# EDGAR Filing Document

**Accession Number:** 0000751199
**File Stem:** 0001752724-25-176781
**Filing Date:** 2025-7
**Character Count:** 2687051
**Document Hash:** dec043358983159bd41c370b6540714f
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-176781.hdr.sgml**: 20250724

**ACCESSION NUMBER**: 0001752724-25-176781

**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 INCOME FUND /MA/
- **CENTRAL INDEX KEY:** 0000751199

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0731

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04085
- **FILM NUMBER:** 251146364

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

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

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** FIDELITY MORTGAGE SECURITIES FUND
- **DATE OF NAME CHANGE:** 19851103

## Series and Classes Contracts Data

### Fidelity Total Bond K6 Fund (Series ID: S000057288)

| Class ID   | Class Name                  | Ticker Symbol   |
|:---|:---|:---|
| C000182864 | Fidelity Total Bond K6 Fund | FTKFX           |

## Nport-Ex

**Quarterly Holdings Report**

**for**

**Fidelity® Total Bond K6 Fund**

**May 31, 2025**

TBDK6-NPRT3-0725

1.9884012.108 ---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Asset-Backed Securities - 8.5%** | &nbsp;&nbsp;**Asset-Backed Securities - 8.5%** | &nbsp;&nbsp;**Asset-Backed Securities - 8.5%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| BAILIWICK OF JERSEY - 0.6%  |  |  |
| 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) | 4549000 | 4562397 |
| 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) | 3992000 | 3987693 |
| Cedar Funding Series 2024-18A Class A, CME Term SOFR 3 month Index + 1.55%, 5.8293% 4/23/2037 (b)(c)(d) | 7100000 | 7133136 |
| 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) | 5608000 | 5619081 |
| Golub Cap Partners Clo 76 B Ltd Series 2024-76A Class E, CME Term SOFR 3 month Index + 5.75%, 10.0318% 10/25/2037 (b)(c)(d) | 175000 | 176812 |
| 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) | 2253000 | 2249557 |
| Peebles Park CLO Ltd Series 2024-1A Class A, CME Term SOFR 3 month Index + 1.5%, 5.7695% 4/21/2037 (b)(c)(d) | 18000000 | 18051372 |
| TOTAL BAILIWICK OF JERSEY |  | 41780048 |
| BERMUDA - 0.1%  |  |  |
| RRAM Series 2024-24A Class A1A2, CME Term SOFR 3 month Index + 1.31%, 5.5661% 1/15/2037 (b)(c)(d) | 7000000 | 7003500 |
| SYMP Series 2022-32A Class A1, CME Term SOFR 3 month Index + 1.32%, 5.5993% 4/23/2035 (b)(c)(d) | 1686000 | 1686256 |
| TOTAL BERMUDA |  | 8689756 |
| CANADA - 0.0%  |  |  |
| Chesapeake Funding II LLC Series 2023-2A Class A1, 6.16% 10/15/2035 (c) | 387569 | 392259 |
| Chesapeake Funding II LLC Series 2024-1A Class A1, 5.52% 5/15/2036 (c) | 960875 | 969614 |
| Securitized Term Auto Receivables Trust Series 2025-A Class B, 5.038% 7/25/2031 (c) | 1289521 | 1295054 |
| TOTAL CANADA |  | 2656927 |
| GRAND CAYMAN (UK OVERSEAS TER) - 4.0%  |  |  |
| Aimco CDO Series 2024-10A Class ARR, CME Term SOFR 3 month Index + 1.41%, 5.6824% 7/22/2037 (b)(c)(d) | 1558000 | 1558118 |
| 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) | 3208000 | 3208302 |
| Aimco Clo 14 Ltd / Aimco Clo 14 LLC Series 2021-14A Class A, CME Term SOFR 3 month Index + 1.2516%, 5.5211% 4/20/2034 (b)(c)(d) | 2222000 | 2222604 |
| AIMCO CLO Series 2024-BA Class ARR, CME Term SOFR 3 month Index + 1.5%, 5.7605% 4/16/2037 (b)(c)(d) | 2803000 | 2811213 |
| Allegro Clo Ltd Series 2021-1A Class A, CME Term SOFR 3 month Index + 1.4016%, 5.6711% 7/20/2034 (b)(c)(d) | 992000 | 992500 |
| 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) | 4615000 | 4616638 |
| Ammc Clo 24 Ltd Series 2024-24A Class ER, CME Term SOFR 3 month Index + 6.5%, 10.7695% 1/20/2035 (b)(c)(d) | 150000 | 148139 |
| Apidos Clo Liii Series 2025-53A Class E, CME Term SOFR 3 month Index + 6.43%, 10.7585% 7/20/2038 (b)(c)(d) | 250000 | 246686 |
| Ares LIV CLO Ltd Series 2024-54A Class AR, CME Term SOFR 3 month Index + 1.27%, 5.5261% 10/15/2032 (b)(c)(d) | 2514695 | 2515379 |
| Ares Lix Clo Ltd Series 2021-59A Class A, CME Term SOFR 3 month Index + 1.2916%, 5.5734% 4/25/2034 (b)(c)(d) | 657000 | 657378 |
| Ares Loan Funding VII Ltd Series 2024-ALF7A Class E, CME Term SOFR 3 month Index + 6.25%, 10.5224% 10/22/2037 (b)(c)(d) | 100000 | 100978 |
| Ares Lv Clo Ltd Series 2024-55A Class A1R2, CME Term SOFR 3 month Index + 1.37%, 5.6261% 10/15/2037 (b)(c)(d) | 923000 | 923245 |
| 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) | 4203000 | 4207783 |
| Ares LXXVI CLO Ltd Series 2025-76A Class A1, CME Term SOFR 3 month Index + 1.4%, 5.7262% 5/27/2038 (b)(c)(d) | 8962000 | 8964447 |
| Ares XLI Clo Ltd Series 2021-41A Class AR2, CME Term SOFR 3 month Index + 1.3316%, 5.5877% 4/15/2034 (b)(c)(d) | 3233000 | 3234490 |
| Babson CLO Ltd/Cayman Islands Series 2025-1A Class A1R2, CME Term SOFR 3 month Index + 1.26%, 5.5161% 1/15/2038 (b)(c)(d) | 860000 | 860335 |
| Barings Clo Ltd Series 2024-4A Class A, CME Term SOFR 3 month Index + 1.75%, 6.0195% 1/20/2037 (b)(c)(d) | 2868000 | 2876607 |
| Barings Clo Ltd Series 2024-4A Class AR, CME Term SOFR 3 month Index + 1.37%, 5.6395% 10/20/2037 (b)(c)(d) | 2246000 | 2247669 |
| Barings Clo Ltd Series 2021-1A Class A, CME Term SOFR 3 month Index + 1.2816%, 5.5634% 4/25/2034 (b)(c)(d) | 1437000 | 1439111 |
| Bbam US Clo IV Ltd Series 2024-4A Class D, CME Term SOFR 3 month Index + 6.25%, 10.5061% 7/15/2039 (b)(c)(d) | 250000 | 253228 |
| 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) | 4177000 | 4181545 |
| Beechwood Park Clo Ltd Series 2022-1A Class A1R, CME Term SOFR 3 month Index + 1.3%, 5.5798% 1/17/2035 (b)(c)(d) | 2268000 | 2273289 |
| Birch Grove Clo 12 Ltd Series 2025-12A Class D1, CME Term SOFR 3 month Index + 2.75%, 7.0928% 4/22/2038 (b)(c)(d) | 150000 | 150069 |
| Birch Grove Clo 5 LLC Series 2024-5A Class ER, CME Term SOFR 3 month Index + 6.75%, 11.0195% 10/20/2037 (b)(c)(d) | 100000 | 100450 |
| 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) | 2890000 | 2890861 |
| 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) | 3813000 | 3818910 |
| Carlyle US Clo Ltd Series 2024-6A Class E, CME Term SOFR 3 month Index + 5.75%, 10.2067% 10/25/2037 (b)(c)(d) | 150000 | 151815 |
| 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) | 4672000 | 4671673 |
| Cedar Fdg Xvii Clo Ltd Series 2023-17A Class A, CME Term SOFR 3 month Index + 1.85%, 6.1195% 7/20/2036 (b)(c)(d) | 1424000 | 1426872 |
| Cedar Funding Ltd Series 2024-10A Class AR2, CME Term SOFR 3 month Index + 1.36%, 5.6295% 10/20/2037 (b)(c)(d) | 11690000 | 11702403 |
| CEDF Series 2021-6A Class ARR, CME Term SOFR 3 month Index + 1.3116%, 5.5811% 4/20/2034 (b)(c)(d) | 1199000 | 1200123 |
| CIFC Funding Ltd Series 2025-4A Class D2R, CME Term SOFR 3 month Index + 3.75%, 8.0205% 1/17/2038 (b)(c)(d) | 100000 | 99491 |
| Clover Clo Ltd Series 2025-1A Class ARR, CME Term SOFR 3 month Index + 1%, 5.3091% 4/18/2035 (b)(c)(d) | 4585000 | 4559815 |
| Columbia Cent Clo 29 Ltd / Columbia Cent Clo 29 Corp Series 2021-29A Class AR, CME Term SOFR 3 month Index + 1.4316%, 5.7011% 10/20/2034 (b)(c)(d) | 4015000 | 4010973 |
| Diameter Cap Clo 7 Ltd / Diameter Cap Clo 7 LLC Series 2024-7A Class D, CME Term SOFR 3 month Index + 6.1%, 10.3695% 7/20/2037 (b)(c)(d) | 250000 | 250773 |
| Dryden 86 Clo Ltd / Dryden 86 Clo LLC Series 2021-86A Class A1R, CME Term SOFR 3 month Index + 1.3616%, 5.6414% 7/17/2034 (b)(c)(d) | 9421000 | 9424919 |
| Dryden CLO Ltd Series 2022-98A Class A, CME Term SOFR 3 month Index + 1.3%, 5.5695% 4/20/2035 (b)(c)(d) | 2199000 | 2199325 |
| Dryden CLO Ltd Series 2024-83A Class AR, CME Term SOFR 3 month Index + 1.53%, 5.7995% 4/18/2037 (b)(c)(d) | 2761000 | 2767903 |
| Dryden CLO Ltd Series 2024-85A Class A1R2, CME Term SOFR 3 month Index + 1.38%, 5.6361% 7/15/2037 (b)(c)(d) | 4104000 | 4113694 |
| Dryden Senior Loan Fund Series 2021-90A Class A1A, CME Term SOFR 3 month Index + 1.3916%, 5.7136% 2/20/2035 (b)(c)(d) | 1503000 | 1503908 |
| 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) | 3479000 | 3487670 |
| Eaton Vance CLO Ltd Series 2021-1A Class A13R, CME Term SOFR 3 month Index + 1.5116%, 5.7677% 1/15/2034 (b)(c)(d) | 4175000 | 4178828 |
| 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) | 3618000 | 3621376 |
| 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) | 2414000 | 2416144 |
| Flat Series 2025-30A Class A1, CME Term SOFR 3 month Index + 1.16%, 5.4434% 4/15/2038 (b)(c)(d) | 4206000 | 4206374 |
| Flatiron Clo 20 Ltd / Flatiron Clo 20 LLC Series 2024-1A Class AR, CME Term SOFR 3 month Index + 1.38%, 5.702% 5/20/2036 (b)(c)(d) | 4613000 | 4621008 |
| Flatiron Clo 28 Ltd / Flatiron Clo 28 LLC Series 2024-1A Class A1, CME Term SOFR 3 month Index + 1.32%, 5.5761% 7/15/2036 (b)(c)(d) | 4000000 | 4001316 |
| Flatiron Clo Ltd Series 2024-1A Class A1R, CME Term SOFR 3 month Index + 1.36%, 5.6295% 10/19/2037 (b)(c)(d) | 2487000 | 2492775 |
| Flatiron Rr Clo 27 Ltd Series 2024-3A Class A2, CME Term SOFR 3 month Index + 1.5%, 5.7695% 10/18/2037 (b)(c)(d) | 1680000 | 1683898 |
| Flatiron Rr Clo 30 Ltd Series 2025-30A Class E, CME Term SOFR 3 month Index + 5.25%, 9.5334% 4/15/2038 (b)(c)(d) | 200000 | 201934 |
| Horizon Aircraft Finance Ltd Series 2019-1 Class A, 3.721% 7/15/2039 (c) | 615826 | 594880 |
| Invesco Clo Ltd Series 2021-3A Class A, CME Term SOFR 3 month Index + 1.3916%, 5.664% 10/22/2034 (b)(c)(d) | 960000 | 960683 |
| Invesco US CLO Series 2024-1RA Class AR, CME Term SOFR 3 month Index + 1.55%, 5.8061% 4/15/2037 (b)(c)(d) | 2354000 | 2359268 |
| Kkr Clo 41 Ltd Series 2022-41A Class A1, CME Term SOFR 3 month Index + 1.33%, 5.5861% 4/15/2035 (b)(c)(d) | 713000 | 713661 |
| 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) | 2979000 | 2970063 |
| 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) | 7328000 | 7343755 |
| Madison Pk Fdg L Ltd / Madison Pk Fdg L LLC Series 2021-50A Class A, CME Term SOFR 3 month Index + 1.4016%, 5.6711% 4/19/2034 (b)(c)(d) | 1690000 | 1690913 |
| Madison Pk Fdg Lii Ltd / Madison Pk Fdg Lii LLC Series 2021-52A Class A, CME Term SOFR 3 month Index + 1.3616%, 5.634% 1/22/2035 (b)(c)(d) | 1290000 | 1290918 |
| Madison Pk Fdg Lxvii Ltd / Madison Pk Fdg Lxvii LLC Series 2024-67A Class A1, CME Term SOFR 3 month Index + 1.51%, 5.7918% 4/25/2037 (b)(c)(d) | 2929000 | 2937743 |
| 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) | 1325000 | 1320608 |
| MAGNE AR Series 2021-27A Class AR, CME Term SOFR 3 month Index + 1.4016%, 5.6711% 10/20/2034 (b)(c)(d) | 305000 | 305214 |
| Magnetite CLO LTD Series 2025-36A Class AR, CME Term SOFR 3 month Index + 1.32%, 1.32% 7/25/2038 (b)(c)(d) | 4137000 | 4137000 |
| Magnetite CLO Ltd Series 2023-36A Class A, CME Term SOFR 3 month Index + 1.8%, 6.0724% 4/22/2036 (b)(c)(d) | 881000 | 881000 |
| Magnetite CLO Ltd Series 2024-30A Class AR, CME Term SOFR 3 month Index + 1.35%, 5.6318% 10/25/2037 (b)(c)(d) | 1565000 | 1568936 |
| Magnetite Clo Ltd Series 2025-45A Class A1, CME Term SOFR 3 month Index + 1.15%, 5.435% 4/15/2038 (b)(c)(d) | 2889000 | 2892065 |
| Magnetite Xli Ltd Series 2024-41A Class A, CME Term SOFR 3 month Index + 1.29%, 5.603% 1/25/2038 (b)(c)(d) | 2342000 | 2346520 |
| Magnetite XXI Ltd Series 2021-21A Class AR, CME Term SOFR 3 month Index + 1.2816%, 5.5511% 4/20/2034 (b)(c)(d) | 1158000 | 1158632 |
| Magnetite Xxiii Ltd Series 2021-23A Class AR, CME Term SOFR 3 month Index + 1.3916%, 5.6734% 1/25/2035 (b)(c)(d) | 1132000 | 1133486 |
| Magnetite Xxix Ltd / Magnetite Xxix LLC Series 2024-29A Class AR, CME Term SOFR 3 month Index + 1.35%, 5.6061% 7/15/2037 (b)(c)(d) | 2024000 | 2027969 |
| 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) | 4068000 | 4055796 |
| Magnetite Xxviii Ltd Series 2025-28A Class A1RR, CME Term SOFR 3 month Index + 1.24%, 5.4961% 1/15/2038 (b)(c)(d) | 4963000 | 4952295 |
| Milos CLO Ltd Series 2020-1A Class AR, CME Term SOFR 3 month Index + 1.3316%, 5.6011% 10/20/2030 (b)(c)(d) | 490520 | 490869 |
| 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) | 4916000 | 4904678 |
| 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) | 2803000 | 2809293 |
| 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) | 5028000 | 5038619 |
| OCP CLO Ltd Series 2024-14A Class ER, CME Term SOFR 3 month Index + 6.55%, 10.8195% 7/20/2037 (b)(c)(d) | 200000 | 198874 |
| 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) | 4267000 | 4264555 |
| 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) | 2763000 | 2753412 |
| 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) | 3402000 | 3400112 |
| 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) | 3375000 | 3384210 |
| OHA Credit Partners Ltd Series 2024-18A Class A2, CME Term SOFR 3 month Index + 1.65%, 5.9195% 4/20/2037 (b)(c)(d) | 250000 | 250542 |
| 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) | 3615000 | 3602348 |
| 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) | 1569000 | 1571959 |
| Orchard Park Clo Ltd Series 2024-1A Class E, CME Term SOFR 3 month Index + 5.6%, 9.8695% 10/20/2037 (b)(c)(d) | 100000 | 100935 |
| Palmer Square Clo Ltd Series 2025-2A Class A1, CME Term SOFR 3 month Index + 1.35%, 5.6727% 7/20/2038 (b)(c)(d) | 7667000 | 7674667 |
| Palmer Square Clo Ltd Series 2025-2A Class DR2, CME Term SOFR 3 month Index + 4.14%, 8.3961% 2/15/2038 (b)(c)(d) | 100000 | 99785 |
| Palmer Square CLO Series 2024-2A Class E, CME Term SOFR 3 month Index + 5.7%, 9.9695% 7/20/2037 (b)(c)(d) | 500000 | 504644 |
| 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) | 2215023 | 2215380 |
| Palmer Square Loan Funding Ltd Series 2024-2A Class D, CME Term SOFR 3 month Index + 4.7%, 8.9561% 1/15/2033 (b)(c)(d) | 250000 | 247645 |
| 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) | 4588000 | 4572589 |
| Peace Park Clo Ltd Series 2021-1A Class A, CME Term SOFR 3 month Index + 1.3916%, 5.6611% 10/20/2034 (b)(c)(d) | 1254000 | 1254928 |
| Project Silver Series 2019-1 Class A, 3.967% 7/15/2044 (c) | 657534 | 634546 |
| Rockland Park Clo Ltd Series 2021-1A Class A, CME Term SOFR 3 month Index + 1.3816%, 5.6511% 4/20/2034 (b)(c)(d) | 1717000 | 1720223 |
| RR 28 LTD / RR 28 LLC Series 2024-28RA Class A1R, CME Term SOFR 3 month Index + 1.55%, 5.8061% 4/15/2037 (b)(c)(d) | 17800000 | 17838412 |
| Rr 31 Ltd Series 2024-31A Class D, CME Term SOFR 3 month Index + 6%, 10.2561% 10/15/2039 (b)(c)(d) | 125000 | 127056 |
| Rr 34 Ltd Series 2024-34RA Class A1R, CME Term SOFR 3 month Index + 1.35%, 5.6061% 10/15/2039 (b)(c)(d) | 2003000 | 2011751 |
| Rr 7 Ltd Series 2022-7A Class A1AB, CME Term SOFR 3 month Index + 1.34%, 5.5961% 1/15/2037 (b)(c)(d) | 1862000 | 1863808 |
| Symphony Clo 43 Ltd Series 2024-43A Class A1, CME Term SOFR 3 month Index + 1.52%, 5.7761% 4/15/2037 (b)(c)(d) | 2102000 | 2112323 |
| Symphony Clo Xxvi Ltd / Symphony Clo Xxvi LLC Series 2021-26A Class AR, CME Term SOFR 3 month Index + 1.3416%, 5.6111% 4/20/2033 (b)(c)(d) | 1570747 | 1571325 |
| Thunderbolt Aircraft Lease Series 2018-A Class A, 4.147% 9/15/2038 (c)(d) | 322024 | 320420 |
| Thunderbolt III Aircraft Lease Ltd Series 2019-1 Class A, 3.671% 11/15/2039 (c) | 755535 | 731168 |
| Voya CLO Ltd Series 2023-1A Class A1, CME Term SOFR 3 month Index + 1.8%, 6.0695% 1/20/2037 (b)(c)(d) | 2007000 | 2015203 |
| Voya Clo Ltd Series 2024-1A Class A1, CME Term SOFR 3 month Index + 1.52%, 5.7761% 4/15/2037 (b)(c)(d) | 2051000 | 2057038 |
| Voya CLO Ltd/Voya CLO LLC Series 2025-2A Class A1RR, CME Term SOFR 3 month Index + 1.31%, 5.5904% 1/20/2038 (b)(c)(d) | 1595000 | 1595064 |
| TOTAL GRAND CAYMAN (UK OVERSEAS TER) |  | 268074770 |
| IRELAND - 0.0%  |  |  |
| Volofin Finance Designated Activity Co Series 2024-1A Class A, 5.935% 6/15/2037 (c) | 1705272 | 1710562 |
| MULTI-NATIONAL - 0.1%  |  |  |
| Allegro Clo Xv Ltd / Allegro Clo Vx LLC Series 2025-1A Class A1R, CME Term SOFR 3 month Index + 1.18%, 5.4911% 4/20/2038 (b)(c)(d) | 1188000 | 1184688 |
| Ares Ln Fdg V Ltd / Ares Ln Fdg V LLC Series 2024-ALF5A Class A1, CME Term SOFR 3 month Index + 1.5%, 5.7818% 7/27/2037 (b)(c)(d) | 2845000 | 2846647 |
| TOTAL MULTI-NATIONAL |  | 4031335 |
| UNITED STATES - 3.7%  |  |  |
| Aaset 2024-1 US Ltd / Aaset 2024-1 Intl Ltd Series 2024-1A Class A1, 6.261% 5/16/2049 (c) | 2058084 | 2072267 |
| Aaset 2024-1 US Ltd / Aaset 2024-1 Intl Ltd Series 2024-1A Class A2, 6.261% 5/16/2049 (c) | 1954563 | 1968032 |
| Aaset 2025-1 Ltd / Aaset 2025-1 LLC Series 2025-1A Class A, 5.943% 2/16/2050 (c) | 2412069 | 2416145 |
| AASET Trust Series 2019-2 Class A, 3.376% 10/16/2039 (c) | 377747 | 366419 |
| AASET Trust Series 2019-2 Class B, 4.458% 10/16/2039 (c) | 60406 | 56482 |
| AASET Trust Series 2021-1A Class A, 2.95% 11/16/2041 (c) | 4745025 | 4464286 |
| AASET Trust Series 2021-2A Class A, 2.798% 1/15/2047 (c) | 1700118 | 1562989 |
| AASET Trust Series 2022-1A Class A, 6% 5/16/2047 (c) | 948636 | 949589 |
| Affirm Asset Securitization Trust Series 2024-A Class 1A, 5.61% 2/15/2029 (c) | 600000 | 602477 |
| Affirm Asset Securitization Trust Series 2024-X1 Class A, 6.27% 5/15/2029 (c) | 117206 | 117334 |
| 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) | 3344966 | 3345254 |
| 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) | 1293000 | 1292276 |
| Altde Trust Series 2025-1A Class A, 5.9% 8/15/2050 (c) | 3343580 | 3337537 |
| Apollo Aviation Securitization Equity Trust Series 2020-1A Class A, 3.351% 1/16/2040 (c) | 135563 | 131497 |
| Apollo Aviation Securitization Equity Trust Series 2020-1A Class B, 4.335% 1/16/2040 (c) | 66409 | 61098 |
| Ari Fleet Lease Trust 2024-B Series 2024-B Class A2, 5.54% 4/15/2033 (c) | 644660 | 648023 |
| ARI Fleet Lease Trust Series 2023-A Class A3, 5.33% 2/17/2032 (c) | 2500000 | 2517016 |
| Bankers Healthcare Group Securitization Trust Series 2025-1CON Class A, 4.82% 4/17/2036 (c) | 1489351 | 1486153 |
| Barings Equipment Finance LLC Series 2025-A Class A2, 4.64% 10/13/2028 (c) | 1500000 | 1500058 |
| BETHP Series 2021-1A Class A, CME Term SOFR 3 month Index + 1.3916%, 5.6477% 1/15/2035 (b)(c)(d) | 1049000 | 1051360 |
| Blackbird Cap II Aircraft Lease Ltd / Blackbird Cap II Aircraft Lease Us L Series 2021-1A Class A, 2.443% 7/15/2046 (c) | 1560019 | 1451621 |
| BMW Vehicle Owner Trust Series 2025-A Class A3, 4.56% 9/25/2029  | 400000 | 402071 |
| BofA Auto Trust Series 2025-1A Class A3, 4.35% 11/20/2029 (c) | 1000000 | 999413 |
| Carmax Auto Owner Trust Series 2024-4 Class A3, 4.6% 10/15/2029  | 500000 | 503113 |
| Carmax Auto Owner Trust Series 2025-2 Class A2A, 4.59% 7/17/2028  | 2530000 | 2531108 |
| CarMax Select Receivables Trust Series 2024-A Class A2A, 5.78% 9/15/2027  | 346847 | 348095 |
| CarMax Select Receivables Trust Series 2024-A Class A3, 5.4% 11/15/2028  | 471000 | 475604 |
| Carvana Auto Receivables Trust Series 2025-P1 Class A2, 4.5% 6/12/2028  | 3700000 | 3694069 |
| Castlelake Aircraft Securitization Series 2018-1 Class A, 4.125% 6/15/2043 (c) | 100726 | 97914 |
| Castlelake Aircraft Securitization Trust Series 2019-1A Class A, 3.967% 4/15/2039 (c) | 461627 | 437393 |
| Castlelake Aircraft Securitization Trust Series 2019-1A Class B, 5.095% 4/15/2039 (c) | 488890 | 405782 |
| Castlelake Aircraft Structured Trust Series 2021-1A Class A, 3.474% 1/15/2046 (c) | 75686 | 73802 |
| Ccg Receivables Trust. Series 2025-1 Class A2, 4.48% 10/14/2032 (c) | 1120000 | 1119905 |
| Ccg Receivables Trust. Series 2025-1 Class B, 4.69% 10/14/2032 (c) | 500000 | 498644 |
| Cedar Funding Ltd Series 2022-15A Class A, CME Term SOFR 3 month Index + 1.32%, 5.5924% 4/20/2035 (b)(c)(d) | 1721000 | 1720983 |
| CFMT LLC Series 2023-HB12 Class A, 4.25% 4/25/2033 (c) | 270487 | 267670 |
| Consolidated Communications LLC / Fidium Fiber Fin Holdco LLC Series 2025-1A Class A2, 6% 5/20/2055 (c) | 570000 | 576123 |
| Croton Pk Clo Ltd Series 2024-1A Class E, CME Term SOFR 3 month Index + 5.55%, 9.8061% 10/15/2036 (b)(c)(d) | 150000 | 151119 |
| DB Master Finance LLC Series 2017-1A Class A2II, 4.03% 11/20/2047 (c) | 3023650 | 2975751 |
| DB Master Finance LLC Series 2019-1A Class A23, 4.352% 5/20/2049 (c) | 6102688 | 5939710 |
| DB Master Finance LLC Series 2021-1A Class A23, 2.791% 11/20/2051 (c) | 9172325 | 7906063 |
| DB Master Finance LLC Series 2021-1A Class A2I, 2.045% 11/20/2051 (c) | 3196080 | 3062429 |
| DB Master Finance LLC Series 2021-1A Class A2II, 2.493% 11/20/2051 (c) | 8438925 | 7745234 |
| Dell Equip Fin Trust Series 2025-1 Class A3, 4.61% 2/24/2031 (c) | 800000 | 803905 |
| Dext Abs LLC Series 2025-1 Class A2, 4.59% 8/16/2027 (c) | 4015000 | 4008087 |
| Dext Abs LLC Series 2025-1 Class A3, 4.77% 8/15/2035 (c) | 5650000 | 5633925 |
| DLLAA Series 2023-1A Class A2, 5.93% 7/20/2026 (c) | 71679 | 71790 |
| DLLAA Series 2023-1A Class A3, 5.64% 2/22/2028 (c) | 421000 | 425758 |
| DLLAD Series 2023-1A Class A3, 4.79% 1/20/2028 (c) | 652607 | 653577 |
| Domino's Pizza Master Issuer LLC Series 2018-1A Class A2II, 4.328% 7/25/2048 (c) | 2880400 | 2842262 |
| Domino's Pizza Master Issuer LLC Series 2019-1A Class A2, 3.668% 10/25/2049 (c) | 2321280 | 2191056 |
| Domino's Pizza Master Issuer LLC Series 2021-1A Class A2I, 2.662% 4/25/2051 (c) | 5699823 | 5284583 |
| Domino's Pizza Master Issuer LLC Series 2021-1A Class A2II, 3.151% 4/25/2051 (c) | 13225028 | 11788910 |
| 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) | 2790000 | 2796782 |
| Enterprise Fleet Financing LLC Series 2022-3 Class A3, 4.29% 7/20/2029 (c) | 3005000 | 2992801 |
| Enterprise Fleet Financing LLC Series 2023-1 Class A2, 5.51% 1/22/2029 (c) | 852399 | 855028 |
| Enterprise Fleet Financing LLC Series 2024-3 Class A3, 4.98% 8/21/2028 (c) | 900000 | 907397 |
| Enterprise Fleet Financing Series 2024-2 Class A2, 5.74% 12/20/2026 (c) | 1195185 | 1200388 |
| Exeter Automobile Receivables Trust Series 2025-2A Class A3, 4.74% 1/16/2029  | 2770000 | 2772352 |
| Exeter Select Automobile Receivables Trust Series 2025-1 Class A2, 4.83% 10/16/2028  | 640000 | 639454 |
| Exeter Select Automobile Receivables Trust Series 2025-1 Class A3, 4.69% 4/15/2030  | 540000 | 539236 |
| 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) | 4364000 | 4359187 |
| Ford Credit Auto Lease Trust Series 2024-B Class A3, 4.99% 12/15/2027  | 3500000 | 3518997 |
| Ford Credit Floorplan Master Owner Trust A Series 2023-1 Class A1, 4.92% 5/15/2028 (c) | 13645000 | 13688047 |
| Gilead Aviation LLC Series 2025-1A Class A, 5.789% 3/15/2050 (c) | 5646698 | 5595286 |
| GM Financial Consumer Automobile Receivables Trust Series 2023-3 Class A3, 5.45% 6/16/2028  | 829665 | 834779 |
| GM Financial Leasing Trust Series 2023-3 Class A3, 5.38% 11/20/2026  | 293846 | 294431 |
| GMF Floorplan Owner Revolving Trust Series 2024-4A Class A1, 4.73% 11/15/2029 (c) | 3040000 | 3057965 |
| GMF Floorplan Owner Revolving Trust Series 2025-1A Class A1, 4.59% 3/15/2029 (c) | 2255000 | 2258005 |
| Goldentree Ln Mgmt US Clo 21 Ltd Series 2024-21A Class E, CME Term SOFR 3 month Index + 5.7%, 9.9695% 7/20/2037 (b)(c)(d) | 250000 | 251210 |
| 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) | 3772000 | 3769473 |
| 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) | 4039000 | 4026459 |
| Honda Auto Receivables 2023-3 Owner Tr Series 2023-3 Class A3, 5.41% 2/18/2028  | 466282 | 469132 |
| Horizon Aircraft Finance I Limited Series 2018-1 Class A, 4.458% 12/15/2038 (c) | 812905 | 776314 |
| HPEFS Equipment Trust Series 2024-2A Class A3, 5.36% 10/20/2031 (c) | 700000 | 704636 |
| Hyundai Auto Lease Securitization Trust Series 2024-C Class A3, 4.62% 4/17/2028 (c) | 2300000 | 2305138 |
| Hyundai Auto Receivables Trust Series 2024-A Class A3, 4.99% 2/15/2029  | 1629000 | 1640952 |
| Jersey Mike's Funding Series 2024-1A Class A2, 5.636% 2/15/2055 (c) | 5092238 | 5130628 |
| John Deere Owner Trust Series 2025-A Class A2A, 4.23% 3/15/2028  | 1500000 | 1496820 |
| Merchants Fleet Funding LLC Series 2023-1A Class A, 7.21% 5/20/2036 (c) | 479967 | 484108 |
| Merchants Fleet Funding LLC Series 2024-1A Class A, 5.82% 4/20/2037 (c) | 1499399 | 1508555 |
| OneMain Financial Issuance Trust Series 2020-2A Class A, 1.75% 9/14/2035 (c) | 3900000 | 3793293 |
| Peac Solutions Receivables Series 2025-1A Class A2, 4.94% 10/20/2028 (c) | 2275000 | 2277814 |
| Pk Alift Loan Funding 3 LP Series 2024-1 Class A1, 5.842% 9/15/2039 (c) | 579294 | 583744 |
| Planet Fitness Master Issuer LLC Series 2019-1A Class A2, 3.858% 12/5/2049 (c) | 917180 | 866780 |
| Planet Fitness Master Issuer LLC Series 2022-1A Class A2I, 3.251% 12/5/2051 (c) | 1263910 | 1226150 |
| Planet Fitness Master Issuer LLC Series 2022-1A Class A2II, 4.008% 12/5/2051 (c) | 1458880 | 1329432 |
| Post Road Equipment Finance LLC Series 2025-1A Class A2, 4.9% 5/15/2031 (c) | 1200000 | 1203633 |
| PRMI Securitization Trust Series 2024-CMG1 Class A1, U.S. 30-Day Avg. SOFR Index + 1.3%, 5.8% 7/25/2054 (b)(c)(d) | 1019277 | 1013126 |
| PRPM Trust Series 2023-RCF2 Class A1, 4% 11/25/2053 (c) | 449440 | 438044 |
| Retained Vantage Data Ctrs Issuer LLC / Vantage Data Ctrs CDA Qc4 Ltd Partnership Series 2023-1A Class B, 5.75% 9/15/2048 (c) | 250000 | 243958 |
| Retained Vantage Data Ctrs Issuer LLC / Vantage Data Ctrs CDA Qc4 Ltd Partnership Series 2024-1A Class B, 5.775% 9/15/2049 (c) | 105000 | 102400 |
| Santander Drive Auto Receivables Trust Series 2025-2 Class A3, 4.67% 8/15/2029  | 2000000 | 2005994 |
| SAPPHIRE AVIATION FINANCE Series 2020-1A Class A, 3.228% 3/15/2040 (c) | 668779 | 633280 |
| SAPPHIRE AVIATION FINANCE Series 2020-1A Class B, 4.335% 3/15/2040 (c) | 131410 | 119497 |
| SBA Tower Trust Series 2020, 1.884% 7/15/2050 (c) | 498000 | 487685 |
| SBA Tower Trust Series 2020, 2.328% 7/15/2052 (c) | 381000 | 354341 |
| SLAM Ltd Series 2025-1A Class A, 5.807% 5/15/2050 (c) | 2870000 | 2927400 |
| SoFi Consumer Loan Program Trust Series 2025-1 Class A, 4.8% 2/27/2034 (c) | 3239660 | 3238935 |
| Subway Funding LLC Series 2024-1A Class A23, 6.505% 7/30/2054 (c) | 8410735 | 8538000 |
| Subway Funding LLC Series 2024-1A Class A2I, 6.028% 7/30/2054 (c) | 9084350 | 9167603 |
| Subway Funding LLC Series 2024-1A Class A2II, 6.268% 7/30/2054 (c) | 5775975 | 5881092 |
| Subway Funding LLC Series 2024-3A Class A23, 5.914% 7/30/2054 (c) | 4396905 | 4291623 |
| Subway Funding LLC Series 2024-3A Class A2I, 5.246% 7/30/2054 (c) | 4584960 | 4502622 |
| Subway Funding LLC Series 2024-3A Class A2II, 5.566% 7/30/2054 (c) | 2168105 | 2127873 |
| Switch Abs Issuer LLC Series 2024-2A Class C, 10.033% 6/25/2054 (c) | 750000 | 778347 |
| Tesla Auto Lease Trust 23-A Series 2023-A Class A3, 5.89% 6/22/2026 (c) | 286638 | 287022 |
| Tesla Auto Lease Trust Series 2023-B Class A3, 6.13% 9/21/2026 (c) | 701586 | 704320 |
| Tesla Series 2024-A Class A2A, 5.37% 6/22/2026 (c) | 123929 | 124026 |
| Towd PT Mtg Trust Series 2018-5 Class A1A, 3.25% 7/25/2058 (c) | 2695045 | 2656380 |
| Toyota Auto Receivables Owner Trust Series 2025-B Class A3, 4.34% 11/15/2029  | 3800000 | 3802351 |
| Toyota Lease Owner Trust Series 2023-A Class A3, 4.93% 4/20/2026 (c) | 94459 | 94478 |
| Upgrade Receivables Trust Series 2024-1A Class A, 5.37% 2/18/2031 (c) | 642891 | 643230 |
| VB-S1 Issuer LLC Series 2024-1A Class D, 6.644% 5/15/2054 (c) | 1500000 | 1528671 |
| VB-S1 Issuer LLC Series 2024-1A Class F, 8.871% 5/15/2054 (c) | 693000 | 717860 |
| Volvo Financial Equipment LLC Series 2025-1A Class A2, 4.41% 11/15/2027 (c) | 800000 | 798787 |
| Wheels Fleet Lease Funding 1 LLC Series 2023-1A Class A, 5.8% 4/18/2038 (c) | 910093 | 915506 |
| Wheels Fleet Lease Funding 1 LLC Series 2024-2A Class A1, 4.87% 6/21/2039 (c) | 3132000 | 3140467 |
| Wheels Fleet Lease Funding 1 LLC Series 2025-1A Class A1, 4.57% 1/18/2040 (c) | 5100000 | 5104838 |
| Willis Engine Structured Tr VII Series 2023-A Class A, 8% 10/15/2048 (c) | 747869 | 763639 |
| World Omni Auto Receivables Trust 2023-C Series 2023-C Class A3, 5.15% 11/15/2028  | 514000 | 515744 |
| World Omni Automobile Lease Securitization Trust Series 2025-A Class A2A, 4.35% 12/15/2027  | 1500000 | 1497638 |
| TOTAL UNITED STATES |  | 257334944 |
| <br> **TOTAL ASSET-BACKED SECURITIES**<br> (Cost $583,591,597) |  | <br> **584278342** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Bank Loan Obligations - 0.5%** | &nbsp;&nbsp;**Bank Loan Obligations - 0.5%** | &nbsp;&nbsp;**Bank Loan Obligations - 0.5%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| FINLAND - 0.0%  |  |  |
| Materials - 0.0% |  |  |
| Paper & Forest Products - 0.0% |  |  |
| Ahlstrom Holding 3 Oy Tranche B 1LN, term loan CME Term SOFR 1 month Index + 4.25%, 0% 5/22/2030 (b)(d)(e)(f) | 545000 | 538188 |
| FRANCE - 0.0%  |  |  |
| Communication Services - 0.0% |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |
| Altice France SA Tranche B14 1LN, term loan CME Term SOFR 3 month Index + 5.5%, 9.7561% 8/15/2028 (b)(d)(e) | 698219 | 641377 |
| Media - 0.0% |  |  |
| Numericable US LLC Tranche B-13 1LN, term loan CME Term SOFR 6 month Index + 4%, 10.5% 8/14/2026 (b)(d)(e) | 74809 | 66603 |
| TOTAL FRANCE |  | 707980 |
| NETHERLANDS - 0.0%  |  |  |
| Utilities - 0.0% |  |  |
| Independent Power and Renewable Electricity Producers - 0.0% |  |  |
| Enstall Group BV Tranche B 1LN, term loan CME Term SOFR 3 month Index + 5%, 9.5608% 8/30/2028 (b)(d)(e) | 483703 | 355521 |
| UNITED STATES - 0.5%  |  |  |
| Communication Services - 0.0% |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |
| Connect Holding II LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 5%, 10.0451% 10/3/2031 (b)(d)(e) | 95743 | 72525 |
| Connect Holding II LLC Tranche B-DD 1LN, term loan CME Term SOFR 1 month Index + 4.25%, 0% 4/3/2031 (b)(d)(e)(f) | 507074 | 466351 |
| Connect Holding II LLC Tranche B-DD 1LN, term loan CME Term SOFR 1 month Index + 4.25%, 0% 4/3/2031 (b)(d)(e)(f) | 397926 | 365969 |
| Lumen Technologies Inc Tranche B1 1LN, term loan CME Term SOFR 1 month Index + 2.35%, 6.7913% 4/16/2029 (b)(d)(e) | 40000 | 39572 |
| Lumen Technologies Inc Tranche B2 1LN, term loan CME Term SOFR 1 month Index + 2.35%, 6.7913% 4/15/2030 (b)(d)(e) | 629670 | 622763 |
|  |  | 1567180 |
| Media - 0.0% |  |  |
| CSC Holdings LLC Tranche B6 1LN, term loan CME Term SOFR 1 month Index + 4.5%, 8.8287% 1/18/2028 (b)(d)(e) | 214477 | 211528 |
| TOTAL COMMUNICATION SERVICES |  | 1778708 |
| Consumer Discretionary - 0.2% |  |  |
| Broadline Retail - 0.0% |  |  |
| CMG Media Corp Tranche B2 1LN, term loan CME Term SOFR 3 month Index + 3.5%, 7.8992% 6/18/2029 (b)(d)(e) | 657046 | 622551 |
| Diversified Consumer Services - 0.0% |  |  |
| Spin Holdco Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4%, 8.5618% 3/4/2028 (b)(d)(e) | 1908817 | 1625282 |
| TKC Holdings Inc 1LN, term loan 13.5% 2/15/2027 (d)(e) | 607670 | 558296 |
|  |  | 2183578 |
| Hotels, Restaurants & Leisure - 0.2% |  |  |
| Eagle Parent Corp Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4.25%, 8.5492% 4/2/2029 (b)(d)(e) | 513614 | 498848 |
| Flynn Restaurant Group LP Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.75%, 8.0768% 1/28/2032 (b)(d)(e) | 425000 | 421175 |
| Horizon US Finco LP Tranche B 1LN, term loan CME Term SOFR 1 month Index + 4.75%, 9.0297% 10/31/2031 (b)(d)(e) | 374223 | 346623 |
| MajorDrive Holdings IV LLC 1LN, term loan CME Term SOFR 3 month Index + 4%, 8.5608% 6/1/2028 (b)(d)(e) | 479041 | 465571 |
| United PF Holdings LLC 1LN, term loan CME Term SOFR 3 month Index + 4%, 8.5413% 12/30/2026 (b)(d)(e) | 1770274 | 1700349 |
| United PF Holdings LLC Tranche B 1LN, term loan CME Term SOFR 3 month Index + 8.5%, 13.0413% 12/30/2026 (b)(d)(e) | 89531 | 86621 |
|  |  | 3519187 |
| Household Durables - 0.0% |  |  |
| TGP Holdings III LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.25%, 7.6768% 6/29/2028 (b)(d)(e) | 814757 | 716522 |
| Weber-Stephen Products LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.25%, 7.6913% 10/30/2027 (b)(d)(e) | 466860 | 462410 |
| Weber-Stephen Products LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 4.25%, 8.6768% 10/30/2027 (b)(d)(e) | 269000 | 267432 |
|  |  | 1446364 |
| Specialty Retail - 0.0% |  |  |
| LBM Acquisition LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.75%, 8.1752% 6/6/2031 (b)(d)(e) | 802791 | 718788 |
| Staples Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 5.75%, 10.0259% 9/4/2029 (b)(d)(e) | 337637 | 301401 |
|  |  | 1020189 |
| TOTAL CONSUMER DISCRETIONARY |  | 8791869 |
| Consumer Staples - 0.0% |  |  |
| Food Products - 0.0% |  |  |
| Del Monte Foods Corp II Inc 1LN, term loan CME Term SOFR 3 month Index + 8.15%, 15.4685% 8/2/2028 (b)(d)(e) | 30267 | 27997 |
| Del Monte Foods Corp II Inc Tranche FLFO B 1LN, term loan CME Term SOFR 3 month Index + 8%, 12.409% 8/2/2028 (b)(d)(e) | 8796 | 8136 |
|  |  | 36133 |
| Energy - 0.0% |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |
| New Fortress Energy Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 5.5%, 9.7948% 10/30/2028 (b)(d)(e) | 2536000 | 1372255 |
| Financials - 0.0% |  |  |
| Financial Services - 0.0% |  |  |
| CFC USA 2025 LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.75%, 0% 5/30/2032 (b)(d)(e)(f) | 225000 | 222750 |
| WH Borrower LLC Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4.75%, 9.072% 2/20/2032 (b)(d)(e) | 505000 | 500107 |
|  |  | 722857 |
| Insurance - 0.0% |  |  |
| Asurion LLC Tranche B3 2LN, term loan CME Term SOFR 1 month Index + 5.25%, 9.6913% 1/31/2028 (b)(d)(e) | 480000 | 462600 |
| TOTAL FINANCIALS |  | 1185457 |
| Health Care - 0.0% |  |  |
| Health Care Providers & Services - 0.0% |  |  |
| HAH Group Holding Co LLC 1LN, term loan CME Term SOFR 1 month Index + 5%, 9.3268% 9/24/2031 (b)(d)(e) | 265000 | 259326 |
| ModivCare Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4.75%, 9.0492% 7/1/2031 (b)(d)(e) | 228278 | 153199 |
| Owens & Minor Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 5.25%, 0% 4/2/2030 (b)(d)(e)(f) | 520000 | 516100 |
| Radiology Partners Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 5%, 8.0914% 1/31/2029 (b)(d)(e) | 516932 | 512053 |
|  |  | 1440678 |
| Pharmaceuticals - 0.0% |  |  |
| 1261229 BC Ltd Tranche B 1LN, term loan CME Term SOFR 1 month Index + 6.25%, 10.5869% 10/8/2030 (b)(d)(e) | 665000 | 630181 |
| TOTAL HEALTH CARE |  | 2070859 |
| Industrials - 0.0% |  |  |
| Building Products - 0.0% |  |  |
| Oscar Acquisitionco LLC Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4.25%, 8.5492% 4/29/2029 (b)(d)(e) | 180000 | 161955 |
| Commercial Services & Supplies - 0.0% |  |  |
| Brand Industrial Services Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4.5%, 8.7759% 8/1/2030 (b)(d)(e) | 1462928 | 1216059 |
| Neptune Bidco US Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 5%, 9.3297% 4/11/2029 (b)(d)(e) | 705981 | 658991 |
|  |  | 1875050 |
| Professional Services - 0.0% |  |  |
| Cast & Crew LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.75%, 8.0768% 12/29/2028 (b)(d)(e) | 461914 | 426693 |
| Trading Companies & Distributors - 0.0% |  |  |
| Foundation Building Materials Inc 1LN, term loan CME Term SOFR 3 month Index + 3.25%, 7.791% 1/31/2028 (b)(d)(e) | 219715 | 212557 |
| Foundation Building Materials Inc Tranche B2 1LN, term loan CME Term SOFR 3 month Index + 4%, 8.2798% 1/29/2031 (b)(d)(e) | 214899 | 201438 |
| QXO Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3%, 7.2804% 4/30/2032 (b)(d)(e) | 77778 | 78069 |
|  |  | 492064 |
| TOTAL INDUSTRIALS |  | 2955762 |
| Information Technology - 0.2% |  |  |
| Communications Equipment - 0.0% |  |  |
| CommScope LLC 1LN, term loan CME Term SOFR 1 month Index + 5.25%, 9.5768% 12/17/2029 (b)(d)(e) | 152000 | 153309 |
| IT Services - 0.1% |  |  |
| Constant Contact Inc 2LN, term loan CME Term SOFR 3 month Index + 7.5%, 12.0177% 2/12/2029 (b)(d)(e) | 50000 | 40312 |
| Constant Contact Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4%, 8.5177% 2/10/2028 (b)(d)(e) | 690273 | 646703 |
| X Corp 1LN, term loan 9.5% 10/26/2029 (e) | 615000 | 611827 |
| X Corp Tranche B1 1LN, term loan CME Term SOFR 3 month Index + 6.5%, 10.9492% 10/26/2029 (b)(d)(e) | 494056 | 489046 |
|  |  | 1787888 |
| Software - 0.1% |  |  |
| Dcert Buyer Inc 1LN, term loan CME Term SOFR 1 month Index + 4%, 8.3268% 10/16/2026 (b)(d)(e) | 1968509 | 1940517 |
| Dcert Buyer Inc Tranche B 2LN, term loan CME Term SOFR 1 month Index + 7%, 11.3268% 2/19/2029 (b)(d)(e) | 230000 | 198375 |
| Leia Finco US LLC 2LN, term loan CME Term SOFR 3 month Index + 5.25%, 9.4576% 10/9/2032 (b)(d)(e) | 120000 | 116940 |
| Polaris Newco LLC Tranche B 1LN, term loan CME Term SOFR 3 month Index + 3.75%, 8.2913% 6/2/2028 (b)(d)(e) | 429406 | 415549 |
| Polaris Newco LLC Tranche PIK TERM 2LN, term loan CME Term SOFR 1 month Index + 2%, 13.4327% 6/4/2029 (b)(d)(e) | 335000 | 321915 |
|  |  | 2993296 |
| Technology Hardware, Storage & Peripherals - 0.0% |  |  |
| Sandisk Corp/DE Tranche B 1LN, term loan CME Term SOFR 3 month Index + 3%, 7.3215% 2/20/2032 (b)(d)(e) | 970000 | 955450 |
| TOTAL INFORMATION TECHNOLOGY |  | 5889943 |
| Materials - 0.1% |  |  |
| Chemicals - 0.1% |  |  |
| American Rock Salt Co LLC 1LN, term loan CME Term SOFR 1 month Index + 4%, 8.5943% 6/9/2028 (b)(d)(e) | 257326 | 210795 |
| American Rock Salt Co LLC Tranche 1ST OUT DD TL 1LN, term loan CME Term SOFR 3 month Index + 6.5%, 2% 6/9/2028 (b)(d)(e)(g) | 45153 | 45153 |
| American Rock Salt Co LLC Tranche 1ST OUT TL B 1LN, term loan CME Term SOFR 3 month Index + 6.5%, 11.5943% 6/9/2028 (b)(d)(e) | 71445 | 71445 |
| Herens US Holdco Corp Tranche B 1LN, term loan CME Term SOFR 3 month Index + 3.925%, 8.3242% 7/3/2028 (b)(d)(e) | 553201 | 524789 |
| Hexion Holdings Corp 1LN, term loan CME Term SOFR 1 month Index + 4%, 8.3252% 3/15/2029 (b)(d)(e) | 640000 | 635315 |
| Hexion Inc 2LN, term loan CME Term SOFR 1 month Index + 7.4375%, 11.8643% 3/15/2030 (b)(d)(e) | 49412 | 47451 |
| M2S Group Intermediate Holdings Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4.75%, 9.0326% 8/25/2031 (b)(d)(e) | 884218 | 845533 |
| TPC Group Inc 1LN, term loan CME Term SOFR 1 month Index + 5.75%, 9.9524% 12/16/2031 (b)(d)(e) | 865000 | 828955 |
|  |  | 3209436 |
| Metals & Mining - 0.0% |  |  |
| Vibrantz Technologies Inc 1LN, term loan CME Term SOFR 3 month Index + 4.25%, 0% 4/23/2029 (b)(d)(e)(f) | 555000 | 487362 |
| TOTAL MATERIALS |  | 3696798 |
| Utilities - 0.0% |  |  |
| Independent Power and Renewable Electricity Producers - 0.0% |  |  |
| Natgasoline LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 5.5%, 9.7992% 3/29/2030 (b)(d)(e) | 1099004 | 1085266 |
| Win Waste Innovations Holdings Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.75%, 7.1913% 3/24/2028 (b)(d)(e) | 1050579 | 1041712 |
|  |  | 2126978 |
| TOTAL UNITED STATES |  | 29904762 |
| <br> **TOTAL BANK LOAN OBLIGATIONS**<br> (Cost $32,630,533) |  | <br> **31506451** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Bank Notes - 0.0%** | &nbsp;&nbsp;**Bank Notes - 0.0%** | &nbsp;&nbsp;**Bank Notes - 0.0%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 0.0%  |  |  |
| Financials - 0.0% |  |  |
| Banks - 0.0% |  |  |
| Capital One NA USD SOFR Spread-Adj ICE Swap Rate 5Y + 1.73%, 5.974% 8/9/2028 (b)(d) | 401000 | 408909 |
| Regions Bank/Birmingham AL 6.45% 6/26/2037  | 250000 | 254081 |
| <br> **TOTAL BANK NOTES**<br> (Cost $691,065) |  | <br> **662990** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Collateralized Mortgage Obligations - 2.3%** | &nbsp;&nbsp;**Collateralized Mortgage Obligations - 2.3%** | &nbsp;&nbsp;**Collateralized Mortgage Obligations - 2.3%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 2.3%  |  |  |
| Bravo Residential Fdg Tr 2025-Nqm5 Series 2025-NQM5 Class A1, 5.496% 2/25/2065 (c)(k) | 1100000 | 1100555 |
| Bravo Residential Funding Trust Series 2023-RPL1 Class A1, 5% 5/25/2063 (c) | 951893 | 940325 |
| CFMT LLC Series 2022-HB10 Class A, 3.25% 11/25/2035 (c) | 397379 | 394208 |
| CFMT LLC Series 2024-HB13 Class A, 3% 5/25/2034 (c)(d) | 966288 | 947525 |
| CFMT LLC Series 2024-HB15 Class A, 4% 8/25/2034 (c)(d) | 613192 | 606657 |
| CFMT Series 2025-HB16 Class A, 3% 3/25/2035 (c)(d) | 979300 | 954816 |
| CIM Trust Series 2025-NR1 Class A1, 5% 6/25/2064 (c) | 2427062 | 2340353 |
| CIM Trust Series 2025-R1 Class A1, 5% 2/25/2099 (c) | 3309666 | 3248514 |
| Cross Mortgage Trust Series 2025-H4 Class A1, 5.596% 6/25/2070 (c)(d) | 1300000 | 1301933 |
| Fannie Mae Guaranteed REMIC Series 1999-17 Class PG, 6% 4/25/2029  | 1203 | 1220 |
| Fannie Mae Guaranteed REMIC Series 1999-25 Class Z, 6% 6/25/2029  | 1397 | 1403 |
| Fannie Mae Guaranteed REMIC Series 1999-32 Class PL, 6% 7/25/2029  | 1763 | 1793 |
| Fannie Mae Guaranteed REMIC Series 1999-33 Class PK, 6% 7/25/2029  | 1276 | 1297 |
| Fannie Mae Guaranteed REMIC Series 2001-20 Class Z, 6% 5/25/2031  | 1739 | 1763 |
| Fannie Mae Guaranteed REMIC Series 2001-31 Class ZC, 6.5% 7/25/2031  | 725 | 734 |
| Fannie Mae Guaranteed REMIC Series 2001-38 Class QF, U.S. 30-Day Avg. SOFR Index + 1.0945%, 5.4165% 8/25/2031 (b)(d) | 1593 | 1606 |
| Fannie Mae Guaranteed REMIC Series 2001-52 Class YZ, 6.5% 10/25/2031  | 299 | 308 |
| Fannie Mae Guaranteed REMIC Series 2002-16 Class ZD, 6.5% 4/25/2032  | 856 | 881 |
| Fannie Mae Guaranteed REMIC Series 2002-18 Class FD, U.S. 30-Day Avg. SOFR Index + 0.9145%, 5.2365% 2/25/2032 (b)(d) | 180 | 180 |
| Fannie Mae Guaranteed REMIC Series 2002-39 Class FD, U.S. 30-Day Avg. SOFR Index + 1.1145%, 5.4444% 3/18/2032 (b)(d) | 328 | 331 |
| Fannie Mae Guaranteed REMIC Series 2002-60 Class FV, U.S. 30-Day Avg. SOFR Index + 1.1145%, 5.4365% 4/25/2032 (b)(d) | 664 | 668 |
| Fannie Mae Guaranteed REMIC Series 2002-63 Class FN, U.S. 30-Day Avg. SOFR Index + 1.1145%, 5.4365% 10/25/2032 (b)(d) | 409 | 412 |
| Fannie Mae Guaranteed REMIC Series 2002-7 Class FC, U.S. 30-Day Avg. SOFR Index + 0.8645%, 5.1865% 1/25/2032 (b)(d) | 169 | 169 |
| Fannie Mae Guaranteed REMIC Series 2002-74 Class FV, U.S. 30-Day Avg. SOFR Index + 0.5645%, 4.8865% 11/25/2032 (b)(d) | 2006 | 2005 |
| Fannie Mae Guaranteed REMIC Series 2002-74 Class SV, 7.4355% - U.S. 30-Day Avg. SOFR Index 3.1136% 11/25/2032 (d)(h) | 418 | 11 |
| Fannie Mae Guaranteed REMIC Series 2002-75 Class FA, U.S. 30-Day Avg. SOFR Index + 1.1145%, 5.4365% 11/25/2032 (b)(d) | 650 | 654 |
| Fannie Mae Guaranteed REMIC Series 2003-118 Class S, 7.9855% - U.S. 30-Day Avg. SOFR Index 3.6636% 12/25/2033 (d)(h) | 6848 | 790 |
| Fannie Mae Guaranteed REMIC Series 2003-21 Class SK, 7.9855% - U.S. 30-Day Avg. SOFR Index 3.6636% 3/25/2033 (d)(h) | 369 | 38 |
| Fannie Mae Guaranteed REMIC Series 2003-70 Class BJ, 5% 7/25/2033  | 11571 | 11538 |
| Fannie Mae Guaranteed REMIC Series 2004-52 Class KZ, 5.5% 7/25/2034  | 52738 | 53213 |
| Fannie Mae Guaranteed REMIC Series 2004-91 Class Z, 5% 12/25/2034  | 121242 | 120977 |
| Fannie Mae Guaranteed REMIC Series 2005-117 Class JN, 4.5% 1/25/2036  | 9715 | 9501 |
| Fannie Mae Guaranteed REMIC Series 2005-14 Class ZB, 5% 3/25/2035  | 37149 | 37041 |
| Fannie Mae Guaranteed REMIC Series 2005-47 Class SW, 6.6055% - U.S. 30-Day Avg. SOFR Index 2.2836% 6/25/2035 (d)(h) | 8649 | 639 |
| Fannie Mae Guaranteed REMIC Series 2005-68 Class CZ, 5.5% 8/25/2035  | 151668 | 153579 |
| Fannie Mae Guaranteed REMIC Series 2005-72 Class ZC, 5.5% 8/25/2035  | 26544 | 27338 |
| Fannie Mae Guaranteed REMIC Series 2005-79 Class ZC, 5.9% 9/25/2035  | 17032 | 16724 |
| Fannie Mae Guaranteed REMIC Series 2005-81 Class PC, 5.5% 9/25/2035  | 3894 | 3975 |
| Fannie Mae Guaranteed REMIC Series 2006-104 Class GI, 6.5655% - U.S. 30-Day Avg. SOFR Index 2.2436% 11/25/2036 (d)(h) | 5184 | 499 |
| Fannie Mae Guaranteed REMIC Series 2006-116 Class SG, 6.5255% - U.S. 30-Day Avg. SOFR Index 2.2036% 12/25/2036 (d)(h) | 3104 | 310 |
| Fannie Mae Guaranteed REMIC Series 2006-12 Class BO, 0% 10/25/2035 (i) | 4160 | 3703 |
| Fannie Mae Guaranteed REMIC Series 2006-15 Class OP, 0% 3/25/2036 (i) | 6751 | 5741 |
| Fannie Mae Guaranteed REMIC Series 2006-72 Class CY, 6% 8/25/2026  | 3240 | 3244 |
| Fannie Mae Guaranteed REMIC Series 2007-40 Class SE, 6.3255% - U.S. 30-Day Avg. SOFR Index 2.0036% 5/25/2037 (d)(h) | 1739 | 191 |
| Fannie Mae Guaranteed REMIC Series 2007-66 Class SA, U.S. 30-Day Avg. SOFR Index + 38.9131%, 12.9813% 7/25/2037 (b)(d) | 2082 | 2589 |
| Fannie Mae Guaranteed REMIC Series 2009-59 Class HB, 5% 8/25/2039  | 67776 | 67765 |
| Fannie Mae Guaranteed REMIC Series 2010-135 Class ZA, 4.5% 12/25/2040  | 8693 | 8310 |
| Fannie Mae Guaranteed REMIC Series 2010-150 Class ZC, 4.75% 1/25/2041  | 69709 | 68525 |
| Fannie Mae Guaranteed REMIC Series 2011-39 Class ZA, 6% 11/25/2032  | 7766 | 7949 |
| Fannie Mae Guaranteed REMIC Series 2011-4 Class PZ, 5% 2/25/2041  | 26591 | 26336 |
| Fannie Mae Guaranteed REMIC Series 2011-67 Class AI, 4% 7/25/2026 (h) | 558 | 2 |
| Fannie Mae Guaranteed REMIC Series 2012-100 Class WI, 3% 9/25/2027 (h) | 12350 | 274 |
| Fannie Mae Guaranteed REMIC Series 2012-149 Class DA, 1.75% 1/25/2043  | 33549 | 31067 |
| Fannie Mae Guaranteed REMIC Series 2012-149 Class GA, 1.75% 6/25/2042  | 43401 | 40111 |
| Fannie Mae Guaranteed REMIC Series 2012-67 Class AI, 4.5% 7/25/2027 (h) | 72 | 1 |
| Fannie Mae Guaranteed REMIC Series 2012-70 Class FB, U.S. 30-Day Avg. SOFR Index + 0.5645%, 4.8865% 7/25/2042 (b)(d) | 1317266 | 1306417 |
| Fannie Mae Guaranteed REMIC Series 2012-9 Class SH, 6.4355% - U.S. 30-Day Avg. SOFR Index 2.1136% 6/25/2041 (d)(h) | 183 | 0 |
| Fannie Mae Guaranteed REMIC Series 2013-133 Class IB, 3% 4/25/2032 (h) | 669 | 2 |
| Fannie Mae Guaranteed REMIC Series 2013-134 Class SA, 5.9355% - U.S. 30-Day Avg. SOFR Index 1.6136% 1/25/2044 (d)(h) | 8782 | 952 |
| Fannie Mae Guaranteed REMIC Series 2015-42 Class IL, 6% 6/25/2045 (h) | 45519 | 6620 |
| Fannie Mae Guaranteed REMIC Series 2015-70 Class JC, 3% 10/25/2045  | 53459 | 50494 |
| Fannie Mae Guaranteed REMIC Series 2016-3 Class PL, 2.5% 2/25/2046  | 5431360 | 4625215 |
| Fannie Mae Guaranteed REMIC Series 2017-30 Class AI, 5.5% 5/25/2047 (h) | 25958 | 3719 |
| Fannie Mae Guaranteed REMIC Series 2017-32 Class PA, 2.7% 5/25/2047  | 4795933 | 4320864 |
| Fannie Mae Guaranteed REMIC Series 2017-37 Class AB, 2.55% 9/25/2046  | 938206 | 853968 |
| Fannie Mae Guaranteed REMIC Series 2018-45 Class GI, 4% 6/25/2048 (h) | 354658 | 74861 |
| Fannie Mae Guaranteed REMIC Series 2019-76 Class FC, U.S. 30-Day Avg. SOFR Index + 0.6145%, 4.9365% 12/25/2049 (b)(d) | 698694 | 682777 |
| Fannie Mae Guaranteed REMIC Series 2020-45 Class JC, 1.5% 7/25/2040  | 1034452 | 853434 |
| Fannie Mae Guaranteed REMIC Series 2020-49 Class LA, 2% 3/25/2043  | 2354822 | 2209615 |
| Fannie Mae Guaranteed REMIC Series 2020-51 Class BA, 2% 6/25/2046  | 694142 | 605491 |
| Fannie Mae Guaranteed REMIC Series 2021-21 Class HG, 2% 11/25/2047  | 1889204 | 1669800 |
| Fannie Mae Guaranteed REMIC Series 2021-45 Class DA, 3% 7/25/2051  | 355426 | 308343 |
| Fannie Mae Guaranteed REMIC Series 2021-66 Class DA, 2% 1/25/2048  | 125604 | 102724 |
| Fannie Mae Guaranteed REMIC Series 2021-66 Class DM, 2% 1/25/2048  | 133481 | 109166 |
| Fannie Mae Guaranteed REMIC Series 2021-69 Class JK, 1.5% 10/25/2051  | 182871 | 153862 |
| Fannie Mae Guaranteed REMIC Series 2021-77 Class CH, 1.5% 8/25/2050  | 175844 | 142277 |
| Fannie Mae Guaranteed REMIC Series 2021-85 Class L, 2.5% 8/25/2048  | 108372 | 93829 |
| Fannie Mae Guaranteed REMIC Series 2021-95 Class BA, 2.5% 6/25/2049  | 803040 | 688248 |
| Fannie Mae Guaranteed REMIC Series 2021-95, 2.5% 9/25/2048  | 538766 | 467688 |
| Fannie Mae Guaranteed REMIC Series 2021-96 Class AH, 2.5% 3/25/2049  | 3915803 | 3366008 |
| Fannie Mae Guaranteed REMIC Series 2021-96 Class HA, 2.5% 2/25/2050  | 173713 | 148018 |
| Fannie Mae Guaranteed REMIC Series 2022-1 Class KA, 3% 5/25/2048  | 165841 | 150587 |
| Fannie Mae Guaranteed REMIC Series 2022-11 Class B, 3% 6/25/2049  | 207295 | 189908 |
| Fannie Mae Guaranteed REMIC Series 2022-12 Class EA, 2.25% 9/25/2046  | 2667254 | 2400828 |
| Fannie Mae Guaranteed REMIC Series 2022-12 Class GD, 2.25% 3/25/2052  | 322579 | 290109 |
| Fannie Mae Guaranteed REMIC Series 2022-13 Class HA, 3% 8/25/2046  | 192578 | 178704 |
| Fannie Mae Guaranteed REMIC Series 2022-13 Class JA, 3% 5/25/2048  | 360389 | 327421 |
| Fannie Mae Guaranteed REMIC Series 2022-13 Class MA, 3% 5/25/2044  | 2858705 | 2700333 |
| Fannie Mae Guaranteed REMIC Series 2022-15 Class GC, 3% 1/25/2047  | 173464 | 160601 |
| Fannie Mae Guaranteed REMIC Series 2022-17 Class BH, 3% 5/25/2047  | 188084 | 176754 |
| Fannie Mae Guaranteed REMIC Series 2022-2 Class TH, 2.5% 2/25/2052  | 135420 | 122751 |
| Fannie Mae Guaranteed REMIC Series 2022-20 Class HC, 2.5% 4/25/2052  | 1785234 | 1603449 |
| Fannie Mae Guaranteed REMIC Series 2022-25 Class AB, 4% 9/25/2047  | 330569 | 322334 |
| Fannie Mae Guaranteed REMIC Series 2022-3 Class D, 2% 2/25/2048  | 782258 | 683920 |
| Fannie Mae Guaranteed REMIC Series 2022-3 Class N, 2% 10/25/2047  | 1963300 | 1695896 |
| Fannie Mae Guaranteed REMIC Series 2022-4 Class B, 2.5% 5/25/2049  | 127592 | 109538 |
| Fannie Mae Guaranteed REMIC Series 2022-4 Class YT, 2% 2/25/2052  | 354215 | 314112 |
| Fannie Mae Guaranteed REMIC Series 2022-49 Class TC, 4% 12/25/2048  | 130213 | 126391 |
| Fannie Mae Guaranteed REMIC Series 2022-5 Class BA, 2.5% 12/25/2049  | 334058 | 282097 |
| Fannie Mae Guaranteed REMIC Series 2022-5 Class DA, 2.25% 11/25/2047  | 710556 | 621299 |
| Fannie Mae Guaranteed REMIC Series 2022-53 Class FG, U.S. 30-Day Avg. SOFR Index + 0.8%, 5.122% 8/25/2052 (b)(d) | 1667411 | 1616772 |
| Fannie Mae Guaranteed REMIC Series 2022-56 Class FJ, U.S. 30-Day Avg. SOFR Index + 0.8%, 5.122% 9/25/2052 (b)(d) | 3504498 | 3398068 |
| Fannie Mae Guaranteed REMIC Series 2022-64 Class GF, U.S. 30-Day Avg. SOFR Index + 0.8%, 5.122% 10/25/2052 (b)(d) | 1181183 | 1157557 |
| Fannie Mae Guaranteed REMIC Series 2022-67 Class FA, U.S. 30-Day Avg. SOFR Index + 0.8%, 5.122% 10/25/2052 (b)(d) | 4115919 | 3992867 |
| Fannie Mae Guaranteed REMIC Series 2022-69 Class AB, 4.5% 1/25/2044  | 538165 | 527437 |
| Fannie Mae Guaranteed REMIC Series 2022-7 Class A, 3% 5/25/2048  | 234992 | 213446 |
| Fannie Mae Guaranteed REMIC Series 2022-7 Class E, 2.5% 11/25/2047  | 776598 | 687374 |
| Fannie Mae Guaranteed REMIC Series 2023-13 Class CK, 1.5% 11/25/2050  | 1214793 | 961794 |
| Fannie Mae Guaranteed REMIC Series 2023-53 Class FD, U.S. 30-Day Avg. SOFR Index + 1.5%, 5.822% 11/25/2053 (b)(d) | 1379271 | 1388491 |
| Fannie Mae Guaranteed REMIC Series 2023-54 Class FD, U.S. 30-Day Avg. SOFR Index + 1.45%, 5.772% 11/25/2053 (b)(d) | 5020071 | 5055750 |
| Fannie Mae Guaranteed REMIC Series 2024-41 Class FB, U.S. 30-Day Avg. SOFR Index + 1.53%, 5.852% 7/25/2054 (b)(d) | 666935 | 667061 |
| Fannie Mae Guaranteed REMIC Series 2024-90 Class FD, U.S. 30-Day Avg. SOFR Index + 1.2%, 5.522% 12/25/2054 (b)(d) | 4462475 | 4449711 |
| Fannie Mae Guaranteed REMIC Series 2024-93 Class FG, U.S. 30-Day Avg. SOFR Index + 1.1%, 5.422% 12/25/2054 (b)(d) | 1212706 | 1211199 |
| Fannie Mae Mortgage pass-thru certificates Series 1997-41 Class J, 7.5% 6/18/2027  | 154 | 156 |
| Fannie Mae Mortgage pass-thru certificates Series 2006-45 Class OP, 0% 6/25/2036 (i) | 2171 | 1812 |
| Fannie Mae Mortgage pass-thru certificates Series 2006-62 Class KP, 0% 4/25/2036 (i) | 3416 | 2860 |
| Fannie Mae Mortgage pass-thru certificates Series 2020-47 Class DG, 2% 4/25/2042  | 3227289 | 3034342 |
| Fannie Mae Mortgage pass-thru certificates Series 2020-55 Class A, 2% 5/25/2043  | 665582 | 606133 |
| Fannie Mae Mortgage pass-thru certificates Series 2020-56 Class AH, 2% 5/25/2045  | 603206 | 560107 |
| Fannie Mae Mortgage pass-thru certificates Series 2020-63 Class DA, 2% 9/25/2045  | 338234 | 302466 |
| Fannie Mae Mortgage pass-thru certificates Series 2024-100 Class EF, U.S. 30-Day Avg. SOFR Index + 1.2%, 5.522% 6/25/2054 (b)(d) | 2027055 | 2018573 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-4 Class FH, U.S. 30-Day Avg. SOFR Index + 1.2%, 5.522% 9/25/2054 (b)(d) | 2195938 | 2189146 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-7 Class AF, U.S. 30-Day Avg. SOFR Index + 1.4%, 5.722% 2/25/2055 (b)(d) | 3549823 | 3542314 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-7 Class DF, U.S. 30-Day Avg. SOFR Index + 1.4%, 5.722% 9/25/2054 (b)(d) | 3595649 | 3584597 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-7 Class FB, U.S. 30-Day Avg. SOFR Index + 1.2%, 5.522% 2/25/2055 (b)(d) | 2000058 | 1994044 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-7 Class FE, U.S. 30-Day Avg. SOFR Index + 1.15%, 5.472% 2/25/2055 (b)(d) | 1931653 | 1926417 |
| Fannie Mae Series 2010-118 Class PB, 4.5% 10/25/2040  | 124688 | 123046 |
| Fannie Mae Series 2010-15 Class FJ, U.S. 30-Day Avg. SOFR Index + 1.0445%, 5.3665% 6/25/2036 (b)(d) | 141416 | 142398 |
| Fannie Mae Series 2010-39 Class FG, U.S. 30-Day Avg. SOFR Index + 1.0345%, 5.3565% 3/25/2036 (b)(d) | 102236 | 102913 |
| Fannie Mae Series 2010-95 Class ZC, 5% 9/25/2040  | 147261 | 138848 |
| Fannie Mae Series 2022-28 Class A, 2.5% 2/25/2052  | 617813 | 580002 |
| Fannie Mae Series 2022-30 Class E, 4.5% 7/25/2048  | 426137 | 418826 |
| Fannie Mae Series 2022-9 Class BA, 3% 5/25/2048  | 199625 | 181285 |
| Fannie Mae Stripped Mortgage-Backed Securities Series 2003-339 Class 5, 5.5% 7/25/2033 (h) | 1742 | 249 |
| Fannie Mae Stripped Mortgage-Backed Securities Series 2003-343 Class 16, 5.5% 5/25/2034 (h) | 1593 | 234 |
| Fannie Mae Stripped Mortgage-Backed Securities Series 2003-348 Class 14, 6.5% 8/25/2034 (d)(h) | 1077 | 193 |
| Fannie Mae Stripped Mortgage-Backed Securities Series 2004-351 Class 13, 6% 3/25/2034 (h) | 1001 | 169 |
| Fannie Mae Stripped Mortgage-Backed Securities Series 2007-384 Class 6, 5% 7/25/2037 (h) | 6827 | 1098 |
| Freddie Mac Manufactured Housing participation certificates Series 1998-2043 Class ZH, 6% 4/15/2028  | 444 | 451 |
| Freddie Mac Manufactured Housing participation certificates Series 1998-2056 Class Z, 6% 5/15/2028  | 1303 | 1324 |
| Freddie Mac Multiclass Mortgage participation certificates Series 2014-4341 Class ML, 3.5% 11/15/2031  | 122549 | 118970 |
| Freddie Mac Multiclass Mortgage participation certificates Series 2014-4386 Class AZ, 4.5% 11/15/2040  | 79406 | 77274 |
| Freddie Mac Multiclass Mortgage participation certificates Series 2021-5148 Class D, 1.75% 10/25/2051  | 4776559 | 3687039 |
| Freddie Mac Multiclass Mortgage participation certificates Series 2021-5159 Class EA, 2.5% 8/25/2048  | 182564 | 158086 |
| Freddie Mac Multiclass Mortgage participation certificates Series 2021-5159 Class GC, 2% 11/25/2047  | 100991 | 86903 |
| Freddie Mac Multiclass Mortgage participation certificates Series 2021-5164 Class M, 2.5% 7/25/2048  | 186479 | 161695 |
