/01/2052#FA0543                                                             | CUSIP: 3140W0S97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    105982 | PA      | $87881.68     | 0.04%             | 2052-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP DEL                                                                   | CENTENE CORP 4.625% 12/15/2029                                                                    | CUSIP: 15135BAT8<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    302000 | PA      | $290826.30    | 0.14%             | 2029-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ARES CAPITAL CORP                                                                  | ARES CAPITAL CORP 3.875% 01/15/2026                                                               | CUSIP: 04010LAZ6<br>LEI: WEQ82666OJYSI5GUAB47 | Long             | DBT              | CORP              | US        |    132000 | PA      | $131124.18    | 0.06%             | 2026-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                          | ONEOK INC 4.4% 10/15/2029                                                                         | CUSIP: 682680CC5<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     33000 | PA      | $32472.16     | 0.02%             | 2029-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 3.5% 07/01/2055 #TBA                                                                    | CUSIP: 01F032674<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1825000 | PA      | $1618474.61   | 0.80%             | 2055-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HOLCIM FINANCE US LLC                                                              | HOLCIM FINANCE US LLC 4.6% 04/07/2027 144A                                                        | CUSIP: 43475RAA4<br>LEI: 529900FB2F1WKLFNGY62 | Long             | DBT              | CORP              | US        |    178000 | PA      | $178178.17    | 0.09%             | 2027-04-07      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-VINO                                             | BX COMMERCIAL MORTGAGE TRUST 22-LP2 A TSFR1M+96.27 02/15/2039 144A                                | CUSIP: 05610HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    105945 | PA      | $105746.28    | 0.05%             | 2039-02-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| SUBWAY FDG LLC ISSUER                                                              | SUBWAY FDG LLC ISSUER 5.566% 07/30/2054 144A                                                      | CUSIP: 864300AJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    214920 | PA      | $210931.92    | 0.10%             | 2054-07-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                                           | WARNERMEDIA HOLDINGS INC 5.141% 03/15/2052                                                        | CUSIP: 55903VBE2<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |     90000 | PA      | $58343.23     | 0.03%             | 2052-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SIXTH STREET SPECIALTY LENDING INC                                                 | SIXTH STREET SPECIALTY LENDING INC 6.125% 03/01/2029                                              | CUSIP: 83012AAC3<br>LEI: 549300TX61566GJWCN05 | Long             | DBT              | CORP              | US        |     15000 | PA      | $15249.45     | 0.01%             | 2029-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AIMCO CLO 11 LTD                                                                   | AIMCO CLO 11 LTD A1R2 TSFR3M+134 07/17/2037 144A                                                  | CUSIP: 00140NAW0<br>LEI: 549300VLRW0CEQ83RF89 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250023.50    | 0.12%             | 2037-07-17      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GREEN LAKES PARK CLO LLC                                                           | GREEN LAKES PARK CLO LLC ARR TSFR3M+118 01/25/2038 144A                                           | CUSIP: 39310AAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $249832.50    | 0.12%             | 2038-01-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2.5% 07/01/2055 #TBA                                                                      | CUSIP: 21H022671<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    425000 | PA      | $356031.64    | 0.18%             | 2055-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                                 | ALLY FINL INC 5.543%/VAR 01/17/2031                                                               | CUSIP: 02005NBW9<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |     24000 | PA      | $23954.19     | 0.01%             | 2031-01-17      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 02/01/2051#SD7535                                                                  | CUSIP: 3132DVLQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    131311 | PA      | $109090.07    | 0.05%             | 2051-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| LOWES COS INC                                                                      | LOWES COS INC 4.45% 04/01/2062                                                                    | CUSIP: 548661EF0<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |     10000 | PA      | $7532.04      | 0.00%             | 2062-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CEDAR FDG XII CLO LTD / CEDAR FDG XII CLO LLC                                      | CEDAR FDG XII CLO LTD / CEDAR FDG XII CLO LLC ARR TSFR3M+120 01/25/2038 144A                      | CUSIP: 15033TBA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    120000 | PA      | $119991.60    | 0.06%             | 2038-01-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING 2015                                                          | MADISON PARK FUNDING 2015 AR3 TSFR3M+160 01/22/2037 144A                                          | CUSIP: 55819QBJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250537.50    | 0.12%             | 2037-01-22      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| LOWES COS INC                                                                      | LOWES COS INC 4.25% 04/01/2052                                                                    | CUSIP: 548661EJ2<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |     10000 | PA      | $7587.47      | 0.00%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LPL HOLDINGS INC                                                                   | LPL HOLDINGS INC 4.9% 04/03/2028                                                                  | CUSIP: 50212YAN4<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |    210000 | PA      | $210285.29    | 0.10%             | 2028-04-03      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                                                         | HUMANA INC 5.375% 04/15/2031                                                                      | CUSIP: 444859CA8<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |     31000 | PA      | $31198.88     | 0.02%             | 2031-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SIXTH STREET SPECIALTY LENDING INC                                                 | SIXTH STREET SPECIALTY LENDING INC 5.625% 08/15/2030                                              | CUSIP: 83012AAD1<br>LEI: 549300TX61566GJWCN05 | Long             | DBT              | CORP              | US        |    500000 | PA      | $498016.09    | 0.25%             | 2030-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                                          | AMGEN INC 5.6% 03/02/2043                                                                         | CUSIP: 031162DS6<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |      7000 | PA      | $6793.24      | 0.00%             | 2043-03-02      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 05/01/2054#SD7570                                                                    | CUSIP: 3132DVMT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    214884 | PA      | $220107.83    | 0.11%             | 2054-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 11/01/2050#CA7597                                                                  | CUSIP: 3140QFNP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19147 | PA      | $15960.85     | 0.01%             | 2050-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| Phillips Edison Grocery Center Operating Partnership I LP                          | Phillips Edison Grocery Center Operating Partnership I LP 4.95% 01/15/2035                        | CUSIP: 71845JAC2<br>LEI: 549300WUPIVS6ZE0ZI51 | Long             | DBT              | CORP              | US        |     54000 | PA      | $51416.07     | 0.03%             | 2035-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 06/01/2052#SD7151                                                                    | CUSIP: 3132DU5L7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     61965 | PA      | $53233.14     | 0.03%             | 2052-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 03/01/2050#SD8049                                                                  | CUSIP: 3132DV5J0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    114432 | PA      | $94495.17     | 0.05%             | 2050-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 02/01/2053#SD6527                                                                    | CUSIP: 3132DUHC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    380429 | PA      | $352573.53    | 0.17%             | 2053-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE GLOBAL FUNDING                                                          | COREBRIDGE GLOBAL FUNDING 4.65% 08/20/2027 144A                                                   | CUSIP: 00138CBB3<br>LEI: 54930057MDZ7KOVOTV71 | Long             | DBT              | CORP              | US        |    104000 | PA      | $104246.79    | 0.05%             | 2027-08-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP DEL                                                                   | CENTENE CORP 2.5% 03/01/2031                                                                      | CUSIP: 15135BAX9<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    603000 | PA      | $511993.91    | 0.25%             | 2031-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 2% 07/01/2055 #TBA                                                                      | CUSIP: 01F020679<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   4550000 | PA      | $3538691.07   | 1.75%             | 2055-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                         | VERIZON COMMUNICATIONS INC 4.78% 02/15/2035                                                       | CUSIP: 92343VGY4<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     80000 | PA      | $76990.99     | 0.04%             | 2035-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                        | ORACLE CORP 3.6% 04/01/2040                                                                       | CUSIP: 68389XBW4<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     74000 | PA      | $57803.90     | 0.03%             | 2040-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2024-XL4                                                            | BX COML MTG TR 2024-XL4 TSFR1M+194.132 02/15/2039 144A                                            | CUSIP: 05611VAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     94697 | PA      | $94785.73     | 0.05%             | 2039-02-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 01/01/2050#FS3728                                                                  | CUSIP: 3140XKEA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    131419 | PA      | $121476.16    | 0.06%             | 2050-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                     | MORGAN STANLEY 6.342%/VAR 10/18/2033                                                              | CUSIP: 61747YEY7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     40000 | PA      | $42776.43     | 0.02%             | 2033-10-18      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER TR I                                                                | AMERICAN TOWER TR I 5.49% 03/15/2053 144A                                                         | CUSIP: 03027WAM4<br>LEI: 5493004YGM0MQZJOEJ36 | Long             | ABS-CBDO         | CORP              | US        |    220000 | PA      | $222788.76    | 0.11%             | 2053-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CLOVER CLO 2019-1 LTD.                                                             | CLOVER CLO 2019-1 LTD 19-1A ARR TSFR3M+100 04/18/2035 144A                                        | CUSIP: 102875AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $248626.75    | 0.12%             | 2035-04-18      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| NNN REIT INC                                                                       | NNN REIT INC 5.5% 06/15/2034                                                                      | CUSIP: 637417AT3<br>LEI: 5493008JKH5SOTI0JS97 | Long             | DBT              | CORP              | US        |    121000 | PA      | $121144.80    | 0.06%             | 2034-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 3.5% 06/01/2055 #TBA                                                                    | CUSIP: 01F032666<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2325000 | PA      | $2062346.61   | 1.02%             | 2055-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                                           | WARNERMEDIA HOLDINGS INC 3.755% 03/15/2027                                                        | CUSIP: 55903VBA0<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |      3000 | PA      | $2908.11      | 0.00%             | 2027-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 6.5% 06/01/2055 #TBA                                                                      | CUSIP: 21H062669<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |   -525000 | PA      | $-535526.30   | -0.27%            | 2055-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 05/01/2051#SD0702                                                                  | CUSIP: 3132DMX75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20686 | PA      | $17301.66     | 0.01%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 6% 06/01/2055 #TBA                                                                      | CUSIP: 01F060667<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -1500000 | PA      | $-1515058.65  | -0.75%            | 2055-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2% 12/20/2050#MA7051                                                                      | CUSIP: 36179VZQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     90482 | PA      | $72727.29     | 0.04%             | 2050-12-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 02/01/2052#FS8764                                                                    | CUSIP: 3140XQW29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96752 | PA      | $76433.47     | 0.04%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CELANESE US HLDGS LLC                                                              | CELANESE US HLDGS LLC VAR 11/15/2033                                                              | CUSIP: 15089QAY0<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |      9000 | PA      | $9395.15      | 0.00%             | 2033-11-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-VINO                                             | BX COMMERCIAL MORTGAGE TRUST 22-LP2 B TSFR1M+126.27 02/15/2039 144A                               | CUSIP: 05610HAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     95900 | PA      | $95600.30     | 0.05%             | 2039-02-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 1.5% 04/01/2051#SD8139                                                                  | CUSIP: 3132DWBG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     65920 | PA      | $48716.97     | 0.02%             | 2051-04-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                                              | ATHENE GLOBAL FUNDING 5.583% 01/09/2029 144A                                                      | CUSIP: 04685A3Q2<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |     92000 | PA      | $93899.60     | 0.05%             | 2029-01-09      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MAGNETITE XXVIII LTD                                                               | MAGNETITE XXVIII LTD A1RR TSFR3M+124 01/15/2038 144A                                              | CUSIP: 55955LAS1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $249460.75    | 0.12%             | 2038-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.25% 06/30/2031                                                                        | CUSIP: 91282CKW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9000000 | PA      | $9075234.42   | 4.49%             | 2031-06-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                                          | AMGEN INC 5.25% 03/02/2033                                                                        | CUSIP: 031162DR8<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    480000 | PA      | $484405.37    | 0.24%             | 2033-03-02      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BARINGS CLO LTD 2023-IV                                                            | BARINGS CLO LTD 2023-IV A TSFR3M+175 01/20/2037 144A                                              | CUSIP: 06763MAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250750.25    | 0.12%             | 2037-01-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                       | BARCLAYS PLC 5.69%/VAR 03/12/2030                                                                 | CUSIP: 06738ECR4<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     64000 | PA      | $65615.83     | 0.03%             | 2030-03-12      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 04/01/2052#FS8195                                                                    | CUSIP: 3140XQC96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78241 | PA      | $61247.66     | 0.03%             | 2052-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LTD                                                        | AVOLON HOLDINGS FUNDING LTD 4.95% 01/15/2028 144A                                                 | CUSIP: 05401AAW1<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    400000 | PA      | $398853.79    | 0.20%             | 2028-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                                 | WELLS FARGO and CO NEW 2.879%/VAR 10/30/2030                                                      | CUSIP: 95000U2G7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    184000 | PA      | $169800.83    | 0.08%             | 2030-10-30      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| DISCOVERY COMMUNICATIONS LLC                                                       | DISCOVERY COMMUNICATIONS LLC 3.625% 05/15/2030                                                    | CUSIP: 25470DBJ7<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |      3000 | PA      | $2653.06      | 0.00%             | 2030-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 07/01/2049#SD3738                                                                  | CUSIP: 3132E0EK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    496761 | PA      | $418440.08    | 0.21%             | 2049-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2% 09/20/2050#MA6864                                                                      | CUSIP: 36179VTV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     99208 | PA      | $79802.91     | 0.04%             | 2050-09-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                          | OCCIDENTAL PETROLEUM CORP 5.375% 01/01/2032                                                       | CUSIP: 674599EK7<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |     93000 | PA      | $89772.18     | 0.04%             | 2032-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 03/01/2048#FS8330                                                                    | CUSIP: 3140XQHG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    302846 | PA      | $266606.02    | 0.13%             | 2048-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| LAKESIDE PK CLO LTD / LAKESIDE PK CLO LLC                                          | LAKESIDE PK CLO LTD / LLC A TSFR3M+115 04/15/2038 144A                                            | CUSIP: 51218YAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $249250.00    | 0.12%             | 2038-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LTD                                                        | AVOLON HOLDINGS FUNDING LTD 5.375% 05/30/2030 144A                                                | CUSIP: 05401AAZ4<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |     79000 | PA      | $79014.22     | 0.04%             | 2030-05-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PAYCHEX INC                                                                        | PAYCHEX INC 5.6% 04/15/2035                                                                       | CUSIP: 704326AC1<br>LEI: 529900K900DW6SUBM174 | Long             | DBT              | CORP              | US        |     19000 | PA      | $19319.63     | 0.01%             | 2035-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TCO COML MTG TR 2024-DPM                                                           | TAUBMAN CENTERS COMMERCIAL MORTGAGE TRUST 24-DPM C TSFR1M+219.158 12/15/2039 144A                 | CUSIP: 87231EAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    670000 | PA      | $665781.81    | 0.33%             | 2039-12-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR                                 | AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 6.1% 01/15/2027                                | CUSIP: 00774MBD6<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    150000 | PA      | $152948.31    | 0.08%             | 2027-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BX TR 2025-TAIL                                                                    | BX TR 2025-TAIL A VAR 06/15/2035 144A                                                             | CUSIP: 123912AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $100134.91    | 0.05%             | 2035-06-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL    | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 6.1% 06/01/2029   | CUSIP: 161175CQ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     36000 | PA      | $37476.04     | 0.02%             | 2029-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2% 06/01/2055 #TBA                                                                        | CUSIP: 21H020667<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2050000 | PA      | $1647024.53   | 0.82%             | 2055-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UNUM GROUP                                                                         | UNUM GROUP 6% 06/15/2054                                                                          | CUSIP: 91529YAT3<br>LEI: 549300E32YFDO6TZ8R31 | Long             | DBT              | CORP              | US        |    230000 | PA      | $221094.85    | 0.11%             | 2054-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FLATIRON CLO LT                                                                    | FLATIRON CLO LT A1R TSFR3M+136 10/19/2037 144A                                                    | CUSIP: 33883PAQ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250580.50    | 0.12%             | 2037-10-19      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                     | MORGAN STANLEY 5.192%/VAR 04/17/2031                                                              | CUSIP: 61747YFZ3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    133000 | PA      | $134942.29    | 0.07%             | 2031-04-17      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                          | OCCIDENTAL PETROLEUM CORP 5.2% 08/01/2029                                                         | CUSIP: 674599EJ0<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |     73000 | PA      | $72514.92     | 0.04%             | 2029-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2% 11/01/2040#                                                                          | CUSIP: 31418DUA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21971 | PA      | $18739.22     | 0.01%             | 2040-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG NEW YORK BNCH                                                     | DEUTSCHE BANK AG NEW YORK BNCH 4.999%/VAR 09/11/2030                                              | CUSIP: 251526CX5<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | US        |    564000 | PA      | $561518.72    | 0.28%             | 2030-09-11      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                                 | WELLS FARGO and CO NEW 4.897%/VAR 07/25/2033                                                      | CUSIP: 95000U3B7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     40000 | PA      | $39313.47     | 0.02%             | 2033-07-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS CORP TR 2021-IP                                                        | GSMS 2021-IP B TSFR1M+166.448 10/15/2036 144A                                                     | CUSIP: 36262MAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $99250.00     | 0.05%             | 2036-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                                 | VICI PROPERTIES LP 4.95% 02/15/2030                                                               | CUSIP: 925650AC7<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |    171000 | PA      | $169656.47    | 0.08%             | 2030-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 05/01/2049#MA3663                                                                  | CUSIP: 31418DB92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15925 | PA      | $14304.42     | 0.01%             | 2049-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PUGET ENERGY INC                                                                   | PUGET ENERGY INC 5.725% 03/15/2035 144A                                                           | CUSIP: 745310AP7<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |    500000 | PA      | $495056.69    | 0.25%             | 2035-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                       | UBS GROUP AG 6.246%/VAR 09/22/2029 144A                                                           | CUSIP: 225401BE7<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    845000 | PA      | $884123.72    | 0.44%             | 2029-09-22      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 07/01/2052#FS5486                                                                  | CUSIP: 3140XMCY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    106288 | PA      | $95472.36     | 0.05%             | 2052-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TCO COML MTG TR 2024-DPM                                                           | TAUBMAN CENTERS COMMERCIAL MORTGAGE TRUST 2024-DPM B TSFR1M+179.21 12/15/2029 144A                | CUSIP: 87231EAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $99624.74     | 0.05%             | 2039-12-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                      | CITIGROUP INC 6.27%/VAR 11/17/2033                                                                | CUSIP: 172967PA3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    745000 | PA      | $790393.03    | 0.39%             | 2033-11-17      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2023-XL3                                                            | BX COML MTG TR 2023-XL3 A TSFR1M+189.123 12/09/2040 144A                                          | CUSIP: 12434GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     71601 | PA      | $71892.23     | 0.04%             | 2040-12-09      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 6.5% 06/01/2055 #TBA                                                                    | CUSIP: 01F062663<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |   -450000 | PA      | $-462093.53   | -0.23%            | 2055-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| HESS CORP                                                                          | HESS CORP 4.3% 04/01/2027                                                                         | CUSIP: 42809HAG2<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |    155000 | PA      | $154378.24    | 0.08%             | 2027-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 5.5% 07/01/2055 #TBA                                                                      | CUSIP: 21H052678<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    425000 | PA      | $421686.74    | 0.21%             | 2055-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 3.875% 08/15/2033                                                                       | CUSIP: 91282CHT1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5614000 | PA      | $5460930.81   | 2.70%             | 2033-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                                           | WARNERMEDIA HOLDINGS INC 4.054% 03/15/2029                                                        | CUSIP: 55903VBB8<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |      2000 | PA      | $1862.41      | 0.00%             | 2029-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-06-30

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

**Signature:** Laura M. Del Prato

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

**Title:** President and Treasurer