| Freddie Mac Multiclass Mortgage participation certificates Series 2021-5165 Class PC, 1.5% 11/25/2051  | 230611 | 193919 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 1997-1929 Class EZ, 7.5% 2/17/2027  | 99 | 99 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 1999-2121 Class MG, 6% 2/15/2029  | 646 | 659 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 1999-2131 Class BG, 6% 3/15/2029  | 4896 | 4993 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 1999-2135 Class JE, 6% 3/15/2029  | 286 | 292 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 1999-2137 Class PG, 6% 3/15/2029  | 751 | 765 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 1999-2145 Class MZ, 6.5% 4/15/2029  | 5328 | 5405 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 1999-2154 Class PT, 6% 5/15/2029  | 1367 | 1394 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2000-2218 Class ZB, 6% 3/15/2030  | 848 | 864 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2001-2274 Class ZM, 6.5% 1/15/2031  | 469 | 474 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2001-2303 Class ZV, 6% 4/15/2031  | 2699 | 2764 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2001-2357 Class ZB, 6.5% 9/15/2031  | 10066 | 10316 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2412 Class FK, U.S. 30-Day Avg. SOFR Index + 0.9145%, 5.2468% 1/15/2032 (b)(d) | 134 | 134 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2423 Class FA, U.S. 30-Day Avg. SOFR Index + 1.0145%, 5.3468% 3/15/2032 (b)(d) | 189 | 190 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2424 Class FM, U.S. 30-Day Avg. SOFR Index + 1.1145%, 5.4468% 3/15/2032 (b)(d) | 182 | 183 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2432 Class FE, U.S. 30-Day Avg. SOFR Index + 1.0145%, 5.3468% 6/15/2031 (b)(d) | 293 | 294 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2432 Class FG, U.S. 30-Day Avg. SOFR Index + 1.0145%, 5.3468% 3/15/2032 (b)(d) | 103 | 103 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2502 Class ZC, 6% 9/15/2032  | 1271 | 1301 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2519 Class ZD, 5.5% 11/15/2032  | 1773 | 1791 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2520 Class BE, 6% 11/15/2032  | 3393 | 3486 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2526 Class FC, U.S. 30-Day Avg. SOFR Index + 0.5145%, 4.8468% 11/15/2032 (b)(d) | 2037 | 2034 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2003-2693 Class MD, 5.5% 10/15/2033  | 7575 | 7675 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2003-2711 Class FC, U.S. 30-Day Avg. SOFR Index + 1.0145%, 5.3468% 2/15/2033 (b)(d) | 38583 | 38798 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2004-2770 Class FH, U.S. 30-Day Avg. SOFR Index + 0.5145%, 4.8468% 3/15/2034 (b)(d) | 50645 | 50256 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2004-2802 Class OB, 6% 5/15/2034  | 4741 | 4833 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2004-2877 Class ZD, 5% 10/15/2034  | 146048 | 145903 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2005-2933 Class ZM, 5.75% 2/15/2035  | 36514 | 36147 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2005-2947 Class XZ, 6% 3/15/2035  | 14321 | 14661 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2005-2996 Class MK, 5.5% 6/15/2035  | 1573 | 1596 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2005-2996 Class ZD, 5.5% 6/15/2035  | 23011 | 22676 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2005-2998 Class LY, 5.5% 7/15/2025  | 20 | 20 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2005-3002 Class NE, 5% 7/15/2035  | 7608 | 7751 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2005-3007 Class EW, 5.5% 7/15/2025  | 33 | 33 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3110 Class OP, 0% 9/15/2035 (i) | 401 | 395 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3115 Class SM, 6.4855% - U.S. 30-Day Avg. SOFR Index 2.1532% 2/15/2036 (d)(h) | 2364 | 213 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3119 Class PO, 0% 2/15/2036 (i) | 8143 | 6668 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3123 Class LO, 0% 3/15/2036 (i) | 4411 | 3656 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3189 Class PD, 6% 7/15/2036  | 7666 | 7939 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3237 Class C, 5.5% 11/15/2036  | 31542 | 32226 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3244 Class SG, 6.5455% - U.S. 30-Day Avg. SOFR Index 2.2132% 11/15/2036 (d)(h) | 10977 | 963 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3258 Class PM, 5.5% 12/15/2036  | 2346 | 2404 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2007-3336 Class LI, 6.4655% - U.S. 30-Day Avg. SOFR Index 2.1332% 6/15/2037 (d)(h) | 7321 | 816 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2007-3366 Class FD, U.S. 30-Day Avg. SOFR Index + 0.3645%, 4.6968% 5/15/2037 (b)(d) | 8555 | 8447 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2008-3415 Class PC, 5% 12/15/2037  | 26597 | 26712 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2011-3832 Class PE, 5% 3/15/2041  | 35745 | 35827 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2011-3843 Class PZ, 5% 4/15/2041  | 205247 | 205456 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2011-3857 Class ZP, 5% 5/15/2041  | 289170 | 289495 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2011-3949 Class MK, 4.5% 10/15/2034  | 5403 | 5330 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2012-4135 Class AB, 1.75% 6/15/2042  | 32670 | 30377 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2013-4281 Class AI, 4% 12/15/2028 (h) | 5 | 0 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2014-4314 Class AI, 5% 3/15/2034 (h) | 31 | 0 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2015-4427 Class LI, 3.5% 2/15/2034 (h) | 18129 | 653 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2015-4471 Class PA, 4% 12/15/2040  | 15596 | 15402 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-4683 Class LM, 3% 5/15/2047  | 64763 | 61742 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-4690 Class CA, 3% 11/15/2036  | 1598226 | 1536520 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-4954 Class KE, 1.5% 2/25/2050  | 206021 | 164613 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-5000 Class BA, 2% 4/25/2045  | 491899 | 442831 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-5001 Class A, 2% 1/25/2045  | 402413 | 366600 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-5002 Class TJ, 2% 7/25/2050  | 122412 | 102623 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-5018 Class LC, 3% 10/25/2040  | 119362 | 106367 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-5058 Class BE, 3% 11/25/2050  | 408360 | 343015 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5077 Class ME, 2% 8/15/2048  | 4884874 | 4121235 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5083 Class BA, 2.5% 5/25/2032  | 402917 | 398522 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5083 Class VA, 1% 8/15/2038  | 267933 | 253412 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5092 Class CL, 3% 4/25/2041  | 1361271 | 1232716 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5115 Class A, 2% 3/25/2040  | 492138 | 433872 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5139 Class JC, 2% 8/25/2040  | 473854 | 409690 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5141 Class JM, 1.5% 4/25/2051  | 137826 | 114153 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5147 Class WN, 2% 1/25/2040  | 501848 | 438859 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5148 Class AD, 1.5% 10/25/2051  | 181642 | 152399 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5148 Class PC, 1.5% 10/25/2051  | 179354 | 148784 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5169 Class BA, 2.5% 5/25/2049  | 516849 | 443099 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5169 Class TP, 2.5% 6/25/2049  | 185247 | 158388 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5175 Class CB, 2.5% 4/25/2050  | 636995 | 545797 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5178 Class CT, 2% 11/25/2040  | 514394 | 442485 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5178 Class TP, 2.5% 4/25/2049  | 444275 | 381097 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5180 Class KA, 2.5% 10/25/2047  | 126140 | 111206 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5182 Class A, 2.5% 10/25/2048  | 841296 | 730264 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5189 Class DA, 2.5% 5/25/2049  | 113977 | 97686 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5189 Class TP, 2.5% 5/25/2049  | 288242 | 247007 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5190 Class BA, 2.5% 11/25/2047  | 124182 | 109390 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5190 Class CA, 2.5% 5/25/2049  | 241539 | 206927 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5191 Class CA, 2.5% 4/25/2050  | 148450 | 125176 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5196 Class ME, 1.75% 2/25/2052  | 2131023 | 1861796 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5197 Class A, 2.5% 6/25/2049  | 241540 | 206927 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5197 Class DA, 2.5% 11/25/2047  | 94222 | 83088 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5198 Class BA, 2.5% 11/25/2047  | 382252 | 339378 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5199 Class PH, 2.25% 3/25/2052  | 427000 | 369017 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5202 Class AG, 3% 1/25/2049  | 124322 | 112338 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5202 Class BC, 3% 5/25/2048  | 513869 | 466665 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5202 Class LB, 2.5% 10/25/2047  | 100998 | 89196 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5202 Class UA, 3% 4/25/2050  | 191044 | 168576 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5210 Class TA, 3.5% 11/25/2046  | 115558 | 108140 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5213 Class AH, 2.25% 4/25/2037  | 422070 | 394882 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5214 Class CB, 3.25% 4/25/2052  | 761480 | 710214 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5214 Class CG, 3.5% 4/25/2052  | 249212 | 234863 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5220 Class PK, 3.5% 1/25/2051  | 401959 | 378258 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5236 Class P, 5% 4/25/2048  | 218222 | 218020 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5266 Class CD, 4.5% 10/25/2044  | 465606 | 459944 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2024-5459 Class FD, U.S. 30-Day Avg. SOFR Index + 1%, 5.322% 10/25/2054 (b)(d) | 861039 | 856102 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5499 Class NF, U.S. 30-Day Avg. SOFR Index + 1.15%, 5.472% 2/25/2055 (b)(d) | 5160047 | 5137723 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5499 Class WF, U.S. 30-Day Avg. SOFR Index + 1.2%, 5.522% 2/25/2055 (b)(d) | 1801086 | 1785628 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5500 Class FV, U.S. 30-Day Avg. SOFR Index + 1.25%, 5.572% 10/25/2054 (b)(d) | 3401485 | 3395110 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5509 Class FB, U.S. 30-Day Avg. SOFR Index + 1.15%, 5.472% 2/25/2055 (b)(d) | 3632429 | 3621893 |
| Freddie Mac Non Gold Pool Series 1998-2095 Class PE, 6% 11/15/2028  | 1583 | 1612 |
| Freddie Mac Non Gold Pool Series 1998-2101 Class PD, 6% 11/15/2028  | 885 | 900 |
| Freddie Mac Non Gold Pool Series 1999-2162 Class PH, 6% 6/15/2029  | 237 | 240 |
| Ginnie Mae Mortgage pass-thru certificates Series 2010-H10 Class FA, CME Term SOFR 1 month Index + 0.4445%, 4.7663% 5/20/2060 (b)(d)(j) | 13158 | 13172 |
| Ginnie Mae Mortgage pass-thru certificates Series 2010-H19 Class FG, CME Term SOFR 1 month Index + 0.4145%, 4.7334% 8/20/2060 (b)(d)(j) | 124899 | 125021 |
| Ginnie Mae Mortgage pass-thru certificates Series 2010-H27 Class FA, CME Term SOFR 1 month Index + 0.38%, 4.8134% 12/20/2060 (b)(d)(j) | 69086 | 69244 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H05 Class FA, CME Term SOFR 1 month Index + 0.6145%, 4.9334% 12/20/2060 (b)(d)(j) | 67161 | 67402 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H07 Class FA, CME Term SOFR 1 month Index + 0.6145%, 4.9334% 2/20/2061 (b)(d)(j) | 66220 | 66493 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H12 Class FA, CME Term SOFR 1 month Index + 0.6045%, 4.9234% 2/20/2061 (b)(d)(j) | 75423 | 75725 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H13 Class FA, CME Term SOFR 1 month Index + 0.6145%, 4.9334% 4/20/2061 (b)(d)(j) | 67163 | 67398 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H14 Class FB, CME Term SOFR 1 month Index + 0.6145%, 4.9334% 5/20/2061 (b)(d)(j) | 61561 | 61829 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H14 Class FC, CME Term SOFR 1 month Index + 0.6145%, 4.9334% 5/20/2061 (b)(d)(j) | 62162 | 62399 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H17 Class FA, CME Term SOFR 1 month Index + 0.6445%, 4.9634% 6/20/2061 (b)(d)(j) | 65126 | 65395 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H20 Class FA, CME Term SOFR 1 month Index + 0.6645%, 4.9834% 9/20/2061 (b)(d)(j) | 23897 | 23994 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H21 Class FA, CME Term SOFR 1 month Index + 0.7145%, 5.0334% 10/20/2061 (b)(d)(j) | 75901 | 76295 |
| Ginnie Mae Mortgage pass-thru certificates Series 2012-H01 Class FA, CME Term SOFR 1 month Index + 0.8145%, 5.1334% 11/20/2061 (b)(d)(j) | 83857 | 84359 |
| Ginnie Mae Mortgage pass-thru certificates Series 2012-H03 Class FA, CME Term SOFR 1 month Index + 0.8145%, 5.1334% 1/20/2062 (b)(d)(j) | 45606 | 45879 |
| Ginnie Mae Mortgage pass-thru certificates Series 2012-H06 Class FA, CME Term SOFR 1 month Index + 0.7445%, 5.0634% 1/20/2062 (b)(d)(j) | 89867 | 90395 |
| Ginnie Mae Mortgage pass-thru certificates Series 2012-H07 Class FA, CME Term SOFR 1 month Index + 0.7445%, 5.0634% 3/20/2062 (b)(d)(j) | 46834 | 47079 |
| Ginnie Mae Mortgage pass-thru certificates Series 2012-H21 Class DF, CME Term SOFR 1 month Index + 0.7645%, 5.0834% 5/20/2061 (b)(d)(j) | 2200 | 2201 |
| Ginnie Mae Mortgage pass-thru certificates Series 2013-H01 Class FA, 1.65% 1/20/2063 (j) | 1 | 1 |
| Ginnie Mae Mortgage pass-thru certificates Series 2013-H04 Class BA, 1.65% 2/20/2063 (j) | 175 | 164 |
| Ginnie Mae Mortgage pass-thru certificates Series 2013-H19 Class FC, CME Term SOFR 1 month Index + 0.6%, 5.0334% 8/20/2063 (b)(d)(j) | 2613 | 2628 |
| Ginnie Mae Mortgage pass-thru certificates Series 2014-H03 Class FA, CME Term SOFR 1 month Index + 0.7145%, 5.0334% 1/20/2064 (b)(d)(j) | 4780 | 4806 |
| Ginnie Mae Mortgage pass-thru certificates Series 2014-H05 Class FB, CME Term SOFR 1 month Index + 0.7145%, 5.0334% 12/20/2063 (b)(d)(j) | 9529 | 9582 |
| Ginnie Mae Mortgage pass-thru certificates Series 2014-H11 Class BA, CME Term SOFR 1 month Index + 0.6145%, 4.9334% 6/20/2064 (b)(d)(j) | 19556 | 19624 |
| Ginnie Mae Mortgage pass-thru certificates Series 2015-H13 Class FL, CME Term SOFR 1 month Index + 0.3945%, 4.7134% 5/20/2063 (b)(d)(j) | 2943 | 2928 |
| Ginnie Mae Mortgage pass-thru certificates Series 2015-H13 Class HA, 2.5% 8/20/2064 (j) | 266 | 250 |
| Ginnie Mae Mortgage pass-thru certificates Series 2015-H19 Class FA, CME Term SOFR 1 month Index + 0.3145%, 4.6334% 4/20/2063 (b)(d)(j) | 2728 | 2703 |
| Ginnie Mae Mortgage pass-thru certificates Series 2015-H30 Class HA, 1.75% 9/20/2062 (d)(j) | 12525 | 12216 |
| Ginnie Mae Mortgage pass-thru certificates Series 2016-H13 Class FB, 1 year U.S. Treasury Index + 0.5%, 4.59% 5/20/2066 (b)(d)(j) | 81108 | 80838 |
| Ginnie Mae Mortgage pass-thru certificates Series 2016-H20 Class FM, CME Term SOFR 1 month Index + 0.5145%, 4.8334% 12/20/2062 (b)(d)(j) | 1516 | 1508 |
| Ginnie Mae Mortgage pass-thru certificates Series 2017-134 Class BA, 2.5% 11/20/2046  | 52718 | 47464 |
| Ginnie Mae Mortgage pass-thru certificates Series 2017-H06 Class FA, 1 year U.S. Treasury Index + 0.35%, 4.44% 8/20/2066 (b)(d)(j) | 104637 | 104119 |
| Ginnie Mae Mortgage pass-thru certificates Series 2018-H12 Class HA, 3.25% 8/20/2068 (j) | 341882 | 331645 |
| Ginnie Mae REMIC pass-thru certificates Series 2004-22 Class AZ, 5.5% 4/20/2034  | 92591 | 93499 |
| Ginnie Mae REMIC pass-thru certificates Series 2004-24 Class ZM, 5% 4/20/2034  | 11764 | 11669 |
| Ginnie Mae REMIC pass-thru certificates Series 2004-32 Class GS, 6.3855% - CME Term SOFR 1 month Index 2.0569% 5/16/2034 (d)(h) | 2378 | 154 |
| Ginnie Mae REMIC pass-thru certificates Series 2007-37 Class TS, 6.5755% - CME Term SOFR 1 month Index 2.2469% 6/16/2037 (d)(h) | 4455 | 436 |
| Ginnie Mae REMIC pass-thru certificates Series 2007-59 Class FC, CME Term SOFR 1 month Index + 0.6145%, 4.9389% 7/20/2037 (b)(d) | 33943 | 33832 |
| Ginnie Mae REMIC pass-thru certificates Series 2008-2 Class FD, CME Term SOFR 1 month Index + 0.5945%, 4.9189% 1/20/2038 (b)(d) | 8839 | 8800 |
| Ginnie Mae REMIC pass-thru certificates Series 2008-73 Class FA, CME Term SOFR 1 month Index + 0.9745%, 5.2989% 8/20/2038 (b)(d) | 46459 | 46934 |
| Ginnie Mae REMIC pass-thru certificates Series 2008-83 Class FB, CME Term SOFR 1 month Index + 1.0145%, 5.3389% 9/20/2038 (b)(d) | 35287 | 35687 |
| Ginnie Mae REMIC pass-thru certificates Series 2009-108 Class CF, CME Term SOFR 1 month Index + 0.7145%, 5.0432% 11/16/2039 (b)(d) | 48390 | 48325 |
| Ginnie Mae REMIC pass-thru certificates Series 2009-116 Class KF, CME Term SOFR 1 month Index + 0.6445%, 4.9732% 12/16/2039 (b)(d) | 27830 | 27735 |
| Ginnie Mae REMIC pass-thru certificates Series 2009-118 Class XZ, 5% 12/20/2039  | 765166 | 779492 |
| Ginnie Mae REMIC pass-thru certificates Series 2010-116 Class QB, 4% 9/16/2040  | 7673 | 7268 |
| Ginnie Mae REMIC pass-thru certificates Series 2010-160 Class DY, 4% 12/20/2040  | 102987 | 99705 |
| Ginnie Mae REMIC pass-thru certificates Series 2010-169 Class Z, 4.5% 12/20/2040  | 409498 | 391819 |
| Ginnie Mae REMIC pass-thru certificates Series 2010-170 Class B, 4% 12/20/2040  | 22700 | 21955 |
| Ginnie Mae REMIC pass-thru certificates Series 2010-31 Class BP, 5% 3/20/2040  | 207366 | 209697 |
| Ginnie Mae REMIC pass-thru certificates Series 2010-H03 Class FA, CME Term SOFR 1 month Index + 0.6645%, 4.9863% 3/20/2060 (b)(d)(j) | 15339 | 15416 |
| Ginnie Mae REMIC pass-thru certificates Series 2011-136 Class WI, 4.5% 5/20/2040 (h) | 8425 | 363 |
| Ginnie Mae REMIC pass-thru certificates Series 2011-68 Class EC, 3.5% 4/20/2041  | 15756 | 15420 |
| Ginnie Mae REMIC pass-thru certificates Series 2011-69 Class GX, 4.5% 5/16/2040  | 82633 | 82352 |
| Ginnie Mae REMIC pass-thru certificates Series 2011-94 Class SA, 5.9855% - CME Term SOFR 1 month Index 1.6611% 7/20/2041 (d)(h) | 9438 | 898 |
| Ginnie Mae REMIC pass-thru certificates Series 2012-98 Class FA, CME Term SOFR 1 month Index + 0.5145%, 4.8389% 8/20/2042 (b)(d) | 37389 | 36705 |
| Ginnie Mae REMIC pass-thru certificates Series 2013-149 Class MA, 2.5% 5/20/2040  | 41902 | 41081 |
| Ginnie Mae REMIC pass-thru certificates Series 2014-2 Class BA, 3% 1/20/2044  | 201206 | 180293 |
| Ginnie Mae REMIC pass-thru certificates Series 2014-21 Class HA, 3% 2/20/2044  | 75976 | 69896 |
| Ginnie Mae REMIC pass-thru certificates Series 2014-25 Class HC, 3% 2/20/2044  | 128728 | 114509 |
| Ginnie Mae REMIC pass-thru certificates Series 2014-5 Class A, 3% 1/20/2044  | 102915 | 92393 |
| Ginnie Mae REMIC pass-thru certificates Series 2016-69 Class WA, 3% 2/20/2046  | 39776 | 36249 |
| Ginnie Mae REMIC pass-thru certificates Series 2017-139 Class BA, 3% 9/20/2047  | 191561 | 168388 |
| Ginnie Mae REMIC pass-thru certificates Series 2017-153 Class GA, 3% 9/20/2047  | 108321 | 96588 |
| Ginnie Mae REMIC pass-thru certificates Series 2017-182 Class KA, 3% 10/20/2047  | 88297 | 79039 |
| Ginnie Mae REMIC pass-thru certificates Series 2017-186 Class HK, 3% 11/16/2045  | 110270 | 101409 |
| Ginnie Mae REMIC pass-thru certificates Series 2018-13 Class Q, 3% 4/20/2047  | 99331 | 91930 |
| GS Mortgage-Backed Securities Trust Series 2024-RPL2 Class A1, 3.75% 7/25/2061 (c) | 3610422 | 3498155 |
| JPMorgan Mortgage Trust Series 2025-NQM2 Class A1, 5.567% 9/25/2065 (c)(d) | 1000000 | 1001122 |
| MFA Trust Series 2022-RPL1 Class A1, 3.3% 8/25/2061 (c) | 328348 | 304789 |
| MFRA Trust Series 2024-RPL1 Class A1, 4.25% 2/25/2066 (c)(d) | 551349 | 510334 |
| Morgan Stanley Residential Mortgage Loan Trust 2025-NQM3 Series 2025-NQM3 Class A1, 5.53% 5/25/2070 (c)(d) | 2139000 | 2141245 |
| New Residential Mortgage Loan Trust Series 2019-1A Class A1B, 3.5% 10/25/2059 (c) | 325137 | 302470 |
| NYMT Loan Trust Series 2021-CP1 Class A1, 2.0424% 7/25/2061 (c) | 171199 | 158062 |
| NYMT Loan Trust Series 2024-CP1 Class A1, 3.75% 2/25/2068 (c) | 439197 | 404435 |
| Ocwen Loan Investment Trust Series 2023-HB1 Class A, 3% 6/25/2036 (c) | 84151 | 83047 |
| Ocwen Loan Investment Trust Series 2024-HB1 Class A, 3% 2/25/2037 (c) | 127493 | 123999 |
| Onity Loan Investment Trust 2024-Hb2 Series 2024-HB2 Class A, 5% 8/25/2037 (c) | 464686 | 462886 |
| PRET Trust Series 2024-RPL1 Class A1, 3.9% 10/25/2063 (c) | 834474 | 782682 |
| PRET Trust Series 2025-RPL2 Class A1, 4% 8/25/2064 (c) | 3394660 | 3249779 |
| PRPM LLC Series 2024-RCF3 Class A1, 4% 5/25/2054 (c) | 1027817 | 999982 |
| PRPM LLC Series 2024-RCF4 Class A1, 4% 7/25/2054 (c) | 319786 | 311934 |
| PRPM LLC Series 2024-RCF6 Class A1, 4% 10/25/2054 (c)(d) | 181414 | 175411 |
| PRPM LLC Series 2024-RPL1 Class A1, 4.2% 12/25/2064 (c) | 2481028 | 2409371 |
| PRPM LLC Series 2024-RPL2 Class A1, 3.5% 5/25/2054 (c)(d) | 1138904 | 1097074 |
| Towd Point Mortgage Trust Series 2022-1 Class A1, 3.75% 7/25/2062 (c) | 559223 | 526766 |
| TOTAL UNITED STATES |  | 158835220 |
| <br> **TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS**<br> (Cost $158,474,100) |  | <br> **158835220** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Commercial Mortgage Securities - 5.2%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 5.2%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 5.2%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| GRAND CAYMAN (UK OVERSEAS TER) - 0.0%  |  |  |
| Prima Capital CRE Securitization Ltd/Llc Series 2019-RK1 Class BT, 4.45% 4/15/2038 (c) | 308000 | 295398 |
| UNITED STATES - 5.2%  |  |  |
| ALA Trust Series 2025-OANA Class A, CME Term SOFR 1 month Index + 1.7426%, 6.0426% 6/15/2030 (b)(c)(d) | 3220000 | 3233486 |
| Ares Tr 2 Series 2025-IND3 Class E, CME Term SOFR 1 month Index + 3.55%, 7.8787% 4/15/2042 (b)(c)(d) | 240000 | 238639 |
| Ares Trust Series 2024-IND2 Class F, CME Term SOFR 1 month Index + 4.039%, 8.3677% 10/15/2034 (b)(c)(d) | 170000 | 170094 |
| BAMLL Commercial Mortgage Securities Trust Series 2019-BPR Class ANM, 3.112% 11/5/2032 (c) | 605596 | 576560 |
| BAMLL Commercial Mortgage Securities Trust Series 2019-BPR Class BNM, 3.465% 11/5/2032 (c) | 132000 | 122250 |
| BAMLL Commercial Mortgage Securities Trust Series 2019-BPR Class CNM, 3.7186% 11/5/2032 (c)(d) | 100000 | 89141 |
| BAMLL Commercial Mortgage Securities Trust Series 2022-DKLX Class A, CME Term SOFR 1 month Index + 1.15%, 5.479% 1/15/2039 (b)(c)(d) | 911441 | 908023 |
| BAMLL Commercial Mortgage Securities Trust Series 2022-DKLX Class B, CME Term SOFR 1 month Index + 1.55%, 5.879% 1/15/2039 (b)(c)(d) | 172312 | 170912 |
| BAMLL Commercial Mortgage Securities Trust Series 2022-DKLX Class C, CME Term SOFR 1 month Index + 2.15%, 6.479% 1/15/2039 (b)(c)(d) | 123339 | 122144 |
| Bank of America Merrill Lynch Commercial Mortgage Trust Series 2016-UB10 Class B, 3.79% 7/15/2049  | 157148 | 153116 |
| Bank of America Merrill Lynch Commercial Mortgage Trust Series 2016-UB10 Class C, 4.8227% 7/15/2049 (d) | 818000 | 782625 |
| BANK Series 2017-BNK5 Class A5, 3.39% 6/15/2060  | 1000000 | 973674 |
| BANK Series 2017-BNK6 Class ASB, 3.289% 7/15/2060  | 124543 | 123253 |
| BANK Series 2018-BN10 Class ASB, 3.641% 2/15/2061  | 259984 | 256853 |
| BANK Series 2018-BN10 Class C, 4.163% 2/15/2061 (d) | 385000 | 355106 |
| BANK Series 2019-BN19 Class ASB, 3.071% 8/15/2061  | 535571 | 518133 |
| BANK Series 2019-BN20 Class ASB, 2.933% 9/15/2062  | 86819 | 83535 |
| BANK Series 2019-BN21 Class A5, 2.851% 10/17/2052  | 962049 | 877713 |
| BANK Series 2019-BN23 Class ASB, 2.846% 12/15/2052  | 91426 | 87708 |
| BANK Series 2022-BNK39 Class C, 3.2689% 2/15/2055 (d) | 194000 | 160117 |
| BANK Series 2023-BNK45 Class A5, 5.203% 2/15/2056 (d) | 800000 | 799699 |
| BANK Series 2023-BNK45 Class B, 6.148% 2/15/2056 (d) | 200000 | 204614 |
| BANK5 Series 2024-5YR11 Class C, 6.3221% 11/15/2057 (d) | 225000 | 225215 |
| BANK5 Series 2024-5YR12 Class C, 6.3026% 12/15/2057 (d) | 161000 | 162162 |
| BANK5 Series 2025-5YR14 Class A3, 5.646% 4/15/2058  | 1400000 | 1445437 |
| BBCMS Mortgage Trust Series 2020-C7 Class B, 3.152% 4/15/2053  | 950000 | 825227 |
| BBCMS Mortgage Trust Series 2020-C7 Class C, 3.5874% 4/15/2053 (d) | 134000 | 112918 |
| BBCMS Mortgage Trust Series 2022-C16 Class B, 4.6% 6/15/2055  | 200000 | 185446 |
| BBCMS Mortgage Trust Series 2024-C26 Class C, 6% 5/15/2057  | 150000 | 147522 |
| BBCMS Mortgage Trust Series 2024-C26 Class D, 4.5% 5/15/2057 (c) | 290000 | 223145 |
| BBCMS Mortgage Trust Series 2024-C30 Class C, 5.98% 11/15/2057  | 120000 | 117301 |
| BBCMS Mortgage Trust Series 2025-5C33 Class C, 5.981% 3/15/2058  | 118000 | 117665 |
| BBCMS Mortgage Trust Series 2025-5C33 Class D, 6.8473% 3/15/2058 (c)(d) | 213000 | 202450 |
| BBCMS Mortgage Trust Series 2025-C32 Class C, 6.125% 2/15/2062 (d) | 368000 | 362879 |
| BBCMS Mortgage Trust Series 2025-C32 Class D, 4.5% 2/15/2062 (c) | 100000 | 75542 |
| Bbcms Mtg Tr Series 2025-5C34 Class A3, 5.659% 5/15/2058  | 2000000 | 2065257 |
| Bbcms Mtg Tr Series 2025-5C34 Class C, 7.0335% 5/15/2058  | 760000 | 790339 |
| BBCMS Trust Series 2024-5C27 Class C, 6.7% 7/15/2057 (d) | 500000 | 510241 |
| Benchmark Mortgage Trust Series 2018-B2 Class ASB, 3.7802% 2/15/2051  | 521156 | 515582 |
| Benchmark Mortgage Trust Series 2018-B4 Class A5, 4.121% 7/15/2051  | 4151000 | 4057755 |
| Benchmark Mortgage Trust Series 2019-B12 Class XA, 1.0654% 8/15/2052 (d)(h) | 7284050 | 208174 |
| Benchmark Mortgage Trust Series 2019-B14 Class XA, 0.75% 12/15/2062 (d)(h) | 4165159 | 88914 |
| Benchmark Mortgage Trust Series 2020-B18 Class AGNG, 4.3885% 7/15/2053 (c)(d) | 600000 | 586567 |
| Benchmark Mortgage Trust Series 2020-IG3 Class 825C, 3.0763% 9/15/2048 (c)(d) | 242000 | 221945 |
| Benchmark Mortgage Trust Series 2020-IG3 Class 825D, 3.0763% 9/15/2048 (c)(d) | 265000 | 239805 |
| Benchmark Mortgage Trust Series 2021-B31 Class A5, 2.669% 12/15/2054  | 300000 | 259095 |
| Benchmark Mortgage Trust Series 2022-B33 Class C, 3.614% 3/15/2055 (d) | 400000 | 308406 |
| Benchmark Mortgage Trust Series 2024-V11 Class C, 6.295% 11/15/2057  | 596000 | 599656 |
| BFLD Commercial Mortgage Trust Series 2024-UNIV Class E, CME Term SOFR 1 month Index + 3.6395%, 7.9682% 11/15/2041 (b)(c)(d) | 393000 | 392096 |
| BFLD Trust Series 2024-WRHS Class E, CME Term SOFR 1 month Index + 3.6889%, 8.0176% 8/15/2026 (b)(c)(d) | 463499 | 462986 |
| 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) | 3061866 | 3063780 |
| Bmo 2025-C12 Mortgage Trust Series 2025-C12 Class C, 6.5243% 6/15/2058 (d) | 462000 | 466777 |
| BMO Mortgage Trust Series 2024-C10 Class C, 5.979% 11/15/2057 (d) | 100000 | 97812 |
| BMO Mortgage Trust Series 2025-5C10 Class C, 6.485% 5/15/2058 (d) | 245000 | 246881 |
| BMO Mortgage Trust Series 2025-5C9 Class XA, 0.7075% 4/15/2058 (d)(h) | 6399513 | 194543 |
| BMP Series 2024-MF23 Class A, CME Term SOFR 1 month Index + 1.3719%, 5.7007% 6/15/2041 (b)(c)(d) | 2072000 | 2073295 |
| BMP Series 2024-MF23 Class B, CME Term SOFR 1 month Index + 1.6416%, 5.9703% 6/15/2041 (b)(c)(d) | 1023000 | 1023639 |
| BMP Series 2024-MF23 Class C, CME Term SOFR 1 month Index + 1.8413%, 6.17% 6/15/2041 (b)(c)(d) | 723000 | 723452 |
| BPR Commercial Mortgage Trust Series 2024-PARK Class A, 5.218% 11/5/2039 (c)(d) | 8606000 | 8649085 |
| BPR Commercial Mortgage Trust Series 2024-PARK Class C, 6.1833% 11/5/2039 (c)(d) | 264000 | 266395 |
| BPR Commercial Mortgage Trust Series 2024-PARK Class D, 7.001% 11/5/2039 (c)(d) | 1125000 | 1141318 |
| BPR Trust Series 2022-OANA Class A, CME Term SOFR 1 month Index + 1.898%, 6.2267% 4/15/2037 (b)(c)(d) | 11035000 | 11031552 |
| BPR Trust Series 2022-OANA Class B, CME Term SOFR 1 month Index + 2.447%, 6.7757% 4/15/2037 (b)(c)(d) | 900000 | 899438 |
| BPR Trust Series 2023-BRK2 Class C, 8.335% 10/5/2038 (c)(d) | 616000 | 645449 |
| BPR Trust Series 2024-PMDW Class B, 5.85% 11/5/2041 (c)(d) | 120000 | 120705 |
| BPR Trust Series 2024-PMDW Class E, 5.85% 11/5/2041 (c)(d) | 70000 | 64437 |
| Bway Trust Series 2025-1535 Class B, 7.4615% 5/5/2042 (c)(d) | 290000 | 299858 |
| Bx Coml Mtg Tr 2023-Vlt3 Series 2023-VLT3 Class C, CME Term SOFR 1 month Index + 3.438%, 7.7667% 11/15/2028 (b)(c)(d) | 1000000 | 1000000 |
| BX Commercial Mortgage Trust 2020-VIVA Series 2020-VIVA Class D, 3.5488% 3/11/2044 (c)(d) | 520000 | 468006 |
| BX Commercial Mortgage Trust 2020-VIVA Series 2020-VIVA Class E, 3.5488% 3/11/2044 (c)(d) | 481000 | 421512 |
| BX Commercial Mortgage Trust 2022-LP2 Series 2022-LP2 Class F, CME Term SOFR 1 month Index + 3.2578%, 7.5865% 2/15/2039 (b)(c)(d) | 945000 | 937322 |
| BX Commercial Mortgage Trust 2022-LP2 Series 2022-LP2 Class G, CME Term SOFR 1 month Index + 4.1058%, 8.4345% 2/15/2039 (b)(c)(d) | 334600 | 332142 |
| BX Commercial Mortgage Trust 2024-KING Series 2024-KING Class E, CME Term SOFR 1 month Index + 3.688%, 8.0167% 5/15/2034 (b)(c)(d) | 2033233 | 2025608 |
| BX Commercial Mortgage Trust 2024-VLT5 Series 2024-VLT5 Class A, 5.4104% 11/13/2046 (c)(d) | 262000 | 259562 |
| BX Commercial Mortgage Trust 2024-VLT5 Series 2024-VLT5 Class B, 5.8015% 11/13/2046 (c)(d) | 100000 | 99344 |
| BX Commercial Mortgage Trust 2024-VLT5 Series 2024-VLT5 Class C, 6.192% 11/13/2046 (c)(d) | 239000 | 238353 |
| BX Commercial Mortgage Trust 2024-VLT5 Series 2024-VLT5 Class E, 7.8715% 11/13/2046 (c)(d) | 944000 | 981668 |
| 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) | 16782814 | 16793303 |
| BX Commercial Mortgage Trust 21-SOAR Series 2021-SOAR Class D, CME Term SOFR 1 month Index + 1.5145%, 5.8435% 6/15/2038 (b)(c)(d) | 5327936 | 5322941 |
| BX Commercial Mortgage Trust 21-SOAR Series 2021-SOAR Class E, CME Term SOFR 1 month Index + 1.9145%, 6.2435% 6/15/2038 (b)(c)(d) | 2873070 | 2869478 |
| BX Commercial Mortgage Trust 21-SOAR Series 2021-SOAR Class F, CME Term SOFR 1 month Index + 2.4645%, 6.7935% 6/15/2038 (b)(c)(d) | 530426 | 529598 |
| BX Commercial Mortgage Trust 21-SOAR Series 2021-SOAR Class G, CME Term SOFR 1 month Index + 2.9145%, 7.2435% 6/15/2038 (b)(c)(d) | 1315107 | 1312230 |
| 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) | 1423558 | 1423558 |
| BX Commercial Mortgage Trust 24-MDHS Series 2024-MDHS Class A, 5.97% 5/15/2041 (c)(d) | 5677001 | 5684098 |
| BX Commercial Mortgage Trust 24-MDHS Series 2024-MDHS Class E, CME Term SOFR 1 month Index + 3.6883%, 8.017% 5/15/2041 (b)(c)(d) | 796660 | 794009 |
| BX Commercial Mortgage Trust Series 2019-IMC Class A, CME Term SOFR 1 month Index + 1.0463%, 5.3753% 4/15/2034 (b)(c)(d) | 383377 | 379782 |
| BX Commercial Mortgage Trust Series 2019-IMC Class B, CME Term SOFR 1 month Index + 1.3463%, 5.6753% 4/15/2034 (b)(c)(d) | 614000 | 604023 |
| BX Commercial Mortgage Trust Series 2019-IMC Class C, CME Term SOFR 1 month Index + 1.6463%, 5.9753% 4/15/2034 (b)(c)(d) | 406000 | 398895 |
| BX Commercial Mortgage Trust Series 2019-IMC Class D, CME Term SOFR 1 month Index + 1.9463%, 6.2753% 4/15/2034 (b)(c)(d) | 426000 | 418013 |
| BX Commercial Mortgage Trust Series 2020-VIV2 Class C, 3.5424% 3/9/2044 (c)(d) | 11671000 | 10635603 |
| BX Commercial Mortgage Trust Series 2021-CIP Class E, CME Term SOFR 1 month Index + 2.9345%, 7.2635% 12/15/2038 (b)(c)(d) | 517231 | 515615 |
| BX Commercial Mortgage Trust Series 2021-CIP Class F, CME Term SOFR 1 month Index + 3.3335%, 7.6625% 12/15/2038 (b)(c)(d) | 699318 | 694073 |
| BX Commercial Mortgage Trust Series 2021-IRON Class E, CME Term SOFR 1 month Index + 2.4645%, 6.7935% 2/15/2038 (b)(c)(d) | 242703 | 233086 |
| 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) | 2316000 | 2305883 |
| 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) | 268000 | 266492 |
| 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) | 2044000 | 2029948 |
| BX Commercial Mortgage Trust Series 2021-PAC Class D, CME Term SOFR 1 month Index + 1.4128%, 5.7418% 10/15/2036 (b)(c)(d) | 349000 | 345946 |
| BX Commercial Mortgage Trust Series 2021-PAC Class E, CME Term SOFR 1 month Index + 2.062%, 6.391% 10/15/2036 (b)(c)(d) | 2036000 | 2022003 |
| BX Commercial Mortgage Trust Series 2021-VINO Class F, CME Term SOFR 1 month Index + 2.9168%, 7.2458% 5/15/2038 (b)(c)(d) | 633500 | 631322 |
| 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) | 2280465 | 2276189 |
| 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) | 683900 | 681763 |
| BX Commercial Mortgage Trust Series 2022-LP2 Class C, CME Term SOFR 1 month Index + 1.5617%, 5.8904% 2/15/2039 (b)(c)(d) | 819700 | 816114 |
| BX Commercial Mortgage Trust Series 2022-LP2 Class D, CME Term SOFR 1 month Index + 1.9608%, 6.2895% 2/15/2039 (b)(c)(d) | 538300 | 535608 |
| 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) | 5153115 | 5174083 |
| BX Commercial Mortgage Trust Series 2023-XL3 Class B, CME Term SOFR 1 month Index + 2.1908%, 6.5195% 12/9/2040 (b)(c)(d) | 278527 | 279311 |
| BX Commercial Mortgage Trust Series 2023-XL3 Class C, CME Term SOFR 1 month Index + 2.6402%, 6.9689% 12/9/2040 (b)(c)(d) | 148214 | 148631 |
| BX Commercial Mortgage Trust Series 2024-AIR2 Class D, CME Term SOFR 1 month Index + 2.7905%, 7.1195% 10/15/2041 (b)(c)(d) | 359693 | 359693 |
| BX Commercial Mortgage Trust Series 2024-AIRC Class D, CME Term SOFR 1 month Index + 3.0892%, 7.4179% 8/15/2039 (b)(c)(d) | 397995 | 398991 |
| BX Commercial Mortgage Trust Series 2024-GPA2 Class E, CME Term SOFR 1 month Index + 3.5395%, 7.8682% 11/15/2041 (b)(c)(d) | 1250000 | 1245785 |
| 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) | 1324052 | 1324052 |
| 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) | 9180000 | 9181068 |
| BX Commercial Mortgage Trust Series 2025-SPOT Class B, CME Term SOFR 1 month Index + 1.743%, 6.0717% 4/15/2040 (b)(c)(d) | 3295000 | 3276543 |
| BX Commercial Mortgage Trust Series 2025-SPOT Class E, CME Term SOFR 1 month Index + 3.6902%, 8.0189% 4/15/2040 (b)(c)(d) | 1088000 | 1079172 |
| 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) | 1604000 | 1606164 |
| Bx Tr 2025-Tail Series 2025-TAIL Class D, CME Term SOFR 1 month Index + 2.45%, 6.75% 6/15/2035 (b)(c)(d) | 528000 | 528000 |
| Bx Tr 2025-Tail Series 2025-TAIL Class E, CME Term SOFR 1 month Index + 3.3%, 7.6% 6/15/2035 (b)(c)(d) | 330000 | 330000 |
| BX Trust 2019-OC11 Series 2019-OC11 Class E, 3.944% 12/9/2041 (c)(d) | 1363000 | 1235193 |
| BX Trust 2019-OC11 Series 2019-OC11 Class XA, 0.742% 12/9/2041 (c)(d)(h) | 50900000 | 1489863 |
| BX Trust 2021-VOL Series 2021-VOLT Class D, CME Term SOFR 1 month Index + 1.7645%, 6.0932% 9/15/2036 (b)(c)(d) | 1000000 | 993750 |
| BX Trust 2021-VOL Series 2021-VOLT Class E, CME Term SOFR 1 month Index + 2.1145%, 6.4432% 9/15/2036 (b)(c)(d) | 1000000 | 992500 |
| BX Trust 2021-VOL Series 2021-VOLT Class G, CME Term SOFR 1 month Index + 2.9645%, 7.2932% 9/15/2036 (b)(c)(d) | 726000 | 716585 |
| BX Trust 2024 VLT4 Series 2024-VLT4 Class E, CME Term SOFR 1 month Index + 2.8894%, 7.2181% 7/15/2029 (b)(c)(d) | 947000 | 933979 |
| BX Trust 2024 VLT4 Series 2024-VLT4 Class F, CME Term SOFR 1 month Index + 3.9379%, 8.2666% 7/15/2029 (b)(c)(d) | 1750000 | 1729977 |
| 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) | 4177756 | 4182978 |
| 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) | 665520 | 666352 |
| BX Trust 2024-CNY Series 2024-CNYN Class C, CME Term SOFR 1 month Index + 1.9412%, 6.2699% 4/15/2041 (b)(c)(d) | 553062 | 553753 |
| BX Trust 2024-FNX Series 2024-FNX Class D, CME Term SOFR 1 month Index + 2.9402%, 7.2689% 11/15/2041 (b)(c)(d) | 120556 | 120631 |
| BX Trust 2024-FNX Series 2024-FNX Class E, CME Term SOFR 1 month Index + 3.9387%, 8.2675% 11/15/2041 (b)(c)(d) | 579771 | 576692 |
| 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) | 11499000 | 11412758 |
| 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) | 1684000 | 1667160 |
| 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) | 2372000 | 2330490 |
| BX Trust 2025-ROIC Series 2025-ROIC Class E, CME Term SOFR 1 month Index + 2.9413%, 7.27% 3/15/2030 (b)(c)(d) | 593000 | 578193 |
| BX Trust Series 2020-VIV3 Class B, 3.5439% 3/9/2044 (c)(d) | 2451000 | 2254727 |
| BX Trust Series 2021-ACNT Class G, CME Term SOFR 1 month Index + 3.4095%, 7.7385% 11/15/2038 (b)(c)(d) | 514379 | 508271 |
| BX Trust Series 2021-LBA Class AJV, CME Term SOFR 1 month Index + 0.9145%, 5.2435% 2/15/2036 (b)(c)(d) | 200000 | 199875 |
| BX Trust Series 2021-LBA Class EJV, CME Term SOFR 1 month Index + 2.1145%, 6.4435% 2/15/2036 (b)(c)(d) | 1345000 | 1332391 |
| BX Trust Series 2021-LBA Class EV, CME Term SOFR 1 month Index + 2.1145%, 6.4435% 2/15/2036 (b)(c)(d) | 304462 | 301607 |
| Bx Trust Series 2021-SDMF Class F, CME Term SOFR 1 month Index + 2.0515%, 6.3805% 9/15/2034 (b)(c)(d) | 613190 | 605525 |
| BX Trust Series 2021-SOAR Class A, CME Term SOFR 1 month Index + 0.7845%, 5.1135% 6/15/2038 (b)(c)(d) | 7567124 | 7562395 |
| BX Trust Series 2022-IND Class B, CME Term SOFR 1 month Index + 1.94%, 6.2687% 4/15/2037 (b)(c)(d) | 650300 | 650300 |
| BX Trust Series 2022-IND Class C, CME Term SOFR 1 month Index + 2.29%, 6.6187% 4/15/2037 (b)(c)(d) | 147000 | 147000 |
| BX Trust Series 2022-IND Class D, CME Term SOFR 1 month Index + 2.839%, 7.1677% 4/15/2037 (b)(c)(d) | 123200 | 123200 |
| BX Trust Series 2022-IND Class E, CME Term SOFR 1 month Index + 3.987%, 8.3157% 4/15/2037 (b)(c)(d) | 402500 | 402500 |
| BX Trust Series 2022-LBA6 Class E, CME Term SOFR 1 month Index + 2.7%, 7.0287% 1/15/2039 (b)(c)(d) | 1225000 | 1217344 |
| BX Trust Series 2022-VAMF Class E, CME Term SOFR 1 month Index + 2.7%, 7.0287% 1/15/2039 (b)(c)(d) | 396000 | 392443 |
| BX Trust Series 2022-VAMF Class F, CME Term SOFR 1 month Index + 3.299%, 7.6277% 1/15/2039 (b)(c)(d) | 823000 | 812410 |
| BX Trust Series 2024-XL4 Class A, CME Term SOFR 1 month Index + 1.442%, 5.7707% 2/15/2039 (b)(c)(d) | 5662878 | 5669950 |
| BX Trust Series 2024-XL4 Class B, CME Term SOFR 1 month Index + 1.7915%, 6.1203% 2/15/2039 (b)(c)(d) | 1738636 | 1740266 |
| BX Trust Series 2024-XL5 Class B, CME Term SOFR 1 month Index + 1.6912%, 6.0199% 3/15/2041 (b)(c)(d) | 1098905 | 1099591 |
| BX Trust Series 2024-XL5 Class C, CME Term SOFR 1 month Index + 1.9409%, 6.2696% 3/15/2041 (b)(c)(d) | 1458500 | 1459412 |
| BX Trust Series 2025-DIME Class A, CME Term SOFR 1 month Index + 1.15%, 5.4787% 2/15/2035 (b)(c)(d) | 4486000 | 4469178 |
| BX Trust Series 2025-DIME Class E, 7.3287% 2/15/2035 (c) | 610000 | 605269 |
| Bx Trust Series 2025-LUNR Class E, CME Term SOFR 1 month Index + 3.95%, 8.28% 6/15/2040 (b)(c)(d) | 100000 | 100000 |
| BX Trust Series 2025-VLT6 Class E, CME Term SOFR 1 month Index + 3.1907%, 7.5194% 3/15/2042 (b)(c)(d) | 447000 | 443648 |
| BX Trust Series 2025-VLT6 Class F, CME Term SOFR 1 month Index + 3.9397%, 8.2684% 3/15/2042 (b)(c)(d) | 379000 | 370893 |
| CAMB Commercial Mortgage Trust Series 2019-LIFE Class A, CME Term SOFR 1 month Index + 1.367%, 5.696% 12/15/2037 (b)(c)(d) | 100000 | 99938 |
| CF Hippolyta Issuer LLC Series 2021-1A Class A1, 1.53% 3/15/2061 (c) | 1833060 | 1764841 |
| CFCRE Commercial Mortgage Trust Series 2016-C7 Class A2, 3.5853% 12/10/2054  | 228740 | 224591 |
| CFCRE Commercial Mortgage Trust Series 2017-C8 Class A3, 3.3048% 6/15/2050  | 245012 | 238113 |
| CGMS Commercial Mortgage Trust Series 2017-B1 Class A3, 3.197% 8/15/2050  | 287607 | 278727 |
| Citigroup Commercial Mortgage Trust Series 2016-C1 Class A4, 3.209% 5/10/2049  | 400000 | 393471 |
| Citigroup Commercial Mortgage Trust Series 2020-420K Class D, 3.3118% 11/10/2042 (c)(d) | 775000 | 672080 |
| Citigroup Commercial Mortgage Trust Series 2020-420K Class E, 3.3118% 11/10/2042 (c)(d) | 600000 | 502002 |
| Citigroup Commercial Mortgage Trust Series 2020-GC46 Class AAB, 2.614% 2/15/2053  | 475007 | 453650 |
| Citigroup Commercial Mortgage Trust Series 2023-PRM3 Class C, 6.3597% 7/10/2028 (c)(d) | 732000 | 747146 |
| Citigroup Commercial Mortgage Trust Series 2023-SMRT Class C, 5.8524% 10/12/2040 (c)(d) | 150000 | 151005 |
| COMM Mortgage Trust Series 2014-CR20 Class C, 4.6707% 11/10/2047 (d)(l) | 236398 | 228029 |
| COMM Mortgage Trust Series 2015-DC1 Class B, 4.035% 2/10/2048 (d) | 875000 | 845416 |
| COMM Mortgage Trust Series 2015-DC1 Class C, 4.2871% 2/10/2048 (d) | 688000 | 622358 |
| COMM Mortgage Trust Series 2015-LC19 Class C, 4.1051% 2/10/2048 (d)(l) | 355000 | 342196 |
| COMM Mortgage Trust Series 2017-COR2 Class C, 4.5872% 9/10/2050 (d) | 126000 | 118725 |
| Computershare Corporate Trust Series 2018-C48 Class A5, 4.302% 1/15/2052  | 824434 | 812538 |
| Cone Trust Series 2024-DFW1 Class E, CME Term SOFR 1 month Index + 3.8885%, 8.2172% 8/15/2041 (b)(c)(d) | 351000 | 348295 |
| CPT Mortgage Trust Series 2019-CPT Class E, 2.9968% 11/13/2039 (c)(d) | 100000 | 80708 |
| CSAIL Commercial Mortgage Trust Series 2017-C8 Class C, 4.2578% 6/15/2050 (d) | 490000 | 420886 |
| CSAIL Commercial Mortgage Trust Series 2017-CX10 Class ASB, 3.3269% 11/15/2050  | 310071 | 306644 |
| CSAIL Commercial Mortgage Trust Series 2018-CX12 Class A3, 3.9585% 8/15/2051  | 280000 | 271999 |
| CSMC Trust Series 2017-PFHP Class D, CME Term SOFR 1 month Index + 2.297%, 6.626% 12/15/2030 (b)(c)(d) | 1296000 | 1205638 |
| CSMC Trust Series 2019-UVIL Class E, 3.2833% 12/15/2041 (c)(d) | 153000 | 127607 |
| CSMC Trust Series 2020-NET Class A, 2.2569% 8/15/2037 (c) | 155955 | 154177 |
| DBJPM Mortgage Trust Series 2020-C9 Class A5, 1.926% 8/15/2053  | 800000 | 694060 |
| DBJPM Mortgage Trust Series 2020-C9 Class B, 2.567% 8/15/2053  | 275000 | 228892 |
| DBUBS Mortgage Trust Series 2011-LC3A Class D, 5.3519% 8/10/2044 (c)(d) | 610655 | 584702 |
| DC Commercial Mortgage Trust Series 2023-DC Class C, 7.1405% 9/12/2040 (c)(d) | 150000 | 154331 |
| DC Commercial Mortgage Trust Series 2023-DC Class D, 7.1405% 9/12/2040 (c)(d) | 438000 | 438030 |
| DTP Commercial Mortgage Trust Series 2023-STE2 Class A, 5.8433% 1/15/2041 (c)(d) | 524000 | 535054 |
| DTP Commercial Mortgage Trust Series 2023-STE2 Class D, 6.7308% 1/15/2041 (c)(d) | 1100000 | 1098859 |
| ELP Commercial Mortgage Trust Series 2021-ELP Class A, CME Term SOFR 1 month Index + 0.8155%, 5.1445% 11/15/2038 (b)(c)(d) | 10046306 | 10021190 |
| ELP Commercial Mortgage Trust Series 2021-ELP Class B, CME Term SOFR 1 month Index + 1.2347%, 5.5637% 11/15/2038 (b)(c)(d) | 1134679 | 1130779 |
| ELP Commercial Mortgage Trust Series 2021-ELP Class F, CME Term SOFR 1 month Index + 2.7815%, 7.1105% 11/15/2038 (b)(c)(d) | 163809 | 162888 |
| ELP Commercial Mortgage Trust Series 2021-ELP Class J, CME Term SOFR 1 month Index + 3.7294%, 8.0584% 11/15/2038 (b)(c)(d) | 1498256 | 1481730 |
| EQT Trust Series 2024-EXTR Class B, 1 month U.S. LIBOR + 0%, 5.6546% 7/5/2041 (b)(c)(d) | 158000 | 159246 |
| EQT Trust Series 2024-EXTR Class C, 6.0464% 7/5/2041 (c)(d) | 133000 | 134281 |
| EQT Trust Series 2024-EXTR Class D, 6.6819% 7/5/2041 (c)(d) | 100000 | 100948 |
| Extended Stay America Trust Series 2021-ESH Class A, CME Term SOFR 1 month Index + 1.1945%, 5.5235% 7/15/2038 (b)(c)(d) | 5661861 | 5661861 |
| 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) | 3216479 | 3216479 |
| 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) | 2849372 | 2849372 |
| 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) | 2122018 | 2122018 |
| Extended Stay America Trust Series 2021-ESH Class F, CME Term SOFR 1 month Index + 3.8145%, 8.1435% 7/15/2038 (b)(c)(d) | 943501 | 943500 |
| Fontainebleau Miami Beach Beach Mtg Tr Series 2024-FBLU Class F, CME Term SOFR 1 month Index + 4.25%, 8.5787% 12/15/2039 (b)(c)(d) | 274000 | 273573 |
| Fontainebleau Miami Beach Beach Mtg Tr Series 2024-FBLU Class G, CME Term SOFR 1 month Index + 5.65%, 9.9787% 12/15/2039 (b)(c)(d) | 460000 | 459648 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2015-K049 Class A2, 3.01% 7/25/2025  | 76381 | 76147 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-K070 Class A2, 3.303% 11/25/2027  | 1900000 | 1858568 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-K072 Class A2, 3.444% 12/25/2027  | 900000 | 882273 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-K086 Class A2, 3.859% 11/25/2028  | 2100000 | 2072113 |
| FS Commercial Mortgage Trust Series 2023-4SZN Class D, 9.0801% 11/10/2039 (c)(d) | 500000 | 517060 |
| GS Mortgage Securities Trust Series 2017-GS6 Class A2, 3.164% 5/10/2050  | 92387 | 89540 |
| GS Mortgage Securities Trust Series 2018-GS10 Class A5, 4.155% 7/10/2051  | 800000 | 771811 |
| GS Mortgage Securities Trust Series 2019-GC38 Class B, 4.309% 2/10/2052  | 269000 | 254633 |
| GS Mortgage Securities Trust Series 2019-GC42 Class C, 3.6973% 9/10/2052 (d) | 717551 | 614098 |
| GS Mortgage Securities Trust Series 2020-GC45 Class SWB, 3.2185% 12/13/2039 (c)(d) | 445000 | 381144 |
| 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) | 2253000 | 2238919 |
| GS Mortgage Securities Trust Series 2021-IP Class B, CME Term SOFR 1 month Index + 1.2645%, 5.5935% 10/15/2036 (b)(c)(d) | 160000 | 158800 |
| 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) | 132000 | 131010 |
| GS Mortgage Securities Trust Series 2023-SHIP Class E, 7.4336% 9/10/2038 (c)(d) | 1250000 | 1258263 |
| GS Mortgage Securities Trust Series 2024-RVR Class B, 5.538% 8/10/2041 (c)(d) | 100000 | 99610 |
| GS Mortgage Securities Trust Series 2024-RVR Class D, 6.4576% 8/10/2041 (c)(d) | 352000 | 348737 |
| GS Mortgage Securities Trust Series 2025-800D Class B, CME Term SOFR 1 month Index + 3.45%, 7.7767% 11/25/2041 (b)(c)(d) | 180000 | 180011 |
| Hilton USA Trust Series 2016-HHV Class E, 4.1935% 11/5/2038 (c)(d) | 1000000 | 966505 |
| Hilton USA Trust Series 2016-HHV Class F, 4.1935% 11/5/2038 (c)(d) | 2000000 | 1917500 |
| Independence Plaza Trust Series 2018-INDP Class E, 4.996% 7/10/2035 (c) | 125000 | 122469 |
| Intown Mortgage Trust Series 2025-STAY Class E, CME Term SOFR 1 month Index + 3.85%, 8.179% 3/15/2042 (b)(c)(d) | 176000 | 175010 |
| Ip 2025-Ip Mtg Tr Series 2025-IP, 7.851% 6/10/2042 (c)(d) | 240000 | 240000 |
| JPMBB Commercial Mortgage Securities Trust Series 2014-C18 Class C, 4.502% 2/15/2047 (d) | 372000 | 356197 |
| JPMBB Commercial Mortgage Securities Trust Series 2014-C26 Class D, 3.671% 1/15/2048 (c)(d) | 575000 | 477244 |
| JPMBB Commercial Mortgage Securities Trust Series 2015-C33 Class A3, 3.5043% 12/15/2048  | 151699 | 151044 |
| JPMDB Commercial Mortgage Securities Trust Series 2016-C4 Class A2, 2.8822% 12/15/2049  | 212105 | 207711 |
| JPMDB Commercial Mortgage Securities Trust Series 2016-C4 Class ASB, 2.9941% 12/15/2049  | 229190 | 226158 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2018-WPT Class AFX, 4.2475% 7/5/2033 (c) | 476000 | 451098 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2018-WPT Class CFX, 4.9498% 7/5/2033 (c) | 103000 | 78560 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2018-WPT Class DFX, 5.3503% 7/5/2033 (c) | 159000 | 101403 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2018-WPT Class XAFX, 1.116% 7/5/2033 (c)(d)(h) | 2000000 | 24284 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2021-MHC Class E, CME Term SOFR 1 month Index + 2.8145%, 7.1435% 4/15/2038 (b)(c)(d) | 290000 | 289819 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2021-MHC Class F, CME Term SOFR 1 month Index + 3.3145%, 7.6435% 4/15/2038 (b)(c)(d) | 495000 | 494536 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2024-OMNI Class D, 5.7972% 10/5/2039 (c)(d) | 354000 | 348532 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2024-OMNI Class E, 5.7972% 10/5/2039 (c)(d) | 400000 | 386945 |
| KNDR Trust Series 2021-KIND Class C, CME Term SOFR 1 month Index + 1.8645%, 6.2% 8/15/2038 (b)(c)(d) | 99185 | 97574 |
| KNDR Trust Series 2021-KIND Class D, CME Term SOFR 1 month Index + 2.4145%, 6.75% 8/15/2038 (b)(c)(d) | 693306 | 680307 |
| KNDR Trust Series 2021-KIND Class E, CME Term SOFR 1 month Index + 3.3645%, 7.7% 8/15/2038 (b)(c)(d) | 372937 | 364238 |
| KRE COML Mortgage Trust Series 2025-AIP4 Class E, CME Term SOFR 1 month Index + 3%, 7.3287% 3/15/2042 (b)(c)(d) | 276000 | 273648 |
| LBA Trust Series 2024-7IND Class D, CME Term SOFR 1 month Index + 2.641%, 6.9697% 10/15/2041 (b)(c)(d) | 550000 | 549313 |
| LBA Trust Series 2024-BOLT Class E, CME Term SOFR 1 month Index + 3.6881%, 8.0168% 6/15/2039 (b)(c)(d) | 1000000 | 998750 |
| LBA Trust Series 2024-BOLT Class F, CME Term SOFR 1 month Index + 4.437%, 8.7657% 6/15/2039 (b)(c)(d) | 215000 | 214113 |
| LCCM Mortgage Trust Series 2017-LC26 Class A3, 3.289% 7/12/2050 (c) | 1206374 | 1168874 |
| Life Financial Services Trust Series 2022-BMR2 Class A1, CME Term SOFR 1 month Index + 1.2952%, 5.624% 5/15/2039 (b)(c)(d) | 2726000 | 2644220 |
| Life Financial Services Trust Series 2022-BMR2 Class B, CME Term SOFR 1 month Index + 1.7939%, 6.1226% 5/15/2039 (b)(c)(d) | 1630000 | 1483300 |
| Life Financial Services Trust Series 2022-BMR2 Class C, CME Term SOFR 1 month Index + 2.0931%, 6.4218% 5/15/2039 (b)(c)(d) | 913000 | 821700 |
| Life Financial Services Trust Series 2022-BMR2 Class D, CME Term SOFR 1 month Index + 2.5419%, 6.8706% 5/15/2039 (b)(c)(d) | 812000 | 726675 |
| LIFE Mortgage Trust Series 2021-BMR Class C, CME Term SOFR 1 month Index + 1.2145%, 5.5435% 3/15/2038 (b)(c)(d) | 22642 | 22486 |
| LIFE Mortgage Trust Series 2021-BMR Class D, CME Term SOFR 1 month Index + 1.5145%, 5.8435% 3/15/2038 (b)(c)(d) | 206500 | 204693 |
| LIFE Mortgage Trust Series 2021-BMR Class E, CME Term SOFR 1 month Index + 1.8645%, 6.1935% 3/15/2038 (b)(c)(d) | 180600 | 178343 |
| LV Trust Series 2024-SHOW Class C, 6.0739% 10/10/2041 (c)(d) | 128000 | 127842 |
| MCR Mortgage Trust Series 2024-TWA Class F, 10.382% 6/12/2039 (c) | 200000 | 203500 |
| MHC Commercial Mortgage Trust Series 2021-MHC Class F, CME Term SOFR 1 month Index + 2.7154%, 7.0444% 4/15/2038 (b)(c)(d) | 1720000 | 1718925 |
| MHC Commercial Mortgage Trust Series 2021-MHC Class G, CME Term SOFR 1 month Index + 3.3154%, 7.6444% 4/15/2038 (b)(c)(d) | 1280000 | 1279200 |
| MHC Trust Series 2021-MHC2 Class F, CME Term SOFR 1 month Index + 2.5145%, 6.8435% 5/15/2038 (b)(c)(d) | 112800 | 112377 |
| MHP Commercial Mortgage Trust Series 2021-STOR Class A, CME Term SOFR 1 month Index + 0.8145%, 5.1435% 7/15/2038 (b)(c)(d) | 200000 | 199750 |
| MHP Commercial Mortgage Trust Series 2021-STOR Class F, CME Term SOFR 1 month Index + 2.3145%, 6.6435% 7/15/2038 (b)(c)(d) | 800000 | 798000 |
| MHP Commercial Mortgage Trust Series 2021-STOR Class G, CME Term SOFR 1 month Index + 2.8645%, 7.1935% 7/15/2038 (b)(c)(d) | 1500000 | 1497188 |
| MHP Commercial Mortgage Trust Series 2022-MHIL Class E, CME Term SOFR 1 month Index + 2.6106%, 6.9393% 1/15/2039 (b)(c)(d) | 444000 | 440948 |
| MHP Commercial Mortgage Trust Series 2022-MHIL Class F, CME Term SOFR 1 month Index + 3.2592%, 7.5879% 1/15/2039 (b)(c)(d) | 785600 | 779708 |
| MHP Commercial Mortgage Trust Series 2022-MHIL Class G, CME Term SOFR 1 month Index + 3.9575%, 8.2862% 1/15/2027 (b)(c)(d) | 979200 | 977495 |
| Morgan Stanley Bank of America Merrill Lynch Trust Series 2013-C9 Class C, 3.7138% 5/15/2046 (d) | 144000 | 132193 |
| Morgan Stanley Bank of America Merrill Lynch Trust Series 2013-C9 Class D, 3.8018% 5/15/2046 (c)(d) | 120000 | 109047 |
| Morgan Stanley Bank of America Merrill Lynch Trust Series 2017-C34 Class ASB, 3.354% 11/15/2052  | 592609 | 584240 |
| Morgan Stanley Capital I Trust Series 2015-MS1 Class C, 4.0115% 5/15/2048 (d) | 561000 | 508082 |
| Morgan Stanley Capital I Trust Series 2016-UB11 Class A4, 2.782% 8/15/2049  | 1000000 | 973667 |
| Morgan Stanley Capital I Trust Series 2017-H1 Class A4, 3.259% 6/15/2050  | 500000 | 487920 |
| Morgan Stanley Capital I Trust Series 2017-H1 Class B, 4.075% 6/15/2050  | 515000 | 491512 |
| Morgan Stanley Capital I Trust Series 2017-H1 Class C, 4.281% 6/15/2050  | 442000 | 412244 |
| Morgan Stanley Capital I Trust Series 2017-HR2 Class D, 2.73% 12/15/2050  | 471000 | 414405 |
| Morgan Stanley Capital I Trust Series 2018-H4 Class A4, 4.31% 12/15/2051  | 5485000 | 5390516 |
| Morgan Stanley Capital I Trust Series 2019-L2 Class A3, 3.806% 3/15/2052  | 359438 | 345383 |
| Morgan Stanley Capital I Trust Series 2024-BPR2 Class A, 7.291% 5/5/2029 (c) | 950210 | 985005 |
| Morgan Stanley Capital I Trust Series 2024-BPR2 Class X, 0.865% 5/5/2029 (c)(d)(h) | 7953014 | 246117 |
| Morgan Stanley Capital I Trust Series 2024-NSTB Class B, 3.9% 9/24/2057 (c)(d) | 140000 | 130819 |
| Morgan Stanley Capital I Trust Series 2024-NSTB Class C, 4.0803% 9/24/2057 (c)(d) | 152000 | 142632 |
| MSWF Commercial Mortgage Trust Series 2023-2 Class C, 7.0181% 12/15/2056 (d) | 647000 | 656526 |
| NXPT Commercial Mortgage Trust Series 2024-STOR Class E, 6.7033% 11/5/2041 (c)(d) | 1134000 | 1150141 |
| OPEN Trust Series 2023-AIR Class A, CME Term SOFR 1 month Index + 3.0891%, 7.4178% 11/15/2040 (b)(c)(d) | 367518 | 368537 |
| OPEN Trust Series 2023-AIR Class B, CME Term SOFR 1 month Index + 3.838%, 8.1667% 11/15/2040 (b)(c)(d) | 2688000 | 2688000 |
| Prima Capital CRE Securitization Ltd Series 2020-8A Class C, 3% 12/26/2070 (c) | 840000 | 693252 |
| PRM5 Trust Series 2025-PRM5 Class D, 5.6245% 3/10/2033 (c)(d) | 164000 | 162220 |
| PRM5 Trust Series 2025-PRM5 Class E, 6.8678% 3/10/2033 (c)(d) | 600000 | 597660 |
| ROCK Trust Series 2024-CNTR Class E, 8.8191% 11/13/2041 (c) | 737000 | 769218 |
| SELF Commercial Mortgage Trust Series 2024-STRG Class E, CME Term SOFR 1 month Index + 4.1885%, 8.5172% 11/15/2034 (b)(c)(d) | 239000 | 238348 |
| SELF Commercial Mortgage Trust Series 2024-STRG Class F, CME Term SOFR 1 month Index + 5.187%, 9.5157% 11/15/2034 (b)(c)(d) | 199000 | 197867 |
| SHR Trust Series 2024-LXRY Class D, CME Term SOFR 1 month Index + 3.6%, 7.9287% 10/15/2041 (b)(c)(d) | 460000 | 459712 |
| SHR Trust Series 2024-LXRY Class E, CME Term SOFR 1 month Index + 4.45%, 8.7787% 10/15/2041 (b)(c)(d) | 100000 | 99062 |
| SMRT Trust Series 2022-MINI Class D, CME Term SOFR 1 month Index + 1.95%, 6.279% 1/15/2039 (b)(c)(d) | 250000 | 245625 |
| SMRT Trust Series 2022-MINI Class F, CME Term SOFR 1 month Index + 3.35%, 7.679% 1/15/2039 (b)(c)(d) | 250000 | 243001 |
| SPGN Mortgage Trust Series 2022-TFLM Class B, CME Term SOFR 1 month Index + 2%, 6.3287% 2/15/2039 (b)(c)(d) | 457000 | 447897 |
| SPGN Mortgage Trust Series 2022-TFLM Class C, CME Term SOFR 1 month Index + 2.65%, 6.9787% 2/15/2039 (b)(c)(d) | 237000 | 229919 |
| SREIT Trust Series 2021-FLWR Class F, CME Term SOFR 1 month Index + 2.787%, 7.116% 7/15/2036 (b)(c)(d) | 800000 | 796000 |
| SREIT Trust Series 2021-MFP Class A, CME Term SOFR 1 month Index + 0.8453%, 5.174% 11/15/2038 (b)(c)(d) | 11643959 | 11629405 |
| SREIT Trust Series 2021-MFP Class B, CME Term SOFR 1 month Index + 1.1943%, 5.523% 11/15/2038 (b)(c)(d) | 4163170 | 4150160 |
| SREIT Trust Series 2021-MFP Class C, CME Term SOFR 1 month Index + 1.4435%, 5.7722% 11/15/2038 (b)(c)(d) | 507499 | 505596 |
| SREIT Trust Series 2021-MFP Class D, CME Term SOFR 1 month Index + 1.6927%, 6.0214% 11/15/2038 (b)(c)(d) | 333859 | 332607 |
| SREIT Trust Series 2021-MFP Class G, CME Term SOFR 1 month Index + 3.0883%, 7.417% 11/15/2038 (b)(c)(d) | 1048552 | 1044403 |
| SREIT Trust Series 2021-PALM Class G, CME Term SOFR 1 month Index + 3.7306%, 8.0596% 10/15/2034 (b)(c)(d) | 482000 | 479992 |
| STWD Trust Series 2021-LIH Class F, CME Term SOFR 1 month Index + 3.6655%, 7.994% 11/15/2036 (b)(c)(d) | 1230000 | 1211902 |
| SWCH Commercial Mortgage Trust Series 2025-DATA Class D, CME Term SOFR 1 month Index + 2.6412%, 6.9699% 2/15/2042 (b)(c)(d) | 385000 | 380665 |
| SWCH Commercial Mortgage Trust Series 2025-DATA Class F, CME Term SOFR 1 month Index + 4.2389%, 8.5676% 2/15/2042 (b)(c)(d) | 1071000 | 1059099 |
| 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) | 4410000 | 4408616 |
| 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) | 1074000 | 1069970 |
| 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) | 2027000 | 2014238 |
| TCO Commercial Mortgage Trust Series 2024-DPM Class D, CME Term SOFR 1 month Index + 2.7408%, 7.0695% 12/15/2039 (b)(c)(d) | 590000 | 579824 |
| UBS Commercial Mortgage Trust Series 2017-C7 Class ASB, 3.586% 12/15/2050  | 1113225 | 1099592 |
| UBS Commercial Mortgage Trust Series 2017-C7 Class XA, 0.9712% 12/15/2050 (d)(h) | 1113394 | 23337 |
| VLS Commercial Mortgage Trust Series 2020-LAB Class A, 2.13% 10/10/2042 (c) | 1382000 | 1145429 |
| VLS Commercial Mortgage Trust Series 2020-LAB Class B, 2.453% 10/10/2042 (c) | 1276000 | 1018236 |
| Wells Fargo Commercial Mortgage Trust Series 2016-BNK1 Class B, 2.967% 8/15/2049  | 455000 | 400449 |
| Wells Fargo Commercial Mortgage Trust Series 2016-C35 Class A4FL, CME Term SOFR 1 month Index + 1.1645%, 5.4932% 7/15/2048 (b)(c)(d) | 2800000 | 2800398 |
| Wells Fargo Commercial Mortgage Trust Series 2016-C37 Class A4, 3.525% 12/15/2049  | 901646 | 887520 |
| Wells Fargo Commercial Mortgage Trust Series 2016-NXS6 Class C, 4.3944% 11/15/2049 (d) | 621000 | 589954 |
| Wells Fargo Commercial Mortgage Trust Series 2017-C38 Class ASB, 3.261% 7/15/2050  | 288015 | 284832 |
| Wells Fargo Commercial Mortgage Trust Series 2017-C42 Class ASB, 3.488% 12/15/2050  | 322285 | 318845 |
| Wells Fargo Commercial Mortgage Trust Series 2017-C42 Class XA, 0.8551% 12/15/2050 (d)(h) | 3208930 | 56212 |
| Wells Fargo Commercial Mortgage Trust Series 2018-C46 Class XA, 0.9005% 8/15/2051 (d)(h) | 2206011 | 42548 |
| Wells Fargo Commercial Mortgage Trust Series 2020-C55 Class ASB, 2.651% 2/15/2053  | 376818 | 361366 |
| Wells Fargo Commercial Mortgage Trust Series 2021-FCMT Class A, CME Term SOFR 1 month Index + 1.3145%, 5.6435% 5/15/2031 (b)(c)(d) | 953000 | 945910 |
| Wells Fargo Commercial Mortgage Trust Series 2021-SAVE Class D, CME Term SOFR 1 month Index + 2.7145%, 7.0435% 2/15/2040 (b)(c)(d) | 460800 | 460528 |
| Wells Fargo Commercial Mortgage Trust Series 2024-1CHI Class E, 7.8268% 7/15/2035 (c)(d) | 415000 | 420032 |
| Wells Fargo Commercial Mortgage Trust Series 2024-5C2 Class C, 6.3334% 11/15/2057 (d) | 100000 | 100726 |
| Wells Fargo Commercial Mortgage Trust Series 2024-MGP Class A11, CME Term SOFR 1 month Index + 1.9907%, 6.3194% 8/15/2041 (b)(c)(d) | 700000 | 698291 |
| Wells Fargo Commercial Mortgage Trust Series 2024-MGP Class A12, CME Term SOFR 1 month Index + 1.6912%, 6.0199% 8/15/2041 (b)(c)(d) | 1500000 | 1492496 |
| Wells Fargo Commerical Mortgage Trust Series 2025-VTT Class A, 5.1004% 3/15/2038 (c)(d) | 3206000 | 3196466 |
| WF-RBS Commercial Mortgage Trust Series 2013-C11 Class C, 4.0092% 3/15/2045 (d) | 170000 | 161740 |
| TOTAL UNITED STATES |  | 360530461 |
| <br> **TOTAL COMMERCIAL MORTGAGE SECURITIES**<br> (Cost $359,986,097) |  | <br> **360825859** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Common Stocks - 0.0%** | &nbsp;&nbsp;**Common Stocks - 0.0%** | &nbsp;&nbsp;**Common Stocks - 0.0%** |
|  | Shares | Value ($)<br>|
| UNITED STATES - 0.0%  |  |  |
| Energy - 0.0% |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |
| New Fortress Energy Inc  | 21185 | 52751 |
| Industrials - 0.0% |  |  |
| Passenger Airlines - 0.0% |  |  |
| Spirit Aviation Holdings Inc  | 2969 | 17784 |
| Spirit Aviation Holdings Inc  | 2516 | 15071 |
|  |  | 32855 |
| TOTAL UNITED STATES |  | 85606 |
| <br> **TOTAL COMMON STOCKS**<br> (Cost $259,322) |  | <br> **85606** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Convertible Corporate Bonds - 0.1%** | &nbsp;&nbsp;**Convertible Corporate Bonds - 0.1%** | &nbsp;&nbsp;**Convertible Corporate Bonds - 0.1%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 0.1%  |  |  |
| Communication Services - 0.0% |  |  |
| Media - 0.0% |  |  |
| EchoStar Corp 3.875% 11/30/2030 pay-in-kind  | 1312460 | 1259664 |
| Information Technology - 0.0% |  |  |
| Semiconductors & Semiconductor Equipment - 0.0% |  |  |
| MKS Inc 1.25% 6/1/2030  | 463000 | 423225 |
| ON Semiconductor Corp 0% 5/1/2027 (m) | 390000 | 420732 |
| Wolfspeed Inc 1.875% 12/1/2029  | 1962000 | 353160 |
|  |  | 1197117 |
| Software - 0.0% |  |  |
| Core Scientific Inc 0% 6/15/2031 (c)(m) | 827000 | 769110 |
| Core Scientific Inc 3% 9/1/2029 (c) | 101000 | 128775 |
|  |  | 897885 |
| TOTAL INFORMATION TECHNOLOGY |  | 2095002 |
| Real Estate - 0.1% |  |  |
| Real Estate Management & Development - 0.1% |  |  |
| Anywhere Real Estate Group LLC / Realogy Co-Issuer Corp 0.25% 6/15/2026  | 917000 | 866107 |
| Redfin Corp 0.5% 4/1/2027  | 1423000 | 1264762 |
|  |  | 2130869 |
| Utilities - 0.0% |  |  |
| Electric Utilities - 0.0% |  |  |
| PG&E Corp 4.25% 12/1/2027  | 389000 | 403587 |
| TOTAL UNITED STATES |  | 5889122 |
| <br> **TOTAL CONVERTIBLE CORPORATE BONDS**<br> (Cost $6,388,138) |  | <br> **5889122** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Convertible Preferred Stocks - 0.0%** | &nbsp;&nbsp;**Convertible Preferred Stocks - 0.0%** | &nbsp;&nbsp;**Convertible Preferred Stocks - 0.0%** |
|  | Shares | Value ($)<br>|
| UNITED STATES - 0.0%  |  |  |
| Financials - 0.0% |  |  |
| Financial Services - 0.0% |  |  |
| Acrisure Holdings Inc Series A-2 (l)<br>(Cost $681,295)<br>| 28293 | **681295** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Fixed-Income Funds - 5.6%** | &nbsp;&nbsp;**Fixed-Income Funds - 5.6%** | &nbsp;&nbsp;**Fixed-Income Funds - 5.6%** |
|  | Shares | Value ($)<br>|
| Fidelity Floating Rate Central Fund (n)<br>(Cost $393,190,187)<br>| 4009730 | **385134566** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 1.0%** | &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 1.0%** | &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 1.0%** | &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 1.0%** |
|  |  | Principal<br> Amount (a)<br>| Value ($)<br>|
| ANGOLA - 0.0%  |  |  |  |
| Angola Republic 8.25% 5/9/2028 (c) |  | 330000 | 296753 |
| Angola Republic 8.75% 4/14/2032 (c) |  | 200000 | 164561 |
| Angola Republic 9.375% 5/8/2048 (c) |  | 270000 | 198045 |
| Angola Republic 9.5% 11/12/2025 (c) |  | 315000 | 314705 |
| TOTAL ANGOLA |  |  | 974064 |
| ARGENTINA - 0.2%  |  |  |  |
| Argentine Republic 0.75% 7/9/2030 (k) |  | 3616809 | 2832413 |
| Argentine Republic 1% 7/9/2029  |  | 364721 | 300165 |
| Argentine Republic 3.5% 7/9/2041 (k) |  | 460000 | 285837 |
| Argentine Republic 4.125% 7/9/2035 (k) |  | 3529989 | 2374800 |
| Argentine Republic 5% 1/9/2038 (k) |  | 825000 | 587483 |
| Bonos Para La Reconstruccion De Una Argentina Libre 0% 6/30/2025 (m) |  | 30132 | 5050 |
| Provincia de Cordoba 6.99% 6/1/2027 (c)(k) |  | 225000 | 219615 |
| TOTAL ARGENTINA |  |  | 6605363 |
| ARMENIA - 0.0%  |  |  |  |
| Republic of Armenia 3.6% 2/2/2031 (c) |  | 230000 | 195141 |
| Republic of Armenia 6.75% 3/12/2035 (c) |  | 260000 | 247626 |
| TOTAL ARMENIA |  |  | 442767 |
| BAHAMAS (NASSAU) - 0.0%  |  |  |  |
| Bahamas Government International Bond 6% 11/21/2028 (c) |  | 200000 | 193399 |
| BAHRAIN - 0.0%  |  |  |  |
| Bahrain Kingdom 5.625% 5/18/2034 (c) |  | 190000 | 172484 |
| Bahrain Kingdom 7.5% 2/12/2036 (c) |  | 100000 | 101750 |
| TOTAL BAHRAIN |  |  | 274234 |
| BARBADOS - 0.0%  |  |  |  |
| Barbados Government 6.5% 10/1/2029 (c) |  | 283500 | 269892 |
| BENIN - 0.0%  |  |  |  |
| Republic of Benin 7.96% 2/13/2038 (c) |  | 250000 | 227813 |
| Republic of Benin 8.375% 1/23/2041 (c) |  | 100000 | 92609 |
| TOTAL BENIN |  |  | 320422 |
| BERMUDA - 0.0%  |  |  |  |
| Bermuda 3.375% 8/20/2050 (c) |  | 140000 | 89381 |
| Bermuda 3.717% 1/25/2027 (c) |  | 300000 | 294938 |
| Bermuda 4.75% 2/15/2029 (c) |  | 280000 | 278600 |
| Bermuda 5% 7/15/2032 (c) |  | 140000 | 135695 |
| TOTAL BERMUDA |  |  | 798614 |
| BRAZIL - 0.0%  |  |  |  |
| Federative Republic of Brazil 3.875% 6/12/2030  |  | 345000 | 321023 |
| Federative Republic of Brazil 6% 10/20/2033  |  | 200000 | 196250 |
| Federative Republic of Brazil 7.125% 1/20/2037  |  | 340000 | 351135 |
| Federative Republic of Brazil 7.125% 5/13/2054  |  | 100000 | 92600 |
| Federative Republic of Brazil 8.25% 1/20/2034  |  | 605000 | 679415 |
| TOTAL BRAZIL |  |  | 1640423 |
| CANADA - 0.0%  |  |  |  |
| Canadian Government 1.5% 12/1/2031  | CAD | 220000 | 146408 |
| Canadian Government 2% 6/1/2032  | CAD | 1335000 | 909555 |
| Canadian Government 2.75% 6/1/2033  | CAD | 400000 | 284170 |
| TOTAL CANADA |  |  | 1340133 |
| CHILE - 0.0%  |  |  |  |
| Chilean Republic 2.45% 1/31/2031  |  | 805000 | 709608 |
| Chilean Republic 2.75% 1/31/2027  |  | 200000 | 194000 |
| Chilean Republic 3.1% 1/22/2061  |  | 575000 | 336375 |
| Chilean Republic 4.34% 3/7/2042  |  | 200000 | 169200 |
| Chilean Republic 5.33% 1/5/2054  |  | 240000 | 220320 |
| TOTAL CHILE |  |  | 1629503 |
| COLOMBIA - 0.2%  |  |  |  |
| Colombian Republic 3% 1/30/2030  |  | 440000 | 376860 |
| Colombian Republic 3.125% 4/15/2031  |  | 240000 | 196416 |
| Colombian Republic 3.25% 4/22/2032  |  | 200000 | 156900 |
| Colombian Republic 4.125% 5/15/2051  |  | 200000 | 112000 |
| Colombian Republic 5% 6/15/2045  |  | 750000 | 498000 |
| Colombian Republic 5.2% 5/15/2049  |  | 365000 | 240170 |
| Colombian Republic 7.375% 4/25/2030  |  | 200000 | 205980 |
| Colombian Republic 7.375% 9/18/2037  |  | 100000 | 94688 |
| Colombian Republic 8% 11/14/2035  |  | 1110000 | 1111110 |
| Colombian Republic 8% 4/20/2033  |  | 130000 | 133283 |
| Colombian Republic 8.5% 4/25/2035  |  | 200000 | 206380 |
| Colombian Republic 8.75% 11/14/2053  |  | 1350000 | 1316925 |
| TOTAL COLOMBIA |  |  | 4648712 |
| COSTA RICA - 0.0%  |  |  |  |
| Costa Rica Government International Bond 5.625% 4/30/2043 (c) |  | 90000 | 79920 |
| Costa Rica Government International Bond 7.3% 11/13/2054 (c) |  | 200000 | 204400 |
| TOTAL COSTA RICA |  |  | 284320 |
| COTE D'IVOIRE - 0.0%  |  |  |  |
| Ivory Coast Government International Bond 6.125% 6/15/2033 (c) |  | 560000 | 496825 |
| Ivory Coast Government International Bond 8.075% 4/1/2036 (c) |  | 200000 | 188511 |
| Ivory Coast Government International Bond 8.25% 1/30/2037 (c) |  | 145000 | 136119 |
| TOTAL COTE D'IVOIRE |  |  | 821455 |
| DOMINICAN REPUBLIC - 0.2%  |  |  |  |
| Dominican Republic Bond 4.5% 1/30/2030 (c) |  | 1400000 | 1316000 |
| Dominican Republic Bond 4.875% 9/23/2032 (c) |  | 705000 | 642960 |
| Dominican Republic Bond 5.95% 1/25/2027 (c) |  | 3260000 | 3277930 |
| Dominican Republic Bond 6% 7/19/2028 (c) |  | 715000 | 722150 |
| Dominican Republic Bond 6.5% 2/15/2048 (c) |  | 150000 | 139350 |
| Dominican Republic Bond 6.6% 6/1/2036 (c) |  | 135000 | 134325 |
| Dominican Republic Bond 6.85% 1/27/2045 (c) |  | 135000 | 130451 |
| Dominican Republic Bond 7.05% 2/3/2031 (c) |  | 150000 | 155640 |
| Dominican Republic Bond 7.15% 2/24/2055 (c) |  | 210000 | 206220 |
| Dominican Republic Bond 7.45% 4/30/2044 (c) |  | 235000 | 241580 |
| TOTAL DOMINICAN REPUBLIC |  |  | 6966606 |
| ECUADOR - 0.0%  |  |  |  |
| Republic of Ecuador 5.5% 7/31/2035 (c)(k) |  | 655000 | 406755 |
| Republic of Ecuador 6.9% 7/31/2030 (c)(k) |  | 526601 | 408247 |
| TOTAL ECUADOR |  |  | 815002 |
| EGYPT - 0.0%  |  |  |  |
| Arab Republic of Egypt 7.5% 1/31/2027 (c) |  | 370000 | 373170 |
| Arab Republic of Egypt 7.5% 2/16/2061 (c) |  | 495000 | 338451 |
| Arab Republic of Egypt 7.6003% 3/1/2029 (c) |  | 245000 | 240243 |
| Arab Republic of Egypt 7.625% 5/29/2032 (c) |  | 135000 | 121205 |
| Arab Republic of Egypt 7.903% 2/21/2048 (c) |  | 200000 | 144780 |
| Arab Republic of Egypt 8.5% 1/31/2047 (c) |  | 360000 | 275317 |
| Arab Republic of Egypt 8.7002% 3/1/2049 (c) |  | 200000 | 155250 |
| TOTAL EGYPT |  |  | 1648416 |
| EL SALVADOR - 0.0%  |  |  |  |
| El Salvador Republic 0.25% 4/17/2030 (c) |  | 150000 | 2700 |
| El Salvador Republic 7.1246% 1/20/2050 (c) |  | 150000 | 121725 |
| El Salvador Republic 7.65% 6/15/2035 (c) |  | 80000 | 75680 |
| El Salvador Republic 9.25% 4/17/2030 (c) |  | 205000 | 214238 |
| El Salvador Republic 9.65% 11/21/2054 (c) |  | 150000 | 149625 |
| TOTAL EL SALVADOR |  |  | 563968 |
| GABON - 0.0%  |  |  |  |
| Gabonese Republic 6.625% 2/6/2031 (c) |  | 200000 | 149250 |
| Gabonese Republic 7% 11/24/2031 (c) |  | 260000 | 193396 |
| TOTAL GABON |  |  | 342646 |
| GEORGIA - 0.0%  |  |  |  |
| Georgia Republic 2.75% 4/22/2026 (c) |  | 230000 | 220571 |
| GHANA - 0.0%  |  |  |  |
| Ghana Republic 0% 1/3/2030 (c)(m) |  | 10037 | 8154 |
| Ghana Republic 0% 7/3/2026 (c)(m) |  | 9600 | 9288 |
| Ghana Republic 5% 7/3/2029 (c)(k) |  | 131800 | 119938 |
| Ghana Republic 5% 7/3/2035 (c)(k) |  | 144200 | 106348 |
| TOTAL GHANA |  |  | 243728 |
| GUATEMALA - 0.0%  |  |  |  |
| Guatemala Government Bond 6.125% 6/1/2050 (c) |  | 230000 | 204240 |
| Guatemala Government Bond 6.6% 6/13/2036 (c) |  | 230000 | 230460 |
| TOTAL GUATEMALA |  |  | 434700 |
| HUNGARY - 0.0%  |  |  |  |
| Hungary Government 3.125% 9/21/2051 (c) |  | 405000 | 235248 |
| Hungary Government 5.25% 6/16/2029 (c) |  | 200000 | 200750 |
| Hungary Government 5.5% 6/16/2034 (c) |  | 280000 | 271164 |
| Hungary Government 6.25% 9/22/2032 (c) |  | 140000 | 144813 |
| Hungary Government 6.75% 9/25/2052 (c) |  | 100000 | 99925 |
| TOTAL HUNGARY |  |  | 951900 |
| INDONESIA - 0.2%  |  |  |  |
| Indonesia Government 3.2% 9/23/2061  |  | 200000 | 122500 |
| Indonesia Government 3.85% 10/15/2030  |  | 125000 | 120488 |
| Indonesia Government 4.2% 10/15/2050  |  | 2100000 | 1659000 |
| Indonesia Government 4.35% 1/11/2048  |  | 200000 | 163800 |
| Indonesia Government 5.125% 1/15/2045 (c) |  | 500000 | 467800 |
| Indonesia Government 5.25% 1/17/2042 (c) |  | 200000 | 192800 |
| Indonesia Government 5.95% 1/8/2046 (c) |  | 200000 | 204590 |
| Indonesia Government 6.75% 1/15/2044 (c) |  | 260000 | 286520 |
| Indonesia Government 7.75% 1/17/2038 (c) |  | 455000 | 545090 |
| Indonesia Government 8.5% 10/12/2035 (c) |  | 670000 | 836160 |
| TOTAL INDONESIA |  |  | 4598748 |
| ISRAEL - 0.0%  |  |  |  |
| Israel Government 3.375% 1/15/2050  |  | 270000 | 167184 |
| Israel Government 5.75% 3/12/2054  |  | 200000 | 177344 |
| TOTAL ISRAEL |  |  | 344528 |
| JAPAN - 0.0%  |  |  |  |
| Japan Government 0.9% 9/20/2034  | JPY | 65000000 | 430528 |
| JORDAN - 0.0%  |  |  |  |
| Jordan Government 7.375% 10/10/2047 (c) |  | 115000 | 99072 |
| Jordan Government 7.75% 1/15/2028 (c) |  | 230000 | 235895 |
| TOTAL JORDAN |  |  | 334967 |
| KENYA - 0.0%  |  |  |  |
| Republic of Kenya Government Bond 6.3% 1/23/2034 (c) |  | 105000 | 83638 |
| Republic of Kenya Government Bond 9.75% 2/16/2031 (c) |  | 260000 | 259431 |
| TOTAL KENYA |  |  | 343069 |
| LEBANON - 0.0%  |  |  |  |
| Lebanon Republic 5.8% (o)(p) |  | 290000 | 50169 |
| Lebanon Republic 6.375% (o)(p) |  | 365000 | 63145 |
| TOTAL LEBANON |  |  | 113314 |
| MEXICO - 0.0%  |  |  |  |
| United Mexican States 2.659% 5/24/2031  |  | 160000 | 136320 |
| United Mexican States 3.25% 4/16/2030  |  | 300000 | 273600 |
| United Mexican States 3.5% 2/12/2034  |  | 260000 | 213590 |
| United Mexican States 3.75% 1/11/2028  |  | 300000 | 293288 |
| United Mexican States 3.75% 4/19/2071  |  | 360000 | 194355 |
| United Mexican States 4.875% 5/19/2033  |  | 200000 | 184750 |
| United Mexican States 5.75% 10/12/2110  |  | 410000 | 309601 |
| United Mexican States 6% 5/7/2036  |  | 340000 | 325550 |
| United Mexican States 6.05% 1/11/2040  |  | 455000 | 422354 |
| United Mexican States 6.338% 5/4/2053  |  | 200000 | 175600 |
| United Mexican States 6.35% 2/9/2035  |  | 300000 | 298950 |
| United Mexican States 6.875% 5/13/2037  |  | 200000 | 202400 |
| United Mexican States 7.375% 5/13/2055  |  | 350000 | 345975 |
| TOTAL MEXICO |  |  | 3376333 |
| MONGOLIA - 0.0%  |  |  |  |
| Mongolia Government 6.625% 2/25/2030 (c) |  | 245000 | 238263 |
| MONTENEGRO - 0.0%  |  |  |  |
| Republic of Montenegro 7.25% 3/12/2031 (c) |  | 420000 | 430605 |
| MOROCCO - 0.0%  |  |  |  |
| Moroccan Kingdom 6.5% 9/8/2033 (c) |  | 230000 | 237944 |
| MULTI-NATIONAL - 0.0%  |  |  |  |
| European Union 4% 4/4/2044 (p) | EUR | 730000 | 873611 |
| NIGERIA - 0.0%  |  |  |  |
| Republic of Nigeria 6.125% 9/28/2028 (c) |  | 590000 | 547042 |
| Republic of Nigeria 6.5% 11/28/2027 (c) |  | 205000 | 198530 |
| Republic of Nigeria 7.143% 2/23/2030 (c) |  | 200000 | 184000 |
| Republic of Nigeria 7.625% 11/21/2025 (c) |  | 335000 | 336360 |
| Republic of Nigeria 7.696% 2/23/2038 (c) |  | 200000 | 163250 |
| Republic of Nigeria 7.875% 2/16/2032 (c) |  | 200000 | 180950 |
| TOTAL NIGERIA |  |  | 1610132 |
| OMAN - 0.0%  |  |  |  |
| Oman Sultanate 5.625% 1/17/2028 (c) |  | 395000 | 398530 |
| Oman Sultanate 6% 8/1/2029 (c) |  | 490000 | 504916 |
| Oman Sultanate 6.25% 1/25/2031 (c) |  | 270000 | 282185 |
| Oman Sultanate 6.5% 3/8/2047 (c) |  | 170000 | 166019 |
| Oman Sultanate 6.75% 1/17/2048 (c) |  | 255000 | 256068 |
| TOTAL OMAN |  |  | 1607718 |
| PAKISTAN - 0.0%  |  |  |  |
| Islamic Republic of Pakistan 6% 4/8/2026 (c) |  | 360000 | 350730 |
| Islamic Republic of Pakistan 6.875% 12/5/2027 (c) |  | 105000 | 97422 |
| Islamic Republic of Pakistan 7.375% 4/8/2031 (c) |  | 470000 | 400200 |
| TOTAL PAKISTAN |  |  | 848352 |
| PANAMA - 0.0%  |  |  |  |
| Panamanian Republic 3.298% 1/19/2033  |  | 165000 | 130040 |
| Panamanian Republic 3.87% 7/23/2060  |  | 255000 | 137003 |
| Panamanian Republic 4.5% 4/16/2050  |  | 420000 | 267120 |
| Panamanian Republic 7.875% 3/1/2057  |  | 250000 | 243250 |
| Panamanian Republic 8% 3/1/2038  |  | 200000 | 207100 |
| TOTAL PANAMA |  |  | 984513 |
| PARAGUAY - 0.0%  |  |  |  |
| Republic of Paraguay 2.739% 1/29/2033 (c) |  | 125000 | 104575 |
| Republic of Paraguay 4.95% 4/28/2031 (c) |  | 265000 | 259948 |
| Republic of Paraguay 5.4% 3/30/2050 (c) |  | 150000 | 126007 |
| Republic of Paraguay 6.65% 3/4/2055 (c) |  | 200000 | 194900 |
| TOTAL PARAGUAY |  |  | 685430 |
| PERU - 0.0%  |  |  |  |
| Peruvian Republic 2.783% 1/23/2031  |  | 330000 | 291225 |
| Peruvian Republic 3% 1/15/2034  |  | 190000 | 157795 |
| Peruvian Republic 3.3% 3/11/2041  |  | 205000 | 149035 |
| TOTAL PERU |  |  | 598055 |
| PHILIPPINES - 0.0%  |  |  |  |
| Philippine Republic 2.65% 12/10/2045  |  | 200000 | 126620 |
| Philippine Republic 5.5% 1/17/2048  |  | 125000 | 119860 |
| Philippine Republic 5.6% 5/14/2049  |  | 240000 | 231149 |
| Philippine Republic 5.609% 4/13/2033  |  | 240000 | 249236 |
| Philippine Republic 5.95% 10/13/2047  |  | 250000 | 252813 |
| TOTAL PHILIPPINES |  |  | 979678 |
| POLAND - 0.0%  |  |  |  |
| Bank Gospodarstwa Krajowego 5.375% 5/22/2033 (c) |  | 75000 | 74407 |
| Bank Gospodarstwa Krajowego 6.25% 10/31/2028 (c) |  | 85000 | 88836 |
| Bank Gospodarstwa Krajowego 6.25% 7/9/2054 (c) |  | 355000 | 342685 |
| Republic of Poland 5.5% 3/18/2054  |  | 115000 | 104032 |
| Republic of Poland 5.5% 4/4/2053  |  | 145000 | 131841 |
| Republic of Poland 5.75% 11/16/2032  |  | 175000 | 182446 |
| TOTAL POLAND |  |  | 924247 |
| QATAR - 0.0%  |  |  |  |
| State of Qatar 4.4% 4/16/2050 (c) |  | 455000 | 379698 |
| State of Qatar 4.625% 6/2/2046 (c) |  | 480000 | 423492 |
| State of Qatar 4.817% 3/14/2049 (c) |  | 370000 | 328560 |
| State of Qatar 5.103% 4/23/2048 (c) |  | 555000 | 515595 |
| State of Qatar 9.75% 6/15/2030 (c) |  | 135000 | 167568 |
| TOTAL QATAR |  |  | 1814913 |
| ROMANIA - 0.0%  |  |  |  |
| Romanian Republic 3% 2/27/2027 (c) |  | 105000 | 100406 |
| Romanian Republic 3.625% 3/27/2032 (c) |  | 200000 | 167376 |
| Romanian Republic 4% 2/14/2051 (c) |  | 221000 | 132477 |
| Romanian Republic 6.625% 2/17/2028 (c) |  | 90000 | 91926 |
| Romanian Republic 7.125% 1/17/2033 (c) |  | 40000 | 40580 |
| Romanian Republic 7.5% 2/10/2037 (c) |  | 314000 | 315272 |
| TOTAL ROMANIA |  |  | 848037 |
| RWANDA - 0.0%  |  |  |  |
| Rwanda Republic 5.5% 8/9/2031 (c) |  | 275000 | 231344 |
| SAUDI ARABIA - 0.0%  |  |  |  |
| Kingdom of Saudi Arabia 2.25% 2/2/2033 (c) |  | 305000 | 251346 |
| Kingdom of Saudi Arabia 3.25% 10/22/2030 (c) |  | 595000 | 553909 |
| Kingdom of Saudi Arabia 3.45% 2/2/2061 (c) |  | 450000 | 268781 |
| Kingdom of Saudi Arabia 3.75% 1/21/2055 (c) |  | 315000 | 208688 |
| Kingdom of Saudi Arabia 4.5% 10/26/2046 (c) |  | 410000 | 328410 |
| Kingdom of Saudi Arabia 4.5% 4/22/2060 (c) |  | 590000 | 445822 |
| Kingdom of Saudi Arabia 4.625% 10/4/2047 (c) |  | 300000 | 243936 |
| Kingdom of Saudi Arabia 5% 1/18/2053 (c) |  | 200000 | 166311 |
| Kingdom of Saudi Arabia 5.75% 1/16/2054 (c) |  | 200000 | 186062 |
| TOTAL SAUDI ARABIA |  |  | 2653265 |
| SENEGAL - 0.0%  |  |  |  |
| Republic of Senegal 6.25% 5/23/2033 (c) |  | 675000 | 483894 |
| SERBIA - 0.0%  |  |  |  |
| Republic of Serbia 2.125% 12/1/2030 (c) |  | 365000 | 303498 |
| Republic of Serbia 6% 6/12/2034 (c) |  | 110000 | 108969 |
| Republic of Serbia 6.5% 9/26/2033 (c) |  | 200000 | 206400 |
| TOTAL SERBIA |  |  | 618867 |
| SOUTH AFRICA - 0.0%  |  |  |  |
| South African Republic 4.85% 9/27/2027  |  | 200000 | 197996 |
| South African Republic 5% 10/12/2046  |  | 200000 | 134500 |
| South African Republic 5.65% 9/27/2047  |  | 220000 | 159500 |
| South African Republic 5.75% 9/30/2049  |  | 250000 | 180625 |
| South African Republic 5.875% 4/20/2032  |  | 200000 | 191825 |
| South African Republic 7.1% 11/19/2036 (c) |  | 335000 | 324290 |
| TOTAL SOUTH AFRICA |  |  | 1188736 |
| SRI LANKA - 0.0%  |  |  |  |
| Democratic Socialist Republic of Sri Lanka 3.1% 1/15/2030 (c)(k) |  | 138250 | 119978 |
| Democratic Socialist Republic of Sri Lanka 3.35% 3/15/2033 (c)(k) |  | 262332 | 203635 |
| Democratic Socialist Republic of Sri Lanka 3.6% 2/15/2038 (c)(k) |  | 199093 | 155293 |
| Democratic Socialist Republic of Sri Lanka 3.6% 5/15/2036 (c)(k) |  | 99504 | 77240 |
| Democratic Socialist Republic of Sri Lanka 3.6% 6/15/2035 (c)(k) |  | 48374 | 32709 |
| Democratic Socialist Republic of Sri Lanka 4% 4/15/2028 (c) |  | 104640 | 97446 |
| TOTAL SRI LANKA |  |  | 686301 |
| TURKEY - 0.2%  |  |  |  |
| Turkish Republic 4.25% 4/14/2026  |  | 225000 | 222138 |
| Turkish Republic 4.75% 1/26/2026  |  | 435000 | 433717 |
| Turkish Republic 4.875% 10/9/2026  |  | 430000 | 425507 |
| Turkish Republic 4.875% 4/16/2043  |  | 620000 | 419275 |
| Turkish Republic 5.125% 2/17/2028  |  | 225000 | 218105 |
| Turkish Republic 5.25% 3/13/2030  |  | 85000 | 79134 |
| Turkish Republic 5.75% 5/11/2047  |  | 200000 | 143099 |
| Turkish Republic 5.875% 6/26/2031  |  | 180000 | 167355 |
| Turkish Republic 6% 1/14/2041  |  | 470000 | 372898 |
| Turkish Republic 6.625% 2/17/2045  |  | 200000 | 162636 |
| Turkish Republic 7.125% 7/17/2032  |  | 250000 | 244688 |
| Turkish Republic 7.625% 5/15/2034  |  | 200000 | 199750 |
| Turkish Republic 9.125% 7/13/2030  |  | 350000 | 380342 |
| Turkish Republic 9.375% 1/19/2033  |  | 335000 | 369234 |
| Turkish Republic 9.375% 3/14/2029  |  | 780000 | 844479 |
| Turkish Republic 9.875% 1/15/2028  |  | 410000 | 444465 |
| TOTAL TURKEY |  |  | 5126822 |
| UKRAINE - 0.0%  |  |  |  |
| Ukraine Government 0% 2/1/2030 (c)(k) |  | 56813 | 27412 |
| Ukraine Government 0% 2/1/2034 (c)(k) |  | 212307 | 79084 |
| Ukraine Government 0% 2/1/2035 (c)(k) |  | 304411 | 146878 |
| Ukraine Government 0% 2/1/2036 (c)(k) |  | 184509 | 88841 |
| Ukraine Government 0% 8/1/2041 (c)(d) |  | 160000 | 115600 |
| Ukraine Government 1.75% 2/1/2029 (c)(k) |  | 343290 | 209408 |
| Ukraine Government 1.75% 2/1/2034 (c)(k) |  | 422544 | 205990 |
| Ukraine Government 1.75% 2/1/2035 (c)(k) |  | 192527 | 92413 |
| Ukraine Government 1.75% 2/1/2036 (c)(k) |  | 136722 | 64259 |
| TOTAL UKRAINE |  |  | 1029885 |
| UNITED ARAB EMIRATES - 0.0%  |  |  |  |
| Emirate of Abu Dhabi 3% 9/15/2051 (c) |  | 400000 | 253828 |
| Emirate of Abu Dhabi 3.125% 9/30/2049 (c) |  | 1175000 | 778438 |
| Emirate of Abu Dhabi 3.875% 4/16/2050 (c) |  | 285000 | 214428 |
| Emirate of Abu Dhabi 5.5% 4/30/2054 (c) |  | 200000 | 193614 |
| Emirate of Dubai 3.9% 9/9/2050 (p) |  | 305000 | 213485 |
| Emirate of Dubai 5.25% 1/30/2043 (p) |  | 200000 | 186270 |
| TOTAL UNITED ARAB EMIRATES |  |  | 1840063 |
| URUGUAY - 0.0%  |  |  |  |
| Uruguay Republic 5.1% 6/18/2050  |  | 350000 | 314405 |
| Uruguay Republic 5.75% 10/28/2034  |  | 140000 | 145719 |
| TOTAL URUGUAY |  |  | 460124 |
| UZBEKISTAN - 0.0%  |  |  |  |
| Republic of Uzbekistan 3.9% 10/19/2031 (c) |  | 230000 | 193430 |
| VENEZUELA - 0.0%  |  |  |  |
| Venezuela Republic 11.95% (o)(p) |  | 560000 | 99456 |
| Venezuela Republic 12.75% (o)(p) |  | 105000 | 18423 |
| Venezuela Republic 9.25% (o) |  | 1285000 | 244150 |
| TOTAL VENEZUELA |  |  | 362029 |
| ZAMBIA - 0.0%  |  |  |  |
| Republic of Zambia 0.5% 12/31/2053 (c) |  | 465000 | 282488 |
| <br> **TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS**<br> (Cost $69,185,366) |  |  | <br> **69811071** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 24.3%** | &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 24.3%** | &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 24.3%** | &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 24.3%** |
|  |  | Principal<br> Amount (a)<br>| Value ($)<br>|
| ANGOLA - 0.0%  |  |  |  |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| Azule Energy Finance Plc 8.125% 1/23/2030 (c) |  | 75000 | 73026 |
| ARGENTINA - 0.0%  |  |  |  |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| Tecpetrol SA 7.625% 1/22/2033 (c) |  | 140000 | 139300 |
| YPF SA 8.25% 1/17/2034 (c) |  | 140000 | 137747 |
| TOTAL ARGENTINA |  |  | 277047 |
| AUSTRALIA - 0.1%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| Commonwealth Bank of Australia 2.688% 3/11/2031 (c) |  | 525000 | 460139 |
| Commonwealth Bank of Australia 3.61% 9/12/2034 (c)(d) |  | 517000 | 484813 |
| Westpac Banking Corp 4.11% 7/24/2034 (d) |  | 744000 | 712397 |
|  |  |  | 1657349 |
| Financial Services - 0.0% |  |  |  |
| Cimic Finance Ltd 1.5% 5/28/2029 (p) | EUR | 328000 | 344900 |
| Insurance - 0.0% |  |  |  |
| QBE Insurance Group Ltd 2.5% 9/13/2038 (d)(p) | GBP | 318000 | 390187 |
| TOTAL FINANCIALS |  |  | 2392436 |
| Materials - 0.1% |  |  |  |
| Metals & Mining - 0.1% |  |  |  |
| Mineral Resources Ltd 8% 11/1/2027 (c) |  | 1780000 | 1778303 |
| Mineral Resources Ltd 8.125% 5/1/2027 (c) |  | 685000 | 685524 |
|  |  |  | 2463827 |
| Utilities - 0.0% |  |  |  |
| Electric Utilities - 0.0% |  |  |  |
| AusNet Services Holdings Pty Ltd 6.134% 5/31/2033  | AUD | 410000 | 278657 |
| TOTAL AUSTRALIA |  |  | 5134920 |
| AZERBAIJAN - 0.0%  |  |  |  |
| Energy - 0.0% |  |  |  |
| Energy Equipment & Services - 0.0% |  |  |  |
| Southern Gas Corridor CJSC 6.875% 3/24/2026 (c) |  | 360000 | 363053 |
| State Oil Co of the Azerbaijan Republic 6.95% 3/18/2030 (p) |  | 200000 | 207700 |
| TOTAL AZERBAIJAN |  |  | 570753 |
| BAHRAIN - 0.0%  |  |  |  |
| Energy - 0.0% |  |  |  |
| Energy Equipment & Services - 0.0% |  |  |  |
| Bapco Energies BSC Closed 7.5% 10/25/2027 (c) |  | 290000 | 295823 |
| Bapco Energies BSC Closed 8.375% 11/7/2028 (c) |  | 80000 | 84460 |
| TOTAL BAHRAIN |  |  | 380283 |
| BAILIWICK OF JERSEY - 0.0%  |  |  |  |
| Consumer Discretionary - 0.0% |  |  |  |
| Automobiles - 0.0% |  |  |  |
| Aston Martin Capital Holdings Ltd 10% 3/31/2029 (c) |  | 480000 | 449842 |
| BELGIUM - 0.1%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |  |
| Telenet Finance Luxembourg Notes Sarl 5.5% 3/1/2028 (c) |  | 400000 | 394000 |
| Consumer Staples - 0.1% |  |  |  |
| Beverages - 0.1% |  |  |  |
| Anheuser-Busch InBev Worldwide Inc 5.45% 1/23/2039  |  | 800000 | 802114 |
| Anheuser-Busch InBev Worldwide Inc 5.55% 1/23/2049  |  | 1824000 | 1789976 |
| Anheuser-Busch InBev Worldwide Inc 5.8% 1/23/2059  |  | 1933000 | 1930938 |
|  |  |  | 4523028 |
| Food Products - 0.0% |  |  |  |
| Barry Callebaut Services NV 4.25% 8/19/2031 (p) | EUR | 500000 | 571772 |
| TOTAL CONSUMER STAPLES |  |  | 5094800 |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| Fluxys SA 4% 11/28/2030 (p) | EUR | 400000 | 458809 |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| KBC Group NV 3.5% 1/21/2032 (d)(p) | EUR | 500000 | 574302 |
| KBC Group NV 6.324% 9/21/2034 (c)(d) |  | 502000 | 530213 |
|  |  |  | 1104515 |
| Real Estate - 0.0% |  |  |  |
| Real Estate Management & Development - 0.0% |  |  |  |
| Shurgard Luxembourg Sarl 4% 5/27/2035 (p) | EUR | 400000 | 456401 |
| TOTAL BELGIUM |  |  | 7508525 |
| BRAZIL - 0.1%  |  |  |  |
| Consumer Staples - 0.0% |  |  |  |
| Consumer Staples Distribution & Retail - 0.0% |  |  |  |
| Minerva Luxembourg SA 8.875% 9/13/2033 (c) |  | 125000 | 134185 |
| NBM US Holdings Inc 6.625% 8/6/2029 (c) |  | 330000 | 330619 |
|  |  |  | 464804 |
| Food Products - 0.0% |  |  |  |
| Marb Bondco PLC 3.95% 1/29/2031 (c) |  | 160000 | 139600 |
| TOTAL CONSUMER STAPLES |  |  | 604404 |
| Energy - 0.0% |  |  |  |
| Energy Equipment & Services - 0.0% |  |  |  |
| Guara Norte Sarl 5.198% 6/15/2034 (c) |  | 179696 | 167612 |
| Yinson Boronia Production BV 8.947% 7/31/2042 (c) |  | 545149 | 567511 |
|  |  |  | 735123 |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| MC Brazil Downstream Trading SARL 7.25% 6/30/2031 (c) |  | 566197 | 444465 |
| Petrorio Luxembourg Holding Sarl 6.125% 6/9/2026 (c) |  | 190000 | 190902 |
|  |  |  | 635367 |
| TOTAL ENERGY |  |  | 1370490 |
| Financials - 0.0% |  |  |  |
| Financial Services - 0.0% |  |  |  |
| Cosan Luxembourg SA 7.25% 6/27/2031 (c) |  | 465000 | 479531 |
| Industrials - 0.0% |  |  |  |
| Passenger Airlines - 0.0% |  |  |  |
| Azul Secured Finance LLP 11.5% 8/28/2029 (o) |  | 188748 | 3775 |
| Azul Secured Finance LLP 11.93% 8/28/2028 (o) |  | 298117 | 80492 |
| Azul Secured Finance LLP U.S. SOFR Averages Index + 8.25%, 4.2808% 1/28/2030 pay-in-kind (b)(c)(d)(o) |  | 100895 | 124605 |
|  |  |  | 208872 |
| Materials - 0.1% |  |  |  |
| Chemicals - 0.0% |  |  |  |
| Braskem Netherlands Finance BV 5.875% 1/31/2050 (c) |  | 150000 | 99000 |
| Braskem Netherlands Finance BV 7.25% 2/13/2033 (c) |  | 430000 | 374315 |
| Braskem Netherlands Finance BV 8.5% 1/12/2031 (c) |  | 235000 | 225036 |
|  |  |  | 698351 |
| Metals & Mining - 0.1% |  |  |  |
| CSN Inova Ventures 6.75% 1/28/2028 (c) |  | 245000 | 231647 |
| CSN Resources SA 5.875% 4/8/2032 (c) |  | 195000 | 159218 |
| CSN Resources SA 8.875% 12/5/2030 (c) |  | 200000 | 195422 |
| ERO Copper Corp 6.5% 2/15/2030 (c) |  | 770000 | 757488 |
| Nexa Resources SA 6.6% 4/8/2037 (c) |  | 200000 | 198373 |
| Nexa Resources SA 6.75% 4/9/2034 (c) |  | 60000 | 61170 |
| Samarco Mineracao SA 9% 6/30/2031 pay-in-kind (c)(d) |  | 1417080 | 1372796 |
| Usiminas International Sarl 7.5% 1/27/2032 (c) |  | 315000 | 317343 |
| Vale Overseas Ltd 6.4% 6/28/2054  |  | 305000 | 290445 |
|  |  |  | 3583902 |
| Paper & Forest Products - 0.0% |  |  |  |
| LD Celulose International GmbH 7.95% 1/26/2032 (c) |  | 200000 | 206175 |
| Suzano Austria GmbH 3.75% 1/15/2031  |  | 95000 | 85934 |
| Suzano Austria GmbH 5% 1/15/2030  |  | 440000 | 427746 |
|  |  |  | 719855 |
| TOTAL MATERIALS |  |  | 5002108 |
| Utilities - 0.0% |  |  |  |
| Water Utilities - 0.0% |  |  |  |
| Aegea Finance Sarl 9% 1/20/2031 (c) |  | 80000 | 84100 |
| TOTAL BRAZIL |  |  | 7749505 |
| CAMEROON - 0.0%  |  |  |  |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| Golar LNG Ltd 7.75% 9/19/2029 (c)(p) |  | 1600000 | 1600000 |
| CANADA - 0.4%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Wireless Telecommunication Services - 0.0% |  |  |  |
| Rogers Communications Inc 7% 4/15/2055 (d) |  | 184000 | 185440 |
| Rogers Communications Inc 7.125% 4/15/2055 (d) |  | 184000 | 184267 |
|  |  |  | 369707 |
| Consumer Discretionary - 0.0% |  |  |  |
| Automobiles - 0.0% |  |  |  |
| New Flyer Holdings Inc 0% 7/1/2030 (c)(q) |  | 225000 | 225000 |
| Hotels, Restaurants & Leisure - 0.0% |  |  |  |
| 1011778 BC ULC / New Red Finance Inc 5.625% 9/15/2029 (c) |  | 1445000 | 1453339 |
| 1011778 BC ULC / New Red Finance Inc 6.125% 6/15/2029 (c) |  | 619000 | 631274 |
|  |  |  | 2084613 |
| TOTAL CONSUMER DISCRETIONARY |  |  | 2309613 |
| Consumer Staples - 0.0% |  |  |  |
| Household Products - 0.0% |  |  |  |
| Kronos Acquisition Holdings Inc 10.75% 6/30/2032 (c) |  | 150000 | 100139 |
| Kronos Acquisition Holdings Inc 8.25% 6/30/2031 (c) |  | 210000 | 183681 |
|  |  |  | 283820 |
| Energy - 0.2% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.2% |  |  |  |
| Baytex Energy Corp 7.375% 3/15/2032 (c) |  | 375000 | 340409 |
| Canadian Natural Resources Ltd 2.05% 7/15/2025  |  | 5400000 | 5382208 |
| Canadian Natural Resources Ltd 3.85% 6/1/2027  |  | 2700000 | 2661499 |
| Canadian Natural Resources Ltd 5.85% 2/1/2035  |  | 525000 | 522147 |
| Cenovus Energy Inc 3.75% 2/15/2052  |  | 210000 | 136960 |
| Cenovus Energy Inc 5.25% 6/15/2037  |  | 717000 | 663835 |
| Cenovus Energy Inc 5.4% 6/15/2047  |  | 146000 | 125633 |
| Cenovus Energy Inc 6.75% 11/15/2039  |  | 58000 | 61091 |
| Parkland Corp 4.625% 5/1/2030 (c) |  | 300000 | 281875 |
| Parkland Corp 6.625% 8/15/2032 (c) |  | 1180000 | 1182618 |
| South Bow Canadian Infrastructure Holdings Ltd 7.5% 3/1/2055 (c)(d) |  | 477000 | 475651 |
| South Bow Canadian Infrastructure Holdings Ltd 7.625% 3/1/2055 (c)(d) |  | 63000 | 63590 |
|  |  |  | 11897516 |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| Bank of Nova Scotia/The 3.375% 3/5/2033 (d)(p) | EUR | 1300000 | 1465150 |
| Insurance - 0.0% |  |  |  |
| Sagicor Financial Co Ltd 5.3% 5/13/2028 (c) |  | 150000 | 147798 |
| TOTAL FINANCIALS |  |  | 1612948 |
| Industrials - 0.1% |  |  |  |
| Aerospace & Defense - 0.1% |  |  |  |
| Bombardier Inc 6.75% 6/15/2033 (c) |  | 380000 | 385324 |
| Bombardier Inc 7% 6/1/2032 (c) |  | 1470000 | 1503391 |
|  |  |  | 1888715 |
| Commercial Services & Supplies - 0.0% |  |  |  |
| Wrangler Holdco Corp 6.625% 4/1/2032 (c) |  | 1740000 | 1794601 |
| TOTAL INDUSTRIALS |  |  | 3683316 |
| Information Technology - 0.0% |  |  |  |
| Software - 0.0% |  |  |  |
| Open Text Corp 3.875% 12/1/2029 (c) |  | 700000 | 651492 |
| Open Text Corp 3.875% 2/15/2028 (c) |  | 1495000 | 1432072 |
|  |  |  | 2083564 |
| Materials - 0.1% |  |  |  |
| Chemicals - 0.1% |  |  |  |
| Methanex Corp 5.125% 10/15/2027  |  | 1229000 | 1218551 |
| Methanex Corp 5.25% 12/15/2029  |  | 260000 | 252177 |
| Methanex Corp 5.65% 12/1/2044  |  | 551000 | 422827 |
| NOVA Chemicals Corp 7% 12/1/2031 (c) |  | 570000 | 596123 |
|  |  |  | 2489678 |
| Containers & Packaging - 0.0% |  |  |  |
| Toucan FinCo Ltd/Toucan FinCo Can Inc/Toucan FinCo US LLC 9.5% 5/15/2030 (c) |  | 835000 | 830271 |
| Metals & Mining - 0.0% |  |  |  |
| Capstone Copper Corp 6.75% 3/31/2033 (c) |  | 445000 | 444918 |
| Hudbay Minerals Inc 4.5% 4/1/2026 (c) |  | 65000 | 64423 |
|  |  |  | 509341 |
| TOTAL MATERIALS |  |  | 3829290 |
| TOTAL CANADA |  |  | 26069774 |
| CHILE - 0.1%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Media - 0.0% |  |  |  |
| VTR Finance NV 6.375% 7/15/2028 (c) |  | 1003000 | 956298 |
| Wireless Telecommunication Services - 0.0% |  |  |  |
| VTR Comunicaciones SpA 4.375% 4/15/2029 (c) |  | 70000 | 61950 |
| VTR Comunicaciones SpA 5.125% 1/15/2028 (c) |  | 315000 | 296100 |
|  |  |  | 358050 |
| TOTAL COMMUNICATION SERVICES |  |  | 1314348 |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| Empresa Nacional del Petroleo 5.95% 7/30/2034 (c) |  | 200000 | 200125 |
| Empresa Nacional del Petroleo 6.15% 5/10/2033 (c) |  | 85000 | 85796 |
|  |  |  | 285921 |
| Industrials - 0.0% |  |  |  |
| Construction & Engineering - 0.0% |  |  |  |
| ATP Tower Holdings / Andean Telecom Partners Chile SpA / Andean Tower Partners C 7.875% 2/3/2030 (c) |  | 420000 | 420300 |
| Materials - 0.1% |  |  |  |
| Metals & Mining - 0.1% |  |  |  |
| Antofagasta PLC 2.375% 10/14/2030 (c) |  | 385000 | 330488 |
| Antofagasta PLC 5.625% 5/13/2032 (c) |  | 110000 | 110412 |
| Corp Nacional del Cobre de Chile 3% 9/30/2029 (c) |  | 50000 | 45625 |
| Corp Nacional del Cobre de Chile 3.15% 1/14/2030 (c) |  | 150000 | 136887 |
| Corp Nacional del Cobre de Chile 3.7% 1/30/2050 (c) |  | 595000 | 390320 |
| Corp Nacional del Cobre de Chile 5.125% 2/2/2033 (c) |  | 115000 | 110026 |
| Corp Nacional del Cobre de Chile 5.95% 1/8/2034 (c) |  | 150000 | 150332 |
| Corp Nacional del Cobre de Chile 6.3% 9/8/2053 (c) |  | 140000 | 134019 |
| Corp Nacional del Cobre de Chile 6.44% 1/26/2036 (c) |  | 80000 | 81750 |
| Corp Nacional del Cobre de Chile 6.78% 1/13/2055 (c) |  | 200000 | 198750 |
|  |  |  | 1688609 |
| Paper & Forest Products - 0.0% |  |  |  |
| Celulosa Arauco y Constitucion SA 6.18% 5/5/2032 (c) |  | 200000 | 200336 |
| Inversiones CMPC SA 3% 4/6/2031 (c) |  | 235000 | 202265 |
|  |  |  | 402601 |
| TOTAL MATERIALS |  |  | 2091210 |
| Utilities - 0.0% |  |  |  |
| Electric Utilities - 0.0% |  |  |  |
| Chile Electricity Lux Mpc II Sarl 5.58% 10/20/2035 (c) |  | 224826 | 223154 |
| Chile Electricity Lux MPC Sarl 6.01% 1/20/2033 (c) |  | 74400 | 76362 |
|  |  |  | 299516 |
| TOTAL CHILE |  |  | 4411295 |
| CHINA - 0.0%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Interactive Media & Services - 0.0% |  |  |  |
| Tencent Holdings Ltd 1.81% 1/26/2026 (c) |  | 110000 | 107950 |
| Tencent Holdings Ltd 2.39% 6/3/2030 (c) |  | 225000 | 204161 |
| Tencent Holdings Ltd 3.975% 4/11/2029 (c) |  | 80000 | 78612 |
|  |  |  | 390723 |
| Consumer Discretionary - 0.0% |  |  |  |
| Broadline Retail - 0.0% |  |  |  |
| Prosus NV 3.061% 7/13/2031 (c) |  | 200000 | 172191 |
| Prosus NV 3.68% 1/21/2030 (c) |  | 280000 | 258563 |
| Prosus NV 4.027% 8/3/2050 (c) |  | 270000 | 173308 |
| Prosus NV 4.193% 1/19/2032 (c) |  | 140000 | 127247 |
|  |  |  | 731309 |
| Hotels, Restaurants & Leisure - 0.0% |  |  |  |
| Meituan 4.625% 10/2/2029 (c) |  | 290000 | 288435 |
| TOTAL CONSUMER DISCRETIONARY |  |  | 1019744 |
| Utilities - 0.0% |  |  |  |
| Gas Utilities - 0.0% |  |  |  |
| ENN Energy Holdings Ltd 4.625% 5/17/2027 (c) |  | 270000 | 269253 |
| TOTAL CHINA |  |  | 1679720 |
| COLOMBIA - 0.1%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |  |
| Colombia Telecomunicaciones SA ESP 4.95% 7/17/2030 (c) |  | 410000 | 358238 |
| Energy - 0.1% |  |  |  |
| Energy Equipment & Services - 0.0% |  |  |  |
| Oleoducto Central SA 4% 7/14/2027 (c) |  | 195000 | 188845 |
| Oil, Gas & Consumable Fuels - 0.1% |  |  |  |
| Canacol Energy Ltd 5.75% 11/24/2028 (c) |  | 1420000 | 650360 |
| Ecopetrol SA 4.625% 11/2/2031  |  | 160000 | 132352 |
| Ecopetrol SA 8.375% 1/19/2036  |  | 115000 | 109370 |
| Ecopetrol SA 8.875% 1/13/2033  |  | 630000 | 641151 |
| Geopark Ltd 5.5% 1/17/2027 (c) |  | 235000 | 222956 |
| Geopark Ltd 8.75% 1/31/2030 (c) |  | 235000 | 187119 |
| Gran Tierra Energy Inc 9.5% 10/15/2029 (c) |  | 933000 | 653100 |
|  |  |  | 2596408 |
| TOTAL ENERGY |  |  | 2785253 |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| Bancolombia SA 8.625% 12/24/2034 (d) |  | 200000 | 209475 |
| Materials - 0.0% |  |  |  |
| Metals & Mining - 0.0% |  |  |  |
| Aris Mining Corp 8% 10/31/2029 (c) |  | 265000 | 268463 |
| Utilities - 0.0% |  |  |  |
| Independent Power and Renewable Electricity Producers - 0.0% |  |  |  |
| Enfragen Energia Sur SA 5.375% 12/30/2030 (c) |  | 1350000 | 1167413 |
| Termocandelaria Power SA 7.75% 9/17/2031 (c) |  | 225000 | 223875 |
|  |  |  | 1391288 |
| TOTAL COLOMBIA |  |  | 5012717 |
| CONGO DEMOCRATIC REPUBLIC OF - 0.0%  |  |  |  |
| Materials - 0.0% |  |  |  |
| Metals & Mining - 0.0% |  |  |  |
| Ivanhoe Mine Ltd 7.875% 1/23/2030 (c) |  | 735000 | 715616 |
| COSTA RICA - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Financial Services - 0.0% |  |  |  |
| Liberty Costa Rica Senior Secured Finance 10.875% 1/15/2031 (c) |  | 195000 | 207026 |
| COTE D'IVOIRE - 0.0%  |  |  |  |
| Materials - 0.0% |  |  |  |
| Metals & Mining - 0.0% |  |  |  |
| Endeavour Mining PLC 7% 5/28/2030 (c) |  | 250000 | 248630 |
| CZECH REPUBLIC - 0.0%  |  |  |  |
| Real Estate - 0.0% |  |  |  |
| Real Estate Management & Development - 0.0% |  |  |  |
| CPI Property Group SA 1.5% 1/27/2031 (p) | EUR | 500000 | 455826 |
| CPI Property Group SA 6% 1/27/2032 (p) | EUR | 300000 | 343190 |
| TOTAL CZECH REPUBLIC |  |  | 799016 |
| DENMARK - 0.0%  |  |  |  |
| Consumer Staples - 0.0% |  |  |  |
| Beverages - 0.0% |  |  |  |
| Carlsberg Breweries A/S 3.25% 2/28/2032 (p) | EUR | 325000 | 368503 |
| Tobacco - 0.0% |  |  |  |
| Scandinavian Tobacco Group A/S 4.875% 9/12/2029 (p) | EUR | 150000 | 175848 |
| TOTAL CONSUMER STAPLES |  |  | 544351 |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| Danske Bank A/S 3.875% 1/9/2032 (d)(p) | EUR | 1015000 | 1187518 |
| Jyske Bank A/S 3.625% 4/29/2031 (d)(p) | EUR | 265000 | 304559 |
| Jyske Bank A/S 5.125% 5/1/2035 (d)(p) | EUR | 468000 | 559371 |
|  |  |  | 2051448 |
| Health Care - 0.0% |  |  |  |
| Pharmaceuticals - 0.0% |  |  |  |
| Novo Nordisk Finance Netherlands BV 3.625% 5/27/2037 (p) | EUR | 725000 | 827136 |
| TOTAL DENMARK |  |  | 3422935 |
| DOMINICAN REPUBLIC - 0.0%  |  |  |  |
| Industrials - 0.0% |  |  |  |
| Transportation Infrastructure - 0.0% |  |  |  |
| Aeropuertos Dominicanos Siglo XXI SA 7% 6/30/2034 (c) |  | 230000 | 232857 |
| FINLAND - 0.0%  |  |  |  |
| Consumer Discretionary - 0.0% |  |  |  |
| Leisure Products - 0.0% |  |  |  |
| Amer Sports Co 6.75% 2/16/2031 (c)(r) |  | 970000 | 1008524 |
| Materials - 0.0% |  |  |  |
| Paper & Forest Products - 0.0% |  |  |  |
| Ahlstrom Holding 3 Oy 4.875% 2/4/2028 (c) |  | 190000 | 179018 |
| Real Estate - 0.0% |  |  |  |
| Real Estate Management & Development - 0.0% |  |  |  |
| Citycon Treasury BV 5% 3/11/2030 (p) | EUR | 100000 | 115324 |
| Citycon Treasury BV 5.375% 7/8/2031 (p) | EUR | 100000 | 115617 |
|  |  |  | 230941 |
| TOTAL FINLAND |  |  | 1418483 |
| FRANCE - 0.4%  |  |  |  |
| Communication Services - 0.1% |  |  |  |
| Diversified Telecommunication Services - 0.1% |  |  |  |
| Altice France SA 5.125% 1/15/2029 (c) |  | 855000 | 718655 |
| Altice France SA 5.125% 7/15/2029 (c) |  | 2830000 | 2387992 |
| Altice France SA 5.5% 1/15/2028 (c) |  | 284000 | 244470 |
| Altice France SA 5.5% 10/15/2029 (c) |  | 591000 | 502108 |
| Iliad Holding SASU 7% 4/15/2032 (c) |  | 505000 | 508247 |
| Iliad Holding SASU 8.5% 4/15/2031 (c) |  | 310000 | 326527 |
|  |  |  | 4687999 |
| Consumer Discretionary - 0.0% |  |  |  |
| Automobiles - 0.0% |  |  |  |
| RCI Banque SA 4.75% 3/24/2037 (d)(p) | EUR | 100000 | 113822 |
| RCI Banque SA 5.5% 10/9/2034 (d)(p) | EUR | 200000 | 238542 |
|  |  |  | 352364 |
| Energy - 0.0% |  |  |  |
| Energy Equipment & Services - 0.0% |  |  |  |
| Vallourec SACA 7.5% 4/15/2032 (c) |  | 1020000 | 1064175 |
| Viridien 10% 10/15/2030 (c) |  | 425000 | 401060 |
|  |  |  | 1465235 |
| Financials - 0.3% |  |  |  |
| Banks - 0.3% |  |  |  |
| BNP Paribas SA 2.159% 9/15/2029 (c)(d) |  | 532000 | 488253 |
| BNP Paribas SA 2.219% 6/9/2026 (c)(d) |  | 1520000 | 1519222 |
| BNP Paribas SA 3.132% 1/20/2033 (c)(d) |  | 650000 | 567760 |
| BNP Paribas SA 3.945% 2/18/2037 (d)(p) | EUR | 900000 | 1015314 |
| BNP Paribas SA 5.786% 1/13/2033 (c)(d) |  | 5406000 | 5537319 |
| BPCE SA 4.25% 7/16/2035 (d)(p) | EUR | 100000 | 115828 |
| BPCE SA 5.716% 1/18/2030 (c)(d) |  | 250000 | 255471 |
| Societe Generale SA 1.488% 12/14/2026 (c)(d) |  | 1953000 | 1916355 |
| Societe Generale SA 5.5% 4/13/2029 (c)(d) |  | 3692000 | 3736648 |
| Societe Generale SA 6.691% 1/10/2034 (c)(d) |  | 798000 | 840662 |
|  |  |  | 15992832 |
| Industrials - 0.0% |  |  |  |
| Transportation Infrastructure - 0.0% |  |  |  |
| Holding d'Infrastructures des Metiers de l'Environnement 0.625% 9/16/2028 (p) | EUR | 249000 | 256949 |
| Utilities - 0.0% |  |  |  |
| Electric Utilities - 0.0% |  |  |  |
| Electricite de France SA 4.75% 10/12/2034 (p) | EUR | 200000 | 246227 |
| Electricite de France SA 5.5% 1/25/2035 (p) | GBP | 400000 | 516205 |
|  |  |  | 762432 |
| Multi-Utilities - 0.0% |  |  |  |
| Engie SA 3.875% 3/6/2036 (p) | EUR | 300000 | 346722 |
| Engie SA 4.25% 9/6/2034 (p) | EUR | 400000 | 476459 |
|  |  |  | 823181 |
| TOTAL UTILITIES |  |  | 1585613 |
| TOTAL FRANCE |  |  | 24340992 |
| GERMANY - 0.6%  |  |  |  |
| Consumer Discretionary - 0.0% |  |  |  |
| Automobile Components - 0.0% |  |  |  |
| Robert Bosch GmbH 4.375% 6/2/2043 (p) | EUR | 300000 | 347430 |
| Schaeffler AG 4.75% 8/14/2029 (p) | EUR | 300000 | 344028 |
| Schaeffler AG 5.375% 4/1/2031 (p) | EUR | 200000 | 230496 |
| ZF Europe Finance BV 4.75% 1/31/2029 (p) | EUR | 500000 | 541720 |
| ZF North America Capital Inc 6.875% 4/14/2028 (c) |  | 1020000 | 1010891 |
|  |  |  | 2474565 |
| Consumer Staples - 0.0% |  |  |  |
| Consumer Staples Distribution & Retail - 0.0% |  |  |  |
| METRO AG 4% 3/5/2030 (p) | EUR | 225000 | 258491 |
| Financials - 0.4% |  |  |  |
| Banks - 0.0% |  |  |  |
| Commerzbank AG 3.625% 1/14/2032 (d)(p) | EUR | 300000 | 343004 |
| Commerzbank AG 4.875% 10/16/2034 (d)(p) | EUR | 200000 | 236271 |
| Commerzbank AG 8.625% 2/28/2033 (d)(p) | GBP | 200000 | 287588 |
|  |  |  | 866863 |
| Capital Markets - 0.4% |  |  |  |
| Deutsche Bank AG 6.125% 12/12/2030 (d)(p) | GBP | 900000 | 1244861 |
| Deutsche Bank AG/New York NY 4.1% 1/13/2026  |  | 1100000 | 1094290 |
| Deutsche Bank AG/New York NY 4.999% 9/11/2030 (d) |  | 10000000 | 9956006 |
| Deutsche Bank AG/New York NY 5.882% 7/8/2031 (d) |  | 5000000 | 5069168 |
| Deutsche Bank AG/New York NY 6.72% 1/18/2029 (d) |  | 980000 | 1022733 |
| Deutsche Bank AG/New York NY 6.819% 11/20/2029 (d) |  | 2377000 | 2515124 |
|  |  |  | 20902182 |
| Financial Services - 0.0% |  |  |  |
| KfW 1.125% 6/15/2037 (p) | EUR | 110000 | 101400 |
| TOTAL FINANCIALS |  |  | 21870445 |
| Health Care - 0.1% |  |  |  |
| Pharmaceuticals - 0.1% |  |  |  |
| Bayer AG 4.625% 5/26/2033 (p) | EUR | 200000 | 239192 |
| Bayer US Finance II LLC 4.25% 12/15/2025 (c) |  | 3209000 | 3197068 |
| Bayer US Finance LLC 6.375% 11/21/2030 (c) |  | 617000 | 649405 |
| Bayer US Finance LLC 6.5% 11/21/2033 (c) |  | 709000 | 738218 |
|  |  |  | 4823883 |
| Industrials - 0.0% |  |  |  |
| Air Freight & Logistics - 0.0% |  |  |  |
| Deutsche Post AG 3.125% 6/5/2032 (p) | EUR | 550000 | 624572 |
| Real Estate - 0.0% |  |  |  |
| Real Estate Management & Development - 0.0% |  |  |  |
| ACCENTRO 2 Wohneigentum GmbH 20% 6/30/2025 (l) | EUR | 100000 | 113544 |
| Accentro Real Estate AG 5.625% 2/13/2026 (k)(p) | EUR | 504000 | 211739 |
| LEG Immobilien SE 3.875% 1/20/2035 (p) | EUR | 400000 | 444411 |
| Sirius Real Estate Ltd 4% 1/22/2032 (p) | EUR | 300000 | 336009 |
|  |  |  | 1105703 |
| Utilities - 0.1% |  |  |  |
| Electric Utilities - 0.1% |  |  |  |
| Amprion GmbH 3.125% 8/27/2030 (p) | EUR | 500000 | 568986 |
| Amprion GmbH 3.625% 5/21/2031 (p) | EUR | 100000 | 116065 |
| Amprion GmbH 3.875% 6/5/2036 (p) | EUR | 300000 | 341401 |
| EnBW Energie Baden-Wuerttemberg AG 1.375% 8/31/2081 (d)(p) | EUR | 600000 | 632556 |
| EnBW International Finance BV 3.5% 7/22/2031 (p) | EUR | 200000 | 232202 |
| EnBW International Finance BV 3.75% 11/20/2035 (p) | EUR | 850000 | 967183 |
|  |  |  | 2858393 |
| Independent Power and Renewable Electricity Producers - 0.0% |  |  |  |
| RWE Finance US LLC 5.875% 4/16/2034 (c) |  | 782000 | 794082 |
| Multi-Utilities - 0.0% |  |  |  |
| E.ON SE 3.5% 4/16/2033 (p) | EUR | 550000 | 629571 |
| TOTAL UTILITIES |  |  | 4282046 |
| TOTAL GERMANY |  |  | 35439705 |
| GHANA - 0.0%  |  |  |  |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| Kosmos Energy Ltd 7.125% 4/4/2026 (c) |  | 695000 | 667895 |
| Kosmos Energy Ltd 7.5% 3/1/2028 (c) |  | 341000 | 278447 |
| Kosmos Energy Ltd 7.75% 5/1/2027 (c) |  | 130000 | 112915 |
| Kosmos Energy Ltd 8.75% 10/1/2031 (c) |  | 1010000 | 767812 |
| Tullow Oil PLC 10.25% 5/15/2026 (c) |  | 1399000 | 1210275 |
| TOTAL GHANA |  |  | 3037344 |
| GRAND CAYMAN (UK OVERSEAS TER) - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Financial Services - 0.0% |  |  |  |
| Global Aircraft Leasing Co Ltd 8.75% 9/1/2027 (c) |  | 665000 | 672471 |
| GUATEMALA - 0.1%  |  |  |  |
| Communication Services - 0.1% |  |  |  |
| Wireless Telecommunication Services - 0.1% |  |  |  |
| CT Trust 5.125% 2/3/2032 (c) |  | 350000 | 320250 |
| Millicom International Cellular SA 4.5% 4/27/2031 (c) |  | 165000 | 146850 |
| Millicom International Cellular SA 5.125% 1/15/2028 (c) |  | 1017000 | 995389 |
| Millicom International Cellular SA 6.25% 3/25/2029 (c) |  | 1440000 | 1428552 |
| Millicom International Cellular SA 7.375% 4/2/2032 (c) |  | 245000 | 247664 |
|  |  |  | 3138705 |
| Consumer Staples - 0.0% |  |  |  |
| Beverages - 0.0% |  |  |  |
| Cntl Amr Bottling Corp 5.25% 4/27/2029 (c) |  | 235000 | 225835 |
| Utilities - 0.0% |  |  |  |
| Independent Power and Renewable Electricity Producers - 0.0% |  |  |  |
| Investment Energy Resources Ltd 6.25% 4/26/2029 (c) |  | 255000 | 244035 |
| TOTAL GUATEMALA |  |  | 3608575 |
| HONG KONG - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Insurance - 0.0% |  |  |  |
| Prudential Funding Asia PLC 2.95% 11/3/2033 (d)(p) |  | 690000 | 637358 |
| Industrials - 0.0% |  |  |  |
| Marine Transportation - 0.0% |  |  |  |
| Seaspan Corp 5.5% 8/1/2029 (c) |  | 265000 | 244403 |
| TOTAL HONG KONG |  |  | 881761 |
| HUNGARY - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| Magyar Export-Import Bank Zrt 6.125% 12/4/2027 (c) |  | 85000 | 86318 |
| Utilities - 0.0% |  |  |  |
| Electric Utilities - 0.0% |  |  |  |
| MVM Energetika Zrt 6.5% 3/13/2031 (p) |  | 200000 | 203781 |
| TOTAL HUNGARY |  |  | 290099 |
| INDIA - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Consumer Finance - 0.0% |  |  |  |
| Shriram Finance Ltd 4.15% 7/18/2025 (c) |  | 215000 | 214248 |
| Shriram Finance Ltd 6.625% 4/22/2027 (c) |  | 135000 | 135168 |
|  |  |  | 349416 |
| Health Care - 0.0% |  |  |  |
| Biotechnology - 0.0% |  |  |  |
| Biocon Biologics Global PLC 6.67% 10/9/2029 (c) |  | 220000 | 204573 |
| Information Technology - 0.0% |  |  |  |
| IT Services - 0.0% |  |  |  |
| CA Magnum Holdings 5.375% 10/31/2026 (c) |  | 265000 | 261688 |
| TOTAL INDIA |  |  | 815677 |
| INDONESIA - 0.0%  |  |  |  |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| Medco Laurel Tree Pte Ltd 6.95% 11/12/2028 (c) |  | 325000 | 319131 |
| Medco Maple Tree Pte Ltd 8.96% 4/27/2029 (c) |  | 315000 | 326025 |
| Medco Oak Tree Pte Ltd 7.375% 5/14/2026 (c) |  | 50000 | 50624 |
| Pertamina Persero PT 4.175% 1/21/2050 (c) |  | 185000 | 133733 |
|  |  |  | 829513 |
| Materials - 0.0% |  |  |  |
| Metals & Mining - 0.0% |  |  |  |
| Freeport Indonesia PT 4.763% 4/14/2027 (c) |  | 125000 | 124516 |
| Freeport Indonesia PT 5.315% 4/14/2032 (c) |  | 265000 | 261225 |
| Freeport Indonesia PT 6.2% 4/14/2052 (c) |  | 150000 | 143561 |
| Indonesia Asahan Aluminium PT / Mineral Industri Indonesia Persero PT 5.45% 5/15/2030 (c) |  | 450000 | 452396 |
|  |  |  | 981698 |
| Utilities - 0.0% |  |  |  |
| Independent Power and Renewable Electricity Producers - 0.0% |  |  |  |
| Pertamina Geothermal Energy PT 5.15% 4/27/2028 (c) |  | 90000 | 90562 |
| TOTAL INDONESIA |  |  | 1901773 |
| IRELAND - 0.7%  |  |  |  |
| Consumer Discretionary - 0.0% |  |  |  |
| Hotels, Restaurants & Leisure - 0.0% |  |  |  |
| Flutter Treasury DAC 5.875% 6/4/2031 (c)(q) |  | 900000 | 904500 |
| Financials - 0.4% |  |  |  |
| Consumer Finance - 0.3% |  |  |  |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 2.45% 10/29/2026  |  | 868000 | 841261 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 3% 10/29/2028  |  | 3909000 | 3689963 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 3.3% 1/30/2032  |  | 5872000 | 5214090 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 4.45% 4/3/2026  |  | 561000 | 559211 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 5.75% 6/6/2028  |  | 2000000 | 2055194 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 6.45% 4/15/2027  |  | 4752000 | 4890103 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 6.5% 1/31/2056 (d) |  | 519000 | 511568 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 6.5% 7/15/2025  |  | 731000 | 731314 |
|  |  |  | 18492704 |
| Financial Services - 0.1% |  |  |  |
| GGAM Finance Ltd 5.875% 3/15/2030 (c) |  | 950000 | 944348 |
| GGAM Finance Ltd 6.875% 4/15/2029 (c) |  | 1935000 | 1971165 |
| GGAM Finance Ltd 8% 2/15/2027 (c) |  | 325000 | 334420 |
| TrueNoord Capital DAC 8.75% 3/1/2030 (c) |  | 485000 | 502963 |
|  |  |  | 3752896 |
| TOTAL FINANCIALS |  |  | 22245600 |
| Industrials - 0.3% |  |  |  |
| Air Freight & Logistics - 0.0% |  |  |  |
| AerCap Global Aviation Trust 6.5% 6/15/2045 (c)(d) |  | 250000 | 250261 |
| Transportation Infrastructure - 0.3% |  |  |  |
| Avolon Holdings Funding Ltd 4.25% 4/15/2026 (c) |  | 290000 | 287882 |
| Avolon Holdings Funding Ltd 4.375% 5/1/2026 (c) |  | 880000 | 874071 |
| Avolon Holdings Funding Ltd 4.95% 1/15/2028 (c) |  | 4604000 | 4590807 |
| Avolon Holdings Funding Ltd 5.15% 1/15/2030 (c) |  | 428000 | 426473 |
| Avolon Holdings Funding Ltd 5.375% 5/30/2030 (c) |  | 2337000 | 2337421 |
| Avolon Holdings Funding Ltd 5.75% 11/15/2029 (c) |  | 3000000 | 3051332 |
| Avolon Holdings Funding Ltd 5.75% 3/1/2029 (c) |  | 3000000 | 3054496 |
| Avolon Holdings Funding Ltd 6.375% 5/4/2028 (c) |  | 5341000 | 5528935 |
|  |  |  | 20151417 |
| TOTAL INDUSTRIALS |  |  | 20401678 |
| TOTAL IRELAND |  |  | 43551778 |
| ISRAEL - 0.1%  |  |  |  |
| Energy - 0.1% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.1% |  |  |  |
| Energean Israel Finance Ltd 4.875% 3/30/2026 (c)(p) |  | 605000 | 596366 |
| Energean Israel Finance Ltd 5.375% 3/30/2028 (c)(p) |  | 395000 | 374853 |
| Energean Israel Finance Ltd 5.875% 3/30/2031 (c)(p) |  | 360000 | 330480 |
| Energean PLC 6.5% 4/30/2027 (c) |  | 889000 | 868998 |
| Leviathan Bond Ltd 6.125% 6/30/2025 (c)(p) |  | 78245 | 78111 |
| Leviathan Bond Ltd 6.5% 6/30/2027 (c)(p) |  | 200000 | 197497 |
|  |  |  | 2446305 |
| Health Care - 0.0% |  |  |  |
| Pharmaceuticals - 0.0% |  |  |  |
| Teva Pharmaceutical Finance Netherlands III BV 4.75% 5/9/2027  |  | 120000 | 118883 |
| Teva Pharmaceutical Finance Netherlands III BV 6% 12/1/2032  |  | 620000 | 625545 |
| Teva Pharmaceutical Finance Netherlands III BV 7.875% 9/15/2029  |  | 215000 | 231969 |
| Teva Pharmaceutical Finance Netherlands IV BV 5.75% 12/1/2030  |  | 620000 | 626167 |
|  |  |  | 1602564 |
| Utilities - 0.0% |  |  |  |
| Electric Utilities - 0.0% |  |  |  |
| Israel Electric Corp Ltd 3.75% 2/22/2032 (c)(p) |  | 260000 | 230329 |
| TOTAL ISRAEL |  |  | 4279198 |
| ITALY - 0.1%  |  |  |  |
| Financials - 0.1% |  |  |  |
| Banks - 0.1% |  |  |  |
| Intesa Sanpaolo SpA 4.198% 6/1/2032 (c)(d) |  | 242000 | 218035 |
| Intesa Sanpaolo SpA 5.71% 1/15/2026 (c) |  | 3773000 | 3781598 |
| Intesa Sanpaolo SpA 6.625% 6/20/2033 (c) |  | 599000 | 637911 |
|  |  |  | 4637544 |
| Utilities - 0.0% |  |  |  |
| Electric Utilities - 0.0% |  |  |  |
| Enel Finance International NV 5.5% 6/26/2034 (c) |  | 300000 | 300396 |
| Gas Utilities - 0.0% |  |  |  |
| Snam SpA 5.75% 5/28/2035 (c) |  | 345000 | 345344 |
| TOTAL UTILITIES |  |  | 645740 |
| TOTAL ITALY |  |  | 5283284 |
| JAMAICA - 0.0%  |  |  |  |
| Industrials - 0.0% |  |  |  |
| Transportation Infrastructure - 0.0% |  |  |  |
| Kingston Airport Revenue Finance Ltd 6.75% 12/15/2036 (c) |  | 230000 | 227196 |
| JAPAN - 0.0%  |  |  |  |
| Consumer Staples - 0.0% |  |  |  |
| Tobacco - 0.0% |  |  |  |
| Japan Tobacco Inc 5.856% 6/15/2035 (c) |  | 340000 | 350561 |
| KAZAKHSTAN - 0.0%  |  |  |  |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| KazMunayGas National Co JSC 3.5% 4/14/2033 (c) |  | 195000 | 163740 |
| KazMunayGas National Co JSC 5.375% 4/24/2030 (c) |  | 30000 | 29605 |
| KazMunayGas National Co JSC 5.75% 4/19/2047 (c) |  | 80000 | 67120 |
| Tengizchevroil Finance Co International Ltd 3.25% 8/15/2030 (c) |  | 225000 | 196875 |
| TOTAL KAZAKHSTAN |  |  | 457340 |
| KOREA (SOUTH) - 0.0%  |  |  |  |
| Materials - 0.0% |  |  |  |
| Metals & Mining - 0.0% |  |  |  |
| POSCO 5.75% 1/17/2028 (c) |  | 240000 | 245466 |
| POSCO 5.875% 1/17/2033 (c) |  | 70000 | 71117 |
| TOTAL KOREA (SOUTH) |  |  | 316583 |
| KUWAIT - 0.0%  |  |  |  |
| Materials - 0.0% |  |  |  |
| Chemicals - 0.0% |  |  |  |
| MEGlobal BV 2.625% 4/28/2028 (c) |  | 125000 | 117226 |
| LUXEMBOURG - 0.1%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Media - 0.0% |  |  |  |
| Altice Financing SA 5.75% 8/15/2029 (c) |  | 1790000 | 1368174 |
| Altice France Holding SA 6% 2/15/2028 (c) |  | 865000 | 315012 |
|  |  |  | 1683186 |
| Wireless Telecommunication Services - 0.0% |  |  |  |
| Intelsat Jackson Holdings SA 6.5% 3/15/2030 (c) |  | 465000 | 457275 |
| TOTAL COMMUNICATION SERVICES |  |  | 2140461 |
| Financials - 0.0% |  |  |  |
| Financial Services - 0.0% |  |  |  |
| CBRE Global Investors Open-Ended Funds SCA SICAV-SIF-Pan European Core Fund 4.75% 3/27/2034 (p) | EUR | 289000 | 343116 |
| Titanium 2l Bondco Sarl 6.25% 1/14/2031 pay-in-kind  | EUR | 1929600 | 644692 |
|  |  |  | 987808 |
| Industrials - 0.0% |  |  |  |
| Electrical Equipment - 0.0% |  |  |  |
| Albion Financing 1 SARL / Aggreko Holdings Inc 7% 5/21/2030 (c) |  | 635000 | 645066 |
| Ground Transportation - 0.0% |  |  |  |
| Alpha Trains Finance SA 2.064% 6/30/2030 (p) | EUR | 233000 | 264306 |
| TOTAL INDUSTRIALS |  |  | 909372 |
| Information Technology - 0.0% |  |  |  |
| Software - 0.0% |  |  |  |
| ION Trading Technologies Sarl 5.75% 5/15/2028 (c) |  | 245000 | 236811 |
| ION Trading Technologies Sarl 9.5% 5/30/2029 (c) |  | 195000 | 201049 |
|  |  |  | 437860 |
| Materials - 0.0% |  |  |  |
| Chemicals - 0.0% |  |  |  |
| Herens Holdco Sarl 4.75% 5/15/2028 (c) |  | 210000 | 183968 |
| Real Estate - 0.1% |  |  |  |
| Industrial REITs - 0.0% |  |  |  |
| Prologis International Funding II SA 4.375% 7/1/2036 (p) | EUR | 100000 | 117287 |
| Real Estate Management & Development - 0.1% |  |  |  |
| Blackstone Property Partners Europe Holdings Sarl 1% 5/4/2028 (p) | EUR | 697000 | 744004 |
| Blackstone Property Partners Europe Holdings Sarl 1.75% 3/12/2029 (p) | EUR | 617000 | 655071 |
| Blackstone Property Partners Europe Holdings Sarl 2.625% 10/20/2028 (p) | GBP | 254000 | 313820 |
| Logicor Financing Sarl 1.625% 1/17/2030 (p) | EUR | 181000 | 188239 |
| Logicor Financing Sarl 2% 1/17/2034 (p) | EUR | 428000 | 411434 |
| Logicor Financing Sarl 4.25% 7/18/2029 (p) | EUR | 100000 | 116725 |
| P3 Group Sarl 4% 4/19/2032 (p) | EUR | 300000 | 342241 |
|  |  |  | 2771534 |
| TOTAL REAL ESTATE |  |  | 2888821 |
| TOTAL LUXEMBOURG |  |  | 7548290 |
| MALAYSIA - 0.0%  |  |  |  |
| Consumer Discretionary - 0.0% |  |  |  |
| Hotels, Restaurants & Leisure - 0.0% |  |  |  |
| GENM Capital Labuan Ltd 3.882% 4/19/2031 (c) |  | 265000 | 233200 |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| Petronas Capital Ltd 3.404% 4/28/2061 (c) |  | 235000 | 147439 |
| Petronas Capital Ltd 3.5% 4/21/2030 (c) |  | 120000 | 113832 |
|  |  |  | 261271 |
| Industrials - 0.0% |  |  |  |
| Marine Transportation - 0.0% |  |  |  |
| MISC Capital Two Labuan Ltd 3.75% 4/6/2027 (c) |  | 450000 | 442260 |
| TOTAL MALAYSIA |  |  | 936731 |
| MAURITIUS - 0.0%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Wireless Telecommunication Services - 0.0% |  |  |  |
| Axian Telecom 7.375% 2/16/2027 (c) |  | 510000 | 512071 |
| MEXICO - 1.0%  |  |  |  |
| Consumer Discretionary - 0.0% |  |  |  |
| Automobile Components - 0.0% |  |  |  |
| Metalsa Sapi De Cv 3.75% 5/4/2031 (c) |  | 205000 | 165793 |
| Consumer Staples - 0.0% |  |  |  |
| Food Products - 0.0% |  |  |  |
| Gruma SAB de CV 5.761% 12/9/2054 (c) |  | 200000 | 184128 |
| Energy - 0.9% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.9% |  |  |  |
| FEL Energy VI SARL 5.75% 12/1/2040 (c) |  | 112745 | 104391 |
| Petroleos Mexicanos 5.95% 1/28/2031  |  | 39470000 | 34117868 |
| Petroleos Mexicanos 6.35% 2/12/2048  |  | 3548000 | 2309748 |
| Petroleos Mexicanos 6.49% 1/23/2027  |  | 570000 | 560025 |
| Petroleos Mexicanos 6.5% 3/13/2027  |  | 790000 | 775440 |
| Petroleos Mexicanos 6.5% 6/2/2041  |  | 85000 | 59805 |
| Petroleos Mexicanos 6.625% 6/15/2035  |  | 1020000 | 813705 |
| Petroleos Mexicanos 6.7% 2/16/2032  |  | 5045000 | 4504681 |
| Petroleos Mexicanos 6.75% 9/21/2047  |  | 13445000 | 9094198 |
| Petroleos Mexicanos 6.84% 1/23/2030  |  | 1532000 | 1432343 |
| Petroleos Mexicanos 6.875% 8/4/2026  |  | 200000 | 198180 |
| Petroleos Mexicanos 6.95% 1/28/2060  |  | 1224000 | 827057 |
| Petroleos Mexicanos 7.69% 1/23/2050  |  | 4015000 | 2956646 |
|  |  |  | 57754087 |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| BBVA Mexico SA Institucion De Banca Multiple Grupo Financiero BBVA Mexico/TX 5.25% 9/10/2029 (c) |  | 215000 | 215538 |
| Industrials - 0.0% |  |  |  |
| Industrial Conglomerates - 0.0% |  |  |  |
| KUO SAB De CV 5.75% 7/7/2027 (c) |  | 310000 | 303180 |
| Materials - 0.1% |  |  |  |
| Chemicals - 0.1% |  |  |  |
| Braskem Idesa SAPI 7.45% 11/15/2029 (c) |  | 300000 | 240000 |
| Orbia Advance Corp SAB de CV 2.875% 5/11/2031 (c) |  | 140000 | 115305 |
| Orbia Advance Corp SAB de CV 6.8% 5/13/2030 (c) |  | 370000 | 372109 |
|  |  |  | 727414 |
| Metals & Mining - 0.0% |  |  |  |
| Fresnillo PLC 4.25% 10/2/2050 (c) |  | 155000 | 108113 |
| TOTAL MATERIALS |  |  | 835527 |
| Utilities - 0.0% |  |  |  |
| Independent Power and Renewable Electricity Producers - 0.0% |  |  |  |
| Buffalo Energy Mexico Holdings / Buffalo Energy Infrastructure / Buffalo Energy 7.875% 2/15/2039 (c) |  | 245000 | 246225 |
| Saavi Energia Sarl 8.875% 2/10/2035 (c) |  | 410000 | 417380 |
|  |  |  | 663605 |
| TOTAL MEXICO |  |  | 60121858 |
| MOROCCO - 0.0%  |  |  |  |
| Materials - 0.0% |  |  |  |
| Chemicals - 0.0% |  |  |  |
| OCP SA 3.75% 6/23/2031 (c) |  | 230000 | 202853 |
| OCP SA 6.1% 4/30/2030 (c) |  | 200000 | 199960 |
| OCP SA 6.75% 5/2/2034 (c) |  | 255000 | 257805 |
| OCP SA 6.875% 4/25/2044 (c) |  | 160000 | 149525 |
| OCP SA 7.5% 5/2/2054 (c) |  | 115000 | 112084 |
| TOTAL MOROCCO |  |  | 922227 |
| NETHERLANDS - 0.1%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |  |
| Koninklijke KPN NV 3.875% 2/16/2036 (p) | EUR | 200000 | 229406 |
| Media - 0.0% |  |  |  |
| Ziggo BV 4.875% 1/15/2030 (c) |  | 200000 | 182528 |
| TOTAL COMMUNICATION SERVICES |  |  | 411934 |
| Consumer Staples - 0.0% |  |  |  |
| Consumer Staples Distribution & Retail - 0.0% |  |  |  |
| REWE International Finance BV 4.875% 9/13/2030 (p) | EUR | 400000 | 487407 |
| Sigma Holdco BV 7.875% 5/15/2026 (c) |  | 420000 | 417469 |
|  |  |  | 904876 |
| Financials - 0.1% |  |  |  |
| Banks - 0.1% |  |  |  |
| ABN AMRO Bank NV 3.875% 1/15/2032 (p) | EUR | 500000 | 583320 |
| Cooperatieve Rabobank UA 1.125% 5/7/2031 (p) | EUR | 600000 | 607833 |
| Cooperatieve Rabobank UA 4.375% 8/4/2025  |  | 500000 | 499350 |
| ING Groep NV 3% 8/17/2031 (d)(p) | EUR | 1100000 | 1234347 |
| ING Groep NV 4.5% 5/23/2029 (d)(p) | EUR | 400000 | 475863 |
|  |  |  | 3400713 |
| TOTAL NETHERLANDS |  |  | 4717523 |
| NIGERIA - 0.0%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |  |
| IHS Holding Ltd 5.625% 11/29/2026 (c) |  | 329000 | 321598 |
| IHS Holding Ltd 6.25% 11/29/2028 (c) |  | 55000 | 53109 |
| IHS Holding Ltd 7.875% 5/29/2030 (c) |  | 525000 | 517781 |
| IHS Holding Ltd 8.25% 11/29/2031 (c) |  | 645000 | 641169 |
|  |  |  | 1533657 |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| SEPLAT Energy PLC 9.125% 3/21/2030 (c) |  | 200000 | 189650 |
| Information Technology - 0.0% |  |  |  |
| Communications Equipment - 0.0% |  |  |  |
| IHS Netherlands Holdco BV 8% 9/18/2027 (c) |  | 158119 | 158514 |
| TOTAL NIGERIA |  |  | 1881821 |
| NORWAY - 0.0%  |  |  |  |
| Energy - 0.0% |  |  |  |
| Energy Equipment & Services - 0.0% |  |  |  |
| Seadrill Finance Ltd 8.375% 8/1/2030 (c) |  | 540000 | 529059 |
| TGS ASA 8.5% 1/15/2030 (c) |  | 518000 | 527065 |
|  |  |  | 1056124 |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| DNB Bank ASA 0.25% 2/23/2029 (d)(p) | EUR | 279000 | 296148 |
| DNB Bank ASA 3% 11/29/2030 (d)(p) | EUR | 250000 | 284103 |
|  |  |  | 580251 |
| TOTAL NORWAY |  |  | 1636375 |
| PANAMA - 0.0%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |  |
| Sable International Finance Ltd 7.125% 10/15/2032 (c) |  | 1355000 | 1328323 |
| Media - 0.0% |  |  |  |
| Telecomunicaciones Digitales SA 4.5% 1/30/2030 (c) |  | 460000 | 421717 |
| Wireless Telecommunication Services - 0.0% |  |  |  |
| C&W Senior Finance Ltd 9% 1/15/2033 (c) |  | 1565000 | 1557453 |
| TOTAL COMMUNICATION SERVICES |  |  | 3307493 |
| Industrials - 0.0% |  |  |  |
| Air Freight & Logistics - 0.0% |  |  |  |
| Aeropuerto Internacional de Tocumen SA 5.125% 8/11/2061 (c) |  | 105000 | 70816 |
| TOTAL PANAMA |  |  | 3378309 |
| PARAGUAY - 0.0%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |  |
| Telefonica Celular del Paraguay SA 5.875% 4/15/2027 (c) |  | 303000 | 301485 |
| PERU - 0.0%  |  |  |  |
| Consumer Staples - 0.0% |  |  |  |
| Food Products - 0.0% |  |  |  |
| Camposol SA 6% 2/3/2027 (c) |  | 230000 | 220441 |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| Banco de Credito del Peru S.A. 5.8% 3/10/2035 (c)(d) |  | 235000 | 230829 |
| Health Care - 0.0% |  |  |  |
| Health Care Providers & Services - 0.0% |  |  |  |
| Auna SA 10% 12/18/2029 (c) |  | 325000 | 346843 |
| Materials - 0.0% |  |  |  |
| Metals & Mining - 0.0% |  |  |  |
| Cia de Minas Buenaventura SAA 5.5% 7/23/2026 (c) |  | 170000 | 168776 |
| Cia de Minas Buenaventura SAA 6.8% 2/4/2032 (c) |  | 200000 | 201446 |
| Volcan Cia Minera SAA 8.75% 1/24/2030 (c) |  | 836000 | 811589 |
|  |  |  | 1181811 |
| Utilities - 0.0% |  |  |  |
| Independent Power and Renewable Electricity Producers - 0.0% |  |  |  |
| Niagara Energy SAC 5.746% 10/3/2034 (c) |  | 345000 | 337031 |
| TOTAL PERU |  |  | 2316955 |
| POLAND - 0.0%  |  |  |  |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| ORLEN SA 6% 1/30/2035 (c) |  | 260000 | 262766 |
| Real Estate - 0.0% |  |  |  |
| Real Estate Management & Development - 0.0% |  |  |  |
| GTC Aurora Luxembourg SA 2.25% 6/23/2026 (p) | EUR | 568000 | 585686 |
| TOTAL POLAND |  |  | 848452 |
| PORTUGAL - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Insurance - 0.0% |  |  |  |
| Fidelidade - Co De Seguros SA/Portugal 4.25% 9/4/2031 (d)(p) | EUR | 300000 | 341747 |
| PUERTO RICO - 0.0%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Media - 0.0% |  |  |  |
| Lcpr Senior Secured Financing Dac 5.125% 7/15/2029 (c) |  | 400000 | 258282 |
| Lcpr Senior Secured Financing Dac 6.75% 10/15/2027 (c) |  | 600000 | 434986 |
| TOTAL PUERTO RICO |  |  | 693268 |
| QATAR - 0.0%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |  |
| Ooredoo International Finance Ltd 2.625% 4/8/2031 (c) |  | 170000 | 150778 |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| QatarEnergy 1.375% 9/12/2026 (c) |  | 350000 | 336087 |
| QatarEnergy 2.25% 7/12/2031 (c) |  | 925000 | 806128 |
| QatarEnergy 3.125% 7/12/2041 (c) |  | 535000 | 387524 |
| QatarEnergy 3.3% 7/12/2051 (c) |  | 815000 | 534233 |
|  |  |  | 2063972 |
| TOTAL QATAR |  |  | 2214750 |
| SAUDI ARABIA - 0.1%  |  |  |  |
| Energy - 0.1% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.1% |  |  |  |
| EIG Pearl Holdings Sarl 3.545% 8/31/2036 (c) |  | 645218 | 567389 |
| SA Global Sukuk Ltd 1.602% 6/17/2026 (c) |  | 340000 | 329050 |
| Saudi Arabian Oil Co 2.25% 11/24/2030 (c) |  | 445000 | 391378 |
| Saudi Arabian Oil Co 3.25% 11/24/2050 (c) |  | 345000 | 212865 |
| Saudi Arabian Oil Co 3.5% 11/24/2070 (c) |  | 135000 | 79143 |
| Saudi Arabian Oil Co 3.5% 4/16/2029 (c) |  | 710000 | 678370 |
| Saudi Arabian Oil Co 4.25% 4/16/2039 (c) |  | 785000 | 665295 |
| Saudi Arabian Oil Co 4.375% 4/16/2049 (c) |  | 120000 | 92119 |
| Saudi Arabian Oil Co 5.875% 7/17/2064 (c) |  | 200000 | 179062 |
|  |  |  | 3194671 |
| Industrials - 0.0% |  |  |  |
| Construction & Engineering - 0.0% |  |  |  |
| Greensaif Pipelines Bidco Sarl 5.8528% 2/23/2036 (c) |  | 435000 | 434800 |
| Greensaif Pipelines Bidco Sarl 6.1027% 8/23/2042 (c) |  | 270000 | 264533 |
| Greensaif Pipelines Bidco Sarl 6.129% 2/23/2038 (c) |  | 400000 | 405444 |
| Greensaif Pipelines Bidco Sarl 6.51% 2/23/2042 (c) |  | 120000 | 121874 |
|  |  |  | 1226651 |
| Materials - 0.0% |  |  |  |
| Chemicals - 0.0% |  |  |  |
| Ma'aden Sukuk Ltd 5.25% 2/13/2030 (c) |  | 335000 | 338553 |
| TOTAL SAUDI ARABIA |  |  | 4759875 |
| SERBIA - 0.0%  |  |  |  |
| Consumer Discretionary - 0.0% |  |  |  |
| Distributors - 0.0% |  |  |  |
| Telecommunications co Telekom Srbija AD Belgrade 7% 10/28/2029 (c) |  | 335000 | 331957 |
| SOUTH AFRICA - 0.0%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |  |
| Liquid Telecommunications Financing Plc 5.5% 9/4/2026 (c) |  | 1410000 | 1191888 |
| Wireless Telecommunication Services - 0.0% |  |  |  |
| MTN Mauritius Investments Ltd 6.5% 10/13/2026 (c) |  | 145000 | 145725 |
| TOTAL COMMUNICATION SERVICES |  |  | 1337613 |
| Materials - 0.0% |  |  |  |
| Chemicals - 0.0% |  |  |  |
| Sasol Financing USA LLC 4.375% 9/18/2026  |  | 555000 | 541125 |
| Sasol Financing USA LLC 5.5% 3/18/2031  |  | 100000 | 81966 |
|  |  |  | 623091 |
| Metals & Mining - 0.0% |  |  |  |
| Windfall Mining Group Inc / Groupe Minier Windfall Inc 5.854% 5/13/2032 (c) |  | 200000 | 199695 |
| TOTAL MATERIALS |  |  | 822786 |
| Utilities - 0.0% |  |  |  |
| Electric Utilities - 0.0% |  |  |  |
| Eskom Holdings SOC Ltd 6.35% 8/10/2028 (c) |  | 350000 | 349563 |
| Eskom Holdings SOC Ltd 8.45% 8/10/2028 (c) |  | 220000 | 227287 |
|  |  |  | 576850 |
| TOTAL SOUTH AFRICA |  |  | 2737249 |
| SPAIN - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| Banco Bilbao Vizcaya Argentaria SA 6.033% 3/13/2035 (d) |  | 400000 | 408846 |
| CaixaBank SA 3.625% 9/19/2032 (d)(p) | EUR | 600000 | 687797 |
| CaixaBank SA 5.673% 3/15/2030 (c)(d) |  | 280000 | 287573 |
|  |  |  | 1384216 |
| Health Care - 0.0% |  |  |  |
| Biotechnology - 0.0% |  |  |  |
| Grifols SA 4.75% 10/15/2028 (c) |  | 215000 | 204521 |
| Health Care Equipment & Supplies - 0.0% |  |  |  |
| Werfen SA/Spain 4.625% 6/6/2028 (p) | EUR | 600000 | 712333 |
| TOTAL HEALTH CARE |  |  | 916854 |
| Utilities - 0.0% |  |  |  |
| Independent Power and Renewable Electricity Producers - 0.0% |  |  |  |
| Atlantica Sustainable Infrastructure Ltd 4.125% 6/15/2028 (c) |  | 30000 | 28717 |
| TOTAL SPAIN |  |  | 2329787 |
| SWEDEN - 0.0%  |  |  |  |
| Real Estate - 0.0% |  |  |  |
| Real Estate Management & Development - 0.0% |  |  |  |
| Heimstaden AB 4.375% 3/6/2027 (p) | EUR | 700000 | 763601 |
| Heimstaden Bostad AB 3.875% 11/5/2029 (p) | EUR | 475000 | 539530 |
| Samhallsbyggnadsbolaget I Norden Holding AB 2.25% 7/12/2027 (p) | EUR | 135000 | 136808 |
| TOTAL SWEDEN |  |  | 1439939 |
| SWITZERLAND - 0.4%  |  |  |  |
| Financials - 0.4% |  |  |  |
| Capital Markets - 0.4% |  |  |  |
| UBS Group AG 1.494% 8/10/2027 (c)(d) |  | 1190000 | 1144899 |
| UBS Group AG 2.125% 11/15/2029 (d)(p) | GBP | 385000 | 472301 |
| UBS Group AG 3.869% 1/12/2029 (c)(d) |  | 1570000 | 1536785 |
| UBS Group AG 4.125% 6/9/2033 (d)(p) | EUR | 378000 | 445531 |
| UBS Group AG 4.125% 9/24/2025 (c) |  | 500000 | 498848 |
| UBS Group AG 4.194% 4/1/2031 (c)(d) |  | 2010000 | 1947883 |
| UBS Group AG 4.55% 4/17/2026  |  | 388000 | 387863 |
| UBS Group AG 4.75% 3/17/2032 (d)(p) | EUR | 1093000 | 1334556 |
| UBS Group AG 5.428% 2/8/2030 (c)(d) |  | 5000000 | 5099925 |
| UBS Group AG 6.537% 8/12/2033 (c)(d) |  | 10000000 | 10735453 |
|  |  |  | 23604044 |
| Insurance - 0.0% |  |  |  |
| Argentum Netherlands BV for Swiss Re Ltd 5.625% 8/15/2052 (d)(p) |  | 393000 | 391526 |
| Argentum Netherlands BV for Swiss Re Ltd 5.75% 8/15/2050 (d)(p) |  | 775000 | 773348 |
| Swiss Re Finance Luxembourg SA 5% 4/2/2049 (c)(d) |  | 200000 | 197269 |
| Zurich Finance Ireland Designated Activity Co 3.5% 5/2/2052 (d)(p) |  | 374000 | 324408 |
|  |  |  | 1686551 |
| TOTAL FINANCIALS |  |  | 25290595 |
| Industrials - 0.0% |  |  |  |
| Aerospace & Defense - 0.0% |  |  |  |
| VistaJet Malta Finance PLC / Vista Management Holding Inc 6.375% 2/1/2030 (c) |  | 1515000 | 1360326 |
| VistaJet Malta Finance PLC / Vista Management Holding Inc 7.875% 5/1/2027 (c) |  | 519000 | 508033 |
| VistaJet Malta Finance PLC / Vista Management Holding Inc 9.5% 6/1/2028 (c) |  | 30000 | 29553 |
|  |  |  | 1897912 |
| Materials - 0.0% |  |  |  |
| Chemicals - 0.0% |  |  |  |
| Consolidated Energy Finance SA 12% 2/15/2031 (c) |  | 790000 | 723722 |
| Consolidated Energy Finance SA 5.625% 10/15/2028 (c) |  | 320000 | 258350 |
|  |  |  | 982072 |
| Containers & Packaging - 0.0% |  |  |  |
| SIG Combibloc PurchaseCo Sarl 3.75% 3/19/2030 (p) | EUR | 125000 | 143995 |
| TOTAL MATERIALS |  |  | 1126067 |
| TOTAL SWITZERLAND |  |  | 28314574 |
| TANZANIA - 0.0%  |  |  |  |
| Information Technology - 0.0% |  |  |  |
| Communications Equipment - 0.0% |  |  |  |
| HTA Group Ltd/Mauritius 7.5% 6/4/2029 (c) |  | 1885000 | 1916159 |
| THAILAND - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Financial Services - 0.0% |  |  |  |
| PTT Treasury Center Co Ltd 3.7% 7/16/2070 (c) |  | 105000 | 67039 |
| TURKEY - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| Turkiye Ihracat Kredi Bankasi AS 9% 1/28/2027 (c) |  | 140000 | 146169 |
| Industrials - 0.0% |  |  |  |
| Building Products - 0.0% |  |  |  |
| Sisecam UK PLC 8.625% 5/2/2032 (c) |  | 220000 | 220000 |
| Transportation Infrastructure - 0.0% |  |  |  |
| TAV Havalimanlari Holding AS 8.5% 12/7/2028 (c) |  | 105000 | 108019 |
| TOTAL INDUSTRIALS |  |  | 328019 |
| Utilities - 0.0% |  |  |  |
| Independent Power and Renewable Electricity Producers - 0.0% |  |  |  |
| Aydem Yenilenebilir Enerji AS 7.75% 2/2/2027 (c) |  | 139500 | 138628 |
| TOTAL TURKEY |  |  | 612816 |
| UKRAINE - 0.0%  |  |  |  |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| NAK Naftogaz Ukraine via Kondor Finance PLC loan participation 7.625% 11/8/2028 pay-in-kind (c) |  | 116756 | 91945 |
| NAK Naftogaz Ukraine via Kondor Finance PLC loan participation 7.65% 7/19/2025 pay-in-kind (p) |  | 133369 | 128034 |
| TOTAL UKRAINE |  |  | 219979 |
| UNITED ARAB EMIRATES - 0.1%  |  |  |  |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| Adnoc Murban Rsc Ltd 5.125% 9/11/2054 (c) |  | 230000 | 204068 |
| Galaxy Pipeline Assets Bidco Ltd 2.16% 3/31/2034 (c) |  | 210088 | 184246 |
| Galaxy Pipeline Assets Bidco Ltd 2.625% 3/31/2036 (c) |  | 790000 | 661033 |
|  |  |  | 1049347 |
| Financials - 0.1% |  |  |  |
| Financial Services - 0.1% |  |  |  |
| Abu Dhabi Developmental Holding Co PJSC 5.25% 10/2/2054 (c) |  | 265000 | 237838 |
| Abu Dhabi Developmental Holding Co PJSC 5.5% 5/8/2034 (c) |  | 230000 | 236150 |
| MDGH GMTN RSC Ltd 2.875% 11/7/2029 (c) |  | 280000 | 259837 |
| MDGH GMTN RSC Ltd 4.375% 11/22/2033 (c) |  | 120000 | 113376 |
| MDGH GMTN RSC Ltd 5.084% 5/22/2053 (c) |  | 390000 | 350272 |
| MDGH GMTN RSC Ltd Series 1, 5.5% 4/28/2033 (c) |  | 145000 | 148789 |
| Sobha Sukuk Ltd 8.75% 7/17/2028 (p) |  | 200000 | 206506 |
|  |  |  | 1552768 |
| Industrials - 0.0% |  |  |  |
| Transportation Infrastructure - 0.0% |  |  |  |
| DP World Crescent Ltd 3.7495% 1/30/2030 (c) |  | 170000 | 160182 |
| DP World Ltd/United Arab Emirates 5.625% 9/25/2048 (c) |  | 295000 | 269188 |
|  |  |  | 429370 |
| Real Estate - 0.0% |  |  |  |
| Real Estate Management & Development - 0.0% |  |  |  |
| Aldar Properties PJSC 6.6227% 4/15/2055 (d)(p) |  | 200000 | 200668 |
| Alpha Star Holding IX Ltd 7% 8/26/2028 (p) |  | 200000 | 201669 |
| Alpha Star Holding VIII Ltd 8.375% 4/12/2027 (p) |  | 200000 | 206566 |
|  |  |  | 608903 |
| Utilities - 0.0% |  |  |  |
| Multi-Utilities - 0.0% |  |  |  |
| Abu Dhabi National Energy Co PJSC 4% 10/3/2049 (c) |  | 235000 | 176104 |
| Abu Dhabi National Energy Co PJSC 4.375% 1/24/2029 (c) |  | 150000 | 148620 |
| Abu Dhabi National Energy Co PJSC 4.696% 4/24/2033 (c) |  | 135000 | 131468 |
| Abu Dhabi National Energy Co PJSC 4.75% 3/9/2037 (c) |  | 280000 | 264163 |
| Abu Dhabi National Energy Co PJSC 4.875% 4/23/2030 (c) |  | 85000 | 85819 |
|  |  |  | 806174 |
| TOTAL UNITED ARAB EMIRATES |  |  | 4446562 |
| UNITED KINGDOM - 1.1%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |  |
| Connect Finco Sarl / Connect Us Finco LLC 9% 9/15/2029 (c) |  | 270000 | 257309 |
| Virgin Media Finance PLC 5% 7/15/2030 (c) |  | 40000 | 36273 |
|  |  |  | 293582 |
| Media - 0.0% |  |  |  |
| Virgin Media Secured Finance PLC 4.5% 8/15/2030 (c) |  | 1635000 | 1509769 |
| Wireless Telecommunication Services - 0.0% |  |  |  |
| Vodafone Group PLC 4.875% 10/3/2078 (d)(p) | GBP | 106000 | 142462 |
| TOTAL COMMUNICATION SERVICES |  |  | 1945813 |
| Consumer Discretionary - 0.1% |  |  |  |
| Automobile Components - 0.0% |  |  |  |
| Macquarie Airfinance Holdings Ltd 6.4% 3/26/2029 (c) |  | 75000 | 77547 |
| Macquarie Airfinance Holdings Ltd 8.125% 3/30/2029 (c) |  | 365000 | 381962 |
|  |  |  | 459509 |
| Broadline Retail - 0.0% |  |  |  |
| John Lewis PLC 4.25% 12/18/2034 (p) | GBP | 200000 | 213322 |
| Marks & Spencer PLC 4.5% 7/10/2027 (k)(p) | GBP | 339000 | 440731 |
|  |  |  | 654053 |
| Hotels, Restaurants & Leisure - 0.1% |  |  |  |
| InterContinental Hotels Group PLC 3.375% 10/8/2028 (p) | GBP | 254000 | 323946 |
| Whitbread Group PLC 2.375% 5/31/2027 (p) | GBP | 249000 | 317275 |
| Whitbread Group PLC 3.375% 10/16/2025 (p) | GBP | 1045000 | 1398180 |
|  |  |  | 2039401 |
| Household Durables - 0.0% |  |  |  |
| Berkeley Group PLC/The 2.5% 8/11/2031 (p) | GBP | 648000 | 712771 |
| Specialty Retail - 0.0% |  |  |  |
| Belron UK Finance PLC 5.75% 10/15/2029 (c) |  | 445000 | 446197 |
| TOTAL CONSUMER DISCRETIONARY |  |  | 4311931 |
| Consumer Staples - 0.3% |  |  |  |
| Tobacco - 0.3% |  |  |  |
| BAT Capital Corp 4.7% 4/2/2027  |  | 1252000 | 1254549 |
| BAT Capital Corp 4.906% 4/2/2030  |  | 1500000 | 1508169 |
| BAT Capital Corp 5.282% 4/2/2050  |  | 1500000 | 1291732 |
| BAT Capital Corp 6% 2/20/2034  |  | 10000000 | 10403268 |
| BAT Capital Corp 6.421% 8/2/2033  |  | 1137000 | 1218870 |
| BAT International Finance PLC 4.125% 4/12/2032 (p) | EUR | 1017000 | 1184790 |
| Imperial Brands Finance Netherlands BV 5.25% 2/15/2031 (p) | EUR | 902000 | 1108066 |
| Imperial Brands Finance PLC 3.875% 2/12/2034 (p) | EUR | 125000 | 139714 |
| Imperial Brands Finance PLC 6.125% 7/27/2027 (c) |  | 764000 | 783868 |
| Reynolds American Inc 7.25% 6/15/2037  |  | 75000 | 82578 |
|  |  |  | 18975604 |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| EG Global Finance PLC 12% 11/30/2028 (c) |  | 2165000 | 2387061 |
| Financials - 0.6% |  |  |  |
| Banks - 0.6% |  |  |  |
| Barclays PLC 5.088% 6/20/2030 (d) |  | 1421000 | 1415521 |
| Barclays PLC 5.2% 5/12/2026  |  | 1318000 | 1321335 |
| Barclays PLC 5.262% 1/29/2034 (d)(p) | EUR | 721000 | 901020 |
| Barclays PLC 5.69% 3/12/2030 (d) |  | 3094000 | 3172115 |
| Barclays PLC 5.829% 5/9/2027 (d) |  | 2370000 | 2391630 |
| Barclays PLC 6.224% 5/9/2034 (d) |  | 8576000 | 8953376 |
| Barclays PLC 6.49% 9/13/2029 (d) |  | 2400000 | 2518785 |
| Barclays PLC 6.692% 9/13/2034 (d) |  | 2000000 | 2148133 |
| Barclays PLC 8.407% 11/14/2032 (d)(p) | GBP | 317000 | 452534 |
| HSBC Holdings PLC 4.787% 3/10/2032 (d)(p) | EUR | 547000 | 666241 |
| HSBC Holdings PLC 4.856% 5/23/2033 (d)(p) | EUR | 640000 | 784198 |
| HSBC Holdings PLC 5.813% 5/22/2033 (d)(p) | GBP | 325000 | 439677 |
| HSBC Holdings PLC 6.8% 9/14/2031 (d) | GBP | 139000 | 198554 |
| HSBC Holdings PLC 8.201% 11/16/2034 (d)(p) | GBP | 225000 | 328216 |
| Lloyds Banking Group PLC 4.5% 1/11/2029 (d)(p) | EUR | 260000 | 308834 |
| Lloyds Banking Group PLC 4.75% 9/21/2031 (d)(p) | EUR | 925000 | 1124839 |
| NatWest Group PLC 2.105% 11/28/2031 (d)(p) | GBP | 638000 | 823609 |
| NatWest Group PLC 3.073% 5/22/2028 (d) |  | 951000 | 922306 |
| NatWest Group PLC 5.847% 3/2/2027 (d) |  | 3394000 | 3421471 |
| NatWest Group PLC 7.416% 6/6/2033 (d)(p) | GBP | 341000 | 481826 |
| Standard Chartered PLC 3.864% 3/17/2033 (d)(p) | EUR | 300000 | 345003 |
| Virgin Money UK PLC 7.625% 8/23/2029 (d)(p) | GBP | 586000 | 846469 |
|  |  |  | 33965692 |
| Consumer Finance - 0.0% |  |  |  |
| Motability Operations Group PLC 3.625% 1/22/2033 (p) | EUR | 450000 | 514153 |
| Financial Services - 0.0% |  |  |  |
| Nationwide Building Society 4% 7/30/2035 (d)(p) | EUR | 200000 | 229045 |
| Insurance - 0.0% |  |  |  |
| Admiral Group PLC 8.5% 1/6/2034 (p) | GBP | 385000 | 579958 |
| TOTAL FINANCIALS |  |  | 35288848 |
| Health Care - 0.0% |  |  |  |
| Health Care Providers & Services - 0.0% |  |  |  |
| 180 Medical Inc 3.875% 10/15/2029 (c) |  | 225000 | 213711 |
| Industrials - 0.0% |  |  |  |
| Ground Transportation - 0.0% |  |  |  |
| Mobico Group PLC 4.875% 9/26/2031 (p) | EUR | 736000 | 764872 |
| Trading Companies & Distributors - 0.0% |  |  |  |
| Travis Perkins PLC 3.75% 2/17/2026 (p) | GBP | 141000 | 186177 |
| Transportation Infrastructure - 0.0% |  |  |  |
| Heathrow Funding Ltd 6% 3/5/2032 (p) | GBP | 505000 | 677668 |
| TOTAL INDUSTRIALS |  |  | 1628717 |
| Materials - 0.0% |  |  |  |
| Chemicals - 0.0% |  |  |  |
| INEOS Quattro Finance 2 Plc 9.625% 3/15/2029 (c) |  | 123000 | 122387 |
| Real Estate - 0.0% |  |  |  |
| Office REITs - 0.0% |  |  |  |
| Great Portland Estates PLC 5.375% 9/25/2031 (p) | GBP | 200000 | 265234 |
| Real Estate Management & Development - 0.0% |  |  |  |
| Tritax EuroBox PLC 0.95% 6/2/2026 (p) | EUR | 235000 | 261636 |
| TOTAL REAL ESTATE |  |  | 526870 |
| Utilities - 0.1% |  |  |  |
| Electric Utilities - 0.0% |  |  |  |
| NGG Finance PLC 2.125% 9/5/2082 (d)(p) | EUR | 555000 | 613101 |
| Scottish Hydro Electric Transmission PLC 3.375% 9/4/2032 (p) | EUR | 375000 | 424423 |
|  |  |  | 1037524 |
| Gas Utilities - 0.0% |  |  |  |
| Southern Gas Networks PLC 3.5% 10/16/2030 (p) | EUR | 375000 | 426792 |
| Independent Power and Renewable Electricity Producers - 0.0% |  |  |  |
| California Buyer Ltd / Atlantica Sustainable Infrastructure PLC 6.375% 2/15/2032 (c) |  | 640000 | 632816 |
| ContourGlobal Power Holdings SA 6.75% 2/28/2030 (c) |  | 430000 | 435607 |
|  |  |  | 1068423 |
| Water Utilities - 0.1% |  |  |  |
| Anglian Water Osprey Financing PLC 2% 7/31/2028 (p) | GBP | 179000 | 210836 |
| Anglian Water Services Financing PLC 5.875% 6/20/2031 (p) | GBP | 325000 | 439958 |
| Anglian Water Services Financing PLC 6.25% 9/12/2044 (p) | GBP | 175000 | 220962 |
| Anglian Water Services Financing PLC 6.293% 7/30/2030 (p) | GBP | 305000 | 421963 |
| Severn Trent Utilities Finance PLC 3.875% 8/4/2035 (p) | EUR | 375000 | 427337 |
| Severn Trent Utilities Finance PLC 4.625% 11/30/2034 (p) | GBP | 348000 | 431645 |
| South West Water Finance PLC 5.75% 12/11/2032 (p) | GBP | 100000 | 135346 |
| Southern Water Services Finance Ltd 1.625% 3/30/2027 (p) | GBP | 222000 | 263872 |
| Southern Water Services Finance Ltd 2.375% 5/28/2028 (p) | GBP | 240000 | 281497 |
| SW Finance I PLC 7.375% 12/12/2041 (p) | GBP | 246000 | 318364 |
| United Utilities Water Finance PLC 3.5% 2/27/2033 (p) | EUR | 300000 | 336537 |
| Wessex Water Services Finance PLC 6.125% 9/19/2034 (p) | GBP | 300000 | 399474 |
|  |  |  | 3887791 |
| TOTAL UTILITIES |  |  | 6420530 |
| TOTAL UNITED KINGDOM |  |  | 71821472 |
| UNITED STATES - 18.5%  |  |  |  |
| Communication Services - 2.1% |  |  |  |
| Diversified Telecommunication Services - 0.3% |  |  |  |
| AT&T Inc 2.55% 12/1/2033  |  | 13339000 | 10970684 |
| AT&T Inc 3.65% 9/15/2059  |  | 1441000 | 946853 |
| AT&T Inc 3.8% 12/1/2057  |  | 4105000 | 2810437 |
| AT&T Inc 4.3% 2/15/2030  |  | 559000 | 553110 |
| AT&T Inc 5.15% 11/15/2046  |  | 1000000 | 906086 |
| Consolidated Communications Inc 5% 10/1/2028 (c) |  | 148000 | 149490 |
| Level 3 Financing Inc 10% 10/15/2032 (c) |  | 65000 | 65332 |
| Level 3 Financing Inc 10.5% 5/15/2030 (c) |  | 870000 | 951563 |
| Level 3 Financing Inc 11% 11/15/2029 (c) |  | 180000 | 204195 |
| Level 3 Financing Inc 3.625% 1/15/2029 (c) |  | 269000 | 223270 |
| Level 3 Financing Inc 3.75% 7/15/2029 (c) |  | 371000 | 304469 |
| Level 3 Financing Inc 3.875% 10/15/2030 (c) |  | 240000 | 202200 |
| Level 3 Financing Inc 4% 4/15/2031 (c) |  | 25000 | 20687 |
| Level 3 Financing Inc 4.25% 7/1/2028 (c) |  | 70000 | 62299 |
| Level 3 Financing Inc 4.5% 4/1/2030 (c) |  | 1790000 | 1574251 |
| Lumen Technologies Inc 4.125% 4/15/2030 (c) |  | 110000 | 106838 |
| Lumen Technologies Inc 4.5% 1/15/2029 (c) |  | 70000 | 61950 |
| Verizon Communications Inc 2.55% 3/21/2031  |  | 1065000 | 943267 |
| Verizon Communications Inc 4.78% 2/15/2035  |  | 1330000 | 1279976 |
| Verizon Communications Inc 4.862% 8/21/2046  |  | 1250000 | 1090662 |
| Verizon Communications Inc 5.012% 4/15/2049  |  | 16000 | 14397 |
|  |  |  | 23442016 |
| Interactive Media & Services - 0.0% |  |  |  |
| Alphabet Inc 3.375% 5/6/2037  | EUR | 100000 | 112666 |
| Alphabet Inc 3.875% 5/6/2045  | EUR | 100000 | 113665 |
| Alphabet Inc 4% 5/6/2054  | EUR | 100000 | 112896 |
| Snap Inc 6.875% 3/1/2033 (c) |  | 355000 | 359596 |
|  |  |  | 698823 |
| Media - 1.6% |  |  |  |
| Advantage Sales & Marketing Inc 6.5% 11/15/2028 (c) |  | 590000 | 450610 |
| CCO Holdings LLC / CCO Holdings Capital Corp 4.5% 5/1/2032 (r) |  | 2240000 | 2038721 |
| CCO Holdings LLC / CCO Holdings Capital Corp 5% 2/1/2028 (c) |  | 2945000 | 2888535 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 2.3% 2/1/2032  |  | 5694000 | 4693600 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 4.4% 4/1/2033  |  | 6526000 | 6019625 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 5.25% 4/1/2053  |  | 2154000 | 1775567 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 5.375% 5/1/2047  |  | 3941000 | 3310562 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 5.5% 4/1/2063  |  | 2499000 | 2045376 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 5.75% 4/1/2048  |  | 861000 | 755543 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 6.1% 6/1/2029  |  | 1898000 | 1975820 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 6.484% 10/23/2045  |  | 2039000 | 1962168 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 6.55% 6/1/2034  |  | 15310000 | 16016852 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 6.65% 2/1/2034  |  | 11000000 | 11562891 |
| Clear Channel Outdoor Holdings Inc 5.125% 8/15/2027 (c) |  | 79000 | 77279 |
| Clear Channel Outdoor Holdings Inc 7.5% 6/1/2029 (c) |  | 256000 | 226317 |
| Clear Channel Outdoor Holdings Inc 7.75% 4/15/2028 (c) |  | 230000 | 210163 |
| Clear Channel Outdoor Holdings Inc 7.875% 4/1/2030 (c) |  | 500000 | 506571 |
| Clear Channel Outdoor Holdings Inc 9% 9/15/2028 (c) |  | 300000 | 314201 |
| Comcast Corp 6.45% 3/15/2037  |  | 365000 | 393113 |
| CSC Holdings LLC 3.375% 2/15/2031 (c) |  | 3715000 | 2433325 |
| CSC Holdings LLC 4.125% 12/1/2030 (c) |  | 5000 | 3431 |
| CSC Holdings LLC 4.5% 11/15/2031 (c) |  | 365000 | 246788 |
| CSC Holdings LLC 4.625% 12/1/2030 (c) |  | 1590000 | 731400 |
| CSC Holdings LLC 5.375% 2/1/2028 (c) |  | 100000 | 91202 |
| Discovery Communications LLC 3.625% 5/15/2030  |  | 1265000 | 1118709 |
| Discovery Communications LLC 4.125% 5/15/2029  |  | 46000 | 42832 |
| Discovery Communications LLC 5% 9/20/2037  |  | 2800000 | 2204599 |
| DISH DBS Corp 5.125% 6/1/2029  |  | 1272000 | 836271 |
| DISH DBS Corp 7.375% 7/1/2028  |  | 215000 | 147670 |
| EchoStar Corp 10.75% 11/30/2029  |  | 414506 | 416578 |
| EchoStar Corp 6.75% 11/30/2030 pay-in-kind (d) |  | 1263038 | 1086213 |
| Time Warner Cable LLC 6.75% 6/15/2039  |  | 545000 | 551539 |
| Time Warner Cable LLC 7.3% 7/1/2038  |  | 2420000 | 2578892 |
| Univision Communications Inc 7.375% 6/30/2030 (c) |  | 1820000 | 1701464 |
| Univision Communications Inc 8.5% 7/31/2031 (c)(r) |  | 1025000 | 984166 |
| Warnermedia Holdings Inc 3.755% 3/15/2027  |  | 416000 | 403259 |
| Warnermedia Holdings Inc 4.054% 3/15/2029  |  | 291000 | 270980 |
| Warnermedia Holdings Inc 4.279% 3/15/2032  |  | 34816000 | 29543788 |
| Warnermedia Holdings Inc 4.693% 5/17/2033  | EUR | 350000 | 370290 |
| Warnermedia Holdings Inc 5.05% 3/15/2042  |  | 738000 | 530864 |
| Warnermedia Holdings Inc 5.141% 3/15/2052  |  | 3903000 | 2530151 |
|  |  |  | 106047925 |
| Wireless Telecommunication Services - 0.2% |  |  |  |
| T-Mobile USA Inc 3.75% 4/15/2027  |  | 1250000 | 1233870 |
| T-Mobile USA Inc 3.875% 4/15/2030  |  | 2100000 | 2024961 |
| T-Mobile USA Inc 4.375% 4/15/2040  |  | 269000 | 233259 |
| T-Mobile USA Inc 4.5% 4/15/2050  |  | 528000 | 425988 |
| T-Mobile USA Inc 5.05% 7/15/2033  |  | 13000000 | 12889188 |
|  |  |  | 16807266 |
| TOTAL COMMUNICATION SERVICES |  |  | 146996030 |
| Consumer Discretionary - 0.7% |  |  |  |
| Automobile Components - 0.0% |  |  |  |
| Adient Global Holdings Ltd 7.5% 2/15/2033 (c) |  | 365000 | 362354 |
| Clarios Global LP / Clarios US Finance Co 6.75% 2/15/2030 (c) |  | 330000 | 336108 |
| Patrick Industries Inc 6.375% 11/1/2032 (c) |  | 197000 | 194173 |
|  |  |  | 892635 |
| Automobiles - 0.1% |  |  |  |
| Ford Motor Co 3.25% 2/12/2032  |  | 4000000 | 3300829 |
| Rivian Holdings LLC/Rivian LLC/Rivian Automotive LLC CME Term SOFR 6 month Index + 6.0533%, 10.1513% 10/15/2026 (b)(c)(d) |  | 640000 | 643200 |
| Stellantis Finance US Inc 5.75% 3/18/2030 (c) |  | 340000 | 340795 |
|  |  |  | 4284824 |
| Broadline Retail - 0.1% |  |  |  |
| CMG Media Corp 8.875% 6/18/2029 (c) |  | 275000 | 253000 |
| GrubHub Holdings Inc 5.5% 7/1/2027 (c)(r) |  | 470000 | 433575 |
| Kohl's Corp 4.25% 7/17/2025  |  | 295000 | 292792 |
| Nordstrom Inc 4.375% 4/1/2030  |  | 315000 | 284205 |
| Wayfair LLC 7.25% 10/31/2029 (c)(r) |  | 1120000 | 1090804 |
| Wayfair LLC 7.75% 9/15/2030 (c)(r) |  | 1214000 | 1189418 |
|  |  |  | 3543794 |
| Diversified Consumer Services - 0.1% |  |  |  |
| Service Corp International/US 5.125% 6/1/2029  |  | 1310000 | 1293941 |
| Service Corp International/US 5.75% 10/15/2032  |  | 160000 | 158998 |
| Sotheby's 7.375% 10/15/2027 (c) |  | 670000 | 659754 |
| StoneMor Inc 8.5% 5/15/2029 (c) |  | 698000 | 643411 |
| TKC Holdings Inc 10.5% 5/15/2029 (c) |  | 1310000 | 1346696 |
| TKC Holdings Inc 6.875% 5/15/2028 (c) |  | 350000 | 348116 |
| WASH Multifamily Acquisition Inc 5.75% 4/15/2026 (c) |  | 1550000 | 1546313 |
|  |  |  | 5997229 |
| Hotels, Restaurants & Leisure - 0.3% |  |  |  |
| Caesars Entertainment Inc 6% 10/15/2032 (c)(r) |  | 1725000 | 1654772 |
| Caesars Entertainment Inc 6.5% 2/15/2032 (c) |  | 920000 | 927401 |
| Carnival Corp 5.75% 3/15/2030 (c) |  | 895000 | 897100 |
| Carnival Corp 5.875% 6/15/2031 (c) |  | 840000 | 840504 |
| Carnival Corp 6% 5/1/2029 (c) |  | 500000 | 501318 |
| Carnival Corp 6.125% 2/15/2033 (c) |  | 1950000 | 1955250 |
| CEC Entertainment LLC 6.75% 5/1/2026 (c) |  | 760000 | 747645 |
| Fertitta Entertainment LLC / Fertitta Entertainment Finance Co Inc 6.75% 1/15/2030 (c) |  | 1560000 | 1416760 |
| Hilton Domestic Operating Co Inc 3.625% 2/15/2032 (c) |  | 1445000 | 1286122 |
| Hilton Domestic Operating Co Inc 5.875% 3/15/2033 (c) |  | 355000 | 357398 |
| Hilton Domestic Operating Co Inc 5.875% 4/1/2029 (c) |  | 1275000 | 1287560 |
| Hilton Grand Vacations Borrower LLC / Hilton Grand Vacations Borrower Inc 5% 6/1/2029 (c)(r) |  | 500000 | 469086 |
| Hilton Grand Vacations Borrower LLC / Hilton Grand Vacations Borrower Inc 6.625% 1/15/2032 (c) |  | 50000 | 49936 |
| Life Time Inc 6% 11/15/2031 (c) |  | 1305000 | 1307915 |
| MajorDrive Holdings IV LLC 6.375% 6/1/2029 (c) |  | 690000 | 519781 |
| McDonald's Corp 3.5% 5/21/2032 (p) | EUR | 425000 | 488865 |
| McDonald's Corp 3.5% 7/1/2027  |  | 353000 | 347687 |
| Mohegan Tribal Gaming Authority / MS Digital Entertainment Holdings LLC 11.875% 4/15/2031 (c) |  | 370000 | 384020 |
| Mohegan Tribal Gaming Authority / MS Digital Entertainment Holdings LLC 8.25% 4/15/2030 (c) |  | 370000 | 376526 |
| NCL Corp Ltd 6.75% 2/1/2032 (c) |  | 365000 | 365442 |
| Royal Caribbean Cruises Ltd 5.375% 7/15/2027 (c) |  | 165000 | 165150 |
| Royal Caribbean Cruises Ltd 5.625% 9/30/2031 (c) |  | 2100000 | 2075611 |
| Royal Caribbean Cruises Ltd 6% 2/1/2033 (c) |  | 1050000 | 1053769 |
| Yum! Brands Inc 4.625% 1/31/2032  |  | 219000 | 207674 |
|  |  |  | 19683292 |
| Household Durables - 0.0% |  |  |  |
| LGI Homes Inc 7% 11/15/2032 (c) |  | 725000 | 673264 |
| LGI Homes Inc 8.75% 12/15/2028 (c) |  | 251000 | 258316 |
| Newell Brands Inc 6.375% 5/15/2030  |  | 395000 | 370653 |
| Newell Brands Inc 6.625% 5/15/2032  |  | 240000 | 221372 |
| Newell Brands Inc 6.875% 4/1/2036 (k) |  | 335000 | 307871 |
| Newell Brands Inc 7% 4/1/2046 (k)(r) |  | 290000 | 235793 |
| Newell Brands Inc 8.5% 6/1/2028 (c) |  | 880000 | 910403 |
| TopBuild Corp 4.125% 2/15/2032 (c) |  | 385000 | 349154 |
|  |  |  | 3326826 |
| Specialty Retail - 0.1% |  |  |  |
| AutoNation Inc 4.75% 6/1/2030  |  | 156000 | 153139 |
| AutoZone Inc 4% 4/15/2030  |  | 1110000 | 1076990 |
| Carvana Co 11% 6/1/2030 pay-in-kind (c)(d) |  | 766250 | 808036 |
| Carvana Co 5.625% 10/1/2025 (c) |  | 1970000 | 1958066 |
| Carvana Co 9% 12/1/2028 pay-in-kind (c)(d) |  | 204971 | 210604 |
| Champions Financing Inc 8.75% 2/15/2029 (c) |  | 450000 | 419136 |
| LBM Acquisition LLC 6.25% 1/15/2029 (c) |  | 395000 | 317236 |
| Lowe's Cos Inc 3.35% 4/1/2027  |  | 149000 | 146354 |
| Lowe's Cos Inc 3.75% 4/1/2032  |  | 459000 | 427158 |
| Lowe's Cos Inc 4.25% 4/1/2052  |  | 1870000 | 1418856 |
| Lowe's Cos Inc 4.45% 4/1/2062  |  | 2116000 | 1593780 |
| O'Reilly Automotive Inc 4.2% 4/1/2030  |  | 246000 | 241375 |
| Sally Holdings LLC / Sally Capital Inc 6.75% 3/1/2032 (r) |  | 150000 | 152395 |
| Staples Inc 10.75% 9/1/2029 (c) |  | 840000 | 760437 |
| Staples Inc 12.75% 1/15/2030 (c) |  | 438275 | 282123 |
| Wand NewCo 3 Inc 7.625% 1/30/2032 (c)(r) |  | 215000 | 223665 |
|  |  |  | 10189350 |
| Textiles, Apparel & Luxury Goods - 0.0% |  |  |  |
| Wolverine World Wide Inc 4% 8/15/2029 (c) |  | 350000 | 306299 |
| TOTAL CONSUMER DISCRETIONARY |  |  | 48224249 |
| Consumer Staples - 0.5% |  |  |  |
| Beverages - 0.0% |  |  |  |
| Molson Coors Beverage Co 5% 5/1/2042  |  | 2945000 | 2630816 |
| Primo Water Holdings Inc / Triton Water Holdings Inc 6.25% 4/1/2029 (c) |  | 210000 | 210285 |
|  |  |  | 2841101 |
| Consumer Staples Distribution & Retail - 0.5% |  |  |  |
| Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC 4.875% 2/15/2030 (c) |  | 800000 | 778201 |
| Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC 6.25% 3/15/2033 (c) |  | 495000 | 502513 |
| Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC 6.5% 2/15/2028 (c) |  | 400000 | 408072 |
| C&S Group Enterprises LLC 5% 12/15/2028 (c) |  | 760000 | 646752 |
| KeHE Distributors LLC / KeHE Finance Corp / NextWave Distribution Inc 9% 2/15/2029 (c) |  | 1170000 | 1219722 |
| Kroger Co/The 5% 9/15/2034  |  | 2680000 | 2610243 |
| Mars Inc 4.8% 3/1/2030 (c) |  | 4050000 | 4074994 |
| Mars Inc 5% 3/1/2032 (c) |  | 3041000 | 3051226 |
| Mars Inc 5.2% 3/1/2035 (c) |  | 2527000 | 2517521 |
| Mars Inc 5.65% 5/1/2045 (c) |  | 2458000 | 2411377 |
| Mars Inc 5.7% 5/1/2055 (c) |  | 4902000 | 4755431 |
| Performance Food Group Inc 6.125% 9/15/2032 (c) |  | 940000 | 947563 |
| Sysco Corp 5.95% 4/1/2030  |  | 471000 | 495762 |
| Sysco Corp 6.6% 4/1/2050  |  | 710000 | 750232 |
| US Foods Inc 5.75% 4/15/2033 (c) |  | 270000 | 265248 |
| US Foods Inc 7.25% 1/15/2032 (c) |  | 180000 | 188123 |
|  |  |  | 25622980 |
| Food Products - 0.0% |  |  |  |
| Fiesta Purchaser Inc 9.625% 9/15/2032 (c) |  | 175000 | 183072 |
| Lamb Weston Holdings Inc 4.375% 1/31/2032 (c)(r) |  | 1465000 | 1351392 |
| Post Holdings Inc 6.25% 10/15/2034 (c) |  | 330000 | 325967 |
| Post Holdings Inc 6.375% 3/1/2033 (c) |  | 700000 | 694884 |
|  |  |  | 2555315 |
| Household Products - 0.0% |  |  |  |
| Resideo Funding Inc 6.5% 7/15/2032 (c) |  | 210000 | 211727 |
| Tobacco - 0.0% |  |  |  |
| Altria Group Inc 3.875% 9/16/2046  |  | 1521000 | 1089327 |
| Altria Group Inc 4.25% 8/9/2042  |  | 932000 | 738458 |
| Altria Group Inc 4.5% 5/2/2043  |  | 632000 | 513864 |
| Altria Group Inc 4.8% 2/14/2029  |  | 173000 | 173619 |
| Altria Group Inc 5.95% 2/14/2049  |  | 600000 | 583690 |
|  |  |  | 3098958 |
| TOTAL CONSUMER STAPLES |  |  | 34330081 |
| Energy - 2.2% |  |  |  |
| Energy Equipment & Services - 0.1% |  |  |  |
| Archrock Partners LP / Archrock Partners Finance Corp 6.625% 9/1/2032 (c) |  | 300000 | 301578 |
| Nabors Industries Inc 7.375% 5/15/2027 (c) |  | 485000 | 465624 |
| Nabors Industries Inc 8.875% 8/15/2031 (c) |  | 385000 | 263473 |
| Nabors Industries Ltd 7.5% 1/15/2028 (c) |  | 615000 | 513773 |
| Star Holding LLC 8.75% 8/1/2031 (c) |  | 225000 | 203001 |
| Transocean Inc 8% 2/1/2027 (c) |  | 650000 | 635455 |
| Transocean Inc 8.25% 5/15/2029 (c) |  | 795000 | 716905 |
| Transocean Inc 8.5% 5/15/2031 (c) |  | 1140000 | 979814 |
| USA Compression Partners LP / USA Compression Finance Corp 6.875% 9/1/2027  |  | 870000 | 869685 |
| USA Compression Partners LP / USA Compression Finance Corp 7.125% 3/15/2029 (c) |  | 230000 | 233614 |
| Valaris Ltd 8.375% 4/30/2030 (c) |  | 280000 | 281088 |
|  |  |  | 5464010 |
| Oil, Gas & Consumable Fuels - 2.1% |  |  |  |
| Aethon United BR LP / Aethon United Finance Corp 7.5% 10/1/2029 (c) |  | 465000 | 476518 |
| Antero Midstream Partners LP / Antero Midstream Finance Corp 5.75% 3/1/2027 (c) |  | 2885000 | 2882489 |
| California Resources Corp 7.125% 2/1/2026 (c) |  | 122000 | 121895 |
| California Resources Corp 8.25% 6/15/2029 (c) |  | 1335000 | 1337421 |
| Calumet Specialty Products Partners LP / Calumet Finance Corp 9.75% 7/15/2028 (c) |  | 596000 | 574515 |
| Cheniere Energy Partners LP 5.75% 8/15/2034  |  | 270000 | 270963 |
| CITGO Petroleum Corp 6.375% 6/15/2026 (c) |  | 1255000 | 1254397 |
| CNX Midstream Partners LP 4.75% 4/15/2030 (c) |  | 1175000 | 1089234 |
| CNX Resources Corp 7.25% 3/1/2032 (c) |  | 265000 | 270056 |
| Columbia Pipeline Group Inc 5.8% 6/1/2045  |  | 10000 | 9506 |
| Columbia Pipelines Operating Co LLC 5.927% 8/15/2030 (c) |  | 290000 | 301309 |
| Columbia Pipelines Operating Co LLC 6.036% 11/15/2033 (c) |  | 5781000 | 5950425 |
| Columbia Pipelines Operating Co LLC 6.497% 8/15/2043 (c) |  | 233000 | 234094 |
| Columbia Pipelines Operating Co LLC 6.544% 11/15/2053 (c) |  | 420000 | 422099 |
| Columbia Pipelines Operating Co LLC 6.714% 8/15/2063 (c) |  | 252000 | 255784 |
| Comstock Resources Inc 5.875% 1/15/2030 (c) |  | 430000 | 406601 |
| Comstock Resources Inc 6.75% 3/1/2029 (c) |  | 625000 | 616017 |
| CVR Energy Inc 5.75% 2/15/2028 (c) |  | 420000 | 399846 |
| CVR Energy Inc 8.5% 1/15/2029 (c) |  | 1100000 | 1073647 |
| DCP Midstream Operating LP 5.125% 5/15/2029  |  | 659000 | 664832 |
| Delek Logistics Partners LP / Delek Logistics Finance Corp 7.125% 6/1/2028 (c) |  | 1325000 | 1330568 |
| Delek Logistics Partners LP / Delek Logistics Finance Corp 8.625% 3/15/2029 (c) |  | 297000 | 307593 |
| DT Midstream Inc 5.8% 12/15/2034 (c) |  | 621000 | 615950 |
| Energy Transfer LP 3.75% 5/15/2030  |  | 481000 | 455097 |
| Energy Transfer LP 4.95% 6/15/2028  |  | 494000 | 497362 |
| Energy Transfer LP 5% 5/15/2050  |  | 4089000 | 3305387 |
| Energy Transfer LP 5.25% 4/15/2029  |  | 350000 | 355338 |
| Energy Transfer LP 5.4% 10/1/2047  |  | 1023000 | 882034 |
| Energy Transfer LP 5.75% 2/15/2033  |  | 4000000 | 4079208 |
| Energy Transfer LP 5.8% 6/15/2038  |  | 275000 | 269257 |
| Energy Transfer LP 6% 6/15/2048  |  | 1279000 | 1187581 |
| Energy Transfer LP 6.125% 12/15/2045  |  | 100000 | 95259 |
| Energy Transfer LP 6.25% 4/15/2049  |  | 241000 | 229468 |
| Energy Transfer LP 6.55% 12/1/2033  |  | 14000000 | 14869949 |
| Energy Transfer LP 7.375% 2/1/2031 (c) |  | 185000 | 193754 |
| Excelerate Energy LP 8% 5/15/2030 (c) |  | 400000 | 414093 |
| Exxon Mobil Corp 3.482% 3/19/2030  |  | 3150000 | 3041613 |
| Genesis Energy LP / Genesis Energy Finance Corp 8% 5/15/2033  |  | 1115000 | 1131341 |
| Global Partners LP / GLP Finance Corp 6.875% 1/15/2029  |  | 300000 | 301240 |
| Global Partners LP / GLP Finance Corp 7% 8/1/2027  |  | 1385000 | 1388372 |
| Harvest Midstream I LP 7.5% 5/15/2032 (c) |  | 435000 | 446930 |
| Hess Corp 5.6% 2/15/2041  |  | 549000 | 532156 |
| Hess Corp 5.8% 4/1/2047  |  | 874000 | 842460 |
| Hess Corp 7.125% 3/15/2033  |  | 201000 | 224014 |
| Hess Corp 7.3% 8/15/2031  |  | 2102000 | 2350884 |
| Hess Midstream Operations LP 5.125% 6/15/2028 (c) |  | 705000 | 695705 |
| Hess Midstream Operations LP 5.875% 3/1/2028 (c) |  | 415000 | 419085 |
| Hess Midstream Operations LP 6.5% 6/1/2029 (c) |  | 650000 | 663577 |
| Howard Midstream Energy Partners LLC 7.375% 7/15/2032 (c) |  | 520000 | 538140 |
| Kinder Morgan Energy Partners LP 6.55% 9/15/2040  |  | 1365000 | 1413928 |
| Kinder Morgan Inc 5.55% 6/1/2045  |  | 415000 | 380899 |
| Kinetik Holdings LP 5.875% 6/15/2030 (c)(r) |  | 620000 | 616315 |
| Kinetik Holdings LP 6.625% 12/15/2028 (c) |  | 640000 | 652706 |
| Moss Creek Resources Holdings Inc 8.25% 9/1/2031 (c)(r) |  | 565000 | 544776 |
| MPLX LP 4.8% 2/15/2029  |  | 175000 | 175581 |
| MPLX LP 4.95% 9/1/2032  |  | 10463000 | 10178494 |
| MPLX LP 5% 3/1/2033  |  | 2000000 | 1940938 |
| MPLX LP 5.5% 2/15/2049  |  | 525000 | 461207 |
| Murphy Oil Corp 6% 10/1/2032 (r) |  | 465000 | 433546 |
| Murphy Oil USA Inc 3.75% 2/15/2031 (c) |  | 205000 | 185695 |
| New Fortress Energy Inc 6.5% 9/30/2026 (c) |  | 80000 | 47897 |
| Northern Oil & Gas Inc 8.125% 3/1/2028 (c) |  | 250000 | 251018 |
| Occidental Petroleum Corp 6.2% 3/15/2040  |  | 700000 | 652394 |
| Occidental Petroleum Corp 6.45% 9/15/2036  |  | 600000 | 589627 |
| Occidental Petroleum Corp 6.6% 3/15/2046  |  | 807000 | 764518 |
| Occidental Petroleum Corp 6.625% 9/1/2030  |  | 8000000 | 8331313 |
| Occidental Petroleum Corp 7.5% 5/1/2031  |  | 5927000 | 6379692 |
| Occidental Petroleum Corp 7.875% 9/15/2031  |  | 4000000 | 4398360 |
| ONEOK Inc 4.25% 9/24/2027  |  | 1249000 | 1240822 |
| ONEOK Inc 4.4% 10/15/2029  |  | 1306000 | 1285110 |
| ONEOK Inc 4.75% 10/15/2031  |  | 2540000 | 2479373 |
| Ovintiv Inc 5.15% 11/15/2041  |  | 1916000 | 1543651 |
| Ovintiv Inc 6.625% 8/15/2037  |  | 350000 | 342493 |
| Ovintiv Inc 7.375% 11/1/2031  |  | 435000 | 464569 |
| Ovintiv Inc 8.125% 9/15/2030  |  | 1083000 | 1208044 |
| PBF Holding Co LLC / PBF Finance Corp 6% 2/15/2028  |  | 235000 | 218195 |
| PBF Holding Co LLC / PBF Finance Corp 7.875% 9/15/2030 (c) |  | 795000 | 691096 |
| PBF Holding Co LLC / PBF Finance Corp 9.875% 3/15/2030 (c) |  | 650000 | 621454 |
| Permian Resources Operating LLC 5.875% 7/1/2029 (c) |  | 210000 | 206850 |
| Permian Resources Operating LLC 6.25% 2/1/2033 (c) |  | 85000 | 83865 |
| Permian Resources Operating LLC 7% 1/15/2032 (c) |  | 900000 | 923216 |
| Plains All American Pipeline LP / PAA Finance Corp 3.55% 12/15/2029  |  | 4767000 | 4508128 |
| Prairie Acquiror LP 9% 8/1/2029 (c) |  | 360000 | 365971 |
| Rockies Express Pipeline LLC 4.8% 5/15/2030 (c) |  | 650000 | 613851 |
| Rockies Express Pipeline LLC 4.95% 7/15/2029 (c) |  | 260000 | 251098 |
| Rockies Express Pipeline LLC 6.75% 3/15/2033 (c) |  | 605000 | 623119 |
| Rockies Express Pipeline LLC 6.875% 4/15/2040 (c) |  | 110000 | 105331 |
| Sabine Pass Liquefaction LLC 4.5% 5/15/2030  |  | 1622000 | 1598070 |
| Sunoco LP / Sunoco Finance Corp 4.5% 5/15/2029  |  | 200000 | 191599 |
| Sunoco LP / Sunoco Finance Corp 5.875% 3/15/2028  |  | 150000 | 149651 |
| Sunoco LP / Sunoco Finance Corp 6% 4/15/2027  |  | 1125000 | 1124400 |
| Sunoco LP 6.25% 7/1/2033 (c) |  | 585000 | 584995 |
| Sunoco LP 7% 5/1/2029 (c) |  | 60000 | 61924 |
| Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp 5.5% 1/15/2028 (c) |  | 360000 | 357761 |
| Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp 6% 12/31/2030 (c) |  | 2250000 | 2155919 |
| Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp 6% 3/1/2027 (c) |  | 355000 | 354510 |
| Talos Production Inc 9% 2/1/2029 (c) |  | 345000 | 342649 |
| Transcontinental Gas Pipe Line Co LLC 3.25% 5/15/2030  |  | 207000 | 192879 |
| TransMontaigne Partners LLC 8.5% 6/15/2030 (c) |  | 290000 | 296045 |
| Venture Global Plaquemines LNG LLC 7.5% 5/1/2033 (c) |  | 415000 | 433445 |
| Venture Global Plaquemines LNG LLC 7.75% 5/1/2035 (c) |  | 425000 | 447545 |
| Western Gas Partners LP 4.05% 2/1/2030 (k) |  | 11000000 | 10456980 |
| Western Gas Partners LP 4.5% 3/1/2028  |  | 200000 | 196994 |
| Western Gas Partners LP 4.65% 7/1/2026  |  | 138000 | 137614 |
| Western Gas Partners LP 4.75% 8/15/2028  |  | 168000 | 166841 |
| Williams Cos Inc/The 3.5% 11/15/2030  |  | 1727000 | 1616060 |
| Williams Cos Inc/The 4.65% 8/15/2032  |  | 3526000 | 3412453 |
| Williams Cos Inc/The 5.3% 8/15/2052  |  | 346000 | 306082 |
| Williams Cos Inc/The 5.4% 3/2/2026  |  | 823000 | 827101 |
| Williams Cos Inc/The 5.65% 3/15/2033  |  | 4000000 | 4095732 |
| Williams Cos Inc/The 5.75% 6/24/2044  |  | 35000 | 33304 |
|  |  |  | 145990756 |
| TOTAL ENERGY |  |  | 151454766 |
| Financials - 6.7% |  |  |  |
| Banks - 3.5% |  |  |  |
| Bank of America Corp 2.299% 7/21/2032 (d) |  | 1880000 | 1613000 |
| Bank of America Corp 2.592% 4/29/2031 (d) |  | 10000000 | 9022443 |
| Bank of America Corp 3.705% 4/24/2028 (d) |  | 528000 | 519060 |
| Bank of America Corp 4.376% 4/27/2028 (d) |  | 10000000 | 9951201 |
| Bank of America Corp 5.015% 7/22/2033 (d) |  | 13317000 | 13270713 |
| Bank of America Corp 5.288% 4/25/2034 (d) |  | 11000000 | 11019184 |
| Bank of America Corp 5.872% 9/15/2034 (d) |  | 9000000 | 9351979 |
| Citigroup Inc 3.07% 2/24/2028 (d) |  | 2000000 | 1946115 |
| Citigroup Inc 4.3% 11/20/2026  |  | 6314000 | 6282036 |
| Citigroup Inc 4.4% 6/10/2025  |  | 933000 | 932783 |
| Citigroup Inc 4.412% 3/31/2031 (d) |  | 9221000 | 9016088 |
| Citigroup Inc 4.45% 9/29/2027  |  | 4372000 | 4354014 |
| Citigroup Inc 4.91% 5/24/2033 (d) |  | 16224000 | 15949150 |
| Citigroup Inc 6.27% 11/17/2033 (d) |  | 2000000 | 2121860 |
| First-Citizens Bank & Trust Co 6.125% 3/9/2028  |  | 210000 | 217449 |
| HAT Holdings I LLC / HAT Holdings II LLC 3.375% 6/15/2026 (c) |  | 425000 | 413736 |
| HAT Holdings I LLC / HAT Holdings II LLC 8% 6/15/2027 (c) |  | 118000 | 121452 |
| JPMorgan Chase & Co 2.956% 5/13/2031 (d) |  | 880000 | 801247 |
| JPMorgan Chase & Co 3.761% 3/21/2034 (d)(p) | EUR | 251000 | 290662 |
| JPMorgan Chase & Co 3.882% 7/24/2038 (d) |  | 1000000 | 861252 |
| JPMorgan Chase & Co 4.323% 4/26/2028 (d) |  | 5000000 | 4977931 |
| JPMorgan Chase & Co 4.452% 12/5/2029 (d) |  | 5500000 | 5463092 |
| JPMorgan Chase & Co 4.493% 3/24/2031 (d) |  | 3000000 | 2964406 |
| JPMorgan Chase & Co 4.586% 4/26/2033 (d) |  | 2682000 | 2614350 |
| JPMorgan Chase & Co 4.912% 7/25/2033 (d) |  | 9234000 | 9151200 |
| JPMorgan Chase & Co 5.103% 4/22/2031 (d) |  | 4288000 | 4350212 |
| JPMorgan Chase & Co 5.299% 7/24/2029 (d) |  | 6500000 | 6631781 |
| JPMorgan Chase & Co 5.336% 1/23/2035 (d) |  | 5000000 | 5030900 |
| JPMorgan Chase & Co 5.35% 6/1/2034 (d) |  | 14000000 | 14159957 |
| JPMorgan Chase & Co 5.572% 4/22/2036 (d) |  | 5093000 | 5181717 |
| JPMorgan Chase & Co 5.581% 4/22/2030 (d) |  | 15000000 | 15483818 |
| JPMorgan Chase & Co 5.717% 9/14/2033 (d) |  | 2700000 | 2776379 |
| Synchrony Bank 5.4% 8/22/2025  |  | 1384000 | 1385556 |
| Synchrony Bank 5.625% 8/23/2027  |  | 1253000 | 1269920 |
| Wells Fargo & Co 2.879% 10/30/2030 (d) |  | 5000000 | 4614153 |
| Wells Fargo & Co 3.526% 3/24/2028 (d) |  | 2047000 | 2007691 |
| Wells Fargo & Co 4.478% 4/4/2031 (d) |  | 15026000 | 14775045 |
| Wells Fargo & Co 4.897% 7/25/2033 (d) |  | 7711000 | 7578655 |
| Wells Fargo & Co 5.013% 4/4/2051 (d) |  | 2194000 | 1925096 |
| Wells Fargo & Co 5.15% 4/23/2031 (d) |  | 5839000 | 5908899 |
| Wells Fargo & Co 5.389% 4/24/2034 (d) |  | 7133000 | 7163491 |
| Wells Fargo & Co 5.499% 1/23/2035 (d) |  | 686000 | 689893 |
| Wells Fargo & Co 5.557% 7/25/2034 (d) |  | 2000000 | 2025597 |
| Wells Fargo & Co 5.574% 7/25/2029 (d) |  | 6500000 | 6668274 |
| Wells Fargo & Co 5.605% 4/23/2036 (d) |  | 5157000 | 5217241 |
| Wells Fargo & Co 6.303% 10/23/2029 (d) |  | 2000000 | 2098780 |
| Western Alliance Bancorp 3% 6/15/2031 (d) |  | 105000 | 96940 |
|  |  |  | 240266398 |
| Capital Markets - 1.6% |  |  |  |
| Ares Capital Corp 3.875% 1/15/2026  |  | 2603000 | 2585729 |
| Athene Global Funding 5.339% 1/15/2027 (c) |  | 4562000 | 4603051 |
| Athene Global Funding 5.583% 1/9/2029 (c) |  | 5040000 | 5144065 |
| Blackstone Private Credit Fund 7.05% 9/29/2025  |  | 1775000 | 1786258 |
| BroadStreet Partners Inc 5.875% 4/15/2029 (c) |  | 160000 | 157547 |
| Coinbase Global Inc 3.625% 10/1/2031 (c) |  | 245000 | 213229 |
| Goldman Sachs Group Inc/The 2.383% 7/21/2032 (d) |  | 18922000 | 16282784 |
| Goldman Sachs Group Inc/The 3.102% 2/24/2033 (d) |  | 8272000 | 7305688 |
| Goldman Sachs Group Inc/The 3.691% 6/5/2028 (d) |  | 4660000 | 4574829 |
| Goldman Sachs Group Inc/The 3.8% 3/15/2030  |  | 3630000 | 3502078 |
| Goldman Sachs Group Inc/The 3.814% 4/23/2029 (d) |  | 6025000 | 5893556 |
| Goldman Sachs Group Inc/The 4.017% 10/31/2038 (d) |  | 1000000 | 851597 |
| Goldman Sachs Group Inc/The 4.223% 5/1/2029 (d) |  | 2500000 | 2474229 |
| Goldman Sachs Group Inc/The 6.75% 10/1/2037  |  | 278000 | 299017 |
| Hightower Holding LLC 9.125% 1/31/2030 (c) |  | 495000 | 515247 |
| Jane Street Group / JSG Finance Inc 6.125% 11/1/2032 (c) |  | 885000 | 886465 |
| Jane Street Group / JSG Finance Inc 6.75% 5/1/2033 (c) |  | 595000 | 610191 |
| Jefferies Finance LLC / JFIN Co-Issuer Corp 5% 8/15/2028 (c) |  | 65000 | 61578 |
| Jefferies Finance LLC / JFIN Co-Issuer Corp 6.625% 10/15/2031 (c) |  | 465000 | 460314 |
| Moody's Corp 3.25% 1/15/2028  |  | 10000 | 9752 |
| Morgan Stanley 2.699% 1/22/2031 (d) |  | 12000000 | 10946995 |
| Morgan Stanley 3.622% 4/1/2031 (d) |  | 2099000 | 1990205 |
| Morgan Stanley 3.955% 3/21/2035 (d) | EUR | 270000 | 312382 |
| Morgan Stanley 4.099% 5/22/2036 (d) | EUR | 400000 | 464729 |
| Morgan Stanley 4.431% 1/23/2030 (d) |  | 2242000 | 2223386 |
| Morgan Stanley 4.889% 7/20/2033 (d) |  | 10947000 | 10783247 |
| Morgan Stanley 5.164% 4/20/2029 (d) |  | 6000000 | 6083734 |
| Morgan Stanley 5.192% 4/17/2031 (d) |  | 3887000 | 3943764 |
| Morgan Stanley 5.424% 7/21/2034 (d) |  | 7000000 | 7063109 |
| Morgan Stanley 5.449% 7/20/2029 (d) |  | 1318000 | 1348118 |
| Morgan Stanley 5.664% 4/17/2036 (d) |  | 3082000 | 3132340 |
| Morgan Stanley 5.831% 4/19/2035 (d) |  | 6000000 | 6186486 |
| VFH Parent LLC / Valor Co-Issuer Inc 7.5% 6/15/2031 (c) |  | 290000 | 302352 |
|  |  |  | 112998051 |
| Consumer Finance - 0.8% |  |  |  |
| Ally Financial Inc 4.75% 6/9/2027  |  | 2500000 | 2502918 |
| Ally Financial Inc 5.543% 1/17/2031 (d) |  | 788000 | 786496 |
| Ally Financial Inc 5.737% 5/15/2029 (d) |  | 1093000 | 1103705 |
| Ally Financial Inc 5.75% 11/20/2025  |  | 1560000 | 1562661 |
| Ally Financial Inc 6.646% 1/17/2040 (d) |  | 726000 | 697199 |
| Ally Financial Inc 6.992% 6/13/2029 (d) |  | 2000000 | 2089561 |
| Ally Financial Inc 7.1% 11/15/2027  |  | 2060000 | 2160415 |
| Ally Financial Inc 8% 11/1/2031  |  | 2549000 | 2852205 |
| Capital One Financial Corp 3.273% 3/1/2030 (d) |  | 1358000 | 1281842 |
| Capital One Financial Corp 3.65% 5/11/2027  |  | 2746000 | 2701704 |
| Capital One Financial Corp 3.8% 1/31/2028  |  | 877000 | 859771 |
| Capital One Financial Corp 4.1% 2/9/2027  |  | 284000 | 281761 |
| Capital One Financial Corp 4.5% 1/30/2026  |  | 803000 | 801885 |
| Capital One Financial Corp 4.927% 5/10/2028 (d) |  | 2786000 | 2794688 |
| Capital One Financial Corp 4.985% 7/24/2026 (d) |  | 1448000 | 1447989 |
| Capital One Financial Corp 5.247% 7/26/2030 (d) |  | 2210000 | 2230039 |
| Capital One Financial Corp 6.312% 6/8/2029 (d) |  | 5000000 | 5207443 |
| Capital One Financial Corp 7.624% 10/30/2031 (d) |  | 7238000 | 8072125 |
| Encore Capital Group Inc 8.5% 5/15/2030 (c) |  | 1005000 | 1065316 |
| Encore Capital Group Inc 9.25% 4/1/2029 (c) |  | 240000 | 255900 |
| Ford Motor Credit Co LLC 4.445% 2/14/2030  | EUR | 212000 | 245932 |
| Ford Motor Credit Co LLC 6.8% 5/12/2028  |  | 2000000 | 2041888 |
| Ford Motor Credit Co LLC 6.86% 6/5/2026  | GBP | 304000 | 415193 |
| Ford Motor Credit Co LLC 7.122% 11/7/2033  |  | 4000000 | 4063458 |
| Navient Corp 5.5% 3/15/2029  |  | 220000 | 211647 |
| Navient Corp 5.625% 8/1/2033  |  | 80000 | 70372 |
| Navient Corp 7.875% 6/15/2032  |  | 490000 | 494189 |
| OneMain Finance Corp 3.5% 1/15/2027  |  | 545000 | 528046 |
| OneMain Finance Corp 6.625% 5/15/2029  |  | 565000 | 571298 |
| OneMain Finance Corp 6.75% 3/15/2032  |  | 210000 | 208730 |
| OneMain Finance Corp 7.125% 11/15/2031 (r) |  | 1255000 | 1273991 |
| OneMain Finance Corp 7.125% 9/15/2032 (q) |  | 420000 | 422613 |
| OneMain Finance Corp 7.5% 5/15/2031  |  | 265000 | 272184 |
| OneMain Finance Corp 7.875% 3/15/2030  |  | 510000 | 532950 |
| PRA Group Inc 8.875% 1/31/2030 (c) |  | 420000 | 430515 |
| RFNA LP 7.875% 2/15/2030 (c) |  | 181000 | 181452 |
| SLM Corp 6.5% 1/31/2030  |  | 375000 | 386674 |
| Synchrony Financial 3.95% 12/1/2027  |  | 3042000 | 2958270 |
|  |  |  | 56065025 |
| Financial Services - 0.6% |  |  |  |
| Azorra Finance Ltd 7.75% 4/15/2030 (c) |  | 340000 | 341049 |
| Block Inc 6.5% 5/15/2032  |  | 2095000 | 2141063 |
| Clue Opco LLC 9.5% 10/15/2031 (c)(r) |  | 255000 | 262540 |
| Corebridge Financial Inc 3.65% 4/5/2027  |  | 1551000 | 1526499 |
| Corebridge Financial Inc 3.85% 4/5/2029  |  | 623000 | 604508 |
| Corebridge Financial Inc 3.9% 4/5/2032  |  | 9241000 | 8506115 |
| Corebridge Financial Inc 4.35% 4/5/2042  |  | 169000 | 138550 |
| Corebridge Financial Inc 4.4% 4/5/2052  |  | 498000 | 386481 |
| Equitable Holdings Inc 4.572% 2/15/2029 (c) |  | 265000 | 261216 |
| Icahn Enterprises LP / Icahn Enterprises Finance Corp 10% 11/15/2029 (c) |  | 230000 | 224202 |
| Icahn Enterprises LP / Icahn Enterprises Finance Corp 5.25% 5/15/2027  |  | 946000 | 900198 |
| Icahn Enterprises LP / Icahn Enterprises Finance Corp 6.25% 5/15/2026  |  | 1751000 | 1734594 |
| Icahn Enterprises LP / Icahn Enterprises Finance Corp 9% 6/15/2030  |  | 120000 | 108775 |
| Jackson Financial Inc 3.125% 11/23/2031  |  | 194000 | 168457 |
| Jackson Financial Inc 5.17% 6/8/2027  |  | 682000 | 687270 |
| Jackson Financial Inc 5.67% 6/8/2032  |  | 734000 | 733530 |
| JBS USA Holding Lux Sarl/ JBS USA Food Co/ JBS Lux Co Sarl 2.5% 1/15/2027  |  | 1945000 | 1875281 |
| JBS USA Holding Lux Sarl/ JBS USA Food Co/ JBS Lux Co Sarl 3% 5/15/2032  |  | 6955000 | 5978382 |
| JBS USA Holding Lux Sarl/ JBS USA Food Co/ JBS Lux Co Sarl 3.625% 1/15/2032  |  | 353000 | 317339 |
| JBS USA Holding Lux Sarl/ JBS USA Food Co/ JBS Lux Co Sarl 5.125% 2/1/2028  |  | 735000 | 742381 |
| JBS USA Holding Lux Sarl/ JBS USA Food Co/ JBS Lux Co Sarl 5.5% 1/15/2030  |  | 110000 | 111326 |
| JBS USA Holding Lux Sarl/ JBS USA Food Co/ JBS Lux Co Sarl 5.75% 4/1/2033  |  | 5994000 | 6071562 |
| Jefferson Capital Holdin 8.25% 5/15/2030 (c) |  | 318000 | 325496 |
| NFE Financing LLC 12% 11/15/2029 (c) |  | 983176 | 421811 |
| PennyMac Financial Services Inc 6.875% 2/15/2033 (c) |  | 375000 | 377014 |
| PennyMac Financial Services Inc 6.875% 5/15/2032 (c) |  | 580000 | 582726 |
| Pine Street Trust II 5.568% 2/15/2049 (c) |  | 1000000 | 896341 |
| Saks Global Enterprises LLC 11% 12/15/2029 (c) |  | 750000 | 360000 |
| Shift4 Payments LLC / Shift4 Payments Finance Sub Inc 6.75% 8/15/2032 (c) |  | 495000 | 505047 |
| UWM Holdings LLC 6.625% 2/1/2030 (c) |  | 875000 | 857868 |
| Walker & Dunlop Inc 6.625% 4/1/2033 (c) |  | 275000 | 278462 |
| WEX Inc 6.5% 3/15/2033 (c) |  | 635000 | 628051 |
| Windstream Services LLC / Windstream Escrow Finance Corp 8.25% 10/1/2031 (c) |  | 1195000 | 1243691 |
|  |  |  | 40297825 |
| Insurance - 0.2% |  |  |  |
| Acrisure LLC / Acrisure Finance Inc 6% 8/1/2029 (c) |  | 225000 | 217806 |
| Acrisure LLC / Acrisure Finance Inc 7.5% 11/6/2030 (c) |  | 270000 | 278586 |
| Acrisure LLC / Acrisure Finance Inc 8.25% 2/1/2029 (c) |  | 125000 | 129265 |
| Acrisure LLC / Acrisure Finance Inc 8.5% 6/15/2029 (c) |  | 120000 | 125408 |
| Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer 4.25% 10/15/2027 (c) |  | 300000 | 291553 |
| Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer 6.5% 10/1/2031 (c) |  | 70000 | 70560 |
| Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer 7.375% 10/1/2032 (c) |  | 295000 | 303226 |
| American International Group Inc 5.125% 3/27/2033  |  | 1500000 | 1500763 |
| AmWINS Group Inc 4.875% 6/30/2029 (c) |  | 400000 | 383216 |
| APH Somerset Investor 2 LLC / APH2 Somerset Investor 2 LLC / APH3 Somerset Inves 7.875% 11/1/2029 (c) |  | 435000 | 430393 |
| Five Corners Funding Trust II 2.85% 5/15/2030 (c) |  | 6287000 | 5792280 |
| Marsh & McLennan Cos Inc 4.375% 3/15/2029  |  | 678000 | 677647 |
| Pacific LifeCorp 5.125% 1/30/2043 (c) |  | 950000 | 859935 |
| Unum Group 3.875% 11/5/2025  |  | 50000 | 49699 |
| Unum Group 4% 6/15/2029  |  | 852000 | 827406 |
| Western-Southern Global Funding 4.9% 5/1/2030 (c) |  | 1714000 | 1718802 |
|  |  |  | 13656545 |
| Mortgage Real Estate Investment Trusts (REITs) - 0.0% |  |  |  |
| Rithm Capital Corp 8% 4/1/2029 (c) |  | 125000 | 125333 |
| Starwood Property Trust Inc 3.625% 7/15/2026 (c) |  | 65000 | 63463 |
| Starwood Property Trust Inc 6% 4/15/2030 (c) |  | 1660000 | 1655199 |
| Starwood Property Trust Inc 6.5% 10/15/2030 (c) |  | 35000 | 35419 |
| Starwood Property Trust Inc 6.5% 7/1/2030 (c) |  | 430000 | 436103 |
|  |  |  | 2315517 |
| TOTAL FINANCIALS |  |  | 465599361 |
| Health Care - 1.5% |  |  |  |
| Biotechnology - 0.1% |  |  |  |
| Amgen Inc 5.25% 3/2/2030  |  | 828000 | 848912 |
| Amgen Inc 5.25% 3/2/2033  |  | 1934000 | 1951750 |
| Amgen Inc 5.6% 3/2/2043  |  | 888000 | 861771 |
| Amgen Inc 5.75% 3/2/2063  |  | 804000 | 760106 |
| Emergent BioSolutions Inc 3.875% 8/15/2028 (c) |  | 606000 | 458996 |
|  |  |  | 4881535 |
| Health Care Equipment & Supplies - 0.0% |  |  |  |
| AdaptHealth LLC 5.125% 3/1/2030 (c) |  | 400000 | 369650 |
| Avantor Funding Inc 4.625% 7/15/2028 (c) |  | 195000 | 190050 |
| Insulet Corp 6.5% 4/1/2033 (c) |  | 160000 | 164521 |
| Medline Borrower LP/Medline Co-Issuer Inc 6.25% 4/1/2029 (c) |  | 1645000 | 1673894 |
| Sotera Health Holdings LLC 7.375% 6/1/2031 (c) |  | 100000 | 103872 |
|  |  |  | 2501987 |
| Health Care Providers & Services - 1.3% |  |  |  |
| Acadia Healthcare Co Inc 7.375% 3/15/2033 (c) |  | 280000 | 285305 |
| Centene Corp 2.45% 7/15/2028  |  | 1670000 | 1538055 |
| Centene Corp 2.625% 8/1/2031  |  | 4800000 | 4065678 |
| Centene Corp 3% 10/15/2030  |  | 3000000 | 2639028 |
| Centene Corp 3.375% 2/15/2030  |  | 3815000 | 3476990 |
| Centene Corp 4.25% 12/15/2027  |  | 880000 | 859475 |
| Centene Corp 4.625% 12/15/2029  |  | 3670000 | 3534214 |
| CHS/Community Health Systems Inc 4.75% 2/15/2031 (c) |  | 2440000 | 2088530 |
| CHS/Community Health Systems Inc 5.25% 5/15/2030 (c) |  | 2260000 | 2035234 |
| CHS/Community Health Systems Inc 6.125% 4/1/2030 (c) |  | 1025000 | 791822 |
| Cigna Group/The 3.05% 10/15/2027  |  | 500000 | 484266 |
| Cigna Group/The 4.8% 8/15/2038  |  | 550000 | 502973 |
| CVS Health Corp 3% 8/15/2026  |  | 125000 | 122593 |
| CVS Health Corp 3.625% 4/1/2027  |  | 375000 | 368506 |
| CVS Health Corp 4.78% 3/25/2038  |  | 2092000 | 1859220 |
| CVS Health Corp 5% 1/30/2029  |  | 801000 | 806409 |
| CVS Health Corp 5.125% 2/21/2030  |  | 4000000 | 4022796 |
| CVS Health Corp 5.25% 1/30/2031  |  | 5329000 | 5373530 |
| CVS Health Corp 5.55% 6/1/2031  |  | 6000000 | 6132275 |
| CVS Health Corp 6.75% 12/10/2054 (d) |  | 934000 | 909148 |
| CVS Health Corp 7% 3/10/2055 (d) |  | 945000 | 951867 |
| DaVita Inc 4.625% 6/1/2030 (c) |  | 370000 | 345743 |
| DaVita Inc 6.75% 7/15/2033 (c) |  | 630000 | 636506 |
| DaVita Inc 6.875% 9/1/2032 (c)(r) |  | 1425000 | 1447575 |
| HAH Group Holding Co LLC 9.75% 10/1/2031 (c) |  | 465000 | 463111 |
| HCA Inc 3.5% 9/1/2030  |  | 8709000 | 8123237 |
| HCA Inc 3.625% 3/15/2032  |  | 195000 | 176927 |
| HCA Inc 5.45% 9/15/2034  |  | 7000000 | 6930190 |
| HCA Inc 5.5% 6/1/2033  |  | 2000000 | 2017859 |
| HCA Inc 5.625% 9/1/2028  |  | 1054000 | 1077417 |
| HCA Inc 5.875% 2/1/2029  |  | 981000 | 1012541 |
| Humana Inc 3.7% 3/23/2029  |  | 585000 | 561946 |
| Humana Inc 5.375% 4/15/2031  |  | 5071000 | 5103534 |
| LifePoint Health Inc 10% 6/1/2032 (c) |  | 255000 | 266750 |
| ModivCare Inc 5% 10/1/2029 (c) |  | 188000 | 9399 |
| Molina Healthcare Inc 6.25% 1/15/2033 (c)(r) |  | 1250000 | 1247985 |
| Owens & Minor Inc 10% 4/15/2030 (c) |  | 705000 | 736362 |
| Owens & Minor Inc 4.5% 3/31/2029 (c)(r) |  | 255000 | 208421 |
| Owens & Minor Inc 6.625% 4/1/2030 (c) |  | 245000 | 207483 |
| Pediatrix Medical Group Inc 5.375% 2/15/2030 (c) |  | 365000 | 353335 |
| Prime Healthcare Services Inc 9.375% 9/1/2029 (c) |  | 420000 | 426715 |
| Radiology Partners Inc 7.775% 1/31/2029 pay-in-kind (c)(d) |  | 721336 | 724943 |
| Radiology Partners Inc 9.781% 2/15/2030 pay-in-kind (c)(d) |  | 41956 | 40507 |
| Sabra Health Care LP 3.2% 12/1/2031  |  | 4971000 | 4329458 |
| Select Medical Corp 6.25% 12/1/2032 (c)(r) |  | 1845000 | 1828488 |
| Surgery Center Holdings Inc 7.25% 4/15/2032 (c) |  | 250000 | 249517 |
| Tenet Healthcare Corp 4.625% 6/15/2028  |  | 2525000 | 2475957 |
| Tenet Healthcare Corp 5.125% 11/1/2027  |  | 1945000 | 1932907 |
| Toledo Hospital/The Series 2018 B, 5.325% 11/15/2028  |  | 319000 | 312030 |
| US Acute Care Solutions LLC 9.75% 5/15/2029 (c) |  | 915000 | 929996 |
|  |  |  | 87024753 |
| Life Sciences Tools & Services - 0.0% |  |  |  |
| Charles River Laboratories International Inc 3.75% 3/15/2029 (c) |  | 1295000 | 1199560 |
| Charles River Laboratories International Inc 4.25% 5/1/2028 (c) |  | 375000 | 360188 |
|  |  |  | 1559748 |
| Pharmaceuticals - 0.1% |  |  |  |
| 1261229 BC Ltd 10% 4/15/2032 (c) |  | 1710000 | 1692929 |
| Bausch Health Americas Inc 8.5% 1/31/2027 (c) |  | 75000 | 70688 |
| Bausch Health Americas Inc 9.25% 4/1/2026 (c) |  | 640000 | 630528 |
| Bausch Health Cos Inc 11% 9/30/2028 (c) |  | 230000 | 220677 |
| Bausch Health Cos Inc 4.875% 6/1/2028 (c) |  | 370000 | 302013 |
| Bausch Health Cos Inc 5.25% 1/30/2030 (c) |  | 180000 | 102168 |
| Elanco Animal Health Inc 6.65% 8/28/2028 (d) |  | 194000 | 199344 |
| Mylan Inc 4.55% 4/15/2028  |  | 450000 | 440227 |
| Organon & Co / Organon Foreign Debt Co-Issuer BV 4.125% 4/30/2028 (c) |  | 430000 | 403910 |
| Organon & Co / Organon Foreign Debt Co-Issuer BV 5.125% 4/30/2031 (c)(r) |  | 775000 | 651217 |
| Organon & Co / Organon Foreign Debt Co-Issuer BV 6.75% 5/15/2034 (c) |  | 270000 | 251185 |
| Organon & Co / Organon Foreign Debt Co-Issuer BV 7.875% 5/15/2034 (c)(r) |  | 250000 | 215613 |
| Utah Acquisition Sub Inc 3.95% 6/15/2026  |  | 826000 | 815206 |
|  |  |  | 5995705 |
| TOTAL HEALTH CARE |  |  | 101963728 |
| Industrials - 1.1% |  |  |  |
| Aerospace & Defense - 0.5% |  |  |  |
| Axon Enterprise Inc 6.125% 3/15/2030 (c) |  | 655000 | 668035 |
| Axon Enterprise Inc 6.25% 3/15/2033 (c) |  | 580000 | 588455 |
| Boeing Co 3.5% 3/1/2039  |  | 3000000 | 2262339 |
| Boeing Co 5.15% 5/1/2030  |  | 6303000 | 6358260 |
| Boeing Co 5.705% 5/1/2040  |  | 720000 | 694797 |
| Boeing Co 5.805% 5/1/2050  |  | 1130000 | 1058166 |
| Boeing Co 5.93% 5/1/2060  |  | 720000 | 666579 |
| Boeing Co 6.259% 5/1/2027  |  | 766000 | 787343 |
| Boeing Co 6.298% 5/1/2029  |  | 983000 | 1033910 |
| Boeing Co 6.388% 5/1/2031  |  | 5744000 | 6128702 |
| Boeing Co 6.528% 5/1/2034  |  | 796000 | 849628 |
| Boeing Co 6.858% 5/1/2054  |  | 1199000 | 1278744 |
| Boeing Co 7.008% 5/1/2064  |  | 1132000 | 1209231 |
| BWX Technologies Inc 4.125% 6/30/2028 (c) |  | 425000 | 413599 |
| Goat Holdco LLC 6.75% 2/1/2032 (c) |  | 520000 | 517995 |
| OneSky Flight LLC 8.875% 12/15/2029 (c) |  | 415000 | 418417 |
| TransDigm Inc 6% 1/15/2033 (c) |  | 4561000 | 4513165 |
| TransDigm Inc 6.375% 3/1/2029 (c) |  | 1155000 | 1173823 |
| TransDigm Inc 6.375% 5/31/2033 (c) |  | 210000 | 207480 |
|  |  |  | 30828668 |
| Air Freight & Logistics - 0.0% |  |  |  |
| Rand Parent LLC 8.5% 2/15/2030 (c)(r) |  | 1705000 | 1680082 |
| Stonepeak Nile Parent LLC 7.25% 3/15/2032 (c)(r) |  | 510000 | 528207 |
|  |  |  | 2208289 |
| Building Products - 0.1% |  |  |  |
| Advanced Drainage Systems Inc 5% 9/30/2027 (c) |  | 420000 | 415115 |
| BCPE Ulysses Intermediate Inc 7.75% 4/1/2027 pay-in-kind (c)(d) |  | 625000 | 593812 |
| Builders FirstSource Inc 4.25% 2/1/2032 (c) |  | 1545000 | 1401786 |
| Builders FirstSource Inc 6.75% 5/15/2035 (c) |  | 1045000 | 1050946 |
| Carrier Global Corp 5.9% 3/15/2034  |  | 223000 | 234297 |
| Carrier Global Corp 6.2% 3/15/2054  |  | 138000 | 145841 |
| EMRLD Borrower LP / Emerald Co-Issuer Inc 6.625% 12/15/2030 (c) |  | 1585000 | 1601030 |
| EMRLD Borrower LP / Emerald Co-Issuer Inc 6.75% 7/15/2031 (c) |  | 925000 | 946553 |
| Masterbrand Inc 7% 7/15/2032 (c) |  | 150000 | 149155 |
| MIWD Holdco II LLC / MIWD Finance Corp 5.5% 2/1/2030 (c) |  | 250000 | 230485 |
| Oscar AcquisitionCo LLC / Oscar Finance Inc 9.5% 4/15/2030 (c)(r) |  | 465000 | 372968 |
| Standard Building Solutions Inc 6.5% 8/15/2032 (c) |  | 355000 | 360530 |
|  |  |  | 7502518 |
| Commercial Services & Supplies - 0.3% |  |  |  |
| ADT Security Corp/The 4.125% 8/1/2029 (c) |  | 180000 | 171663 |
| ADT Security Corp/The 4.875% 7/15/2032 (c) |  | 180000 | 170854 |
| Allied Universal Holdco LLC / Allied Universal Finance Corp 9.75% 7/15/2027 (c) |  | 1100000 | 1109040 |
| Allied Universal Holdco LLC 7.875% 2/15/2031 (c) |  | 1820000 | 1886192 |
| Artera Services LLC 8.5% 2/15/2031 (c) |  | 2470000 | 2099013 |
| Brand Industrial Services Inc 10.375% 8/1/2030 (c) |  | 790000 | 708572 |
| Clean Harbors Inc 6.375% 2/1/2031 (c)(r) |  | 200000 | 203521 |
| CoreCivic Inc 4.75% 10/15/2027  |  | 1865000 | 1820248 |
| CoreCivic Inc 8.25% 4/15/2029  |  | 245000 | 258949 |
| GEO Group Inc/The 10.25% 4/15/2031  |  | 595000 | 652207 |
| GEO Group Inc/The 8.625% 4/15/2029  |  | 945000 | 997520 |
| GFL Environmental Inc 3.5% 9/1/2028 (c) |  | 265000 | 252428 |
| GFL Environmental Inc 6.75% 1/15/2031 (c) |  | 1575000 | 1633746 |
| Neptune Bidco US Inc 9.29% 4/15/2029 (c) |  | 995000 | 941519 |
| OT Midco Inc 10% 2/15/2030 (c) |  | 830000 | 691490 |
| Reworld Holding Corp 4.875% 12/1/2029 (c) |  | 260000 | 246176 |
| Waste Pro USA Inc 7% 2/1/2033 (c) |  | 330000 | 338359 |
| Williams Scotsman Inc 6.625% 4/15/2030 (c) |  | 260000 | 266483 |
| Williams Scotsman Inc 6.625% 6/15/2029 (c) |  | 355000 | 362016 |
|  |  |  | 14809996 |
| Construction & Engineering - 0.0% |  |  |  |
| Amsted Industries Inc 6.375% 3/15/2033 (c) |  | 380000 | 385697 |
| Pike Corp 5.5% 9/1/2028 (c) |  | 425000 | 421521 |
| Pike Corp 8.625% 1/31/2031 (c) |  | 600000 | 646248 |
| Railworks Holdings LP / Railworks Rally Inc 8.25% 11/15/2028 (c) |  | 1020000 | 1035657 |
|  |  |  | 2489123 |
| Electrical Equipment - 0.0% |  |  |  |
| Sensata Technologies BV 4% 4/15/2029 (c) |  | 50000 | 46935 |
| WESCO Distribution Inc 6.375% 3/15/2033 (c) |  | 565000 | 575488 |
|  |  |  | 622423 |
| Ground Transportation - 0.0% |  |  |  |
| Avis Budget Car Rental LLC / Avis Budget Finance Inc 8.375% 6/15/2032 (c) |  | 425000 | 428201 |
| Genesee & Wyoming Inc 6.25% 4/15/2032 (c) |  | 545000 | 553503 |
| XPO Inc 6.25% 6/1/2028 (c) |  | 280000 | 282798 |
| XPO Inc 7.125% 2/1/2032 (c) |  | 150000 | 155691 |
|  |  |  | 1420193 |
| Industrial Conglomerates - 0.0% |  |  |  |
| Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp 4.25% 2/1/2027 (c) |  | 555000 | 542976 |
| Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp 7% 7/15/2031 (c) |  | 295000 | 305930 |
|  |  |  | 848906 |
| Machinery - 0.0% |  |  |  |
| Enpro Inc 6.125% 6/1/2033 (c) |  | 485000 | 488607 |
| Passenger Airlines - 0.0% |  |  |  |
| American Airlines 2016-3 Class A Pass Through Trust 7.25% 2/15/2028 (c)(r) |  | 680000 | 686798 |
| American Airlines 2016-3 Class A Pass Through Trust 8.5% 5/15/2029 (c)(r) |  | 360000 | 373001 |
| American Airlines Inc/AAdvantage Loyalty IP Ltd 5.5% 4/20/2026 (c) |  | 135000 | 134769 |
| JetBlue Airways Corp / JetBlue Loyalty LP 9.875% 9/20/2031 (c) |  | 650000 | 642958 |
| Spirit Loyalty Cayman Ltd / Spirit IP Cayman Ltd 11% 3/6/2030 pay-in-kind (c)(d) |  | 75676 | 58649 |
| United Airlines Inc 4.375% 4/15/2026 (c) |  | 1430000 | 1413054 |
|  |  |  | 3309229 |
| Professional Services - 0.1% |  |  |  |
| Amentum Holdings Inc 7.25% 8/1/2032 (c) |  | 495000 | 504942 |
| CACI International Inc 6.375% 6/15/2033 (c)(q)(s) |  | 745000 | 759483 |
| Paychex Inc 5.1% 4/15/2030  |  | 525000 | 531806 |
| Paychex Inc 5.35% 4/15/2032  |  | 731000 | 741853 |
| Paychex Inc 5.6% 4/15/2035  |  | 571000 | 580606 |
| TriNet Group Inc 3.5% 3/1/2029 (c) |  | 300000 | 277260 |
| TriNet Group Inc 7.125% 8/15/2031 (c) |  | 145000 | 149495 |
|  |  |  | 3545445 |
| Trading Companies & Distributors - 0.1% |  |  |  |
| Air Lease Corp 3.375% 7/1/2025  |  | 1294000 | 1292343 |
| Fortress Transportation and Infrastructure Investors LLC 7% 6/15/2032 (c) |  | 245000 | 250452 |
| Fortress Transportation and Infrastructure Investors LLC 7.875% 12/1/2030 (c) |  | 275000 | 288991 |
| Foundation Building Materials Inc 6% 3/1/2029 (c) |  | 245000 | 208681 |
| Herc Holdings Escrow Inc 7% 6/15/2030 (c)(q) |  | 835000 | 860239 |
| Herc Holdings Escrow Inc 7.25% 6/15/2033 (c)(q) |  | 600000 | 617515 |
| QXO Building Products Inc 6.75% 4/30/2032 (c) |  | 1400000 | 1435490 |
|  |  |  | 4953711 |
| TOTAL INDUSTRIALS |  |  | 73027108 |
| Information Technology - 0.7% |  |  |  |
| Communications Equipment - 0.0% |  |  |  |
| CommScope LLC 4.75% 9/1/2029 (c)(r) |  | 474000 | 453870 |
| CommScope LLC 9.5% 12/15/2031 (c) |  | 600000 | 623651 |
| Viasat Inc 6.5% 7/15/2028 (c)(r) |  | 330000 | 302885 |
| Viasat Inc 7.5% 5/30/2031 (c) |  | 455000 | 363014 |
|  |  |  | 1743420 |
| Electronic Equipment, Instruments & Components - 0.0% |  |  |  |
| Coherent Corp 5% 12/15/2029 (c) |  | 485000 | 469947 |
| Dell International LLC / EMC Corp 6.2% 7/15/2030  |  | 418000 | 442740 |
| Insight Enterprises Inc 6.625% 5/15/2032 (c) |  | 190000 | 193598 |
| Lightning Power LLC 7.25% 8/15/2032 (c) |  | 265000 | 277841 |
| Sensata Technologies Inc 3.75% 2/15/2031 (c) |  | 820000 | 728109 |
| Sensata Technologies Inc 6.625% 7/15/2032 (c) |  | 520000 | 524651 |
| TTM Technologies Inc 4% 3/1/2029 (c) |  | 330000 | 313659 |
|  |  |  | 2950545 |
| IT Services - 0.1% |  |  |  |
| Acuris Finance US Inc / Acuris Finance SARL 5% 5/1/2028 (c) |  | 895000 | 851715 |
| Acuris Finance US Inc / Acuris Finance SARL 9% 8/1/2029 (c) |  | 340000 | 347419 |
| ASGN Inc 4.625% 5/15/2028 (c) |  | 305000 | 294235 |
| Cogent Communications Group Inc / Cogent Communications Finance Inc 7% 6/15/2027 (c) |  | 430000 | 432659 |
| CoreWeave Inc 9.25% 6/1/2030 (c) |  | 730000 | 729181 |
| Go Daddy Operating Co LLC / GD Finance Co Inc 3.5% 3/1/2029 (c) |  | 430000 | 401383 |
| Go Daddy Operating Co LLC / GD Finance Co Inc 5.25% 12/1/2027 (c) |  | 1120000 | 1113371 |
|  |  |  | 4169963 |
| Semiconductors & Semiconductor Equipment - 0.4% |  |  |  |
| Broadcom Inc 1.95% 2/15/2028 (c) |  | 351000 | 329737 |
| Broadcom Inc 2.45% 2/15/2031 (c) |  | 8421000 | 7445287 |
| Broadcom Inc 2.6% 2/15/2033 (c) |  | 17032000 | 14378080 |
| Broadcom Inc 3.187% 11/15/2036 (c) |  | 813000 | 661266 |
| Broadcom Inc 3.5% 2/15/2041 (c) |  | 2410000 | 1868052 |
| Entegris Inc 3.625% 5/1/2029 (c)(r) |  | 1870000 | 1743833 |
| Entegris Inc 4.375% 4/15/2028 (c) |  | 55000 | 53100 |
| Entegris Inc 4.75% 4/15/2029 (c) |  | 80000 | 77678 |
| Entegris Inc 5.95% 6/15/2030 (c) |  | 210000 | 210115 |
| ON Semiconductor Corp 3.875% 9/1/2028 (c) |  | 460000 | 439341 |
| Wolfspeed Inc 7.9583% 6/23/2030 (c)(g)(k)(l) |  | 541522 | 521215 |
|  |  |  | 27727704 |
| Software - 0.1% |  |  |  |
| Cloud Software Group Inc 6.5% 3/31/2029 (c) |  | 250000 | 249719 |
| Cloud Software Group Inc 8.25% 6/30/2032 (c) |  | 1960000 | 2060886 |
| Cloud Software Group Inc 9% 9/30/2029 (c) |  | 1185000 | 1212941 |
| Fair Isaac Corp 6% 5/15/2033 (c) |  | 1045000 | 1043027 |
| Fiserv Funding ULC 3.5% 6/15/2032  | EUR | 100000 | 112712 |
| Gen Digital Inc 6.25% 4/1/2033 (c) |  | 455000 | 460052 |
| Helios Software Holdings Inc / ION Corporate Solutions Finance Sarl 8.75% 5/1/2029 (c) |  | 195000 | 197979 |
| Oracle Corp 1.65% 3/25/2026  |  | 1241000 | 1210729 |
| Oracle Corp 2.3% 3/25/2028  |  | 1961000 | 1852429 |
| UKG Inc 6.875% 2/1/2031 (c) |  | 200000 | 206079 |
|  |  |  | 8606553 |
| Technology Hardware, Storage & Peripherals - 0.1% |  |  |  |
| Seagate Data Storage Technology Pte Ltd 5.875% 7/15/2030 (c) |  | 370000 | 370702 |
| Seagate HDD Cayman 5.75% 12/1/2034  |  | 350000 | 343632 |
| Seagate HDD Cayman 8.25% 12/15/2029  |  | 2415000 | 2574236 |
| Western Digital Corp 2.85% 2/1/2029  |  | 419000 | 382924 |
| Western Digital Corp 3.1% 2/1/2032  |  | 400000 | 345308 |
| Western Digital Corp 4.75% 2/15/2026  |  | 325000 | 323922 |
|  |  |  | 4340724 |
| TOTAL INFORMATION TECHNOLOGY |  |  | 49538909 |
| Materials - 0.6% |  |  |  |
| Chemicals - 0.4% |  |  |  |
| Celanese US Holdings LLC 6.5% 4/15/2030 (r) |  | 345000 | 347655 |
| Celanese US Holdings LLC 6.629% 7/15/2032 (d) |  | 6000000 | 6140431 |
| Celanese US Holdings LLC 6.75% 4/15/2033 (r) |  | 690000 | 671563 |
| Celanese US Holdings LLC 6.85% 11/15/2028 (d) |  | 1024000 | 1060214 |
| Celanese US Holdings LLC 7.05% 11/15/2030 (d) |  | 1038000 | 1069742 |
| Celanese US Holdings LLC 7.2% 11/15/2033 (d) |  | 607000 | 633650 |
| Chemours Co/The 4.625% 11/15/2029 (c)(r) |  | 700000 | 572610 |
| Chemours Co/The 5.375% 5/15/2027  |  | 1910000 | 1869717 |
| Chemours Co/The 5.75% 11/15/2028 (c) |  | 90000 | 80587 |
| Chemours Co/The 8% 1/15/2033 (c) |  | 380000 | 331301 |
| GPD Cos Inc 10.125% 4/1/2026 (c) |  | 370000 | 355776 |
| Kobe US Midco 2 Inc 9.25% 11/1/2026 pay-in-kind (c)(d) |  | 901425 | 798888 |
| Mativ Holdings Inc 8% 10/1/2029 (c) |  | 425000 | 362580 |
| Methanex US Operations Inc 6.25% 3/15/2032 (c) |  | 925000 | 895142 |
| Olin Corp 5% 2/1/2030 (r) |  | 1525000 | 1443409 |
| Olin Corp 6.625% 4/1/2033 (c) |  | 805000 | 770518 |
| Olympus Water US Holding Corp 6.25% 10/1/2029 (c)(r) |  | 400000 | 371308 |
| Olympus Water US Holding Corp 7.25% 6/15/2031 (c)(r) |  | 1560000 | 1560000 |
| Olympus Water US Holding Corp 9.75% 11/15/2028 (c) |  | 300000 | 314540 |
| Scih Salt Hldgs Inc 6.625% 5/1/2029 (c) |  | 250000 | 245276 |
| SCIL IV LLC / SCIL USA Holdings LLC 5.375% 11/1/2026 (c) |  | 345000 | 343253 |
| Tronox Inc 4.625% 3/15/2029 (c) |  | 1125000 | 940564 |
| WR Grace Holdings LLC 4.875% 6/15/2027 (c) |  | 960000 | 946520 |
| WR Grace Holdings LLC 5.625% 8/15/2029 (c) |  | 1095000 | 964821 |
| WR Grace Holdings LLC 7.375% 3/1/2031 (c) |  | 65000 | 65652 |
|  |  |  | 23155717 |
| Construction Materials - 0.0% |  |  |  |
| Quikrete Holdings Inc 6.375% 3/1/2032 (c) |  | 1965000 | 1996749 |
| Quikrete Holdings Inc 6.75% 3/1/2033 (c) |  | 490000 | 497225 |
| Smyrna Ready Mix Concrete LLC 6% 11/1/2028 (c) |  | 425000 | 418828 |
| Smyrna Ready Mix Concrete LLC 8.875% 11/15/2031 (c) |  | 335000 | 344010 |
|  |  |  | 3256812 |
| Containers & Packaging - 0.1% |  |  |  |
| Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance PLC 3.25% 9/1/2028 (c) |  | 680000 | 625355 |
| Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance PLC 4% 9/1/2029 (c) |  | 700000 | 620996 |
| Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance PLC 6% 6/15/2027 (c) |  | 20000 | 20049 |
| Ball Corp 6% 6/15/2029  |  | 357000 | 363999 |
| Clydesdale Acquisition Holdings Inc 6.75% 4/15/2032 (c) |  | 630000 | 636664 |
| Clydesdale Acquisition Holdings Inc 6.875% 1/15/2030 (c) |  | 335000 | 339707 |
| Clydesdale Acquisition Holdings Inc 8.75% 4/15/2030 (c)(r) |  | 965000 | 986839 |
| Crown Americas LLC 5.875% 6/1/2033 (c) |  | 605000 | 600881 |
| Graham Packaging Co Inc 7.125% 8/15/2028 (c) |  | 100000 | 98181 |
| Graphic Packaging International LLC 3.75% 2/1/2030 (c) |  | 585000 | 539193 |
| Graphic Packaging International LLC 6.375% 7/15/2032 (c) |  | 280000 | 280414 |
| Sealed Air Corp 5% 4/15/2029 (c) |  | 1850000 | 1816404 |
| Sealed Air Corp 6.5% 7/15/2032 (c) |  | 190000 | 194590 |
| Sealed Air Corp 6.875% 7/15/2033 (c) |  | 390000 | 408534 |
|  |  |  | 7531806 |
| Metals & Mining - 0.1% |  |  |  |
| Alcoa Nederland Holding BV 7.125% 3/15/2031 (c) |  | 1040000 | 1079680 |
| Alumina Pty Ltd 6.375% 9/15/2032 (c) |  | 890000 | 880237 |
| Cleveland-Cliffs Inc 4.875% 3/1/2031 (c) |  | 1510000 | 1233833 |
| Cleveland-Cliffs Inc 6.875% 11/1/2029 (c) |  | 220000 | 204549 |
| Cleveland-Cliffs Inc 7% 3/15/2032 (c) |  | 320000 | 276015 |
| Cleveland-Cliffs Inc 7.375% 5/1/2033 (c) |  | 220000 | 188941 |
| Cleveland-Cliffs Inc 7.5% 9/15/2031 (c)(r) |  | 455000 | 409152 |
| Commercial Metals Co 3.875% 2/15/2031  |  | 380000 | 344058 |
| Kaiser Aluminum Corp 4.625% 3/1/2028 (c) |  | 155000 | 150640 |
| Novelis Corp 3.25% 11/15/2026 (c) |  | 115000 | 112801 |
| Novelis Corp 3.875% 8/15/2031 (c)(r) |  | 2885000 | 2564862 |
| Novelis Corp 6.875% 1/30/2030 (c)(r) |  | 875000 | 902330 |
| Vibrantz Technologies Inc 9% 2/15/2030 (c) |  | 420000 | 296100 |
|  |  |  | 8643198 |
| TOTAL MATERIALS |  |  | 42587533 |
| Real Estate - 1.4% |  |  |  |
| Diversified REITs - 0.3% |  |  |  |
| GLP Capital LP / GLP Financing II Inc 5.625% 9/15/2034  |  | 411000 | 400912 |
| Piedmont Operating Partnership LP 2.75% 4/1/2032  |  | 297000 | 238740 |
| Safehold GL Holdings LLC 2.85% 1/15/2032  |  | 250000 | 212594 |
| Safehold GL Holdings LLC 6.1% 4/1/2034  |  | 145000 | 147751 |
| Store Capital LLC 2.75% 11/18/2030  |  | 424000 | 369007 |
| Store Capital LLC 4.625% 3/15/2029  |  | 315000 | 306660 |
| Uniti Group LP / Uniti Fiber Holdings Inc / CSL Capital LLC 6% 1/15/2030 (c) |  | 520000 | 473725 |
| Uniti Group LP / Uniti Group Finance 2019 Inc / CSL Capital LLC 10.5% 2/15/2028 (c) |  | 1679000 | 1781216 |
| Uniti Group LP / Uniti Group Finance 2019 Inc / CSL Capital LLC 6.5% 2/15/2029 (c) |  | 1545000 | 1456686 |
| VICI Properties LP 4.75% 2/15/2028  |  | 1390000 | 1390381 |
| VICI Properties LP 4.75% 4/1/2028  |  | 983000 | 982594 |
| VICI Properties LP 4.95% 2/15/2030  |  | 4092000 | 4059850 |
| VICI Properties LP 5.125% 5/15/2032  |  | 6485000 | 6354560 |
| Vornado Realty LP 2.15% 6/1/2026  |  | 374000 | 361630 |
| WP Carey Inc 3.85% 7/15/2029  |  | 246000 | 236615 |
| WP Carey Inc 4.25% 7/23/2032  | EUR | 100000 | 116955 |
|  |  |  | 18889876 |
| Health Care REITs - 0.4% |  |  |  |
| Alexandria Real Estate Equities Inc 4.9% 12/15/2030  |  | 857000 | 849355 |
| Healthcare Realty Holdings LP 3.1% 2/15/2030  |  | 260000 | 238286 |
| Healthcare Realty Holdings LP 3.5% 8/1/2026  |  | 270000 | 265429 |
| Healthpeak OP LLC 3.25% 7/15/2026  |  | 113000 | 111280 |
| Healthpeak OP LLC 3.5% 7/15/2029  |  | 129000 | 123009 |
| MPT Operating Partnership LP / MPT Finance Corp 3.5% 3/15/2031  |  | 705000 | 462471 |
| MPT Operating Partnership LP / MPT Finance Corp 4.625% 8/1/2029  |  | 275000 | 208445 |
| MPT Operating Partnership LP / MPT Finance Corp 5% 10/15/2027 (r) |  | 1640000 | 1429424 |
| MPT Operating Partnership LP / MPT Finance Corp 8.5% 2/15/2032 (c) |  | 675000 | 691905 |
| Omega Healthcare Investors Inc 3.25% 4/15/2033  |  | 9853000 | 8329721 |
| Omega Healthcare Investors Inc 3.375% 2/1/2031  |  | 4892000 | 4413687 |
| Omega Healthcare Investors Inc 3.625% 10/1/2029  |  | 2155000 | 2027634 |
| Omega Healthcare Investors Inc 4.75% 1/15/2028  |  | 3349000 | 3351240 |
| Ventas Realty LP 3% 1/15/2030  |  | 1531000 | 1418489 |
| Ventas Realty LP 4% 3/1/2028  |  | 218000 | 214528 |
| Ventas Realty LP 4.75% 11/15/2030  |  | 2100000 | 2088154 |
|  |  |  | 26223057 |
| Hotel & Resort REITs - 0.0% |  |  |  |
| RHP Hotel Properties LP / RHP Finance Corp 6.5% 6/15/2033 (c)(q)(s) |  | 425000 | 432231 |
| Industrial REITs - 0.0% |  |  |  |
| LXP Industrial Trust 2.375% 10/1/2031  |  | 1000000 | 832771 |
| LXP Industrial Trust 2.7% 9/15/2030  |  | 387000 | 340520 |
|  |  |  | 1173291 |
| Office REITs - 0.2% |  |  |  |
| Boston Properties LP 2.9% 3/15/2030  |  | 2000000 | 1810290 |
| Boston Properties LP 3.25% 1/30/2031  |  | 792000 | 713878 |
| Boston Properties LP 4.5% 12/1/2028  |  | 605000 | 596348 |
| Boston Properties LP 6.75% 12/1/2027  |  | 1120000 | 1168578 |
| COPT Defense Properties LP 2% 1/15/2029  |  | 1000000 | 895882 |
| COPT Defense Properties LP 2.25% 3/15/2026  |  | 348000 | 340703 |
| COPT Defense Properties LP 2.75% 4/15/2031  |  | 235000 | 203965 |
| COPT Defense Properties LP 2.9% 12/1/2033  |  | 5000000 | 4032990 |
| Hudson Pacific Properties LP 4.65% 4/1/2029  |  | 1473000 | 1065991 |
|  |  |  | 10828625 |
| Real Estate Management & Development - 0.2% |  |  |  |
| Americold Realty Operating Partnership LP 5.409% 9/12/2034  |  | 200000 | 192167 |
| Anywhere Real Estate Group LLC / Anywhere Co-Issuer Corp 7% 4/15/2030 (c) |  | 230000 | 210109 |
| Anywhere Real Estate Group LLC / Realogy Co-Issuer Corp 5.75% 1/15/2029 (c) |  | 445000 | 364904 |
| Brandywine Operating Partnership LP 3.95% 11/15/2027  |  | 421000 | 401804 |
| Brandywine Operating Partnership LP 4.55% 10/1/2029  |  | 260000 | 238965 |
| Brandywine Operating Partnership LP 8.3% 3/15/2028  |  | 1521000 | 1594622 |
| CBRE Services Inc 2.5% 4/1/2031  |  | 1070000 | 933470 |
| Essex Portfolio LP 5.5% 4/1/2034  |  | 5601000 | 5627358 |
| Extra Space Storage LP 5.4% 2/1/2034  |  | 260000 | 258485 |
| Forestar Group Inc 6.5% 3/15/2033 (c) |  | 820000 | 813108 |
| Howard Hughes Corp/The 4.375% 2/1/2031 (c) |  | 700000 | 635667 |
| Kennedy-Wilson Inc 4.75% 2/1/2030 (r) |  | 360000 | 319500 |
| Tanger Properties LP 2.75% 9/1/2031  |  | 897000 | 775130 |
| Tanger Properties LP 3.125% 9/1/2026  |  | 2775000 | 2714246 |
|  |  |  | 15079535 |
| Residential REITs - 0.2% |  |  |  |
| American Homes 4 Rent LP 2.375% 7/15/2031  |  | 153000 | 131270 |
| American Homes 4 Rent LP 3.625% 4/15/2032  |  | 3681000 | 3341538 |
| American Homes 4 Rent LP 5.5% 2/1/2034  |  | 387000 | 386212 |
| Invitation Homes Operating Partnership LP 2.3% 11/15/2028  |  | 1000000 | 928127 |
| Invitation Homes Operating Partnership LP 4.15% 4/15/2032  |  | 1126000 | 1048959 |
| Sun Communities Operating LP 2.3% 11/1/2028  |  | 341000 | 315779 |
| Sun Communities Operating LP 2.7% 7/15/2031  |  | 880000 | 766588 |
| Sun Communities Operating LP 4.2% 4/15/2032  |  | 6100000 | 5703915 |
|  |  |  | 12622388 |
| Retail REITs - 0.1% |  |  |  |
| Brixmor Operating Partnership LP 4.05% 7/1/2030  |  | 1055000 | 1010754 |
| Brixmor Operating Partnership LP 4.125% 5/15/2029  |  | 2000000 | 1945882 |
| Brixmor Operating Partnership LP 5.5% 2/15/2034  |  | 3000000 | 2991460 |
| Kite Realty Group Trust 4.75% 9/15/2030  |  | 79000 | 77820 |
| Realty Income Corp 2.2% 6/15/2028  |  | 172000 | 161034 |
| Realty Income Corp 2.85% 12/15/2032  |  | 211000 | 182140 |
| Realty Income Corp 3.25% 1/15/2031  |  | 213000 | 196741 |
| Realty Income Corp 3.4% 1/15/2028  |  | 320000 | 312100 |
| Simon Property Group LP 2.45% 9/13/2029  |  | 333000 | 306277 |
|  |  |  | 7184208 |
| Specialized REITs - 0.0% |  |  |  |
| American Tower Corp 3.625% 5/30/2032  | EUR | 400000 | 458949 |
| American Tower Corp 5.45% 2/15/2034  |  | 160000 | 161560 |
| Iron Mountain Inc 6.25% 1/15/2033 (c) |  | 345000 | 348240 |
|  |  |  | 968749 |
| TOTAL REAL ESTATE |  |  | 93401960 |
| Utilities - 1.0% |  |  |  |
| Electric Utilities - 0.7% |  |  |  |
| Alabama Power Co 3.05% 3/15/2032  |  | 1447000 | 1299732 |
| Clearway Energy Operating LLC 3.75% 2/15/2031 (c) |  | 830000 | 749073 |
| Clearway Energy Operating LLC 4.75% 3/15/2028 (c) |  | 95000 | 92828 |
| Cleco Corporate Holdings LLC 3.375% 9/15/2029  |  | 2173000 | 2006808 |
| Cleco Corporate Holdings LLC 3.743% 5/1/2026  |  | 1337000 | 1321427 |
| DPL Inc 4.35% 4/15/2029  |  | 400000 | 384981 |
| Duke Energy Corp 2.45% 6/1/2030  |  | 565000 | 507577 |
| Duke Energy Corp 3.85% 6/15/2034  | EUR | 349000 | 395325 |
| Duke Energy Corp 4.5% 8/15/2032  |  | 7000000 | 6729886 |
| Duquesne Light Holdings Inc 2.532% 10/1/2030 (c) |  | 276000 | 241126 |
| Duquesne Light Holdings Inc 2.775% 1/7/2032 (c) |  | 935000 | 797322 |
| Edison International 6.25% 3/15/2030 (r) |  | 394000 | 399067 |
| Edison International 7.875% 6/15/2054 (d)(r) |  | 355000 | 341553 |
| Edison International 8.125% 6/15/2053 (d) |  | 350000 | 345774 |
| Entergy Corp 2.8% 6/15/2030  |  | 580000 | 527407 |
| Exelon Corp 3.35% 3/15/2032  |  | 389000 | 353188 |
| Exelon Corp 4.05% 4/15/2030  |  | 7865000 | 7664271 |
| Exelon Corp 4.1% 3/15/2052  |  | 288000 | 214199 |
| NRG Energy Inc 5.25% 6/15/2029 (c) |  | 1465000 | 1447751 |
| NRG Energy Inc 5.75% 1/15/2028  |  | 1010000 | 1013612 |
| NRG Energy Inc 6% 2/1/2033 (c) |  | 390000 | 386469 |
| NRG Energy Inc 6.25% 11/1/2034 (c) |  | 325000 | 325110 |
| PacifiCorp 7.375% 9/15/2055 (d) |  | 616000 | 626737 |
| PG&E Corp 5% 7/1/2028  |  | 610000 | 595181 |
| PG&E Corp 5.25% 7/1/2030  |  | 1725000 | 1673701 |
| PG&E Corp 7.375% 3/15/2055 (d) |  | 600000 | 587529 |
| Southern Co/The 1.875% 9/15/2081 (d) | EUR | 437000 | 473373 |
| Southern Co/The 4.85% 3/15/2035  |  | 5000000 | 4811881 |
| Vistra Operations Co LLC 5% 7/31/2027 (c) |  | 2885000 | 2876591 |
| Vistra Operations Co LLC 5.5% 9/1/2026 (c) |  | 1490000 | 1491359 |
| Vistra Operations Co LLC 5.625% 2/15/2027 (c) |  | 580000 | 579616 |
| Vistra Operations Co LLC 7.75% 10/15/2031 (c) |  | 355000 | 376420 |
| XPLR Infrastructure Operating Partners LP 7.25% 1/15/2029 (c)(r) |  | 875000 | 879294 |
| XPLR Infrastructure Operating Partners LP 8.375% 1/15/2031 (c) |  | 630000 | 657905 |
| XPLR Infrastructure Operating Partners LP 8.625% 3/15/2033 (c)(r) |  | 630000 | 660867 |
|  |  |  | 43834940 |
| Independent Power and Renewable Electricity Producers - 0.2% |  |  |  |
| AES Corp/The 2.45% 1/15/2031  |  | 7504000 | 6416582 |
| AES Corp/The 3.95% 7/15/2030 (c) |  | 8288000 | 7734797 |
| AES Corp/The 6.95% 7/15/2055 (d) |  | 658000 | 624286 |
| Alpha Generation LLC 6.75% 10/15/2032 (c) |  | 186000 | 189640 |
| Calpine Corp 4.625% 2/1/2029 (c) |  | 170000 | 165681 |
| Calpine Corp 5.125% 3/15/2028 (c) |  | 200000 | 198262 |
| Sunnova Energy Corp 5.875% 9/1/2026 (c) |  | 1060000 | 315350 |
|  |  |  | 15644598 |
| Multi-Utilities - 0.1% |  |  |  |
| NiSource Inc 2.95% 9/1/2029  |  | 1708000 | 1599111 |
| NiSource Inc 3.6% 5/1/2030  |  | 4000000 | 3806275 |
| Puget Energy Inc 4.1% 6/15/2030  |  | 683000 | 650404 |
| Puget Energy Inc 4.224% 3/15/2032  |  | 1329000 | 1224610 |
|  |  |  | 7280400 |
| Water Utilities - 0.0% |  |  |  |
| Aris Water Holdings LLC 7.25% 4/1/2030 (c) |  | 565000 | 568055 |
| TOTAL UTILITIES |  |  | 67327993 |
| TOTAL UNITED STATES |  |  | 1274451718 |
| UZBEKISTAN - 0.0%  |  |  |  |
| Materials - 0.0% |  |  |  |
| Metals & Mining - 0.0% |  |  |  |
| Navoi Mining & Metallurgical Combinat 6.7% 10/17/2028 (c) |  | 260000 | 262559 |
| Navoi Mining & Metallurgical Combinat 6.75% 5/14/2030 (c) |  | 270000 | 268920 |
| Navoi Mining & Metallurgical Combinat 6.95% 10/17/2031 (c) |  | 200000 | 198600 |
| TOTAL UZBEKISTAN |  |  | 730079 |
| VENEZUELA - 0.0%  |  |  |  |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| Petroleos de Venezuela SA 12.75% (c)(o) |  | 51667 | 7354 |
| Petroleos de Venezuela SA 5.375% (o)(p) |  | 200000 | 23466 |
| Petroleos de Venezuela SA 5.5% (o)(p) |  | 15000 | 1747 |
| Petroleos de Venezuela SA 6% (c)(o) |  | 480000 | 56940 |
| Petroleos de Venezuela SA 6% (c)(o) |  | 385000 | 45557 |
| Petroleos de Venezuela SA 9.75% (c)(o) |  | 50000 | 7108 |
| TOTAL VENEZUELA |  |  | 142172 |
| VIETNAM - 0.0%  |  |  |  |
| Utilities - 0.0% |  |  |  |
| Electric Utilities - 0.0% |  |  |  |
| Mong Duong Finance Holdings BV 5.125% 5/7/2029 (c) |  | 243935 | 236361 |
| ZAMBIA - 0.0%  |  |  |  |
| Materials - 0.0% |  |  |  |
| Metals & Mining - 0.0% |  |  |  |
| First Quantum Minerals Ltd 6.875% 10/15/2027 (c) |  | 419000 | 413846 |
| First Quantum Minerals Ltd 8% 3/1/2033 (c) |  | 380000 | 377091 |
| First Quantum Minerals Ltd 8.625% 6/1/2031 (c) |  | 285000 | 288919 |
| First Quantum Minerals Ltd 9.375% 3/1/2029 (c) |  | 980000 | 1029000 |
| TOTAL ZAMBIA |  |  | 2108856 |
| <br> **TOTAL NON-CONVERTIBLE CORPORATE BONDS**<br> (Cost $1,684,889,605) |  |  | <br> **1678571989** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Preferred Securities - 0.3%** | &nbsp;&nbsp;**Preferred Securities - 0.3%** | &nbsp;&nbsp;**Preferred Securities - 0.3%** | &nbsp;&nbsp;**Preferred Securities - 0.3%** |
|  |  | Principal<br> Amount (a)<br>| Value ($)<br>|
| BRAZIL - 0.0%  |  |  |  |
| Consumer Staples - 0.0% |  |  |  |
| Food Products - 0.0% |  |  |  |
| Cosan Overseas Ltd 8.25% (p)(t) |  | 360000 | 361279 |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| Banco do Brasil SA/Cayman 10 year U.S. Treasury Note + 4.398%, 8.748% (b)(c)(d)(t) |  | 450000 | 457305 |
| TOTAL BRAZIL |  |  | 818584 |
| CHILE - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| Banco de Credito e Inversiones SA 7.5% (c)(d)(t) |  | 250000 | 248349 |
| Banco de Credito e Inversiones SA 8.75% (c)(d)(t) |  | 115000 | 122666 |
| Banco del Estado de Chile 7.95% (c)(d)(t) |  | 105000 | 109487 |
| TOTAL CHILE |  |  | 480502 |
| CZECH REPUBLIC - 0.0%  |  |  |  |
| Real Estate - 0.0% |  |  |  |
| Real Estate Management & Development - 0.0% |  |  |  |
| CPI Property Group SA 3.75% (d)(p)(t) | EUR | 501000 | 508183 |
| FINLAND - 0.0%  |  |  |  |
| Real Estate - 0.0% |  |  |  |
| Real Estate Management & Development - 0.0% |  |  |  |
| Citycon Oyj 7.875% (d)(p)(t) | EUR | 318000 | 376527 |
| GERMANY - 0.1%  |  |  |  |
| Consumer Discretionary - 0.0% |  |  |  |
| Automobiles - 0.0% |  |  |  |
| Volkswagen International Finance NV 3.875% (d)(p)(t) | EUR | 900000 | 1010505 |
| Real Estate - 0.1% |  |  |  |
| Real Estate Management & Development - 0.1% |  |  |  |
| Aroundtown SA 5 year ISDA Fixed EURIBOR + 3.98%, 6.193% (b)(d)(p)(t) | EUR | 1200000 | 1280887 |
| Grand City Properties SA 1.5% (d)(p)(t) | EUR | 800000 | 883128 |
|  |  |  | 2164015 |
| TOTAL GERMANY |  |  | 3174520 |
| HONG KONG - 0.0%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |  |
| CAS Capital No 1 Ltd 4% (d)(p)(t) |  | 275000 | 271078 |
| INDIA - 0.0%  |  |  |  |
| Information Technology - 0.0% |  |  |  |
| IT Services - 0.0% |  |  |  |
| Network i2i Ltd 3.975% (c)(d)(t) |  | 105000 | 105358 |
| IRELAND - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| AIB Group PLC 6.25% (d)(p)(t) | EUR | 200000 | 233708 |
| KUWAIT - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| NBK Tier 1 Ltd 3.625% (c)(d)(t) |  | 105000 | 102181 |
| MEXICO - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| Banco Mercantil del Norte SA/Grand Cayman 7.625% (c)(d)(t) |  | 535000 | 542266 |
| Banco Mercantil del Norte SA/Grand Cayman 8.375% (c)(d)(t) |  | 200000 | 198296 |
| BBVA Mexico SA Institucion De Banca Multiple Grupo Financiero BBVA Mexico/TX 5.125% 1/18/2033 (c)(d) |  | 110000 | 106402 |
| BBVA Mexico SA Institucion De Banca Multiple Grupo Financiero BBVA Mexico/TX 8.45% 6/29/2038 (c)(d) |  | 220000 | 237202 |
|  |  |  | 1084166 |
| Materials - 0.0% |  |  |  |
| Construction Materials - 0.0% |  |  |  |
| Cemex SAB de CV 5.125% (c)(d)(t) |  | 835000 | 833377 |
| TOTAL MEXICO |  |  | 1917543 |
| SAUDI ARABIA - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| NCB Tier 1 Sukuk Ltd 3.5% (d)(p)(t) |  | 200000 | 195498 |
| SWEDEN - 0.0%  |  |  |  |
| Real Estate - 0.0% |  |  |  |
| Real Estate Management & Development - 0.0% |  |  |  |
| Samhallsbyggnadsbolaget i Norden AB 5 year EUR Swap Annual Index + 2.814%, 4.9355% (b)(d)(o)(p)(t) | EUR | 310000 | 242398 |
| UNITED ARAB EMIRATES - 0.0%  |  |  |  |
| Industrials - 0.0% |  |  |  |
| Marine Transportation - 0.0% |  |  |  |
| DP World Salaam 6% (d)(p)(t) |  | 450000 | 460278 |
| UNITED KINGDOM - 0.0%  |  |  |  |
| Consumer Staples - 0.0% |  |  |  |
| Tobacco - 0.0% |  |  |  |
| British American Tobacco PLC 3% (d)(p)(t) | EUR | 975000 | 1107381 |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| Barclays PLC 8.875% (d)(p)(t) | GBP | 270000 | 387332 |
| Industrials - 0.0% |  |  |  |
| Ground Transportation - 0.0% |  |  |  |
| Mobico Group PLC 4.25% (d)(p)(t) | GBP | 202000 | 219760 |
| Utilities - 0.0% |  |  |  |
| Electric Utilities - 0.0% |  |  |  |
| SSE PLC 3.74% (d)(p)(t) | GBP | 335000 | 447073 |
| TOTAL UNITED KINGDOM |  |  | 2161546 |
| UNITED STATES - 0.2%  |  |  |  |
| Energy - 0.1% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.1% |  |  |  |
| Energy Transfer LP 6.625% (d)(t) |  | 2550000 | 2559538 |
| Energy Transfer LP Series G, 7.125% (d)(t) |  | 40000 | 40304 |
| Plains All American Pipeline LP CME Term SOFR 3 month Index + 4.3716%, 8.6979% (b)(d)(t) |  | 1165000 | 1161859 |
|  |  |  | 3761701 |
| Financials - 0.1% |  |  |  |
| Banks - 0.0% |  |  |  |
| BW Real Estate Inc 9.5% (c)(d)(t) |  | 1385000 | 1406580 |
| Consumer Finance - 0.1% |  |  |  |
| Ally Financial Inc 4.7% (d)(t) |  | 705000 | 617329 |
| Ally Financial Inc 4.7% (d)(t) |  | 1730000 | 1638219 |
|  |  |  | 2255548 |
| Insurance - 0.0% |  |  |  |
| Alliant Holdings LP 10.5% (d)(l)(t) |  | 169668 | 172253 |
| TOTAL FINANCIALS |  |  | 3834381 |
| Industrials - 0.0% |  |  |  |
| Trading Companies & Distributors - 0.0% |  |  |  |
| Air Lease Corp 4.125% (d)(t) |  | 500000 | 486084 |
| Aircastle Ltd 5.25% (c)(d)(t) |  | 645000 | 647491 |
|  |  |  | 1133575 |
| Utilities - 0.0% |  |  |  |
| Electric Utilities - 0.0% |  |  |  |
| Edison International 5% (d)(t) |  | 320000 | 288938 |
| TOTAL UNITED STATES |  |  | 9018595 |
| <br> **TOTAL PREFERRED SECURITIES**<br> (Cost $18,079,463) |  |  | <br> **20066499** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 24.9%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 24.9%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 24.9%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 24.9%  |  |  |
| Fannie Mae 2% 11/1/2051  | 3293302 | 2580082 |
| Fannie Mae 2% 2/1/2052  | 780853 | 618579 |
| Fannie Mae 2% 3/1/2052  | 3244003 | 2537405 |
| Fannie Mae 2.5% 1/1/2052  | 2485649 | 2040934 |
| Fannie Mae 2.5% 4/1/2052  | 851700 | 703844 |
| Fannie Mae 2.5% 5/1/2052  | 2195790 | 1807052 |
| Fannie Mae 2.5% 6/1/2052  | 2987919 | 2477618 |
| Fannie Mae 3% 6/1/2052  | 1721259 | 1491616 |
| Fannie Mae 3.5% 12/1/2036  | 16443 | 15690 |
| Fannie Mae 3.5% 5/1/2036  | 12635 | 12224 |
| Fannie Mae 5.5% 2/1/2055  | 2693996 | 2689143 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.365%, 6.999% 10/1/2035 (b)(d) | 2603 | 2655 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.445%, 6.32% 4/1/2037 (b)(d) | 599 | 616 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.462%, 6.71% 1/1/2035 (b)(d) | 1138 | 1169 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.48%, 7.48% 7/1/2034 (b)(d) | 177 | 180 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.553%, 7.428% 6/1/2036 (b)(d) | 709 | 725 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.565%, 6.44% 3/1/2037 (b)(d) | 4963 | 5120 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.577%, 6.543% 4/1/2044 (b)(d) | 1834 | 1893 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.58%, 6.42% 1/1/2044 (b)(d) | 960 | 989 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.58%, 6.455% 4/1/2044 (b)(d) | 714 | 736 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.63%, 7.065% 9/1/2036 (b)(d) | 144 | 148 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.634%, 6.905% 11/1/2036 (b)(d) | 1463 | 1503 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.65%, 7.379% 5/1/2035 (b)(d) | 1074 | 1101 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.673%, 6.709% 3/1/2033 (b)(d) | 2248 | 2307 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.683%, 6.89% 5/1/2036 (b)(d) | 1065 | 1097 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.698%, 6.822% 7/1/2043 (b)(d) | 8551 | 8878 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.7%, 7.109% 6/1/2042 (b)(d) | 5491 | 5702 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.73%, 6.752% 3/1/2040 (b)(d) | 4344 | 4502 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.75%, 6.947% 7/1/2035 (b)(d) | 2186 | 2247 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.75%, 7.5% 8/1/2041 (b)(d) | 2003 | 2079 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.772%, 6.555% 2/1/2037 (b)(d) | 10996 | 11336 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.8%, 6.635% 1/1/2042 (b)(d) | 21771 | 22661 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.8%, 7.622% 7/1/2041 (b)(d) | 1357 | 1410 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.807%, 7.12% 12/1/2040 (b)(d) | 27020 | 28127 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.81%, 6.685% 12/1/2039 (b)(d) | 409 | 424 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.818%, 6.713% 2/1/2042 (b)(d) | 9674 | 10078 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.818%, 7.318% 9/1/2041 (b)(d) | 2503 | 2606 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.818%, 7.631% 7/1/2041 (b)(d) | 3043 | 3163 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.825%, 6.726% 2/1/2035 (b)(d) | 1595 | 1646 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.83%, 7.004% 10/1/2041 (b)(d) | 814 | 838 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.854%, 6.753% 4/1/2036 (b)(d) | 8515 | 8804 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.89%, 6.54% 8/1/2035 (b)(d) | 4923 | 5045 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.954%, 7.704% 7/1/2037 (b)(d) | 1772 | 1839 |
| Fannie Mae Mortgage pass-thru certificates 1 year U.S. Treasury Index + 2.147%, 6.98% 7/1/2036 (b)(d) | 840 | 854 |
| Fannie Mae Mortgage pass-thru certificates 1 year U.S. Treasury Index + 2.208%, 6.458% 3/1/2035 (b)(d) | 459 | 470 |
| Fannie Mae Mortgage pass-thru certificates 1 year U.S. Treasury Index + 2.27%, 6.913% 6/1/2036 (b)(d) | 871 | 890 |
| Fannie Mae Mortgage pass-thru certificates 1 year U.S. Treasury Index + 2.279%, 7.241% 10/1/2033 (b)(d) | 679 | 694 |
| Fannie Mae Mortgage pass-thru certificates 1 year U.S. Treasury Index + 2.46%, 7.296% 7/1/2034 (b)(d) | 797 | 814 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 1/1/2036  | 620913 | 547642 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 1/1/2037  | 392433 | 344652 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 1/1/2041  | 652677 | 538481 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 1/1/2051  | 1392033 | 1029622 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2035  | 223806 | 197396 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2035  | 212209 | 187168 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2035  | 116560 | 102805 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2035  | 12865 | 11347 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2040  | 51335 | 42424 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2041  | 1183831 | 967815 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 12/1/2035  | 234374 | 206717 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 12/1/2035  | 13364 | 11787 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 12/1/2036  | 374541 | 330344 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 12/1/2040  | 2437775 | 2012902 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 2/1/2036  | 207327 | 182862 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 2/1/2036  | 14952 | 13188 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 2/1/2036  | 14072 | 12411 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 2/1/2041  | 55025 | 45359 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 2/1/2051  | 1130259 | 836000 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 3/1/2036  | 18064 | 15932 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 3/1/2036  | 17647 | 15564 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 3/1/2041  | 56086 | 46200 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 4/1/2036  | 2663651 | 2323524 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 4/1/2036  | 1514493 | 1333882 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 4/1/2036  | 18063 | 15909 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 5/1/2036  | 29215 | 25960 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 5/1/2036  | 15564 | 13708 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 6/1/2036  | 562641 | 495544 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 6/1/2036  | 19864 | 17465 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 6/1/2051  | 885941 | 654735 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 7/1/2036  | 16155 | 14204 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 8/1/2036  | 20081 | 17655 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 9/1/2035  | 889087 | 787505 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 9/1/2036  | 1249573 | 1101336 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 9/1/2036  | 20703 | 18182 |
| Fannie Mae Mortgage pass-thru certificates 2% 1/1/2051  | 3746839 | 2933057 |
| Fannie Mae Mortgage pass-thru certificates 2% 1/1/2051  | 107070 | 84618 |
| Fannie Mae Mortgage pass-thru certificates 2% 1/1/2051  | 18013 | 14101 |
| Fannie Mae Mortgage pass-thru certificates 2% 1/1/2052  | 761216 | 601120 |
| Fannie Mae Mortgage pass-thru certificates 2% 1/1/2052  | 331512 | 260339 |
| Fannie Mae Mortgage pass-thru certificates 2% 1/1/2052  | 65966 | 51659 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2035  | 411101 | 374065 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2040  | 80748 | 68959 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2041  | 1071069 | 902346 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2041  | 433639 | 365892 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2050  | 926794 | 726081 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2050  | 264251 | 210079 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2050  | 40741 | 32210 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2051  | 899442 | 710274 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2051  | 673576 | 533596 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2051  | 224528 | 177306 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2051  | 97240 | 76849 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2051  | 24010 | 18728 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2040 (u) | 2119962 | 1808106 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2041  | 1026411 | 865568 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2041  | 471840 | 398134 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2041  | 385483 | 325214 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2050  | 222796 | 175381 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2051  | 579800 | 452242 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2051  | 211978 | 167793 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2051  | 209663 | 164257 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2051  | 206644 | 163183 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2051  | 170620 | 133083 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2051  | 134707 | 106376 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2051  | 121551 | 94809 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2051  | 20003 | 15646 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2051  | 20008 | 15606 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2035  | 444803 | 404732 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2035  | 23689 | 21503 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2040  | 1827900 | 1553963 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2040  | 324866 | 276457 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2040  | 98265 | 84030 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2050  | 252354 | 198018 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2050  | 20515 | 16072 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2051  | 610035 | 481734 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2051  | 257836 | 202723 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2051  | 186225 | 147524 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2051  | 177041 | 139806 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2051  | 145523 | 114917 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2051  | 21436 | 16720 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2028  | 264016 | 257130 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2036  | 31355 | 28501 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2036  | 28069 | 25417 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2036  | 22076 | 20115 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2036  | 21491 | 19622 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2036  | 11086 | 10156 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2041  | 16220 | 13772 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2042  | 5713510 | 4808094 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2051  | 519446 | 407438 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2051  | 500471 | 391773 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2051  | 47593 | 37613 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2051  | 34631 | 27369 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2051  | 30628 | 23976 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2051  | 17105 | 13417 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2052  | 4986852 | 3905307 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2052  | 1684732 | 1314611 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2052  | 877746 | 684638 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2052  | 782980 | 614881 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2052  | 642960 | 507735 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2052  | 580509 | 458599 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2052  | 304828 | 238432 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2036  | 42739 | 38608 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2036  | 26959 | 24354 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2041  | 16592 | 14088 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2051  | 9304596 | 7283715 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2051  | 684861 | 541037 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2051  | 309615 | 242176 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2051  | 227803 | 179963 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2051  | 194134 | 153425 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2051  | 149495 | 118427 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2051  | 45108 | 35635 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2051  | 35938 | 28391 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2051  | 30472 | 24073 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2051  | 17699 | 13883 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 3887364 | 3028483 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 3556629 | 2809722 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 1847093 | 1452846 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 837721 | 663628 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 532583 | 422403 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 523796 | 409704 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 454025 | 359387 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 104260 | 82332 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 101889 | 80078 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 89868 | 70574 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2041  | 438765 | 372267 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2041  | 95872 | 81861 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2051  | 9063336 | 7089190 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2051  | 4266660 | 3339977 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2051  | 2088157 | 1633321 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2051  | 368571 | 291169 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2051  | 58429 | 45739 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2052  | 4267758 | 3340836 |
| Fannie Mae Mortgage pass-thru certificates 2% 5/1/2036  | 33129 | 30206 |
| Fannie Mae Mortgage pass-thru certificates 2% 5/1/2041  | 2162180 | 1831706 |
| Fannie Mae Mortgage pass-thru certificates 2% 5/1/2042  | 3534136 | 3004790 |
| Fannie Mae Mortgage pass-thru certificates 2% 5/1/2051  | 6054563 | 4735778 |
| Fannie Mae Mortgage pass-thru certificates 2% 5/1/2051  | 103308 | 81613 |
| Fannie Mae Mortgage pass-thru certificates 2% 6/1/2035  | 3467544 | 3161661 |
| Fannie Mae Mortgage pass-thru certificates 2% 6/1/2036  | 36559 | 33323 |
| Fannie Mae Mortgage pass-thru certificates 2% 6/1/2041  | 70506 | 60149 |
| Fannie Mae Mortgage pass-thru certificates 2% 6/1/2041  | 17786 | 15065 |
| Fannie Mae Mortgage pass-thru certificates 2% 6/1/2050  | 371577 | 291803 |
| Fannie Mae Mortgage pass-thru certificates 2% 6/1/2051  | 156909 | 122616 |
| Fannie Mae Mortgage pass-thru certificates 2% 6/1/2052  | 21262 | 16564 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2041  | 448214 | 379128 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2041  | 342454 | 289067 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2041  | 313767 | 266748 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2050  | 9796497 | 7687148 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2050  | 197805 | 155771 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2050  | 122904 | 97170 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2051  | 2446544 | 1919763 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2051  | 97145 | 76107 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2051  | 70988 | 55837 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2051  | 37811 | 29859 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2051  | 33992 | 26631 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2051  | 22365 | 17521 |
| Fannie Mae Mortgage pass-thru certificates 2% 8/1/2040  | 8003188 | 6837595 |
| Fannie Mae Mortgage pass-thru certificates 2% 8/1/2041  | 522092 | 441300 |
| Fannie Mae Mortgage pass-thru certificates 2% 8/1/2041  | 65803 | 55573 |
| Fannie Mae Mortgage pass-thru certificates 2% 8/1/2042  | 4592307 | 3867455 |
| Fannie Mae Mortgage pass-thru certificates 2% 8/1/2050  | 28272 | 22184 |
| Fannie Mae Mortgage pass-thru certificates 2% 8/1/2051  | 264464 | 206528 |
| Fannie Mae Mortgage pass-thru certificates 2% 8/1/2051  | 136203 | 106366 |
| Fannie Mae Mortgage pass-thru certificates 2% 8/1/2051  | 19529 | 15251 |
| Fannie Mae Mortgage pass-thru certificates 2% 9/1/2051  | 254500 | 199066 |
| Fannie Mae Mortgage pass-thru certificates 2% 9/1/2051  | 147799 | 115421 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2032  | 120069 | 114899 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2033  | 7132 | 6792 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2037  | 559965 | 519979 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2043  | 48279 | 42065 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2043  | 14330 | 12445 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2051  | 1691937 | 1407205 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2051  | 313467 | 258167 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2052  | 10980872 | 8988798 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2052  | 9005075 | 7410834 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2052  | 274711 | 227793 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2052  | 212702 | 174115 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2052  | 109961 | 90562 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2031  | 123852 | 118573 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2031  | 17776 | 17033 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2031  | 4695 | 4499 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2041  | 307331 | 270245 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2051  | 4024415 | 3313198 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2051  | 1782855 | 1459422 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2051  | 733939 | 608591 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2051  | 580002 | 477501 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2051  | 415595 | 342019 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2051  | 151174 | 124599 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2029  | 68609 | 66609 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2031  | 77156 | 73899 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2031  | 5411 | 5183 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2032  | 97973 | 93382 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2032  | 25728 | 24512 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2036  | 1055600 | 975933 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2040  | 260730 | 230393 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2041  | 162988 | 142427 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2041  | 57022 | 50007 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2051  | 1993018 | 1640801 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2051  | 1905312 | 1559664 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2051  | 1102826 | 912064 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2051  | 786427 | 647199 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2051  | 609757 | 501807 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2031  | 214583 | 205252 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2032  | 182193 | 173577 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2032  | 3889 | 3704 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2033  | 1864079 | 1782096 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2051  | 750971 | 618020 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2051  | 271477 | 224518 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2035  | 122376 | 114402 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2035  | 66051 | 63262 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2035  | 58933 | 55093 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2035  | 40970 | 38211 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2041  | 160152 | 140866 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2043  | 27832 | 24204 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2051  | 20527 | 16906 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2052  | 4430131 | 3697052 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2035  | 647271 | 603681 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2035  | 625920 | 583767 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2040  | 49559 | 43900 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2041  | 90827 | 80351 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2047  | 43880 | 36427 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2050  | 4209957 | 3476475 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2050  | 768328 | 636867 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2052  | 1298530 | 1073105 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2031  | 772571 | 741306 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2036  | 118813 | 113744 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2037  | 342721 | 311757 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2041  | 148883 | 130908 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2042  | 3396173 | 2960794 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2043  | 21650 | 18818 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2052  | 1908773 | 1583970 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2052  | 1375244 | 1131773 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2052  | 314213 | 260157 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2031  | 997601 | 957217 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2031  | 973429 | 933589 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2031  | 899866 | 863456 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2031  | 882621 | 846888 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2031  | 838362 | 803696 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2031  | 695771 | 667569 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2031  | 17993 | 17280 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2040  | 36452 | 32286 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2041  | 101844 | 89858 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2041  | 89360 | 78736 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2041  | 80816 | 71302 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2042  | 45465 | 39778 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2042  | 17873 | 15646 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  | 3215825 | 2650521 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  | 2707340 | 2230576 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  | 2662232 | 2207554 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  | 1612291 | 1328870 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  | 643092 | 527029 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  | 489243 | 403240 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  | 22285 | 18368 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2052  | 2880464 | 2380413 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2052  | 206156 | 170367 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2053  | 406482 | 332360 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2031  | 1230121 | 1179248 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2031  | 789761 | 757096 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2031  | 768035 | 737302 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2051  | 1366484 | 1133105 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2040  | 285416 | 252211 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2041  | 326798 | 287315 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2041  | 102437 | 89840 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2041  | 82959 | 73052 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2049  | 4746825 | 3998426 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2050  | 2807140 | 2326837 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2050  | 940310 | 780892 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2031  | 43223 | 41455 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2031  | 24490 | 23509 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2033  | 5131 | 4875 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2041  | 529166 | 465331 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2051  | 2109752 | 1736905 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2051  | 1705206 | 1403852 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2051  | 1650780 | 1359045 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2051  | 84744 | 69370 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2031  | 43575 | 41736 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2042  | 8313397 | 7438639 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2051  | 37013 | 30299 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2035  | 548807 | 522291 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2035  | 200829 | 191125 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2035  | 13414 | 12799 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2037  | 76170 | 71292 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 71863 | 64816 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 14993 | 13502 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 9911 | 8982 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 8486 | 7642 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 7807 | 7047 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 7378 | 6651 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 4070 | 3694 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2044  | 84697 | 75845 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2051  | 400444 | 344390 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2052  | 31407 | 26898 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2042  | 17921 | 16040 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2042  | 6427 | 5789 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2046  | 628926 | 554451 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2046  | 28124 | 24697 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2050  | 16282 | 14125 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2051  | 2655859 | 2284511 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2051  | 1106886 | 951081 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2032  | 5490 | 5298 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2034  | 88417 | 85909 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2036  | 52309 | 49057 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2036  | 8732 | 8189 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2039  | 26129 | 23786 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2042  | 35755 | 32280 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2042  | 35619 | 31875 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2046  | 807411 | 711801 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2046  | 776921 | 684921 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2046  | 37598 | 33711 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2050  | 77913 | 67056 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  | 739592 | 637105 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  | 478963 | 412592 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  | 284649 | 244849 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  | 21200 | 18348 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  | 17400 | 15059 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2032  | 232111 | 224930 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2032  | 69866 | 67697 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2034  | 112478 | 107043 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2034  | 31995 | 30479 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2034  | 14921 | 14237 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 19361 | 17502 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 10302 | 9216 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 8305 | 7487 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 4769 | 4300 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 3421 | 3072 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2050  | 724613 | 623635 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2051  | 1231385 | 1058056 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2051  | 208447 | 179562 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2051  | 168112 | 144606 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2051  | 21314 | 18314 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2031  | 152863 | 148998 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2034  | 2577154 | 2485405 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2035  | 60422 | 58759 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2037  | 72391 | 67529 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2037  | 40834 | 38092 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 52050 | 46843 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 39930 | 35953 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 29913 | 26975 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 23846 | 21490 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 19133 | 17227 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 11694 | 10559 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 9927 | 8936 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 9034 | 8111 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 5674 | 5134 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2047  | 210187 | 188069 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2047  | 200820 | 179540 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2047  | 30029 | 26868 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2050  | 323751 | 280355 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2052  | 6362001 | 5466487 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2052  | 4523790 | 3885609 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2052  | 534538 | 459129 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2052  | 471338 | 404845 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2052  | 42961 | 36914 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2033  | 9822 | 9489 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2037  | 101483 | 94667 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2037  | 97840 | 91269 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2043  | 16331 | 14732 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2047  | 286963 | 252982 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2048  | 9597902 | 8449360 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2050  | 381388 | 328359 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2050  | 88262 | 76431 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2052  | 2194872 | 1896554 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2052  | 1647201 | 1415342 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2043  | 65683 | 58779 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2043  | 10532 | 9490 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2046  | 48067 | 42420 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2047  | 58181 | 51910 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2048  | 286300 | 256400 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2048  | 266545 | 239149 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2050  | 225849 | 195576 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2050  | 41331 | 35585 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2052  | 4337343 | 3726142 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2052  | 1895332 | 1641280 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2052  | 1076212 | 924893 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 94364 | 84487 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 52997 | 47648 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 43768 | 39418 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 6173 | 5556 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2045  | 6716 | 5959 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2046  | 259498 | 228932 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2050  | 82397 | 71352 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2044  | 41682 | 37519 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2051  | 2109545 | 1820187 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2033  | 70561 | 68128 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2034  | 178171 | 173390 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2040  | 56407 | 51261 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2042  | 9840 | 8898 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2043  | 86411 | 77505 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2046  | 425983 | 375274 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2046  | 126674 | 113227 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2050  | 2581472 | 2233028 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2050  | 540799 | 467803 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2052  | 11290067 | 9693824 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2032  | 118888 | 114825 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2043  | 70488 | 63044 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2043  | 24760 | 22229 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2043  | 12389 | 11113 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2045  | 15063 | 13280 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2045  | 12354 | 10891 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2045  | 4535 | 3998 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2046  | 186049 | 163495 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2049  | 7649897 | 6614935 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2051  | 287015 | 247646 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2032  | 13292 | 12842 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2032  | 11004 | 10625 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2035  | 375142 | 363534 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2043  | 33622 | 30288 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2046  | 441297 | 387523 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2046  | 154193 | 135501 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2046  | 125092 | 111983 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2049  | 22202 | 19178 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2042  | 8761 | 8121 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2043  | 27481 | 25422 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2047  | 225954 | 204867 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2048  | 1078321 | 980386 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2050  | 6925634 | 6401648 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2052  | 378648 | 338106 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2052  | 151964 | 136121 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2042  | 68557 | 63446 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2042  | 22696 | 20996 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2042  | 15642 | 14579 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2042  | 6074 | 5620 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2042  | 3650 | 3381 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2045  | 29381 | 26694 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2047  | 1012792 | 921758 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2048  | 11692787 | 10649104 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2034  | 49820 | 48287 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2042  | 7299 | 6744 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2042  | 4009 | 3695 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2048  | 1347822 | 1224990 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2051  | 41628 | 37171 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2042  | 5286 | 4900 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2046  | 2047276 | 1890503 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2046  | 74084 | 67171 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2046  | 34048 | 30870 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2047  | 61303 | 55352 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2051  | 50614 | 45195 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2035  | 135457 | 130696 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2043  | 13270 | 12228 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2052  | 278965 | 249445 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2043  | 13913 | 12815 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2043  | 13491 | 12458 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2052  | 256387 | 228936 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2042  | 4867 | 4507 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2043  | 31283 | 28855 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2043  | 23726 | 21860 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2046  | 51784 | 47097 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2048  | 3061345 | 2840639 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2051  | 486811 | 434992 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2038  | 8108 | 7663 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2043  | 42310 | 38996 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2043  | 26659 | 24579 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2046  | 210249 | 191220 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2050  | 29766 | 26560 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2051  | 207153 | 185103 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2051  | 16700 | 14923 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2042  | 33854 | 31348 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2043  | 27218 | 25099 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2048  | 289931 | 262693 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2046  | 118797 | 107822 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2046  | 73674 | 66868 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2047  | 1757165 | 1626063 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2051  | 606149 | 545604 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2034  | 204756 | 197815 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2042  | 23642 | 21904 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2042  | 9126 | 8472 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2043  | 33395 | 30958 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2043  | 5316 | 4915 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2046  | 36278 | 32926 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 16002 | 14799 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 14096 | 13053 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 7977 | 7386 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2046  | 253560 | 230610 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2047  | 653517 | 594777 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2051  | 24473 | 21868 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 49737 | 47457 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 5015 | 4777 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 1945 | 1854 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2042  | 74401 | 70957 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2042  | 5430 | 5167 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2043  | 11033 | 10492 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2049  | 5191 | 4829 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2051  | 406872 | 377812 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2052  | 130639 | 121931 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2040  | 13017 | 12439 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2040  | 6498 | 6177 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2040  | 2927 | 2804 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2040  | 2355 | 2248 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2041  | 64461 | 61385 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2041  | 42622 | 40580 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2041  | 2479 | 2354 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2043  | 18020 | 17143 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2045  | 7162 | 6736 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2046  | 54145 | 50820 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 76648 | 73147 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 14124 | 13506 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 9639 | 9227 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 8588 | 8180 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 8082 | 7687 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 7626 | 7269 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 7392 | 7056 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 7361 | 7035 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 6650 | 6342 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 6211 | 5903 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 5834 | 5564 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 5353 | 5092 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 4983 | 4755 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 3880 | 3696 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 3604 | 3425 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 3259 | 3120 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 3224 | 3072 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 2524 | 2399 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 2222 | 2137 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2041  | 38481 | 36656 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2041  | 20976 | 19976 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2041  | 18035 | 17156 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2045  | 26531 | 24835 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2048  | 26897 | 25018 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2051  | 179971 | 167974 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2051  | 22461 | 20971 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 19540 | 18621 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2041  | 7569 | 7197 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2041  | 6179 | 5887 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2042  | 3799 | 3614 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2044  | 5220 | 4918 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2045  | 9706 | 9080 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2051  | 105893 | 98835 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2041  | 41245 | 39361 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2041  | 6222 | 5932 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2042  | 53747 | 51086 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2042  | 3297 | 3143 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2042  | 1461 | 1399 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2046  | 45180 | 42264 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2047  | 13172 | 12355 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2048  | 23846 | 22225 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2049  | 73621 | 68408 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2052  | 86364 | 80607 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2036  | 1379 | 1332 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2039  | 7245 | 6911 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2041  | 2567 | 2449 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2041  | 1333 | 1270 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2042  | 20824 | 19774 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2045  | 6265 | 5893 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2046  | 81897 | 76994 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2048  | 26015 | 24246 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 17791 | 16923 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 13067 | 12431 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 6171 | 5871 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 3434 | 3262 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 2043 | 1940 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2044  | 6801 | 6435 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2045  | 10765426 | 10148843 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2045  | 5887 | 5540 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2046  | 15435 | 14429 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2048  | 75253 | 70395 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2049  | 15287 | 14195 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2052  | 1255127 | 1159696 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2052  | 628358 | 582546 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2052  | 21937 | 20474 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2047  | 80515 | 75318 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2041  | 7963 | 7598 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2045  | 13377 | 12551 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2046  | 83472 | 78189 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2050  | 1348319 | 1249911 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2046  | 77541 | 72827 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2047  | 480731 | 448499 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2047  | 70770 | 66202 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2047  | 42584 | 39835 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2052  | 24060 | 22456 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2043  | 4738 | 4481 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2045  | 13753 | 12874 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2045  | 12796 | 11978 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2045  | 8328 | 7796 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2047  | 187670 | 175087 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2039  | 44977 | 42903 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2039  | 8291 | 7893 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2040  | 2289 | 2180 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2041  | 2734 | 2601 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2046  | 4837675 | 4565655 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2046  | 90543 | 84982 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2051  | 138608 | 129412 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2051  | 14521 | 13562 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2052  | 225339 | 210248 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2048  | 20809 | 19936 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2049  | 2472 | 2366 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2040  | 1496 | 1471 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2044  | 60802 | 58956 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2047  | 8807 | 8443 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2025  | 91 | 90 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2039  | 735 | 723 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2040  | 6164 | 6061 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2042  | 162062 | 159281 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2042  | 4940 | 4841 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2044  | 7913 | 7673 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2044  | 1303 | 1264 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2045  | 14918 | 14656 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2047  | 2660 | 2554 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2052  | 628789 | 595302 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2039  | 12249 | 12057 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2040  | 2407 | 2369 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2040  | 2378 | 2336 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2041  | 13437 | 13187 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2046  | 8666 | 8329 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2048  | 38936 | 37377 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2045  | 13973 | 13575 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2046  | 85954 | 84510 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2048  | 13411 | 12849 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2048  | 10592 | 10148 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2049  | 6614 | 6328 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2039  | 20994 | 20573 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2039  | 4817 | 4769 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2046  | 71396 | 70214 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2046  | 5486 | 5292 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2047  | 6197 | 5951 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2048  | 12147 | 11637 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2039  | 85564 | 84690 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2039  | 25012 | 24763 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2039  | 14669 | 14527 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2044  | 4981 | 4839 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2047  | 8413 | 8079 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2048  | 8342 | 7990 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2039  | 457066 | 449186 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2039  | 11206 | 10982 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2041  | 22756 | 22513 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2044  | 20728 | 20138 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2047  | 97618 | 93738 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2033  | 232 | 230 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2039  | 16341 | 16087 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2039  | 2583 | 2543 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2047  | 78444 | 75302 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2047  | 13879 | 13310 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 3865 | 3829 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 1613 | 1597 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 1488 | 1474 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 1141 | 1130 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 1063 | 1052 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 668 | 662 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 248 | 246 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2039  | 29610 | 29053 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2053  | 6099399 | 5809351 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2033  | 3742 | 3707 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2033  | 1743 | 1727 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2033  | 1672 | 1656 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2033  | 1372 | 1360 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2033  | 764 | 757 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2033  | 598 | 592 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2035  | 8234 | 8143 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2035  | 4225 | 4182 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2042  | 34600 | 34015 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2043  | 4475 | 4396 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2047  | 14874 | 14265 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2041  | 16648 | 16731 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2052  | 513211 | 502726 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2052  | 166392 | 162992 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2044  | 23899 | 24029 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2052  | 405117 | 397980 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2052  | 354275 | 347037 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2052  | 213069 | 208650 |
| Fannie Mae Mortgage pass-thru certificates 5% 12/1/2052  | 213987 | 209548 |
| Fannie Mae Mortgage pass-thru certificates 5% 2/1/2035  | 76855 | 77272 |
| Fannie Mae Mortgage pass-thru certificates 5% 2/1/2038  | 13006 | 13080 |
| Fannie Mae Mortgage pass-thru certificates 5% 2/1/2049  | 112320 | 111104 |
| Fannie Mae Mortgage pass-thru certificates 5% 4/1/2053  | 438900 | 433225 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2039  | 64356 | 64703 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2039  | 27674 | 27823 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2033  | 4021 | 4042 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2035  | 27221 | 27375 |
| Fannie Mae Mortgage pass-thru certificates 5% 9/1/2052  | 48987 | 48384 |
| Fannie Mae Mortgage pass-thru certificates 5% 9/1/2052  | 29650 | 29285 |
| Fannie Mae Mortgage pass-thru certificates 5% 9/1/2052  | 23016 | 22733 |
| Fannie Mae Mortgage pass-thru certificates 5.297% 8/1/2041 (d) | 20576 | 20646 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 10/1/2052  | 994748 | 993796 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 10/1/2053  | 4666939 | 4669762 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 10/1/2053  | 1105565 | 1108307 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 10/1/2054  | 1758017 | 1761827 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 10/1/2054  | 1068393 | 1060358 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 11/1/2053  | 134313 | 133261 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 12/1/2054  | 2365724 | 2347194 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 2/1/2053  | 82154 | 81896 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 4/1/2054  | 5616111 | 5577387 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 5/1/2053  | 648632 | 647808 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2053  | 1246114 | 1244921 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2053  | 548313 | 547788 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2053  | 353592 | 354138 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2054  | 1728761 | 1716300 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 7/1/2053  | 509530 | 509042 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 7/1/2054  | 3316758 | 3309436 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 8/1/2025  | 3 | 2 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 8/1/2053  | 1207338 | 1209200 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 8/1/2054  | 4856199 | 4821197 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 8/1/2054  | 1369467 | 1374147 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 9/1/2052  | 738732 | 738024 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 9/1/2054  | 3022155 | 2999428 |
| Fannie Mae Mortgage pass-thru certificates 6 month FTSE USD IBOR Consumer Fallbacks + 1.505%, 6.38% 1/1/2035 (b)(d) | 185 | 188 |
| Fannie Mae Mortgage pass-thru certificates 6 month FTSE USD IBOR Consumer Fallbacks + 1.51%, 6.316% 2/1/2033 (b)(d) | 160 | 163 |
| Fannie Mae Mortgage pass-thru certificates 6 month FTSE USD IBOR Consumer Fallbacks + 1.535%, 6.369% 12/1/2034 (b)(d) | 331 | 336 |
| Fannie Mae Mortgage pass-thru certificates 6 month FTSE USD IBOR Consumer Fallbacks + 1.55%, 6.184% 9/1/2033 (b)(d) | 9796 | 9945 |
| Fannie Mae Mortgage pass-thru certificates 6 month FTSE USD IBOR Consumer Fallbacks + 1.96%, 6.585% 9/1/2035 (b)(d) | 162 | 167 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2034  | 8568 | 8893 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2035  | 17415 | 18168 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2036  | 334 | 348 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2038  | 6718 | 7039 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2040  | 6269 | 6577 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2034  | 4846 | 5040 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2034  | 2454 | 2554 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2037  | 6204 | 6492 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2054  | 671614 | 687942 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2034  | 11019 | 11465 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2035  | 11368 | 11816 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2035  | 2071 | 2157 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2035  | 833 | 866 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2035  | 158 | 165 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2053  | 1815860 | 1845910 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2054  | 548086 | 560896 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2054  | 215443 | 220748 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2054  | 70968 | 72782 |
| Fannie Mae Mortgage pass-thru certificates 6% 12/1/2038  | 2428 | 2547 |
| Fannie Mae Mortgage pass-thru certificates 6% 2/1/2034  | 3257 | 3379 |
| Fannie Mae Mortgage pass-thru certificates 6% 2/1/2053  | 4520874 | 4615240 |
| Fannie Mae Mortgage pass-thru certificates 6% 2/1/2055  | 5376109 | 5490426 |
| Fannie Mae Mortgage pass-thru certificates 6% 2/1/2055  | 1936692 | 1990583 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2034  | 3152 | 3271 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2036  | 3507 | 3643 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2038  | 2252 | 2363 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2039  | 2402814 | 2470577 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2054  | 670371 | 678498 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2055  | 1396571 | 1430195 |
| Fannie Mae Mortgage pass-thru certificates 6% 4/1/2035  | 22108 | 22994 |
| Fannie Mae Mortgage pass-thru certificates 6% 4/1/2054  | 2262669 | 2290100 |
| Fannie Mae Mortgage pass-thru certificates 6% 5/1/2040  | 7827 | 8205 |
| Fannie Mae Mortgage pass-thru certificates 6% 5/1/2054  | 1564595 | 1583563 |
| Fannie Mae Mortgage pass-thru certificates 6% 5/1/2055  | 1978558 | 2022485 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2035  | 1291 | 1343 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2036  | 35401 | 36844 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2036  | 3882 | 4055 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2053 (v) | 663194 | 677037 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2053  | 515182 | 525292 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2054  | 1580410 | 1599570 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2035  | 1076 | 1123 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2035  | 493 | 514 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2038  | 1055 | 1107 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2041  | 14357 | 15059 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2053  | 467899 | 477665 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2054  | 2363935 | 2405891 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2054  | 1327569 | 1343664 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2034  | 14658 | 15232 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2035  | 646 | 672 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2035  | 154 | 161 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2037  | 17536 | 18203 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2029  | 346 | 354 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2035  | 3566 | 3720 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2037  | 568 | 595 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2053  | 520266 | 530475 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2054  | 3030128 | 3065916 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2054  | 480486 | 492617 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 1/1/2053  | 2577632 | 2676969 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 1/1/2054  | 1063118 | 1101680 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 1/1/2055  | 3503492 | 3651922 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 10/1/2053  | 1084628 | 1115073 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 12/1/2032  | 4243 | 4409 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 12/1/2035  | 43049 | 44846 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 3/1/2054  | 484555 | 498004 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 5/1/2053  | 964951 | 1002139 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 6/1/2054  | 511110 | 525417 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2032  | 11990 | 12459 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2032  | 2383 | 2475 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2035  | 4961 | 5177 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2054  | 984306 | 1011858 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2054  | 274477 | 285398 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2035  | 260 | 275 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2036  | 36466 | 37972 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2036  | 28666 | 29837 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2036  | 6826 | 7111 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 9/1/2053  | 1001941 | 1038910 |
| Fannie Mae Mortgage pass-thru certificates 6.763% 2/1/2039 (d) | 7586 | 7835 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2029  | 7 | 8 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2026  | 42 | 42 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2028  | 6 | 6 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2029  | 33 | 34 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2029  | 11 | 12 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2029  | 9 | 9 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2026  | 5 | 5 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2027  | 6 | 6 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2028  | 5 | 6 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2029  | 69 | 72 |
| Fannie Mae Mortgage pass-thru certificates 7% 2/1/2028  | 32 | 33 |
| Fannie Mae Mortgage pass-thru certificates 7% 2/1/2028  | 18 | 19 |
| Fannie Mae Mortgage pass-thru certificates 7% 2/1/2028  | 13 | 14 |
| Fannie Mae Mortgage pass-thru certificates 7% 2/1/2029  | 74 | 78 |
| Fannie Mae Mortgage pass-thru certificates 7% 3/1/2032  | 430 | 452 |
| Fannie Mae Mortgage pass-thru certificates 7% 4/1/2026  | 19 | 19 |
| Fannie Mae Mortgage pass-thru certificates 7% 5/1/2029  | 268 | 280 |
| Fannie Mae Mortgage pass-thru certificates 7% 5/1/2030  | 627 | 654 |
| Fannie Mae Mortgage pass-thru certificates 7% 6/1/2028  | 117 | 122 |
| Fannie Mae Mortgage pass-thru certificates 7% 6/1/2029  | 77 | 80 |
| Fannie Mae Mortgage pass-thru certificates 7% 6/1/2032  | 352 | 372 |
| Fannie Mae Mortgage pass-thru certificates 7% 6/1/2032  | 165 | 172 |
| Fannie Mae Mortgage pass-thru certificates 7% 7/1/2028  | 122 | 127 |
| Fannie Mae Mortgage pass-thru certificates 7% 7/1/2029  | 56 | 58 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2027  | 51 | 54 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2029  | 13 | 14 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2027  | 9 | 10 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2028  | 37 | 38 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2031  | 168 | 176 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2027  | 46 | 47 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2028  | 876 | 900 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2028  | 50 | 51 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2028  | 18 | 19 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 10/1/2026  | 2 | 1 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2027  | 22 | 23 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2027  | 15 | 16 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2027  | 14 | 14 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2028  | 15 | 16 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2031  | 40 | 42 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 12/1/2028  | 30 | 31 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 2/1/2027  | 19 | 20 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 2/1/2028  | 3 | 2 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 2/1/2030  | 52 | 54 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 3/1/2026  | 20 | 20 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 3/1/2028  | 69 | 70 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 3/1/2028  | 12 | 12 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 3/1/2029  | 22 | 22 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 4/1/2026  | 3 | 2 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 4/1/2028  | 15 | 15 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 5/1/2027  | 54 | 55 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 6/1/2026  | 17 | 17 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 6/1/2027  | 23 | 24 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 6/1/2028  | 33 | 34 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 7/1/2027  | 11 | 11 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 7/1/2027  | 9 | 10 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 7/1/2027  | 2 | 1 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2030  | 660 | 677 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2027  | 4 | 3 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2029  | 47 | 49 |
| Freddie Mac Gold Pool 1.5% 1/1/2036  | 417110 | 367889 |
| Freddie Mac Gold Pool 1.5% 1/1/2051  | 1379868 | 1020624 |
| Freddie Mac Gold Pool 1.5% 10/1/2035  | 1326290 | 1174755 |
| Freddie Mac Gold Pool 1.5% 11/1/2035  | 345291 | 304545 |
| Freddie Mac Gold Pool 1.5% 11/1/2035  | 160963 | 141969 |
| Freddie Mac Gold Pool 1.5% 11/1/2035  | 22795 | 20105 |
| Freddie Mac Gold Pool 1.5% 12/1/2035  | 218709 | 192900 |
| Freddie Mac Gold Pool 1.5% 12/1/2040  | 33012 | 27258 |
| Freddie Mac Gold Pool 1.5% 2/1/2036  | 1087441 | 959118 |
| Freddie Mac Gold Pool 1.5% 2/1/2036  | 17139 | 15116 |
| Freddie Mac Gold Pool 1.5% 2/1/2041  | 2508766 | 2067843 |
| Freddie Mac Gold Pool 1.5% 2/1/2051  | 1401544 | 1036657 |
| Freddie Mac Gold Pool 1.5% 3/1/2036  | 14690 | 12957 |
| Freddie Mac Gold Pool 1.5% 3/1/2041  | 56287 | 46356 |
| Freddie Mac Gold Pool 1.5% 3/1/2051  | 1108991 | 820269 |
| Freddie Mac Gold Pool 1.5% 4/1/2036  | 18675 | 16448 |
| Freddie Mac Gold Pool 1.5% 4/1/2041  | 1328629 | 1093371 |
| Freddie Mac Gold Pool 1.5% 4/1/2041  | 853558 | 703227 |
| Freddie Mac Gold Pool 1.5% 4/1/2051 (u) | 3942166 | 2913372 |
| Freddie Mac Gold Pool 1.5% 4/1/2051  | 95605 | 70655 |
| Freddie Mac Gold Pool 1.5% 5/1/2036  | 1036608 | 912987 |
| Freddie Mac Gold Pool 1.5% 5/1/2036  | 19204 | 16914 |
| Freddie Mac Gold Pool 1.5% 6/1/2036  | 19481 | 17158 |
| Freddie Mac Gold Pool 1.5% 7/1/2036  | 17398 | 15296 |
| Freddie Mac Gold Pool 1.5% 8/1/2035  | 282600 | 250312 |
| Freddie Mac Gold Pool 1.5% 8/1/2036  | 16049 | 14110 |
| Freddie Mac Gold Pool 2% 1/1/2051  | 466687 | 366055 |
| Freddie Mac Gold Pool 2% 1/1/2051  | 36085 | 28248 |
| Freddie Mac Gold Pool 2% 1/1/2052  | 310027 | 245502 |
| Freddie Mac Gold Pool 2% 1/1/2052  | 202724 | 158124 |
| Freddie Mac Gold Pool 2% 1/1/2052  | 167473 | 130471 |
| Freddie Mac Gold Pool 2% 10/1/2041  | 18423 | 15546 |
| Freddie Mac Gold Pool 2% 10/1/2050  | 486467 | 381114 |
| Freddie Mac Gold Pool 2% 10/1/2050  | 21146 | 16567 |
| Freddie Mac Gold Pool 2% 10/1/2051  | 896983 | 705249 |
| Freddie Mac Gold Pool 2% 10/1/2051  | 177613 | 140258 |
| Freddie Mac Gold Pool 2% 10/1/2051  | 48095 | 37980 |
| Freddie Mac Gold Pool 2% 10/1/2051  | 26120 | 20374 |
| Freddie Mac Gold Pool 2% 10/1/2051  | 24008 | 18748 |
| Freddie Mac Gold Pool 2% 10/1/2051  | 23433 | 18373 |
| Freddie Mac Gold Pool 2% 11/1/2041  | 403279 | 339895 |
| Freddie Mac Gold Pool 2% 11/1/2041  | 158373 | 133568 |
| Freddie Mac Gold Pool 2% 11/1/2050  | 7554570 | 5998769 |
| Freddie Mac Gold Pool 2% 11/1/2050  | 6897790 | 5403959 |
| Freddie Mac Gold Pool 2% 11/1/2050  | 39304 | 30792 |
| Freddie Mac Gold Pool 2% 11/1/2050  | 27156 | 21275 |
| Freddie Mac Gold Pool 2% 11/1/2051  | 1576812 | 1239762 |
| Freddie Mac Gold Pool 2% 11/1/2051  | 714435 | 564178 |
| Freddie Mac Gold Pool 2% 11/1/2051  | 673762 | 529532 |
| Freddie Mac Gold Pool 2% 11/1/2051  | 447008 | 348664 |
| Freddie Mac Gold Pool 2% 11/1/2051  | 372777 | 292046 |
| Freddie Mac Gold Pool 2% 11/1/2051  | 151486 | 118158 |
| Freddie Mac Gold Pool 2% 11/1/2051  | 69640 | 54993 |
| Freddie Mac Gold Pool 2% 11/1/2051  | 42400 | 33482 |
| Freddie Mac Gold Pool 2% 12/1/2035  | 30594 | 27905 |
| Freddie Mac Gold Pool 2% 12/1/2051  | 771952 | 611045 |
| Freddie Mac Gold Pool 2% 12/1/2051  | 249938 | 197372 |
| Freddie Mac Gold Pool 2% 12/1/2051  | 151558 | 119683 |
| Freddie Mac Gold Pool 2% 12/1/2051  | 146710 | 115305 |
| Freddie Mac Gold Pool 2% 12/1/2051  | 144882 | 113777 |
| Freddie Mac Gold Pool 2% 12/1/2051  | 110471 | 87237 |
| Freddie Mac Gold Pool 2% 12/1/2051  | 53046 | 41558 |
| Freddie Mac Gold Pool 2% 12/1/2051  | 25077 | 19560 |
| Freddie Mac Gold Pool 2% 2/1/2036  | 41046 | 37348 |
| Freddie Mac Gold Pool 2% 2/1/2036  | 30182 | 27500 |
| Freddie Mac Gold Pool 2% 2/1/2036  | 26114 | 23794 |
| Freddie Mac Gold Pool 2% 2/1/2041  | 196572 | 166905 |
| Freddie Mac Gold Pool 2% 2/1/2051  | 2155555 | 1687386 |
| Freddie Mac Gold Pool 2% 2/1/2051  | 72374 | 56655 |
| Freddie Mac Gold Pool 2% 2/1/2051  | 22771 | 17839 |
| Freddie Mac Gold Pool 2% 2/1/2052 (u) | 1453482 | 1141432 |
| Freddie Mac Gold Pool 2% 2/1/2052  | 642058 | 504615 |
| Freddie Mac Gold Pool 2% 3/1/2036  | 22199 | 20206 |
| Freddie Mac Gold Pool 2% 3/1/2041  | 228241 | 194936 |
| Freddie Mac Gold Pool 2% 3/1/2051  | 3599970 | 2818086 |
| Freddie Mac Gold Pool 2% 3/1/2051  | 2854062 | 2239534 |
| Freddie Mac Gold Pool 2% 3/1/2051  | 438637 | 346521 |
| Freddie Mac Gold Pool 2% 3/1/2051  | 413794 | 326896 |
| Freddie Mac Gold Pool 2% 3/1/2051  | 368460 | 291082 |
| Freddie Mac Gold Pool 2% 3/1/2051  | 251083 | 196393 |
| Freddie Mac Gold Pool 2% 3/1/2051  | 49639 | 39214 |
| Freddie Mac Gold Pool 2% 3/1/2051  | 30925 | 24440 |
| Freddie Mac Gold Pool 2% 3/1/2052  | 347348 | 270605 |
| Freddie Mac Gold Pool 2% 4/1/2041  | 17105 | 14504 |
| Freddie Mac Gold Pool 2% 4/1/2042  | 8220340 | 6984624 |
| Freddie Mac Gold Pool 2% 4/1/2051  | 947273 | 740941 |
| Freddie Mac Gold Pool 2% 4/1/2051  | 294907 | 230671 |
| Freddie Mac Gold Pool 2% 4/1/2052  | 4156848 | 3267005 |
| Freddie Mac Gold Pool 2% 4/1/2052  | 59297 | 46826 |
| Freddie Mac Gold Pool 2% 5/1/2036  | 39441 | 35938 |
| Freddie Mac Gold Pool 2% 5/1/2041  | 175735 | 148835 |
| Freddie Mac Gold Pool 2% 5/1/2051  | 6946375 | 5465900 |
| Freddie Mac Gold Pool 2% 5/1/2051  | 3614139 | 2826919 |
| Freddie Mac Gold Pool 2% 5/1/2051  | 2840010 | 2250696 |
| Freddie Mac Gold Pool 2% 5/1/2051  | 440223 | 344610 |
| Freddie Mac Gold Pool 2% 5/1/2051  | 193406 | 151702 |
| Freddie Mac Gold Pool 2% 5/1/2051  | 81723 | 64101 |
| Freddie Mac Gold Pool 2% 5/1/2051  | 78274 | 61836 |
| Freddie Mac Gold Pool 2% 6/1/2041  | 298854 | 253081 |
| Freddie Mac Gold Pool 2% 6/1/2050  | 23913791 | 18779700 |
| Freddie Mac Gold Pool 2% 6/1/2050  | 640016 | 506010 |
| Freddie Mac Gold Pool 2% 6/1/2051  | 19131 | 14964 |
| Freddie Mac Gold Pool 2% 6/1/2052  | 356259 | 278214 |
| Freddie Mac Gold Pool 2% 7/1/2041  | 1152419 | 980739 |
| Freddie Mac Gold Pool 2% 7/1/2041  | 17656 | 14928 |
| Freddie Mac Gold Pool 2% 7/1/2050  | 181550 | 143537 |
| Freddie Mac Gold Pool 2% 7/1/2050  | 55157 | 43281 |
| Freddie Mac Gold Pool 2% 7/1/2050  | 21674 | 17020 |
| Freddie Mac Gold Pool 2% 7/1/2051  | 745074 | 592564 |
| Freddie Mac Gold Pool 2% 7/1/2051  | 47008 | 37122 |
| Freddie Mac Gold Pool 2% 8/1/2050  | 16105 | 12733 |
| Freddie Mac Gold Pool 2% 8/1/2051  | 917233 | 716298 |
| Freddie Mac Gold Pool 2% 8/1/2051  | 464981 | 364281 |
| Freddie Mac Gold Pool 2% 8/1/2052  | 530887 | 414089 |
| Freddie Mac Gold Pool 2% 9/1/2050  | 13705614 | 10754567 |
| Freddie Mac Gold Pool 2% 9/1/2050  | 330227 | 260052 |
| Freddie Mac Gold Pool 2% 9/1/2050  | 90529 | 70924 |
| Freddie Mac Gold Pool 2% 9/1/2050  | 15998 | 12554 |
| Freddie Mac Gold Pool 2% 9/1/2051  | 350577 | 276845 |
| Freddie Mac Gold Pool 2% 9/1/2051  | 338177 | 267053 |
| Freddie Mac Gold Pool 2% 9/1/2051  | 102413 | 79882 |
| Freddie Mac Gold Pool 2% 9/1/2051  | 57892 | 45716 |
| Freddie Mac Gold Pool 2.5% 1/1/2031  | 4317 | 4150 |
| Freddie Mac Gold Pool 2.5% 1/1/2041  | 493905 | 434381 |
| Freddie Mac Gold Pool 2.5% 1/1/2042  | 247865 | 216290 |
| Freddie Mac Gold Pool 2.5% 1/1/2052  | 1240700 | 1026089 |
| Freddie Mac Gold Pool 2.5% 1/1/2052  | 741093 | 609428 |
| Freddie Mac Gold Pool 2.5% 1/1/2052  | 694065 | 573575 |
| Freddie Mac Gold Pool 2.5% 1/1/2052  | 55705 | 46157 |
| Freddie Mac Gold Pool 2.5% 10/1/2031  | 24001 | 23045 |
| Freddie Mac Gold Pool 2.5% 10/1/2041  | 123905 | 108345 |
| Freddie Mac Gold Pool 2.5% 10/1/2051  | 675170 | 555639 |
| Freddie Mac Gold Pool 2.5% 11/1/2031  | 100680 | 96384 |
| Freddie Mac Gold Pool 2.5% 11/1/2032  | 5206 | 4966 |
| Freddie Mac Gold Pool 2.5% 11/1/2032  | 4655 | 4434 |
| Freddie Mac Gold Pool 2.5% 11/1/2041  | 1427616 | 1253992 |
| Freddie Mac Gold Pool 2.5% 11/1/2041  | 78053 | 68450 |
| Freddie Mac Gold Pool 2.5% 11/1/2041  | 68192 | 59921 |
| Freddie Mac Gold Pool 2.5% 11/1/2050  | 3310716 | 2753562 |
| Freddie Mac Gold Pool 2.5% 11/1/2050  | 895894 | 742606 |
| Freddie Mac Gold Pool 2.5% 11/1/2051  | 196667 | 160989 |
| Freddie Mac Gold Pool 2.5% 12/1/2050  | 377327 | 313473 |
| Freddie Mac Gold Pool 2.5% 12/1/2051  | 561704 | 462261 |
| Freddie Mac Gold Pool 2.5% 12/1/2051  | 211807 | 173382 |
| Freddie Mac Gold Pool 2.5% 2/1/2035  | 100116 | 93373 |
| Freddie Mac Gold Pool 2.5% 2/1/2042  | 272209 | 238951 |
| Freddie Mac Gold Pool 2.5% 2/1/2051  | 8751951 | 7270896 |
| Freddie Mac Gold Pool 2.5% 2/1/2051  | 2454647 | 2021615 |
| Freddie Mac Gold Pool 2.5% 2/1/2051  | 14812 | 12199 |
| Freddie Mac Gold Pool 2.5% 3/1/2032  | 1328904 | 1271091 |
| Freddie Mac Gold Pool 2.5% 3/1/2033  | 34900 | 33257 |
| Freddie Mac Gold Pool 2.5% 3/1/2050  | 2460296 | 2031650 |
| Freddie Mac Gold Pool 2.5% 3/1/2051  | 2319119 | 1909996 |
| Freddie Mac Gold Pool 2.5% 4/1/2033  | 29696 | 28280 |
| Freddie Mac Gold Pool 2.5% 4/1/2033  | 15137 | 14403 |
| Freddie Mac Gold Pool 2.5% 4/1/2042  | 3757953 | 3274548 |
| Freddie Mac Gold Pool 2.5% 4/1/2042  | 50470 | 44138 |
| Freddie Mac Gold Pool 2.5% 4/1/2047  | 494461 | 410322 |
| Freddie Mac Gold Pool 2.5% 4/1/2052  | 900126 | 746396 |
| Freddie Mac Gold Pool 2.5% 5/1/2033  | 4042 | 3846 |
| Freddie Mac Gold Pool 2.5% 5/1/2041  | 582617 | 514883 |
| Freddie Mac Gold Pool 2.5% 5/1/2051  | 370645 | 307575 |
| Freddie Mac Gold Pool 2.5% 6/1/2031  | 15681 | 15078 |
| Freddie Mac Gold Pool 2.5% 6/1/2031  | 14200 | 13634 |
| Freddie Mac Gold Pool 2.5% 6/1/2040  | 44968 | 39923 |
| Freddie Mac Gold Pool 2.5% 6/1/2041  | 59818 | 52633 |
| Freddie Mac Gold Pool 2.5% 7/1/2031  | 24617 | 23647 |
| Freddie Mac Gold Pool 2.5% 7/1/2032  | 423189 | 404126 |
| Freddie Mac Gold Pool 2.5% 7/1/2033  | 49873 | 47421 |
| Freddie Mac Gold Pool 2.5% 7/1/2036  | 193828 | 179926 |
| Freddie Mac Gold Pool 2.5% 7/1/2050  | 742230 | 615234 |
| Freddie Mac Gold Pool 2.5% 7/1/2050  | 88465 | 73605 |
| Freddie Mac Gold Pool 2.5% 7/1/2051  | 547937 | 453157 |
| Freddie Mac Gold Pool 2.5% 8/1/2031  | 41542 | 39868 |
| Freddie Mac Gold Pool 2.5% 8/1/2032  | 940822 | 898455 |
| Freddie Mac Gold Pool 2.5% 8/1/2041  | 56316 | 49582 |
| Freddie Mac Gold Pool 2.5% 8/1/2050  | 1231497 | 1022712 |
| Freddie Mac Gold Pool 2.5% 9/1/2041  | 124523 | 109510 |
| Freddie Mac Gold Pool 2.5% 9/1/2051  | 745599 | 613832 |
| Freddie Mac Gold Pool 3% 1/1/2033  | 24254 | 23391 |
| Freddie Mac Gold Pool 3% 1/1/2043  | 6054 | 5416 |
| Freddie Mac Gold Pool 3% 1/1/2052  | 877529 | 754008 |
| Freddie Mac Gold Pool 3% 1/1/2052  | 30017 | 25707 |
| Freddie Mac Gold Pool 3% 10/1/2049  | 2218459 | 1916242 |
| Freddie Mac Gold Pool 3% 11/1/2050  | 51937 | 44699 |
| Freddie Mac Gold Pool 3% 11/1/2051  | 337722 | 290184 |
| Freddie Mac Gold Pool 3% 11/1/2051  | 156844 | 134767 |
| Freddie Mac Gold Pool 3% 12/1/2030  | 45032 | 43739 |
| Freddie Mac Gold Pool 3% 12/1/2032  | 38178 | 36997 |
| Freddie Mac Gold Pool 3% 12/1/2032  | 3994 | 3860 |
| Freddie Mac Gold Pool 3% 12/1/2042  | 92693 | 83751 |
| Freddie Mac Gold Pool 3% 12/1/2042  | 8229 | 7434 |
| Freddie Mac Gold Pool 3% 12/1/2042  | 2981 | 2697 |
| Freddie Mac Gold Pool 3% 12/1/2046  | 194815 | 171301 |
| Freddie Mac Gold Pool 3% 12/1/2050  | 426229 | 366833 |
| Freddie Mac Gold Pool 3% 12/1/2051  | 221029 | 189641 |
| Freddie Mac Gold Pool 3% 2/1/2033  | 43345 | 42152 |
| Freddie Mac Gold Pool 3% 2/1/2033  | 15182 | 14637 |
| Freddie Mac Gold Pool 3% 2/1/2037  | 26840 | 25067 |
| Freddie Mac Gold Pool 3% 2/1/2043  | 6396 | 5805 |
| Freddie Mac Gold Pool 3% 2/1/2050  | 490907 | 425105 |
| Freddie Mac Gold Pool 3% 3/1/2033  | 30029 | 28952 |
| Freddie Mac Gold Pool 3% 3/1/2050  | 4016748 | 3464532 |
| Freddie Mac Gold Pool 3% 3/1/2052  | 797325 | 683225 |
| Freddie Mac Gold Pool 3% 3/1/2052  | 441066 | 377948 |
| Freddie Mac Gold Pool 3% 3/1/2052  | 426770 | 366498 |
| Freddie Mac Gold Pool 3% 4/1/2034  | 36662 | 35114 |
| Freddie Mac Gold Pool 3% 4/1/2046  | 9619 | 8485 |
| Freddie Mac Gold Pool 3% 4/1/2046  | 7999 | 7056 |
| Freddie Mac Gold Pool 3% 4/1/2050  | 4027251 | 3473591 |
| Freddie Mac Gold Pool 3% 4/1/2050  | 167648 | 145177 |
| Freddie Mac Gold Pool 3% 5/1/2035  | 481634 | 458364 |
| Freddie Mac Gold Pool 3% 5/1/2045  | 4162 | 3693 |
| Freddie Mac Gold Pool 3% 5/1/2046  | 148566 | 131052 |
| Freddie Mac Gold Pool 3% 5/1/2046  | 23119 | 20394 |
| Freddie Mac Gold Pool 3% 5/1/2051  | 321665 | 276941 |
| Freddie Mac Gold Pool 3% 5/1/2052  | 3713879 | 3194016 |
| Freddie Mac Gold Pool 3% 6/1/2031  | 13498 | 13111 |
| Freddie Mac Gold Pool 3% 6/1/2031  | 4911 | 4770 |
| Freddie Mac Gold Pool 3% 6/1/2046  | 146455 | 129189 |
| Freddie Mac Gold Pool 3% 6/1/2050  | 80510 | 69869 |
| Freddie Mac Gold Pool 3% 6/1/2052  | 1442312 | 1235912 |
| Freddie Mac Gold Pool 3% 6/1/2052  | 1270294 | 1091289 |
| Freddie Mac Gold Pool 3% 7/1/2045  | 9480 | 8380 |
| Freddie Mac Gold Pool 3% 9/1/2049  | 11880 | 10358 |
| Freddie Mac Gold Pool 3% 9/1/2051  | 297669 | 256049 |
| Freddie Mac Gold Pool 3% 9/1/2051  | 165747 | 142416 |
| Freddie Mac Gold Pool 3.5% 1/1/2046  | 18156 | 16500 |
| Freddie Mac Gold Pool 3.5% 1/1/2046  | 6102 | 5563 |
| Freddie Mac Gold Pool 3.5% 1/1/2048  | 945019 | 852989 |
| Freddie Mac Gold Pool 3.5% 1/1/2048  | 9321 | 8474 |
| Freddie Mac Gold Pool 3.5% 10/1/2040  | 6875 | 6296 |
| Freddie Mac Gold Pool 3.5% 10/1/2047  | 32574 | 29646 |
| Freddie Mac Gold Pool 3.5% 10/1/2051  | 213457 | 191670 |
| Freddie Mac Gold Pool 3.5% 11/1/2033  | 64599 | 62459 |
| Freddie Mac Gold Pool 3.5% 11/1/2040  | 14376 | 13155 |
| Freddie Mac Gold Pool 3.5% 11/1/2047  | 223824 | 203706 |
| Freddie Mac Gold Pool 3.5% 11/1/2047  | 27365 | 24904 |
| Freddie Mac Gold Pool 3.5% 11/1/2047  | 9005 | 8150 |
| Freddie Mac Gold Pool 3.5% 12/1/2033  | 23674 | 23020 |
| Freddie Mac Gold Pool 3.5% 12/1/2040  | 13999 | 12810 |
| Freddie Mac Gold Pool 3.5% 12/1/2046  | 33764 | 30653 |
| Freddie Mac Gold Pool 3.5% 12/1/2047  | 52991 | 48179 |
| Freddie Mac Gold Pool 3.5% 12/1/2047  | 38261 | 34580 |
| Freddie Mac Gold Pool 3.5% 2/1/2034  | 253242 | 246327 |
| Freddie Mac Gold Pool 3.5% 2/1/2043  | 909183 | 841923 |
| Freddie Mac Gold Pool 3.5% 2/1/2043  | 19061 | 17698 |
| Freddie Mac Gold Pool 3.5% 2/1/2043  | 7764 | 7255 |
| Freddie Mac Gold Pool 3.5% 2/1/2048  | 116655 | 105434 |
| Freddie Mac Gold Pool 3.5% 2/1/2048  | 20649 | 18663 |
| Freddie Mac Gold Pool 3.5% 2/1/2052  | 277150 | 248168 |
| Freddie Mac Gold Pool 3.5% 2/1/2052  | 65343 | 58347 |
| Freddie Mac Gold Pool 3.5% 3/1/2032  | 153295 | 149743 |
| Freddie Mac Gold Pool 3.5% 3/1/2045  | 50991 | 46740 |
| Freddie Mac Gold Pool 3.5% 3/1/2045  | 12924 | 11867 |
| Freddie Mac Gold Pool 3.5% 3/1/2045  | 9724 | 8933 |
| Freddie Mac Gold Pool 3.5% 3/1/2046  | 187003 | 170769 |
| Freddie Mac Gold Pool 3.5% 3/1/2048  | 46149 | 41710 |
| Freddie Mac Gold Pool 3.5% 3/1/2052  | 236262 | 211637 |
| Freddie Mac Gold Pool 3.5% 3/1/2052  | 108183 | 96836 |
| Freddie Mac Gold Pool 3.5% 4/1/2033  | 157137 | 153184 |
| Freddie Mac Gold Pool 3.5% 4/1/2040  | 17046 | 15906 |
| Freddie Mac Gold Pool 3.5% 4/1/2042  | 167737 | 156134 |
| Freddie Mac Gold Pool 3.5% 4/1/2043  | 23349 | 21591 |
| Freddie Mac Gold Pool 3.5% 4/1/2043  | 10166 | 9413 |
| Freddie Mac Gold Pool 3.5% 4/1/2046  | 42565 | 38684 |
| Freddie Mac Gold Pool 3.5% 4/1/2046  | 35894 | 32688 |
| Freddie Mac Gold Pool 3.5% 4/1/2052  | 245728 | 221337 |
| Freddie Mac Gold Pool 3.5% 5/1/2034  | 27945 | 27097 |
| Freddie Mac Gold Pool 3.5% 5/1/2040  | 35137 | 32815 |
| Freddie Mac Gold Pool 3.5% 5/1/2040  | 5836 | 5444 |
| Freddie Mac Gold Pool 3.5% 5/1/2045  | 83392 | 76317 |
| Freddie Mac Gold Pool 3.5% 5/1/2046  | 366755 | 334916 |
| Freddie Mac Gold Pool 3.5% 6/1/2032  | 108970 | 106375 |
| Freddie Mac Gold Pool 3.5% 6/1/2040  | 30507 | 27935 |
| Freddie Mac Gold Pool 3.5% 6/1/2045  | 176886 | 161253 |
| Freddie Mac Gold Pool 3.5% 6/1/2045  | 100453 | 91387 |
| Freddie Mac Gold Pool 3.5% 6/1/2045  | 16076 | 14776 |
| Freddie Mac Gold Pool 3.5% 6/1/2045  | 9768 | 8920 |
| Freddie Mac Gold Pool 3.5% 7/1/2032  | 155137 | 151446 |
| Freddie Mac Gold Pool 3.5% 7/1/2040  | 4388 | 4018 |
| Freddie Mac Gold Pool 3.5% 7/1/2042  | 544093 | 503914 |
| Freddie Mac Gold Pool 3.5% 7/1/2047  | 536435 | 488218 |
| Freddie Mac Gold Pool 3.5% 8/1/2034  | 46721 | 45280 |
| Freddie Mac Gold Pool 3.5% 8/1/2040  | 19940 | 18259 |
| Freddie Mac Gold Pool 3.5% 8/1/2047  | 832248 | 757443 |
| Freddie Mac Gold Pool 3.5% 8/1/2047  | 95475 | 86893 |
| Freddie Mac Gold Pool 3.5% 8/1/2047  | 65716 | 59809 |
| Freddie Mac Gold Pool 3.5% 8/1/2049  | 10114090 | 9135464 |
| Freddie Mac Gold Pool 3.5% 8/1/2051  | 276329 | 248211 |
| Freddie Mac Gold Pool 3.5% 9/1/2040  | 15021 | 13666 |
| Freddie Mac Gold Pool 3.5% 9/1/2042  | 1301960 | 1204942 |
| Freddie Mac Gold Pool 3.5% 9/1/2042  | 689159 | 637405 |
| Freddie Mac Gold Pool 3.5% 9/1/2046  | 447843 | 408264 |
| Freddie Mac Gold Pool 3.5% 9/1/2046  | 48058 | 43631 |
| Freddie Mac Gold Pool 3.5% 9/1/2047  | 18232 | 16593 |
| Freddie Mac Gold Pool 3.5% 9/1/2047  | 14982 | 13635 |
| Freddie Mac Gold Pool 4% 1/1/2036  | 80589 | 78151 |
| Freddie Mac Gold Pool 4% 1/1/2039  | 8665 | 8276 |
| Freddie Mac Gold Pool 4% 1/1/2041  | 6152 | 5879 |
| Freddie Mac Gold Pool 4% 1/1/2041  | 3086 | 2960 |
| Freddie Mac Gold Pool 4% 1/1/2044  | 4491 | 4242 |
| Freddie Mac Gold Pool 4% 10/1/2041  | 48481 | 46198 |
| Freddie Mac Gold Pool 4% 10/1/2041  | 5808 | 5539 |
| Freddie Mac Gold Pool 4% 10/1/2041  | 4511 | 4304 |
| Freddie Mac Gold Pool 4% 10/1/2042  | 2322 | 2207 |
| Freddie Mac Gold Pool 4% 10/1/2043  | 11866 | 11236 |
| Freddie Mac Gold Pool 4% 10/1/2044  | 7838 | 7387 |
| Freddie Mac Gold Pool 4% 10/1/2045  | 2979 | 2792 |
| Freddie Mac Gold Pool 4% 10/1/2052  | 638728 | 592759 |
| Freddie Mac Gold Pool 4% 11/1/2041  | 8225 | 7828 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 101720 | 97026 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 90499 | 86170 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 9947 | 9456 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 8531 | 8093 |
| Freddie Mac Gold Pool 4% 11/1/2047  | 60199 | 56236 |
| Freddie Mac Gold Pool 4% 11/1/2051  | 36271 | 33853 |
| Freddie Mac Gold Pool 4% 12/1/2042  | 2446 | 2334 |
| Freddie Mac Gold Pool 4% 12/1/2047  | 98736 | 92236 |
| Freddie Mac Gold Pool 4% 2/1/2041  | 16025 | 15319 |
| Freddie Mac Gold Pool 4% 2/1/2042  | 22143 | 21061 |
| Freddie Mac Gold Pool 4% 2/1/2043  | 8021 | 7606 |
| Freddie Mac Gold Pool 4% 2/1/2043  | 6106 | 5785 |
| Freddie Mac Gold Pool 4% 2/1/2043  | 5128 | 4859 |
| Freddie Mac Gold Pool 4% 2/1/2043  | 2629 | 2488 |
| Freddie Mac Gold Pool 4% 2/1/2045  | 68142 | 64420 |
| Freddie Mac Gold Pool 4% 2/1/2046  | 24984 | 23616 |
| Freddie Mac Gold Pool 4% 2/1/2048  | 64951 | 60614 |
| Freddie Mac Gold Pool 4% 2/1/2050  | 14916 | 13832 |
| Freddie Mac Gold Pool 4% 2/1/2052  | 20318 | 18964 |
| Freddie Mac Gold Pool 4% 2/1/2052  | 15970 | 14905 |
| Freddie Mac Gold Pool 4% 2/1/2053  | 7037937 | 6522618 |
| Freddie Mac Gold Pool 4% 2/1/2053  | 1853053 | 1717372 |
| Freddie Mac Gold Pool 4% 3/1/2042  | 4145 | 3955 |
| Freddie Mac Gold Pool 4% 3/1/2042  | 4046 | 3848 |
| Freddie Mac Gold Pool 4% 4/1/2042  | 55048 | 52348 |
| Freddie Mac Gold Pool 4% 4/1/2042  | 42570 | 40548 |
| Freddie Mac Gold Pool 4% 4/1/2043  | 81874 | 77812 |
| Freddie Mac Gold Pool 4% 4/1/2043  | 4270 | 4056 |
| Freddie Mac Gold Pool 4% 4/1/2046  | 23689 | 22219 |
| Freddie Mac Gold Pool 4% 4/1/2048  | 22178 | 20698 |
| Freddie Mac Gold Pool 4% 4/1/2048  | 18543 | 17288 |
| Freddie Mac Gold Pool 4% 4/1/2048  | 10010 | 9332 |
| Freddie Mac Gold Pool 4% 4/1/2048  | 4009 | 3737 |
| Freddie Mac Gold Pool 4% 4/1/2048  | 1095 | 1021 |
| Freddie Mac Gold Pool 4% 4/1/2052  | 39776 | 37125 |
| Freddie Mac Gold Pool 4% 4/1/2052  | 26482 | 24717 |
| Freddie Mac Gold Pool 4% 5/1/2038  | 110220 | 105612 |
| Freddie Mac Gold Pool 4% 5/1/2042  | 7114 | 6790 |
| Freddie Mac Gold Pool 4% 5/1/2043  | 5212 | 4935 |
| Freddie Mac Gold Pool 4% 5/1/2045  | 33109 | 31573 |
| Freddie Mac Gold Pool 4% 5/1/2045  | 8287 | 7795 |
| Freddie Mac Gold Pool 4% 5/1/2048  | 135789 | 127019 |
| Freddie Mac Gold Pool 4% 6/1/2038  | 4413 | 4228 |
| Freddie Mac Gold Pool 4% 6/1/2038  | 3273 | 3136 |
| Freddie Mac Gold Pool 4% 6/1/2041  | 2079 | 1979 |
| Freddie Mac Gold Pool 4% 6/1/2045  | 5486 | 5166 |
| Freddie Mac Gold Pool 4% 6/1/2047  | 379334 | 355310 |
| Freddie Mac Gold Pool 4% 6/1/2047  | 26874 | 25223 |
| Freddie Mac Gold Pool 4% 6/1/2052  | 20414 | 19054 |
| Freddie Mac Gold Pool 4% 7/1/2042  | 85406 | 81089 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 10951 | 10368 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 9913 | 9413 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 4711 | 4472 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 4430 | 4188 |
| Freddie Mac Gold Pool 4% 7/1/2045  | 17511 | 16490 |
| Freddie Mac Gold Pool 4% 7/1/2052  | 33429 | 31200 |
| Freddie Mac Gold Pool 4% 8/1/2038  | 24950 | 23907 |
| Freddie Mac Gold Pool 4% 8/1/2038  | 17733 | 16992 |
| Freddie Mac Gold Pool 4% 8/1/2043  | 5220 | 4940 |
| Freddie Mac Gold Pool 4% 8/1/2052  | 19966 | 18629 |
| Freddie Mac Gold Pool 4% 9/1/2041  | 5973 | 5697 |
| Freddie Mac Gold Pool 4% 9/1/2041  | 2182 | 2081 |
| Freddie Mac Gold Pool 4% 9/1/2041  | 1983 | 1887 |
| Freddie Mac Gold Pool 4% 9/1/2042  | 34897 | 33194 |
| Freddie Mac Gold Pool 4% 9/1/2042  | 6283 | 6007 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 8323 | 7890 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 7457 | 7065 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 7224 | 6853 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 6263 | 5925 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 6104 | 5770 |
| Freddie Mac Gold Pool 4% 9/1/2044  | 5512 | 5211 |
| Freddie Mac Gold Pool 4% 9/1/2051  | 41197 | 38477 |
| Freddie Mac Gold Pool 4.5% 1/1/2040  | 2080 | 2050 |
| Freddie Mac Gold Pool 4.5% 1/1/2041  | 1255 | 1237 |
| Freddie Mac Gold Pool 4.5% 1/1/2042  | 61185 | 60224 |
| Freddie Mac Gold Pool 4.5% 1/1/2047  | 4311 | 4149 |
| Freddie Mac Gold Pool 4.5% 10/1/2039  | 12156 | 11980 |
| Freddie Mac Gold Pool 4.5% 10/1/2039  | 2786 | 2744 |
| Freddie Mac Gold Pool 4.5% 10/1/2039  | 1142 | 1126 |
| Freddie Mac Gold Pool 4.5% 10/1/2040  | 5648 | 5560 |
| Freddie Mac Gold Pool 4.5% 10/1/2040  | 3442 | 3383 |
| Freddie Mac Gold Pool 4.5% 10/1/2041  | 14933 | 14670 |
| Freddie Mac Gold Pool 4.5% 10/1/2048  | 80251 | 77388 |
| Freddie Mac Gold Pool 4.5% 10/1/2048  | 11776 | 11282 |
| Freddie Mac Gold Pool 4.5% 11/1/2040  | 1370 | 1349 |
| Freddie Mac Gold Pool 4.5% 12/1/2040  | 2055 | 2019 |
| Freddie Mac Gold Pool 4.5% 12/1/2040  | 1772 | 1742 |
| Freddie Mac Gold Pool 4.5% 12/1/2044  | 3750 | 3641 |
| Freddie Mac Gold Pool 4.5% 12/1/2045  | 11135 | 10978 |
| Freddie Mac Gold Pool 4.5% 12/1/2046  | 5843 | 5623 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 9040 | 8902 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 2338 | 2297 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 2334 | 2292 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 2197 | 2163 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 1443 | 1422 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 1000 | 983 |
| Freddie Mac Gold Pool 4.5% 2/1/2047  | 21071 | 20260 |
| Freddie Mac Gold Pool 4.5% 3/1/2041  | 23107 | 22741 |
| Freddie Mac Gold Pool 4.5% 3/1/2041  | 9733 | 9582 |
| Freddie Mac Gold Pool 4.5% 3/1/2041  | 2649 | 2609 |
| Freddie Mac Gold Pool 4.5% 3/1/2041  | 2256 | 2221 |
| Freddie Mac Gold Pool 4.5% 4/1/2041  | 29619 | 29145 |
| Freddie Mac Gold Pool 4.5% 4/1/2041  | 3166 | 3109 |
| Freddie Mac Gold Pool 4.5% 4/1/2041  | 3107 | 3054 |
| Freddie Mac Gold Pool 4.5% 5/1/2035  | 983 | 973 |
| Freddie Mac Gold Pool 4.5% 5/1/2039  | 7951 | 7842 |
| Freddie Mac Gold Pool 4.5% 5/1/2041  | 3372 | 3314 |
| Freddie Mac Gold Pool 4.5% 5/1/2041  | 3300 | 3240 |
| Freddie Mac Gold Pool 4.5% 5/1/2045  | 18617 | 18046 |
| Freddie Mac Gold Pool 4.5% 5/1/2047  | 53204 | 51157 |
| Freddie Mac Gold Pool 4.5% 5/1/2047  | 39725 | 38196 |
| Freddie Mac Gold Pool 4.5% 5/1/2047  | 17209 | 16547 |
| Freddie Mac Gold Pool 4.5% 6/1/2038  | 1226 | 1214 |
| Freddie Mac Gold Pool 4.5% 6/1/2041  | 3546 | 3494 |
| Freddie Mac Gold Pool 4.5% 6/1/2041  | 2572 | 2527 |
| Freddie Mac Gold Pool 4.5% 6/1/2041  | 2206 | 2173 |
| Freddie Mac Gold Pool 4.5% 6/1/2041  | 1054 | 1041 |
| Freddie Mac Gold Pool 4.5% 6/1/2047  | 76093 | 73164 |
| Freddie Mac Gold Pool 4.5% 6/1/2047  | 21235 | 20451 |
| Freddie Mac Gold Pool 4.5% 7/1/2025  | 42 | 42 |
| Freddie Mac Gold Pool 4.5% 7/1/2040  | 4271 | 4209 |
| Freddie Mac Gold Pool 4.5% 7/1/2040  | 1868 | 1837 |
| Freddie Mac Gold Pool 4.5% 7/1/2040  | 1686 | 1660 |
| Freddie Mac Gold Pool 4.5% 7/1/2047  | 38601 | 37296 |
| Freddie Mac Gold Pool 4.5% 7/1/2047  | 31929 | 30690 |
| Freddie Mac Gold Pool 4.5% 7/1/2047  | 16788 | 16163 |
| Freddie Mac Gold Pool 4.5% 8/1/2033  | 497 | 493 |
| Freddie Mac Gold Pool 4.5% 8/1/2040  | 1495 | 1472 |
| Freddie Mac Gold Pool 4.5% 8/1/2041  | 10669 | 10498 |
| Freddie Mac Gold Pool 4.5% 8/1/2041  | 1494 | 1468 |
| Freddie Mac Gold Pool 4.5% 8/1/2041  | 1126 | 1108 |
| Freddie Mac Gold Pool 4.5% 8/1/2052  | 3787809 | 3587563 |
| Freddie Mac Gold Pool 4.5% 8/1/2052  | 50587 | 47972 |
| Freddie Mac Gold Pool 4.5% 9/1/2039  | 6772 | 6689 |
| Freddie Mac Gold Pool 4.5% 9/1/2040  | 2834 | 2790 |
| Freddie Mac Gold Pool 4.5% 9/1/2041  | 26193 | 25806 |
| Freddie Mac Gold Pool 4.5% 9/1/2041  | 14845 | 14610 |
| Freddie Mac Gold Pool 4.5% 9/1/2041  | 11145 | 10964 |
| Freddie Mac Gold Pool 4.5% 9/1/2052  | 3067968 | 2904579 |
| Freddie Mac Gold Pool 5% 1/1/2035  | 11528 | 11606 |
| Freddie Mac Gold Pool 5% 1/1/2037  | 521 | 525 |
| Freddie Mac Gold Pool 5% 1/1/2040  | 4860 | 4892 |
| Freddie Mac Gold Pool 5% 1/1/2053  | 376495 | 367862 |
| Freddie Mac Gold Pool 5% 10/1/2033  | 1300 | 1309 |
| Freddie Mac Gold Pool 5% 10/1/2033  | 919 | 925 |
| Freddie Mac Gold Pool 5% 10/1/2052  | 161710 | 158406 |
| Freddie Mac Gold Pool 5% 11/1/2035  | 738 | 743 |
| Freddie Mac Gold Pool 5% 11/1/2052  | 755685 | 740010 |
| Freddie Mac Gold Pool 5% 11/1/2052  | 259523 | 254951 |
| Freddie Mac Gold Pool 5% 12/1/2033  | 504 | 507 |
| Freddie Mac Gold Pool 5% 12/1/2035  | 2050 | 2065 |
| Freddie Mac Gold Pool 5% 12/1/2052  | 573238 | 561347 |
| Freddie Mac Gold Pool 5% 12/1/2052  | 428650 | 419758 |
| Freddie Mac Gold Pool 5% 12/1/2052  | 399161 | 390881 |
| Freddie Mac Gold Pool 5% 12/1/2052  | 110920 | 108619 |
| Freddie Mac Gold Pool 5% 12/1/2054  | 2695347 | 2623856 |
| Freddie Mac Gold Pool 5% 4/1/2034  | 423 | 426 |
| Freddie Mac Gold Pool 5% 4/1/2035  | 3000 | 3021 |
| Freddie Mac Gold Pool 5% 4/1/2035  | 1058 | 1066 |
| Freddie Mac Gold Pool 5% 4/1/2035  | 776 | 782 |
| Freddie Mac Gold Pool 5% 4/1/2036  | 7585 | 7639 |
| Freddie Mac Gold Pool 5% 4/1/2040  | 6615 | 6657 |
| Freddie Mac Gold Pool 5% 5/1/2034  | 512 | 516 |
| Freddie Mac Gold Pool 5% 5/1/2034  | 257 | 259 |
| Freddie Mac Gold Pool 5% 5/1/2035  | 2930 | 2951 |
| Freddie Mac Gold Pool 5% 6/1/2035  | 549 | 552 |
| Freddie Mac Gold Pool 5% 6/1/2035  | 244 | 246 |
| Freddie Mac Gold Pool 5% 6/1/2040  | 4232 | 4259 |
| Freddie Mac Gold Pool 5% 6/1/2040  | 3380 | 3402 |
| Freddie Mac Gold Pool 5% 6/1/2041  | 106403 | 107081 |
| Freddie Mac Gold Pool 5% 6/1/2052  | 2154698 | 2118084 |
| Freddie Mac Gold Pool 5% 6/1/2053  | 326953 | 322521 |
| Freddie Mac Gold Pool 5% 7/1/2035  | 19130 | 19264 |
| Freddie Mac Gold Pool 5% 7/1/2035  | 2664 | 2683 |
| Freddie Mac Gold Pool 5% 7/1/2041  | 1930 | 1942 |
| Freddie Mac Gold Pool 5% 7/1/2041  | 1572 | 1580 |
| Freddie Mac Gold Pool 5% 7/1/2041  | 861 | 866 |
| Freddie Mac Gold Pool 5% 8/1/2033  | 348 | 350 |
| Freddie Mac Gold Pool 5% 8/1/2034  | 4641 | 4673 |
| Freddie Mac Gold Pool 5% 8/1/2035  | 382 | 385 |
| Freddie Mac Gold Pool 5% 8/1/2040  | 3657 | 3681 |
| Freddie Mac Gold Pool 5% 9/1/2033  | 1115 | 1123 |
| Freddie Mac Gold Pool 5% 9/1/2035  | 2438 | 2455 |
| Freddie Mac Gold Pool 5% 9/1/2052  | 156196 | 153005 |
| Freddie Mac Gold Pool 5% 9/1/2054  | 6725793 | 6539517 |
| Freddie Mac Gold Pool 5.5% 1/1/2055  | 10253536 | 10288577 |
| Freddie Mac Gold Pool 5.5% 1/1/2055  | 1897931 | 1896113 |
| Freddie Mac Gold Pool 5.5% 11/1/2052  | 920198 | 922480 |
| Freddie Mac Gold Pool 5.5% 2/1/2054  | 255219 | 253619 |
| Freddie Mac Gold Pool 5.5% 3/1/2053 (v)(w) | 1246801 | 1250283 |
| Freddie Mac Gold Pool 5.5% 4/1/2053  | 213495 | 214024 |
| Freddie Mac Gold Pool 5.5% 5/1/2053  | 587497 | 586567 |
| Freddie Mac Gold Pool 5.5% 9/1/2053  | 3927684 | 3933742 |
| Freddie Mac Gold Pool 5.5% 9/1/2054  | 1778462 | 1779538 |
| Freddie Mac Gold Pool 6% 1/1/2032  | 264 | 272 |
| Freddie Mac Gold Pool 6% 1/1/2032  | 167 | 172 |
| Freddie Mac Gold Pool 6% 10/1/2032  | 140 | 145 |
| Freddie Mac Gold Pool 6% 10/1/2054  | 1389015 | 1422784 |
| Freddie Mac Gold Pool 6% 11/1/2031  | 178 | 184 |
| Freddie Mac Gold Pool 6% 11/1/2032  | 1457 | 1505 |
| Freddie Mac Gold Pool 6% 11/1/2053  | 343499 | 350025 |
| Freddie Mac Gold Pool 6% 12/1/2032  | 74 | 76 |
| Freddie Mac Gold Pool 6% 12/1/2037  | 3828 | 4016 |
| Freddie Mac Gold Pool 6% 12/1/2037  | 990 | 1039 |
| Freddie Mac Gold Pool 6% 12/1/2052  | 316416 | 322922 |
| Freddie Mac Gold Pool 6% 3/1/2053  | 1133973 | 1162249 |
| Freddie Mac Gold Pool 6% 4/1/2031  | 136 | 140 |
| Freddie Mac Gold Pool 6% 4/1/2033  | 483 | 499 |
| Freddie Mac Gold Pool 6% 4/1/2039  | 1325898 | 1362047 |
| Freddie Mac Gold Pool 6% 4/1/2054  | 17924815 | 18343778 |
| Freddie Mac Gold Pool 6% 5/1/2029  | 29 | 29 |
| Freddie Mac Gold Pool 6% 5/1/2033  | 3439 | 3541 |
| Freddie Mac Gold Pool 6% 5/1/2054  | 2057000 | 2107007 |
| Freddie Mac Gold Pool 6% 6/1/2031  | 46 | 47 |
| Freddie Mac Gold Pool 6% 7/1/2032  | 350 | 361 |
| Freddie Mac Gold Pool 6% 7/1/2033  | 457 | 475 |
| Freddie Mac Gold Pool 6% 7/1/2039  | 3550069 | 3636874 |
| Freddie Mac Gold Pool 6% 8/1/2037  | 3334 | 3493 |
| Freddie Mac Gold Pool 6% 9/1/2033  | 2655 | 2751 |
| Freddie Mac Gold Pool 6% 9/1/2039  | 816807 | 837954 |
| Freddie Mac Gold Pool 6% 9/1/2054  | 1029056 | 1055038 |
| Freddie Mac Gold Pool 6% 9/1/2054  | 281599 | 287125 |
| Freddie Mac Gold Pool 6.5% 1/1/2032  | 1743 | 1814 |
| Freddie Mac Gold Pool 6.5% 1/1/2054  | 1608319 | 1666657 |
| Freddie Mac Gold Pool 6.5% 1/1/2054  | 1377929 | 1428772 |
| Freddie Mac Gold Pool 6.5% 10/1/2032  | 1004 | 1047 |
| Freddie Mac Gold Pool 6.5% 10/1/2053  | 320185 | 331799 |
| Freddie Mac Gold Pool 6.5% 10/1/2053  | 314894 | 326512 |
| Freddie Mac Gold Pool 6.5% 2/1/2054  | 6911094 | 7161777 |
| Freddie Mac Gold Pool 6.5% 3/1/2036  | 10539 | 10964 |
| Freddie Mac Gold Pool 6.5% 4/1/2032  | 103 | 107 |
| Freddie Mac Gold Pool 6.5% 6/1/2054  | 7325713 | 7614328 |
| Freddie Mac Gold Pool 6.5% 6/1/2054  | 2643733 | 2753879 |
| Freddie Mac Gold Pool 6.5% 7/1/2032  | 26 | 28 |
| Freddie Mac Gold Pool 6.5% 8/1/2032  | 403 | 420 |
| Freddie Mac Gold Pool 6.5% 8/1/2032  | 272 | 284 |
| Freddie Mac Gold Pool 6.5% 8/1/2032  | 257 | 267 |
| Freddie Mac Gold Pool 6.5% 9/1/2039  | 12931 | 13726 |
| Freddie Mac Gold Pool 6.5% 9/1/2053  | 322257 | 334878 |
| Freddie Mac Gold Pool 6.5% 9/1/2053  | 315550 | 326996 |
| Freddie Mac Gold Pool 6.5% 9/1/2054  | 3133355 | 3265859 |
| Freddie Mac Gold Pool 6.5% 9/1/2054  | 1938284 | 2022067 |
| Freddie Mac Gold Pool 7% 1/1/2036  | 532 | 560 |
| Freddie Mac Gold Pool 7% 11/1/2034  | 862 | 908 |
| Freddie Mac Gold Pool 7% 11/1/2034  | 773 | 817 |
| Freddie Mac Gold Pool 7% 4/1/2032  | 341 | 356 |
| Freddie Mac Gold Pool 7% 4/1/2032  | 148 | 156 |
| Freddie Mac Gold Pool 7% 7/1/2029  | 1436 | 1498 |
| Freddie Mac Gold Pool 7% 8/1/2026  | 122 | 123 |
| Freddie Mac Gold Pool 7% 9/1/2026  | 149 | 150 |
| Freddie Mac Gold Pool 7% 9/1/2035  | 2227 | 2348 |
| Freddie Mac Gold Pool 7.5% 1/1/2027  | 4 | 4 |
| Freddie Mac Gold Pool 8% 7/1/2030  | 38 | 39 |
| Freddie Mac Gold Pool 8% 8/1/2030  | 87 | 90 |
| Freddie Mac Gold Pool 8.5% 8/1/2027  | 39 | 40 |
| Freddie Mac Manufactured Housing participation certificates 6% 3/1/2055  | 4314180 | 4408613 |
| Freddie Mac Manufactured Housing participation certificates 6.5% 3/1/2055  | 617014 | 642577 |
| Freddie Mac Manufactured Housing participation certificates 6.5% 3/1/2055  | 574454 | 599151 |
| Freddie Mac Manufactured Housing participation certificates 6.5% 3/1/2055  | 180862 | 189668 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.325%, 6.133% 1/1/2036 (b)(d) | 2655 | 2696 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.375%, 6.381% 3/1/2036 (b)(d) | 1834 | 1866 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.5%, 6.5% 3/1/2036 (b)(d) | 1396 | 1432 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.665%, 6.665% 7/1/2036 (b)(d) | 8970 | 9208 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.75%, 6.61% 12/1/2040 (b)(d) | 13157 | 13631 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.75%, 7.3% 9/1/2041 (b)(d) | 30888 | 31996 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.75%, 7.567% 7/1/2041 (b)(d) | 3286 | 3400 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.864%, 6.864% 4/1/2036 (b)(d) | 964 | 996 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.88%, 6.88% 10/1/2041 (b)(d) | 26399 | 27455 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.88%, 6.88% 4/1/2041 (b)(d) | 476 | 496 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.88%, 7.601% 9/1/2041 (b)(d) | 3713 | 3855 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.91%, 7.125% 5/1/2041 (b)(d) | 6896 | 7178 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.91%, 7.308% 5/1/2041 (b)(d) | 4610 | 4787 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.91%, 7.572% 6/1/2041 (b)(d) | 6607 | 6860 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.91%, 7.785% 6/1/2041 (b)(d) | 1900 | 1972 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.927%, 7.283% 10/1/2042 (b)(d) | 14204 | 14725 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 2.01%, 7.009% 4/1/2038 (b)(d) | 783 | 816 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 2.031%, 7.658% 3/1/2033 (b)(d) | 29 | 29 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 2.045%, 7.905% 7/1/2036 (b)(d) | 4740 | 4892 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 2.2%, 6.825% 12/1/2036 (b)(d) | 1152 | 1200 |
| Freddie Mac Non Gold Pool 1 year U.S. Treasury Index + 2.035%, 6.681% 6/1/2033 (b)(d) | 10214 | 10347 |
| Freddie Mac Non Gold Pool 1 year U.S. Treasury Index + 2.23%, 6.48% 4/1/2034 (b)(d) | 3411 | 3480 |
| Freddie Mac Non Gold Pool 1 year U.S. Treasury Index + 2.247%, 7.038% 6/1/2033 (b)(d) | 2557 | 2595 |
| Freddie Mac Non Gold Pool 1 year U.S. Treasury Index + 2.375%, 7.219% 3/1/2035 (b)(d) | 4386 | 4472 |
| Freddie Mac Non Gold Pool 1 year U.S. Treasury Index + 2.548%, 7.588% 7/1/2035 (b)(d) | 6179 | 6322 |
| Freddie Mac Non Gold Pool 5% 8/1/2053  | 537621 | 523403 |
| Freddie Mac Non Gold Pool 5.5% 4/1/2055  | 1996445 | 1997653 |
| Freddie Mac Non Gold Pool 5.5% 7/1/2053  | 3397051 | 3393798 |
| Freddie Mac Non Gold Pool 5.5% 8/1/2053  | 1478965 | 1480321 |
| Freddie Mac Non Gold Pool 5.5% 8/1/2053  | 419708 | 420093 |
| Freddie Mac Non Gold Pool 5.5% 8/1/2053  | 414462 | 414065 |
| Freddie Mac Non Gold Pool 6 month FTSE USD IBOR Consumer Fallbacks + 1.665%, 6.29% 1/1/2037 (b)(d) | 2196 | 2237 |
| Freddie Mac Non Gold Pool 6 month FTSE USD IBOR Consumer Fallbacks + 1.665%, 6.29% 10/1/2036 (b)(d) | 6517 | 6629 |
| Freddie Mac Non Gold Pool 6 month FTSE USD IBOR Consumer Fallbacks + 1.665%, 6.54% 7/1/2035 (b)(d) | 1583 | 1610 |
| Freddie Mac Non Gold Pool 6 month FTSE USD IBOR Consumer Fallbacks + 1.995%, 6.662% 10/1/2035 (b)(d) | 7811 | 7985 |
| Freddie Mac Non Gold Pool 6 month FTSE USD IBOR Consumer Fallbacks + 2.01%, 6.635% 5/1/2037 (b)(d) | 1542 | 1584 |
| Freddie Mac Non Gold Pool 6 month FTSE USD IBOR Consumer Fallbacks + 2.02%, 6.635% 6/1/2037 (b)(d) | 3258 | 3348 |
| Freddie Mac Non Gold Pool 6 month FTSE USD IBOR Consumer Fallbacks + 3.281%, 7.906% 10/1/2035 (b)(d) | 165 | 172 |
| Freddie Mac Non Gold Pool 6% 11/1/2054  | 1148906 | 1173247 |
| Freddie Mac Non Gold Pool 6% 6/1/2053  | 360873 | 368405 |
| Freddie Mac Non Gold Pool 6% 6/1/2053  | 353763 | 360594 |
| Freddie Mac Non Gold Pool 6% 6/1/2053  | 308580 | 314635 |
| Freddie Mac Non Gold Pool 6% 6/1/2054  | 3076815 | 3141038 |
| Freddie Mac Non Gold Pool 6% 7/1/2053  | 371160 | 378907 |
| Freddie Mac Non Gold Pool 6% 7/1/2053  | 328688 | 335138 |
| Freddie Mac Non Gold Pool 6% 9/1/2053  | 619337 | 631490 |
| Freddie Mac Non Gold Pool 6.5% 1/1/2055  | 3678405 | 3818153 |
| Freddie Mac Non Gold Pool 6.5% 1/1/2055  | 229378 | 239670 |
| Freddie Mac Non Gold Pool 6.5% 11/1/2054  | 105361 | 110022 |
| Freddie Mac Non Gold Pool 6.5% 2/1/2055  | 263369 | 275350 |
| Ginnie Mae I Pool 2.5% 1/20/2052  | 1521395 | 1264220 |
| Ginnie Mae I Pool 2.5% 12/20/2051  | 2346771 | 1950074 |
| Ginnie Mae I Pool 2.5% 12/20/2051  | 1227629 | 1020111 |
| Ginnie Mae I Pool 2.5% 12/20/2051  | 684827 | 569064 |
| Ginnie Mae I Pool 2.5% 8/20/2051  | 3235502 | 2688576 |
| Ginnie Mae I Pool 2.5% 8/20/2051  | 846861 | 703709 |
| Ginnie Mae I Pool 2.5% 8/20/2051  | 577237 | 479661 |
| Ginnie Mae I Pool 2.5% 9/20/2051  | 1506454 | 1251804 |
| Ginnie Mae I Pool 2.5% 9/20/2051  | 834228 | 693211 |
| Ginnie Mae I Pool 3% 12/15/2042  | 21727 | 19499 |
| Ginnie Mae I Pool 3% 12/20/2042  | 26575 | 24104 |
| Ginnie Mae I Pool 3% 2/15/2045  | 12604 | 11210 |
| Ginnie Mae I Pool 3% 2/20/2050  | 88322 | 76931 |
| Ginnie Mae I Pool 3% 3/20/2043  | 17640 | 16003 |
| Ginnie Mae I Pool 3% 3/20/2043  | 7296 | 6624 |
| Ginnie Mae I Pool 3% 4/15/2045  | 7262 | 6445 |
| Ginnie Mae I Pool 3% 5/15/2042  | 3393 | 3067 |
| Ginnie Mae I Pool 3% 6/15/2043  | 2911 | 2623 |
| Ginnie Mae I Pool 3.5% 1/15/2043  | 10394 | 9627 |
| Ginnie Mae I Pool 3.5% 11/15/2042  | 24275 | 22499 |
| Ginnie Mae I Pool 3.5% 12/15/2041  | 9240 | 8572 |
| Ginnie Mae I Pool 3.5% 12/15/2041  | 8303 | 7694 |
| Ginnie Mae I Pool 3.5% 12/20/2049  | 10168 | 9068 |
| Ginnie Mae I Pool 3.5% 12/20/2049  | 4631 | 4116 |
| Ginnie Mae I Pool 3.5% 12/20/2049  | 3593 | 3214 |
| Ginnie Mae I Pool 3.5% 12/20/2049  | 1073 | 953 |
| Ginnie Mae I Pool 3.5% 2/15/2042  | 10076 | 9366 |
| Ginnie Mae I Pool 3.5% 2/15/2042  | 3536 | 3287 |
| Ginnie Mae I Pool 3.5% 2/15/2043  | 46130 | 42856 |
| Ginnie Mae I Pool 3.5% 2/15/2044  | 6868 | 6316 |
| Ginnie Mae I Pool 3.5% 2/20/2043  | 14638 | 13593 |
| Ginnie Mae I Pool 3.5% 3/20/2043  | 6631 | 6156 |
| Ginnie Mae I Pool 3.5% 4/15/2043  | 39858 | 37052 |
| Ginnie Mae I Pool 3.5% 4/15/2043  | 7340 | 6774 |
| Ginnie Mae I Pool 3.5% 6/20/2046  | 15451 | 13915 |
| Ginnie Mae I Pool 3.5% 7/15/2042  | 6928 | 6423 |
| Ginnie Mae I Pool 3.5% 7/15/2042  | 2377 | 2204 |
| Ginnie Mae I Pool 3.5% 7/20/2043  | 13431 | 12404 |
| Ginnie Mae I Pool 3.5% 7/20/2046  | 137338 | 123731 |
| Ginnie Mae I Pool 4% 1/15/2041  | 9100 | 8728 |
| Ginnie Mae I Pool 4% 1/15/2047  | 6717 | 6223 |
| Ginnie Mae I Pool 4% 1/15/2047  | 5843 | 5413 |
| Ginnie Mae I Pool 4% 1/15/2047  | 4321 | 4003 |
| Ginnie Mae I Pool 4% 1/15/2047  | 2059 | 1907 |
| Ginnie Mae I Pool 4% 10/15/2040  | 9680 | 9292 |
| Ginnie Mae I Pool 4% 10/15/2040  | 9209 | 8845 |
| Ginnie Mae I Pool 4% 10/15/2040  | 8596 | 8251 |
| Ginnie Mae I Pool 4% 10/15/2041  | 18484 | 17691 |
| Ginnie Mae I Pool 4% 10/15/2041  | 8940 | 8568 |
| Ginnie Mae I Pool 4% 10/15/2041  | 6319 | 6059 |
| Ginnie Mae I Pool 4% 10/15/2041  | 4889 | 4689 |
| Ginnie Mae I Pool 4% 10/15/2041  | 3284 | 3142 |
| Ginnie Mae I Pool 4% 10/20/2042  | 30582 | 29234 |
| Ginnie Mae I Pool 4% 10/20/2052  | 1783008 | 1646179 |
| Ginnie Mae I Pool 4% 11/15/2040  | 2393 | 2295 |
| Ginnie Mae I Pool 4% 11/15/2041  | 16204 | 15527 |
| Ginnie Mae I Pool 4% 12/15/2040  | 1141 | 1099 |
| Ginnie Mae I Pool 4% 12/15/2041  | 7361 | 7059 |
| Ginnie Mae I Pool 4% 12/15/2041  | 5034 | 4817 |
| Ginnie Mae I Pool 4% 2/15/2042  | 2380 | 2278 |
| Ginnie Mae I Pool 4% 2/15/2045  | 7778 | 7398 |
| Ginnie Mae I Pool 4% 3/15/2040  | 37169 | 35696 |
| Ginnie Mae I Pool 4% 3/15/2041  | 18377 | 17646 |
| Ginnie Mae I Pool 4% 3/15/2042  | 8520 | 8152 |
| Ginnie Mae I Pool 4% 4/15/2046  | 52277 | 49679 |
| Ginnie Mae I Pool 4% 4/20/2048  | 7323 | 6788 |
| Ginnie Mae I Pool 4% 4/20/2048  | 6730 | 6239 |
| Ginnie Mae I Pool 4% 5/15/2045  | 7270 | 6903 |
| Ginnie Mae I Pool 4% 5/20/2049  | 13259 | 12225 |
| Ginnie Mae I Pool 4% 6/15/2045  | 1942 | 1848 |
| Ginnie Mae I Pool 4% 7/15/2045  | 5297 | 4940 |
| Ginnie Mae I Pool 4% 7/15/2046  | 4908 | 4562 |
| Ginnie Mae I Pool 4% 8/15/2039  | 1366 | 1315 |
| Ginnie Mae I Pool 4% 9/15/2041  | 7473 | 7160 |
| Ginnie Mae I Pool 4.5% 12/15/2039  | 1611 | 1586 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 4677 | 4597 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 3207 | 3155 |
| Ginnie Mae I Pool 4.5% 3/15/2040  | 11187 | 10998 |
| Ginnie Mae I Pool 4.5% 3/15/2041  | 25791 | 25304 |
| Ginnie Mae I Pool 4.5% 4/15/2040  | 4702 | 4624 |
| Ginnie Mae I Pool 4.5% 4/20/2053  | 1077839 | 1021810 |
| Ginnie Mae I Pool 4.5% 5/15/2039  | 911 | 897 |
| Ginnie Mae I Pool 4.5% 5/15/2040  | 5872 | 5772 |
| Ginnie Mae I Pool 4.5% 6/15/2039  | 3078 | 3031 |
| Ginnie Mae I Pool 4.5% 6/15/2039  | 2742 | 2697 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 21336 | 20921 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 12543 | 12329 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 6154 | 6047 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 3154 | 3101 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 3069 | 3017 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 2661 | 2614 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 2532 | 2488 |
| Ginnie Mae I Pool 4.5% 6/15/2041  | 40569 | 39813 |
| Ginnie Mae I Pool 4.5% 7/15/2039  | 2684 | 2641 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 9943 | 9772 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 8134 | 7994 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 6252 | 6147 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 4973 | 4888 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 4432 | 4356 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 3995 | 3924 |
| Ginnie Mae I Pool 4.5% 8/15/2039  | 25717 | 25296 |
| Ginnie Mae I Pool 4.5% 8/15/2039  | 15625 | 15371 |
| Ginnie Mae I Pool 4.5% 8/15/2039  | 13196 | 12982 |
| Ginnie Mae I Pool 4.5% 8/15/2039  | 5412 | 5321 |
| Ginnie Mae I Pool 4.5% 9/15/2039  | 4775 | 4695 |
| Ginnie Mae I Pool 4.5% 9/15/2039  | 2230 | 2194 |
| Ginnie Mae I Pool 5% 10/15/2039  | 1818 | 1827 |
| Ginnie Mae I Pool 5% 12/15/2039  | 1644 | 1652 |
| Ginnie Mae I Pool 5% 4/15/2040  | 15854 | 15928 |
| Ginnie Mae I Pool 5% 4/15/2040  | 12146 | 12203 |
| Ginnie Mae I Pool 5% 4/15/2041  | 2524 | 2535 |
| Ginnie Mae I Pool 5% 4/20/2048  | 152693 | 152063 |
| Ginnie Mae I Pool 5% 5/15/2039  | 3924 | 3943 |
| Ginnie Mae I Pool 5% 5/15/2039  | 1953 | 1962 |
| Ginnie Mae I Pool 5% 6/15/2040  | 37007 | 37179 |
| Ginnie Mae I Pool 5% 7/15/2039  | 3509 | 3526 |
| Ginnie Mae I Pool 5% 8/15/2039  | 1578 | 1586 |
| Ginnie Mae I Pool 5% 8/15/2040  | 2977 | 2990 |
| Ginnie Mae I Pool 5% 8/15/2040  | 2583 | 2595 |
| Ginnie Mae I Pool 5% 8/15/2040  | 2485 | 2496 |
| Ginnie Mae I Pool 5% 9/15/2039  | 10396 | 10445 |
| Ginnie Mae I Pool 5% 9/15/2039  | 1434 | 1440 |
| Ginnie Mae I Pool 5% 9/15/2041  | 27108 | 27235 |
| Ginnie Mae I Pool 5.47% 8/20/2059 (d)(j) | 177 | 176 |
| Ginnie Mae I Pool 5.5% 1/15/2039  | 1661 | 1694 |
| Ginnie Mae I Pool 5.5% 10/15/2035  | 1293 | 1316 |
| Ginnie Mae I Pool 5.5% 3/20/2054  | 2314420 | 2313745 |
| Ginnie Mae I Pool 5.5% 9/15/2039  | 7938 | 8097 |
| Ginnie Mae I Pool 5.5% 9/15/2039  | 5608 | 5721 |
| Ginnie Mae I Pool 6% 5/15/2040  | 21848 | 22624 |
| Ginnie Mae I Pool 6% 6/15/2036  | 144272 | 148764 |
| Ginnie Mae I Pool 6.5% 9/15/2034  | 369 | 382 |
| Ginnie Mae I Pool 7% 1/15/2032  | 173 | 178 |
| Ginnie Mae I Pool 7% 10/15/2028  | 72 | 73 |
| Ginnie Mae I Pool 7% 4/15/2028  | 27 | 28 |
| Ginnie Mae I Pool 7% 4/15/2032  | 17 | 18 |
| Ginnie Mae I Pool 7% 4/20/2032  | 1841 | 1908 |
| Ginnie Mae I Pool 7% 6/15/2028  | 31 | 31 |
| Ginnie Mae I Pool 7% 6/15/2031  | 127 | 131 |
| Ginnie Mae I Pool 7% 7/15/2028  | 34 | 35 |
| Ginnie Mae I Pool 7% 8/15/2032  | 38 | 38 |
| Ginnie Mae I Pool 7% 9/15/2028  | 27 | 27 |
| Ginnie Mae I Pool 7.5% 1/15/2031  | 13 | 13 |
| Ginnie Mae I Pool 7.5% 3/15/2028  | 523 | 532 |
| Ginnie Mae I Pool 7.5% 4/15/2027  | 18 | 18 |
| Ginnie Mae I Pool 7.5% 6/15/2027  | 37 | 37 |
| Ginnie Mae I Pool 7.5% 8/15/2028  | 15 | 15 |
| Ginnie Mae I Pool 7.5% 9/15/2027  | 47 | 47 |
| Ginnie Mae I Pool 8% 7/15/2027  | 9 | 9 |
| Ginnie Mae I Pool 8.5% 7/15/2030  | 14 | 15 |
| Ginnie Mae I Pool 8.5% 8/15/2029  | 9 | 9 |
| Ginnie Mae II Pool 2% 1/20/2051  | 32404263 | 26045727 |
| Ginnie Mae II Pool 2% 1/20/2052  | 4598973 | 3696538 |
| Ginnie Mae II Pool 2% 10/20/2050  | 8940999 | 7186549 |
| Ginnie Mae II Pool 2% 11/20/2050  | 2315082 | 1860804 |
| Ginnie Mae II Pool 2% 12/20/2050  | 4334787 | 3484192 |
| Ginnie Mae II Pool 2% 2/20/2051  | 1010702 | 812377 |
| Ginnie Mae II Pool 2% 2/20/2052  | 11918635 | 9579897 |
| Ginnie Mae II Pool 2% 3/20/2052  | 3521385 | 2831501 |
| Ginnie Mae II Pool 2% 4/20/2051  | 89068 | 71591 |
| Ginnie Mae II Pool 2% 6/1/2055 (q) | 56625000 | 45494031 |
| Ginnie Mae II Pool 2% 7/1/2055 (q) | 18850000 | 15142382 |
| Ginnie Mae II Pool 2% 9/20/2050  | 5208438 | 4189666 |
| Ginnie Mae II Pool 2.5% 12/20/2050  | 160446 | 134628 |
| Ginnie Mae II Pool 2.5% 12/20/2051  | 26296 | 22048 |
| Ginnie Mae II Pool 2.5% 2/20/2052  | 580575 | 487061 |
| Ginnie Mae II Pool 2.5% 4/20/2052  | 11998554 | 10062189 |
| Ginnie Mae II Pool 2.5% 5/20/2052  | 12725663 | 10675931 |
| Ginnie Mae II Pool 2.5% 6/1/2055 (q) | 32000000 | 26817091 |
| Ginnie Mae II Pool 2.5% 6/20/2051  | 589382 | 494357 |
| Ginnie Mae II Pool 2.5% 7/1/2055 (q) | 13375000 | 11204525 |
| Ginnie Mae II Pool 2.5% 7/20/2051  | 1384721 | 1161034 |
| Ginnie Mae II Pool 3% 1/20/2032  | 411499 | 398094 |
| Ginnie Mae II Pool 3% 1/20/2043  | 143151 | 129510 |
| Ginnie Mae II Pool 3% 10/20/2031  | 136086 | 131735 |
| Ginnie Mae II Pool 3% 10/20/2043  | 11576 | 10440 |
| Ginnie Mae II Pool 3% 11/20/2031  | 143630 | 138995 |
| Ginnie Mae II Pool 3% 12/20/2031  | 220948 | 213818 |
| Ginnie Mae II Pool 3% 12/20/2042  | 12557 | 11365 |
| Ginnie Mae II Pool 3% 2/20/2031  | 17731 | 17215 |
| Ginnie Mae II Pool 3% 3/20/2031  | 36260 | 35194 |
| Ginnie Mae II Pool 3% 3/20/2050  | 823431 | 719326 |
| Ginnie Mae II Pool 3% 4/20/2031  | 134475 | 130477 |
| Ginnie Mae II Pool 3% 5/20/2031  | 283277 | 274761 |
| Ginnie Mae II Pool 3% 6/1/2055 (q) | 37100000 | 32332520 |
| Ginnie Mae II Pool 3% 7/20/2031  | 3704 | 3589 |
| Ginnie Mae II Pool 3% 8/20/2031  | 43531 | 42181 |
| Ginnie Mae II Pool 3% 9/20/2031  | 17497 | 16949 |
| Ginnie Mae II Pool 3.5% 11/20/2041  | 59172 | 54825 |
| Ginnie Mae II Pool 3.5% 12/20/2041  | 25500 | 23626 |
| Ginnie Mae II Pool 3.5% 2/20/2043  | 11525 | 10634 |
| Ginnie Mae II Pool 3.5% 3/20/2043  | 14207 | 13105 |
| Ginnie Mae II Pool 3.5% 3/20/2044  | 2154 | 1976 |
| Ginnie Mae II Pool 3.5% 4/20/2043  | 15455 | 14253 |
| Ginnie Mae II Pool 3.5% 5/20/2043  | 146403 | 134400 |
| Ginnie Mae II Pool 3.5% 6/1/2055 (q) | 28275000 | 25167315 |
| Ginnie Mae II Pool 3.5% 6/20/2043  | 28866 | 26604 |
| Ginnie Mae II Pool 3.5% 7/1/2055 (q) | 21850000 | 19440799 |
| Ginnie Mae II Pool 3.5% 9/20/2043  | 170752 | 156877 |
| Ginnie Mae II Pool 4% 1/20/2042  | 7682 | 7346 |
| Ginnie Mae II Pool 4% 10/20/2040  | 8261 | 7920 |
| Ginnie Mae II Pool 4% 10/20/2041  | 137941 | 131960 |
| Ginnie Mae II Pool 4% 10/20/2044  | 82771 | 78541 |
| Ginnie Mae II Pool 4% 11/20/2040  | 103595 | 99315 |
| Ginnie Mae II Pool 4% 11/20/2041  | 4571 | 4372 |
| Ginnie Mae II Pool 4% 11/20/2044  | 177621 | 168512 |
| Ginnie Mae II Pool 4% 11/20/2054  | 532470 | 488696 |
| Ginnie Mae II Pool 4% 12/20/2044  | 4822 | 4575 |
| Ginnie Mae II Pool 4% 12/20/2054  | 17483889 | 16024696 |
| Ginnie Mae II Pool 4% 2/20/2041  | 2208 | 2116 |
| Ginnie Mae II Pool 4% 3/20/2041  | 8671 | 8310 |
| Ginnie Mae II Pool 4% 3/20/2047  | 327547 | 305277 |
| Ginnie Mae II Pool 4% 4/20/2042  | 27539 | 26320 |
| Ginnie Mae II Pool 4% 5/20/2046  | 25241 | 23611 |
| Ginnie Mae II Pool 4% 6/20/2045  | 80485 | 76262 |
| Ginnie Mae II Pool 4% 7/20/2044  | 4489 | 4263 |
| Ginnie Mae II Pool 4% 8/20/2043  | 10149 | 9657 |
| Ginnie Mae II Pool 4% 8/20/2044  | 11513 | 10930 |
| Ginnie Mae II Pool 4% 8/20/2045  | 262918 | 246356 |
| Ginnie Mae II Pool 4% 9/20/2040  | 37420 | 35877 |
| Ginnie Mae II Pool 4.5% 1/20/2041  | 9525 | 9368 |
| Ginnie Mae II Pool 4.5% 10/20/2039  | 1387 | 1346 |
| Ginnie Mae II Pool 4.5% 10/20/2040  | 20539 | 19930 |
| Ginnie Mae II Pool 4.5% 10/20/2040  | 2021 | 1988 |
| Ginnie Mae II Pool 4.5% 11/20/2040  | 8185 | 7933 |
| Ginnie Mae II Pool 4.5% 11/20/2040  | 2030 | 1997 |
| Ginnie Mae II Pool 4.5% 11/20/2054  | 5905070 | 5575967 |
| Ginnie Mae II Pool 4.5% 12/20/2039  | 7750 | 7526 |
| Ginnie Mae II Pool 4.5% 12/20/2040  | 4255 | 4125 |
| Ginnie Mae II Pool 4.5% 2/20/2041  | 34083 | 33519 |
| Ginnie Mae II Pool 4.5% 2/20/2041  | 416 | 403 |
| Ginnie Mae II Pool 4.5% 3/20/2036  | 704 | 695 |
| Ginnie Mae II Pool 4.5% 3/20/2041  | 2241 | 2204 |
| Ginnie Mae II Pool 4.5% 3/20/2055  | 2999997 | 2832800 |
| Ginnie Mae II Pool 4.5% 4/20/2040  | 3664 | 3555 |
| Ginnie Mae II Pool 4.5% 4/20/2041  | 20825 | 20479 |
| Ginnie Mae II Pool 4.5% 4/20/2055  | 11099999 | 10481371 |
| Ginnie Mae II Pool 4.5% 5/20/2040  | 2373 | 2336 |
| Ginnie Mae II Pool 4.5% 5/20/2041  | 88601 | 87123 |
| Ginnie Mae II Pool 4.5% 5/20/2055  | 100000 | 94427 |
| Ginnie Mae II Pool 4.5% 6/20/2033  | 346 | 343 |
| Ginnie Mae II Pool 4.5% 6/20/2039  | 1531 | 1487 |
| Ginnie Mae II Pool 4.5% 6/20/2040  | 3571 | 3468 |
| Ginnie Mae II Pool 4.5% 6/20/2041  | 55539 | 54605 |
| Ginnie Mae II Pool 4.5% 7/20/2039  | 336 | 332 |
| Ginnie Mae II Pool 4.5% 7/20/2040  | 3900 | 3837 |
| Ginnie Mae II Pool 4.5% 7/20/2040  | 314 | 304 |
| Ginnie Mae II Pool 4.5% 9/20/2040  | 21002 | 20660 |
| Ginnie Mae II Pool 5% 11/20/2054  | 12578119 | 12210819 |
| Ginnie Mae II Pool 5% 6/1/2055 (q) | 8600000 | 8344843 |
| Ginnie Mae II Pool 5% 9/20/2033  | 15825 | 15914 |
| Ginnie Mae II Pool 5.5% 1/20/2055  | 1883893 | 1880989 |
| Ginnie Mae II Pool 5.5% 12/20/2054  | 2298083 | 2300286 |
| Ginnie Mae II Pool 5.5% 12/20/2054  | 2182046 | 2168283 |
| Ginnie Mae II Pool 5.5% 6/1/2055 (q) | 52350000 | 51990963 |
| Ginnie Mae II Pool 5.5% 7/1/2055 (q) | 52350000 | 51941885 |
| Ginnie Mae II Pool 6% 1/20/2055  | 2074145 | 2095877 |
| Ginnie Mae II Pool 6% 11/20/2031  | 442 | 453 |
| Ginnie Mae II Pool 6% 12/20/2054  | 4237500 | 4285872 |
| Ginnie Mae II Pool 6% 5/20/2032  | 2081 | 2136 |
| Ginnie Mae II Pool 6% 6/1/2055 (q) | 42800000 | 43215708 |
| Ginnie Mae II Pool 6% 7/1/2055 (q) | 42800000 | 43150502 |
| Ginnie Mae II Pool 6.5% 11/20/2031  | 78 | 79 |
| Ginnie Mae II Pool 6.5% 3/20/2031  | 99 | 101 |
| Ginnie Mae II Pool 6.5% 6/1/2055 (q) | 19400000 | 19814844 |
| Ginnie Mae II Pool 6.5% 7/1/2055 (q) | 19400000 | 19801204 |
| Ginnie Mae II Pool 7% 2/20/2032  | 558 | 579 |
| Ginnie Mae II Pool 7% 3/20/2032  | 280 | 291 |
| Uniform Mortgage Backed Securities 2% 6/1/2055 (q) | 122975000 | 95589033 |
| Uniform Mortgage Backed Securities 2% 7/1/2055 (q) | 85450000 | 66457396 |
| Uniform Mortgage Backed Securities 2.5% 6/1/2055 (q) | 33175000 | 27036325 |
| Uniform Mortgage Backed Securities 3% 6/1/2055 (q) | 6600000 | 5618246 |
| Uniform Mortgage Backed Securities 3.5% 6/1/2055 (q) | 15300000 | 13571571 |
| Uniform Mortgage Backed Securities 3.5% 7/1/2055 (q) | 10250000 | 9090063 |
| Uniform Mortgage Backed Securities 4.5% 7/1/2055 (q) | 6500000 | 6130823 |
| Uniform Mortgage Backed Securities 5% 6/1/2055 (q) | 8800000 | 8520529 |
| Uniform Mortgage Backed Securities 5.5% 6/1/2040 (q) | 14075000 | 14275134 |
| Uniform Mortgage Backed Securities 5.5% 6/1/2055 (q) | 11600000 | 11487633 |
| Uniform Mortgage Backed Securities 6% 6/1/2055 (q) | 75725000 | 76485211 |
| Uniform Mortgage Backed Securities 6% 7/1/2055 (q) | 19875000 | 20048908 |
| Uniform Mortgage Backed Securities 6.5% 6/1/2055 (q) | 18700000 | 19202553 |
| Uniform Mortgage Backed Securities 6.5% 7/1/2055 (q) | 7500000 | 7694528 |
| TOTAL UNITED STATES |  | 1720827424 |
| <br> **TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES**<br> (Cost $1,736,871,356) |  | <br> **1720827424** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Treasury Obligations - 37.1%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 37.1%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 37.1%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 37.1%** |
|  | Yield (%) (y) | Principal<br> Amount (a)<br>| Value ($)<br>|
| US Treasury Bonds 1.125% 5/15/2040  | 1.03 | 8834000 | 5366655 |
| US Treasury Bonds 1.125% 8/15/2040  | 4.86 | 578000 | 347387 |
| US Treasury Bonds 1.75% 8/15/2041  | 1.94 to 2.00 | 11769000 | 7644793 |
| US Treasury Bonds 1.875% 11/15/2051  | 1.91 to 2.15 | 34881000 | 18898417 |
| US Treasury Bonds 2% 11/15/2041  | 2.08 to 3.20 | 11400000 | 7682977 |
| US Treasury Bonds 2% 8/15/2051  | 2.14 | 3714000 | 2086804 |
| US Treasury Bonds 2.25% 2/15/2052  | 2.29 to 2.99 | 24090000 | 14344842 |
| US Treasury Bonds 2.25% 8/15/2046  | 4.93 | 73000 | 46710 |
| US Treasury Bonds 2.875% 5/15/2052  | 3.13 to 4.81 | 23593000 | 16208207 |
| US Treasury Bonds 3.25% 5/15/2042  | 3.39 to 4.91 | 9900000 | 8030602 |
| US Treasury Bonds 3.625% 2/15/2053 (v) | 3.65 to 4.80 | 15123000 | 12077724 |
| US Treasury Bonds 3.625% 5/15/2053  | 3.89 to 4.80 | 19116000 | 15250237 |
| US Treasury Bonds 3.875% 5/15/2043  | 4.92 | 1812000 | 1586737 |
| US Treasury Bonds 4.125% 8/15/2044  | 4.62 | 200000 | 179726 |
| US Treasury Bonds 4.125% 8/15/2053  | 4.20 to 5.00 | 28401000 | 24832015 |
| US Treasury Bonds 4.25% 2/15/2054  | 4.49 to 4.68 | 167261000 | 149391514 |
| US Treasury Bonds 4.25% 8/15/2054  | 3.96 to 4.39 | 140900000 | 125995422 |
| US Treasury Bonds 4.375% 8/15/2043  | 4.91 | 1251000 | 1170076 |
| US Treasury Bonds 4.5% 11/15/2054  | 4.35 to 4.85 | 188900000 | 176326344 |
| US Treasury Bonds 4.5% 2/15/2044  | 4.62 to 4.90 | 1270000 | 1204416 |
| US Treasury Bonds 4.625% 11/15/2044  | 4.52 to 5.12 | 17715000 | 17014704 |
| US Treasury Bonds 4.625% 2/15/2055  | 4.51 to 4.88 | 40000000 | 38155228 |
| US Treasury Bonds 4.625% 5/15/2044  | 4.57 to 4.65 | 435000 | 418789 |
| US Treasury Bonds 4.625% 5/15/2054  | 4.38 to 4.55 | 105000000 | 99877149 |
| US Treasury Bonds 6.25% 5/15/2030  | 4.72 | 2216000 | 2440543 |
| US Treasury Bonds Inflation-Indexed 2.375% 2/15/2055  | 2.58 to 2.63 | 5320718 | 5062407 |
| US Treasury Notes 2.75% 4/30/2027  | 2.72 | 700000 | 684988 |
| US Treasury Notes 2.875% 4/30/2029  | 2.77 to 4.50 | 5411700 | 5209184 |
| US Treasury Notes 2.875% 5/15/2032  | 2.96 to 4.70 | 3200400 | 2951369 |
| US Treasury Notes 3.5% 9/30/2029  | 3.91 | 105000000 | 103195313 |
| US Treasury Notes 3.625% 3/31/2030  | 4.30 to 4.71 | 525000 | 517063 |
| US Treasury Notes 3.625% 9/30/2031  | 3.63 to 4.23 | 178570000 | 173694203 |
| US Treasury Notes 3.75% 12/31/2030  | 4.70 | 617000 | 608058 |
| US Treasury Notes 3.75% 5/31/2030  | 4.71 | 85000 | 84113 |
| US Treasury Notes 3.75% 8/31/2031  | 3.52 to 3.74 | 122370000 | 119946500 |
| US Treasury Notes 3.875% 8/15/2033  | 4.68 | 116000 | 112837 |
| US Treasury Notes 3.875% 8/15/2034  | 3.64 to 4.28 | 176540000 | 170041792 |
| US Treasury Notes 4% 1/31/2029  | 4.72 | 797000 | 799459 |
| US Treasury Notes 4% 2/15/2034  | 4.48 to 4.74 | 2293000 | 2240422 |
| US Treasury Notes 4% 2/28/2030  | 3.85 to 4.71 | 30326000 | 30391154 |
| US Treasury Notes 4% 2/29/2028  | 4.20 | 600000 | 601969 |
| US Treasury Notes 4% 4/30/2032  | 3.99 to 4.11 | 22100000 | 21882453 |
| US Treasury Notes 4% 6/30/2028 (v) | 3.96 to 3.97 | 7000000 | 7027344 |
| US Treasury Notes 4.125% 11/30/2029  | 4.18 to 4.24 | 156430000 | 157609335 |
| US Treasury Notes 4.125% 11/30/2031  | 4.55 | 20000000 | 19989062 |
| US Treasury Notes 4.125% 2/29/2032  | 4.12 to 4.20 | 68440000 | 68322369 |
| US Treasury Notes 4.125% 3/31/2031  | 4.33 to 4.70 | 80315000 | 80544023 |
| US Treasury Notes 4.125% 3/31/2032  | 4.09 | 70000000 | 69857813 |
| US Treasury Notes 4.125% 7/31/2031  | 3.70 to 4.12 | 107000000 | 107136008 |
| US Treasury Notes 4.25% 1/31/2030  | 4.35 to 4.47 | 69000000 | 69851719 |
| US Treasury Notes 4.25% 11/15/2034  | 4.47 to 4.54 | 131100000 | 129809484 |
| US Treasury Notes 4.25% 2/28/2029  | 4.71 | 1602000 | 1620836 |
| US Treasury Notes 4.25% 2/28/2031  | 4.23 to 4.31 | 8520000 | 8604867 |
| US Treasury Notes 4.25% 5/15/2035  | 4.39 to 4.48 | 27975000 | 27660281 |
| US Treasury Notes 4.25% 6/30/2031  | 4.43 to 4.45 | 46540000 | 46929046 |
| US Treasury Notes 4.375% 1/31/2032  | 4.21 | 400000 | 405188 |
| US Treasury Notes 4.375% 12/31/2029  | 4.39 | 510000 | 518925 |
| US Treasury Notes 4.5% 12/31/2031  | 4.52 to 4.53 | 125000000 | 127553711 |
| US Treasury Notes 4.625% 2/15/2035  | 4.21 to 4.44 | 90123000 | 91786283 |
| US Treasury Notes 4.625% 4/30/2029 (v) | 4.47 to 4.72 | 6030000 | 6182870 |
| US Treasury Notes 4.625% 4/30/2031  | 4.35 to 4.71 | 147000000 | 151214766 |
| US Treasury Notes 4.625% 9/30/2028  | 3.83 | 168000 | 171865 |
| US Treasury Notes 4.625% 9/30/2030  | 4.71 | 160000 | 164669 |
| US Treasury Notes 4.75% 2/15/2045  | 4.42 to 4.97 | 7110000 | 6940027 |
| <br> **TOTAL U.S. TREASURY OBLIGATIONS**<br> (Cost $2,662,426,022) |  |  | **2564501793** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Money Market Funds - 1.4%** | &nbsp;&nbsp;**Money Market Funds - 1.4%** | &nbsp;&nbsp;**Money Market Funds - 1.4%** | &nbsp;&nbsp;**Money Market Funds - 1.4%** |
|  | Yield (%) | Shares | Value ($)<br>|
| Fidelity Cash Central Fund (z) | 4.32 | 78956161 | 78971952 |
| Fidelity Securities Lending Cash Central Fund (z)(Aa) | 4.32 | 18709144 | 18711015 |
| <br> **TOTAL MONEY MARKET FUNDS**<br> (Cost $97,682,222) |  |  | **97682967** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Purchased Swaptions - 0.0%** | &nbsp;&nbsp;**Purchased Swaptions - 0.0%** | &nbsp;&nbsp;**Purchased Swaptions - 0.0%** | &nbsp;&nbsp;**Purchased Swaptions - 0.0%** |
|  | Expiration<br> Date | Notional<br> Amount  | Value ($) |
| Put Swaptions - 0.0% |  |  |  |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 3.805% and receive annually a floating rate based on US SOFR Index, expiring November 2034 | 11/05/29 | 5300000 | 228274 |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 4.025% and receive annually a floating rate based on US SOFR Index, expiring April 2035 | 4/23/30 | 1950000 | 80587 |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 4.08% and receive annually a floating rate based on US SOFR Index, expiring April 2035 | 4/24/30 | 5730000 | 231121 |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 3.95% and receive annually a floating rate based on US SOFR Indxe, expiring May 2035 | 4/29/30 | 4560000 | 194728 |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 4.065% and receive annually a floating rate based on US SOFR Index, expiring May 2035 | 5/02/30 | 4330000 | 176525 |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 4.01% and receive annually a floating rate based on US SOFR Index, expiring May 2035 | 5/07/30 | 3370000 | 140903 |
| Option on an interest rate swap with Citibank NA to receive annually a floating rate based on the US SOFR Index and pay annually a fixed rate of 3.694%, expiring December 2033 | 12/12/28 | 5500000 | 219714 |
| Option on an interest rate swap with Citibank NA to pay annually a fixed rate of 4.03% and receive annually a floating rate based on US SOFR Index, expiring April 2035 | 4/25/30 | 200000 | 8237 |
| Option on an interest rate swap with Goldman Sachs Bank USA to pay annually a fixed rate of 3.9025% and receive annually a floating rate based on US SOFR Index, expiring April 2036 | 4/14/26 | 2230000 | 67011 |
| Option on an interest rate swap with Morgan Stanley Capital Services LLC to pay annually a fixed rate of 4.075% and receive annually a floating rate based on US SOFR Index, expiring April 2035 | 4/24/30 | 6190000 | 250350 |
| TOTAL PUT SWAPTIONS |  |  | 1597450 |
| Call Swaptions - 0.0% |  |  |  |
| Option on an interest rate swap with Bank of America NA to receive annually a fixed rate of 3.805% and pay annually a floating rate based on US SOFR Index, expiring November 2034 | 11/05/29 | 5300000 | 171058 |
| Option on an interest rate swap with Bank of America NA to receive annually a fixed rate of 4.025% and pay annually a floating rate based on US SOFR Index, expiring April 2035 | 4/23/30 | 1950000 | 71735 |
| Option on an interest rate swap with Bank of America NA to receive annually a fixed rate of 4.08% and pay annually a floating rate based on US SOFR Index, expiring April 2035 | 4/24/30 | 5730000 | 216962 |
| Option on an interest rate swap with Bank of America NA to receive annually a fixed rate of 3.95% and pay annually a floating rate based on US SOFR Index, expiring May 2035 | 4/29/30 | 4560000 | 160769 |
| Option on an interest rate swap with Bank of America NA to receive annually a fixed rate of 4.065% and pay annually a floating rate based on US SOFR Index, expiring May 2035 | 5/02/30 | 4330000 | 162797 |
| Option on an interest rate swap with Bank of America NA to receive annually a fixed rate of 4.01% and pay annually a floating rate based on US SOFR Index, expiring May 2035 | 5/07/30 | 3370000 | 123123 |
| Option on an interest rate swap with Citibank NA to receive annually a fixed rate of 3.694% and pay annually a floating rate based on the US SOFR Index, expiring December 2033 | 12/12/28 | 5500000 | 161341 |
| Option on an interest rate swap with Citibank NA to receive annually a fixed rate of 3.753% and pay annually a floating rate based on US SOFR Index, expiring November 2034 | 10/31/29 | 6800000 | 212640 |
| Option on an interest rate swap with Citibank NA to receive annually a fixed rate of 4.03% and pay annually a floating rate based on US SOFR Index, expiring April 2035 | 4/25/30 | 200000 | 7356 |
| Option on an interest rate swap with Goldman Sachs Bank USA to receive annually a fixed rate of 3.9025% and pay annually a floating rate based on US SOFR Index, expiring April 2036 | 4/14/26 | 2230000 | 72178 |
| Option on an interest rate swap with Morgan Stanley Capital Services LLC to receive annually a fixed rate of 4.075% and pay annually a floating rate based on US SOFR Index, expiring April 2035 | 4/24/30 | 6190000 | 233883 |
| TOTAL CALL SWAPTIONS |  |  | 1593842 |
| **TOTAL PURCHASED SWAPTIONS**<br> (Cost $3,405,374) |  |  | <br> **3191292** |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 111.2%**<br> (Cost $7,808,431,742)<br>| <br>**7682552486** |
| **NET OTHER ASSETS (LIABILITIES) - (11.2)%** (x)  | **(774365972)** |
| **NET ASSETS - 100.0%** | **6908186514** |

---

---

| | | |
|:---|:---|:---|
| **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 | (29850000) | (23982284) |
| Ginnie Mae II Pool 2.5% 6/1/2055 | (13375000) | (11208705) |
| Ginnie Mae II Pool 3.5% 6/1/2055 | (21850000) | (19448482) |
| Ginnie Mae II Pool 5.5% 6/1/2055 | (52350000) | (51990963) |
| Ginnie Mae II Pool 6% 6/1/2055 | (42800000) | (43215708) |
| Ginnie Mae II Pool 6.5% 6/1/2055 | (19400000) | (19814844) |
| Uniform Mortgage Backed Securities 2% 6/1/2055 | (90350000) | (70229471) |
| Uniform Mortgage Backed Securities 2.5% 6/1/2055 | (21175000) | (17256795) |
| Uniform Mortgage Backed Securities 3% 6/1/2055 | (7300000) | (6214121) |
| Uniform Mortgage Backed Securities 3.5% 6/1/2055 | (12450000) | (11043533) |
| Uniform Mortgage Backed Securities 5% 6/1/2055 | (200000) | (193648) |
| Uniform Mortgage Backed Securities 5.5% 6/1/2055 | (17275000) | (17107661) |
| Uniform Mortgage Backed Securities 6% 6/1/2055 | (73775000) | (74515636) |
| Uniform Mortgage Backed Securities 6% 7/1/2055 | (19875000) | (20048908) |
| Uniform Mortgage Backed Securities 6.5% 6/1/2055 | (18700000) | (19202553) |
| Uniform Mortgage Backed Securities 6.5% 7/1/2055 | (1675000) | (1718444) |
| TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES  |  | (407191756) |
| **TOTAL TBA SALE COMMITMENTS**<br> (Proceeds $406,594,644) |  | <br> **(407191756)** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Written Swaptions** | &nbsp;&nbsp;**Written Swaptions** | &nbsp;&nbsp;**Written Swaptions** | &nbsp;&nbsp;**Written Swaptions** |
|  | Expiration<br> Date | Notional<br> Amount  | Value ($) |
| Put Swaptions |  |  |  |
| Option on an interest rate swap with Bank of America NA to receive annually a fixed rate of 3.63% and pay annually a floating rate based on US SOFR Index, expiring November 2035 | 10/30/25 | 4100000 | (129642) |
| Call Swaptions |  |  |  |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 3.63% and receive annually a floating rate based on US SOFR Index, expiring November 2035 | 10/30/25 | 4100000 | (55516) |
| **TOTAL WRITTEN SWAPTIONS** |  |  | **(185158)** |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  |
|  | Number <br> of contracts | Expiration <br> Date | Notional <br> Amount ($)<br>| Value ($)<br>| Unrealized<br> Appreciation/<br> (Depreciation) ($)<br>|
| Purchased |  |  |  |  |  |
| Interest Rate Contracts |  |  |  |  |  |
| ASX 24 Contracts (Australia) | 10 | Jun 2025 | 735723 | (5098) | (5098) |
| CBOT 10 Year US Treasury Bond Contracts (United States) | 1210 | Sep 2025 | 134196563 | 1671373 | 1671373 |
| CBOT 10 Year Ultra US Treasury Bond Contracts (United States) | 9 | Sep 2025 | 1015313 | 16586 | 16586 |
| CBOT 2 Year US Treasury Note Contracts (United States) | 487 | Sep 2025 | 101060109 | 190631 | 190631 |
| CBOT 5 Year US Treasury Note Contracts (United States) | 2571 | Sep 2025 | 278451352 | 2186629 | 2186629 |
| CBOT US Treasury Long Bond Contracts (United States) | 24 | Sep 2025 | 2715000 | 64946 | 64946 |
| Eurex Deutschland Contracts (Germany) | 1 | Sep 2025 | 148767 | 95 | 95 |
| Eurex Deutschland Contracts (Germany) | 1 | Sep 2025 | 137299 | 363 | 363 |
| TMX 10Y Canadian Bond Contracts (Canada) | 26 | Sep 2025 | 2317237 | 19899 | 19899 |
| TOTAL PURCHASED |  |  |  |  | 4145424 |
| Sold |  |  |  |  |  |
| Interest Rate Contracts |  |  |  |  |  |
| CBOT 10 Year US Treasury Bond Contracts (United States) | 440 | Sep 2025 | 48798750 | (606062) | (606062) |
| CBOT 5 Year US Treasury Note Contracts (United States) | 248 | Sep 2025 | 26859563 | (180707) | (180707) |
| CBOT US Treasury Ultra Bond Contracts (United States) | 3 | Sep 2025 | 348844 | (9147) | (9147) |
| ICE United Kingdom of Great Britain and Northern Ireland Contracts (United Kingdom) | 11 | Sep 2025 | 1355811 | (18436) | (18436) |
| TOTAL SOLD |  |  |  |  | (814352) |
| **TOTAL FUTURES CONTRACTS** |  |  |  |  | **3331072** |
| The notional amount of futures purchased as a percentage of Net Assets is 7.4% | The notional amount of futures purchased as a percentage of Net Assets is 7.4% | The notional amount of futures purchased as a percentage of Net Assets is 7.4% | The notional amount of futures purchased as a percentage of Net Assets is 7.4% | The notional amount of futures purchased as a percentage of Net Assets is 7.4% | The notional amount of futures purchased as a percentage of Net Assets is 7.4% |
| The notional amount of futures sold as a percentage of Net Assets is 1.1% | The notional amount of futures sold as a percentage of Net Assets is 1.1% | The notional amount of futures sold as a percentage of Net Assets is 1.1% | The notional amount of futures sold as a percentage of Net Assets is 1.1% | The notional amount of futures sold as a percentage of Net Assets is 1.1% | The notional amount of futures sold as a percentage of Net Assets is 1.1% |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** |
| Currency<br> Purchased | Currency<br> Purchased | Currency<br> Sold | Currency<br> Sold | Counterparty | Settlement<br> Date | Unrealized <br> Appreciation/<br> (Depreciation) ($)  |
| EUR | 52000 | USD | 58757 | Bank of America NA | 7/08/25 | 422 |
| EUR | 226000 | USD | 254928 | JPMorgan Chase Bank NA | 7/08/25 | 2271 |
| USD | 39679 | AUD | 62000 | Brown Brothers Harriman & Co | 7/08/25 | (307) |
| USD | 28480 | AUD | 44000 | Canadian Imperial Bank of Commerce | 7/08/25 | 103 |
| USD | 270340 | AUD | 418000 | JPMorgan Chase Bank NA | 7/08/25 | 757 |
| USD | 1467165 | CAD | 2019000 | JPMorgan Chase Bank NA | 7/08/25 | (6670) |
| USD | 93311 | EUR | 82000 | BNP Paribas SA | 7/08/25 | (9) |
| USD | 72565 | EUR | 65000 | BNP Paribas SA | 7/08/25 | (1408) |
| USD | 61677 | EUR | 55000 | Citibank NA | 7/08/25 | (916) |
| USD | 54726442 | EUR | 48054000 | Goldman Sachs Bank USA | 7/08/25 | 38711 |
| USD | 17159476 | GBP | 12811000 | BNP Paribas SA | 7/08/25 | (104213) |
| USD | 448505 | JPY | 63600000 | JPMorgan Chase Bank NA | 7/08/25 | 4746 |
| **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** | **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** | **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** | **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** | **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** |  | **(66513)** |
| Unrealized Appreciation | Unrealized Appreciation | Unrealized Appreciation |  |  |  | 47010 |
| Unrealized Depreciation | Unrealized Depreciation | Unrealized Depreciation |  |  |  | (113523) |

---

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** |
| Underlying Reference | Rating(2) | Maturity <br> Date | Clearinghouse / <br> Counterparty | Fixed<br> Payment<br> Received/<br> (Paid) | Payment<br> Frequency | Notional<br> Amount(3)(1) | Notional<br> Amount(3)(1) | Value ($)(2) | Upfront<br> Premium<br> Received/<br> (Paid) ($) | Unrealized <br> Appreciation/<br> (Depreciation) ($) |
| Buy Protection |  |  |  |  |  |  |  |  |  |  |
| BMW Finance NV 0.75% 7/13/2026 |  | Jun 2030 | BNP Paribas SA | (1%) | Quarterly | EUR | 1500000 | (34885) | 29425 | (5460) |
| Generali 4.125% 5/4/2026 |  | Jun 2030 | BNP Paribas SA | (1%) | Quarterly | EUR | 700000 | 705 | (2580) | (1875) |
| Societe Generale SA 5.25% 9/6/2032 |  | Jun 2030 | BNP Paribas SA | (1%) | Quarterly | EUR | 650000 | 4939 | (5459) | (520) |
| Deutsche Bank AG 5.625% 5/19/2031 |  | Jun 2030 | BNP Paribas SA | (1%) | Quarterly | EUR | 550000 | 11563 | (14282) | (2719) |
| CMBX BBB- Series 16 Index |  | Apr 2065 | Goldman Sachs & Co LLC | (3%) | Monthly |  | 40000 | 6820 | (10264) | (3444) |
| CMBX BBB- Series 16 Index |  | Apr 2065 | Goldman Sachs & Co LLC | (3%) | Monthly |  | 160000 | 27280 | (45097) | (17817) |
| CMBX BBB- Series 16 Index |  | Apr 2065 | Goldman Sachs & Co LLC | (3%) | Monthly |  | 200000 | 34100 | (58062) | (23962) |
| CMBX BBB- Series 16 Index |  | Apr 2065 | Goldman Sachs & Co LLC | (3%) | Monthly |  | 160000 | 27280 | (45763) | (18483) |
| CMBX BBB- Series 16 Index |  | Apr 2065 | Goldman Sachs & Co LLC | (3%) | Monthly |  | 130000 | 22165 | (31048) | (8883) |
| CMBX BBB- Series 16 Index |  | Apr 2065 | Goldman Sachs & Co LLC | (3%) | Monthly |  | 60000 | 10230 | (14055) | (3825) |
| CMBX BBB- Series 16 Index |  | Apr 2065 | Goldman Sachs & Co LLC | (3%) | Monthly |  | 150000 | 25575 | (37482) | (11907) |
| CMBX BBB- Series 16 Index |  | Apr 2065 | Goldman Sachs & Co LLC | (3%) | Monthly |  | 600000 | 102300 | (113631) | (11331) |
| CMBX BBB- Series 17 Index |  | Dec 2056 | Goldman Sachs & Co LLC | (3%) | Monthly |  | 200000 | 26038 | (24062) | 1976 |
| CMBX BBB- Series 17 Index |  | Dec 2056 | Goldman Sachs & Co LLC | (3%) | Monthly |  | 100000 | 13019 | (12622) | 397 |
| CMBX BBB- Series 16 Index |  | Apr 2065 | Goldman Sachs & Co LLC | (3%) | Monthly |  | 400000 | 68200 | (61458) | 6742 |
| CMBX BBB- Series 18 Index |  | Dec 2057 | Goldman Sachs & Co LLC | (3%) | Monthly |  | 700000 | 53505 | (35331) | 18174 |
| CMBX BBB- Series 18 Index |  | Dec 2057 | Goldman Sachs & Co LLC | (3%) | Monthly |  | 500000 | 38218 | (20125) | 18093 |
| CMBX BBB- Series 18 Index |  | Dec 2057 | Goldman Sachs & Co LLC | (3%) | Monthly |  | 700000 | 53505 | (26817) | 26688 |
| CMBX BBB- Series 17 Index |  | Dec 2056 | Goldman Sachs & Co LLC | (3%) | Monthly |  | 800000 | 104153 | (130423) | (26270) |
| CMBX BB Series 18 Index |  | Dec 2057 | Goldman Sachs & Co LLC | (5%) | Monthly |  | 100000 | 12752 | (14949) | (2197) |
| Intesa Sanpaolo SpA 6.184% 2/20/2034 |  | Jun 2030 | JPMorgan Chase Bank NA | (1%) | Quarterly | EUR | 650000 | 867 | (4439) | (3572) |
| UniCredit SpA 5.375% 4/16/2034 |  | Jun 2030 | Goldman Sachs Bank USA | (1%) | Quarterly | EUR | 650000 | 2801 | (6307) | (3506) |
| CMBX BBB- Series 16 Index |  | Apr 2065 | JPMorgan Securities LLC | (3%) | Monthly |  | 90000 | 15345 | (26588) | (11243) |
| CMBX BBB- Series 16 Index |  | Apr 2065 | JPMorgan Securities LLC | (3%) | Monthly |  | 70000 | 11935 | (19297) | (7362) |
| CMBX BBB- Series 17 Index |  | Dec 2056 | JPMorgan Securities LLC | (3%) | Monthly |  | 400000 | 52077 | (51446) | 631 |
| CMBX BB Series 18 Index |  | Dec 2057 | JPMorgan Securities LLC | (5%) | Monthly |  | 300000 | 38257 | (20030) | 18227 |
| CMBX BB Series 18 Index |  | Dec 2057 | JPMorgan Securities LLC | (5%) | Monthly |  | 100000 | 12752 | (7148) | 5604 |
| CMBX BBB- Series 18 Index |  | Dec 2057 | JPMorgan Securities LLC | (3%) | Monthly |  | 200000 | 15287 | (9941) | 5346 |
| CMBX BBB- Series 16 Index |  | Apr 2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly |  | 110000 | 18755 | (27153) | (8398) |
| CMBX BBB- Series 16 Index |  | Apr 2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly |  | 190000 | 32395 | (44441) | (12046) |
| CMBX BBB- Series 16 Index |  | Apr 2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly |  | 130000 | 22165 | (31367) | (9202) |
| CMBX BBB- Series 16 Index |  | Apr 2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly |  | 190000 | 32395 | (46070) | (13675) |
| CMBX BBB- Series 16 Index |  | Apr 2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly |  | 150000 | 25575 | (34622) | (9047) |
| CMBX BBB- Series 16 Index |  | Apr 2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly |  | 140000 | 23870 | (31446) | (7576) |
| CMBX BBB- Series 16 Index |  | Apr 2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly |  | 100000 | 17050 | (16320) | 730 |
| CMBX BBB- Series 16 Index |  | Apr 2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly |  | 100000 | 17050 | (16443) | 607 |
| CMBX BBB- Series 17 Index |  | Dec 2056 | Morgan Stanley Capital Services LLC | (3%) | Monthly |  | 200000 | 26038 | (27886) | (1848) |
| CMBX BBB- Series 18 Index |  | Dec 2057 | Morgan Stanley Capital Services LLC | (3%) | Monthly |  | 300000 | 22931 | (11649) | 11282 |
| CMBX BB Series 18 Index |  | Dec 2057 | Morgan Stanley Capital Services LLC | (5%) | Monthly |  | 500000 | 63761 | (32735) | 31026 |
| CMBX BB Series 18 Index |  | Dec 2057 | Morgan Stanley Capital Services LLC | (5%) | Monthly |  | 200000 | 25505 | (29523) | (4018) |
| CMBX BB Series 18 Index |  | Dec 2057 | Morgan Stanley Capital Services LLC | (5%) | Monthly |  | 300000 | 38257 | (43431) | (5174) |
| CMBX BBB- Series 17 Index |  | Dec 2056 | Morgan Stanley Capital Services LLC | (3%) | Monthly |  | 300000 | 39057 | (43428) | (4371) |
| CMBX AAA Series 13 Index |  | Dec 2072 | Citigroup Global Markets Ltd | (0.5%) | Monthly |  | 40000 | (73) | (421) | (494) |
| CMBX BBB- Series 16 Index |  | Apr 2065 | Citigroup Global Markets Ltd | (3%) | Monthly |  | 100000 | 17050 | (23857) | (6807) |
| CMBX BBB- Series 16 Index |  | Apr 2065 | Citigroup Global Markets Ltd | (3%) | Monthly |  | 190000 | 32395 | (45160) | (12765) |
| CMBX BBB- Series 16 Index |  | Apr 2065 | Citigroup Global Markets Ltd | (3%) | Monthly |  | 160000 | 27280 | (41079) | (13799) |
| CMBX BBB- Series 16 Index |  | Apr 2065 | Citigroup Global Markets Ltd | (3%) | Monthly |  | 140000 | 23870 | (39043) | (15173) |
| CMBX BBB- Series 16 Index |  | Apr 2065 | Citigroup Global Markets Ltd | (3%) | Monthly |  | 280000 | 47740 | (61439) | (13699) |
| CMBX BBB- Series 16 Index |  | Apr 2065 | Citigroup Global Markets Ltd | (3%) | Monthly |  | 80000 | 13640 | (21464) | (7824) |
| CMBX BBB- Series 17 Index |  | Dec 2056 | Citigroup Global Markets Ltd | (3%) | Monthly |  | 150000 | 19529 | (23698) | (4169) |
| CMBX BBB Series 15 Index |  | Nov 2064 | Citigroup Global Markets Ltd | (3%) | Monthly |  | 200000 | 33092 | (29994) | 3098 |
| CMBX BBB- Series 18 Index |  | Dec 2057 | Citigroup Global Markets Ltd | (3%) | Monthly |  | 400000 | 30574 | (15764) | 14810 |
| CMBX BBB- Series 18 Index |  | Dec 2057 | Citigroup Global Markets Ltd | (3%) | Monthly |  | 400000 | 30574 | (14591) | 15983 |
| CMBX BBB- Series 17 Index |  | Dec 2056 | Citigroup Global Markets Ltd | (3%) | Monthly |  | 100000 | 13019 | (12585) | 434 |
| CMBX BBB Series 15 Index |  | Nov 2064 | Citigroup Global Markets Ltd | (3%) | Monthly |  | 200000 | 33092 | (32087) | 1005 |
| CMBX BBB- Series 17 Index |  | Dec 2056 | Citigroup Global Markets Ltd | (3%) | Monthly |  | 300000 | 39057 | (41926) | (2869) |
| CMBX AAA Series 18 Index |  | Dec 2057 | Citigroup Global Markets Ltd | (0.5%) | Monthly |  | 1300000 | 2217 | (2432) | (215) |
| CMBX BBB- Series 17 Index |  | Dec 2056 | Citigroup Global Markets Ltd | (3%) | Monthly |  | 100000 | 13019 | (13232) | (213) |
| **TOTAL BUY PROTECTION** |  |  |  |  |  |  |  | 1537662 | (1674567) | (136905) |
| Sell Protection |  |  |  |  |  |  |  |  |  |  |
| CMBX AAA Series 17 Index | NR | Dec 2056 | Goldman Sachs & Co LLC | 0.5% | Monthly |  | 1700000 | (29762) | 30943 | 1181 |
| CMBX AAA Series 17 Index | NR | Dec 2056 | Goldman Sachs & Co LLC | 0.5% | Monthly |  | 900000 | (15757) | 24576 | 8819 |
| CMBX AAA Series 13 Index | NR | Dec 2072 | Morgan Stanley Capital Services LLC | 0.5% | Monthly |  | 40000 | 73 | 913 | 986 |
| CMBX AAA Series 17 Index | NR | Dec 2056 | Morgan Stanley Capital Services LLC | 0.5% | Monthly |  | 100000 | (1751) | 2067 | 316 |
| CMBX AAA Series 17 Index | NR | Dec 2056 | Morgan Stanley Capital Services LLC | 0.5% | Monthly |  | 500000 | (8754) | 8036 | (718) |
| CMBX AAA Series 16 Index | NR | Apr 2065 | Citigroup Global Markets Ltd | 0.5% | Monthly |  | 500000 | (6157) | 9882 | 3725 |
| CMBX AAA Series 17 Index | NR | Dec 2056 | Citigroup Global Markets Ltd | 0.5% | Monthly |  | 200000 | (3501) | 4085 | 584 |
| CMBX AAA Series 17 Index | NR | Dec 2056 | Citigroup Global Markets Ltd | 0.5% | Monthly |  | 100000 | (1751) | 2006 | 255 |
| CMBX AAA Series 17 Index | NR | Dec 2056 | Citigroup Global Markets Ltd | 0.5% | Monthly |  | 200000 | (3501) | 3403 | (98) |
| CMBX AAA Series 17 Index | NR | Dec 2056 | Citigroup Global Markets Ltd | 0.5% | Monthly |  | 100000 | (1751) | 1293 | (458) |
| CMBX AAA Series 17 Index | NR | Dec 2056 | Citigroup Global Markets Ltd | 0.5% | Monthly |  | 800000 | (14006) | 13801 | (205) |
| CMBX AAA Series 16 Index | NR | Apr 2065 | Citigroup Global Markets Ltd | 0.5% | Monthly |  | 1300000 | (15863) | 15953 | 90 |
| **TOTAL SELL PROTECTION** |  |  |  |  |  |  |  | (102481) | 116958 | 14477 |
| **TOTAL CREDIT DEFAULT SWAPS** |  |  |  |  |  |  |  | **1435181** | **(1557609)** | **(122428)** |

---

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

(2)Ratings are presented for credit default swaps in which the Fund has sold protection on the underlying referenced debt. Ratings for an underlying index represent a weighted average of the ratings of all securities included in the index. The credit rating or value can be measures of the current payment/performance risk. Ratings are from Moody's Investors Service, Inc. Where Moody's® ratings are not available, S&P® ratings are disclosed and are indicated as such. All ratings are as of the report date and do not reflect subsequent changes.

(3)The notional amount of each credit default swap where the Fund has sold protection approximates the maximum potential amount of future payments that the Fund could be required to make if a credit event were to occur.

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** |
| Payment Received | Payment<br> Frequency | Payment Paid | Payment<br> Frequency | Clearinghouse /<br> Counterparty(1) | Maturity<br> Date | Notional<br> Amount(3) | Value ($)<br>| Upfront<br> Premium<br> Received/<br> (Paid) ($)(2) | Unrealized <br> Appreciation/<br> (Depreciation) ($)<br>|
| U.S. SOFR Index(4) | Annual | 3.25% | Annual | LCH | Jun 2027 | 67599000 | 78161 | 0 | 78161 |
| U.S. SOFR Index(4) | Annual | 3.5% | Annual | LCH | Jun 2045 | 22760000 | 440344 | 0 | 440344 |
| U.S. SOFR Index(4) | Annual | 3.25% | Annual | LCH | Jun 2032 | 13186000 | (65645) | 0 | (65645) |
| U.S. SOFR Index(4) | Annual | 3.25% | Annual | LCH | Jun 2029 | 35110000 | 123702 | 0 | 123702 |
| U.S. SOFR Index(4) | Annual | 3.25% | Annual | LCH | Jun 2030 | 1460000 | (8857) | 0 | (8857) |
| U.S. SOFR Index(4) | Annual | 3.25% | Annual | LCH | Jun 2028 | 92705000 | (40834) | 0 | (40834) |
| **TOTAL INTEREST RATE SWAPS** |  |  |  |  |  |  | **526871** | **0** | **526871** |

---

(1)Swaps with LCH Clearnet Group (LCH) are centrally cleared swaps.

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

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

(4)Represents floating rate.

**Currency Abbreviations**

---

| | | |
|:---|:---|:---|
| AUD | - | Australian Dollar |
| CAD | - | Canadian Dollar |
| EUR | - | European Monetary Unit (Euro) |
| GBP | - | United Kingdom Pound |
| JPY | - | Japanese Yen |
| USD | - | United States Dollar |

---

**Legend**

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

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

(c) 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 $1,440,912,263 or 20.9% of net assets.

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

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

(f) A coupon rate of 0% signifies an unsettled loan. The coupon rate will be determined upon settlement of the loan after period end.

(g) Position or a portion of the position represents an unfunded loan commitment. At period end, the total principal amount and market value of unfunded commitments totaled $420,786 and $407,286, respectively.

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

(i) Principal Only Strips represent the right to receive the monthly principal payments.

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

(k) 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.

(l) Level 3 security

(m) Security initially issued in zero coupon form which converts to coupon form at a specified rate and date. The rate shown is the rate at period end.

(n) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited schedule of portfolio holdings for each Fidelity Central Fund is filed with the SEC for the first and third quarters of each fiscal year on Form N-PORT and is available upon request or at the SEC's website at www.sec.gov. An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com and/or institutional.fidelity.com, as applicable. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.

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

(p) Security exempt from registration under Regulation S of the Securities Act of 1933 and may be resold to qualified foreign investors outside of the United States. At the end of the period, the value of securities amounted to $74,676,299 or 1.1% of net assets.

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

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

(s) A portion of the security sold on a delayed delivery basis.

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

(u) Security or a portion of the security has been segregated as collateral for mortgage-backed or asset-backed securities purchased on a delayed delivery or when-issued basis. At period end, the value of securities pledged amounted to $1,451,344.

(v) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $7,393,051.

(w) Security or a portion of the security has been segregated as collateral for over the counter (OTC) derivatives. At period end, the value of securities pledged amounts to $178,524.

(x) Includes $5,724,723 of cash collateral segregated to cover margin requirements for centrally cleared swaps.

(y) 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.

(z) 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.

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

**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 | 332837506 | 2269423772 | 2523289326 | 8148646 | - | - | 78971952 | 78956161 | 0.1% |
| Fidelity Floating Rate Central Fund | 245326654 | 146333422 | - | 21333550 | - | (6525510) | 385134566 | 4009730 | 20.0% |
| Fidelity Securities Lending Cash Central Fund | 14736780 | 2250584619 | 2246610384 | 306258 | - | - | 18711015 | 18709144 | 0.1% |
| Total | 592900940 | 4666341813 | 4769899710 | 29788454 | - | (6525510) | 482817533 |  |  |

---

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

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

**Investment Valuation**

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

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

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

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

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

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

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

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

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

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

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

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

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

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

**Derivative Instruments**

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Fidelity Income Fund

- **b. Investment Company Act file number:** 811-04085

- **c. CIK number of Registrant:** 0000751199

- **d. LEI of Registrant:** D66RCKM57LC8ELZCAY58

- **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 Total Bond K6 Fund

- **b. EDGAR series identifier (if any):** S000057288

- **c. LEI of Series:** 549300YDL7N53AVV4R59

**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:** $8169621329.38

**Total Liabilities:** $1296097423.15

**Net Assets:** $6873523906.23

**Delayed Delivery Securities:** $794471212.45

**Cash Not Reported:** $7707577.54

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 60106.47042133 | **1-Year:** 404571.76451244 | **5-Year:** 1375382.48124171 | **10-Year:** 1221687.06454078 | **30-Year:** 842433.04796910

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

- **3-Month:** 24604.57532413 | **1-Year:** 75849.28966624 | **5-Year:** 77561.49624731 | **10-Year:** 15740.63067258 | **30-Year:** 4401.03732108

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000182864 | -0.07%               | 0.26%                | -0.51%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $6721784.16              | $-42534730.10                              |
| Month 2  | $-10813652.18            | $1610646.46                                |
| Month 3  | $-1668922.16             | $-55229552.34                              |

**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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 01/01/2032#AS8602                                                                        | CUSIP: 3138WJRY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     120069 | PA      | $114898.72    | 0.00%             | 2032-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| INEOS QUATTRO FINANCE 2                                                            | INEOS QUATTRO FINANCE 2 9.625% 03/15/2029 144A                                                          | CUSIP: 45674GAB0<br>LEI: 213800V48W4Y5MT5Q131 | Long             | DBT              | CORP              | GB        |     123000 | PA      | $122387.46    | 0.00%             | 2029-03-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3% 02/20/2050#BQ4127                                                                            | CUSIP: 3617LNSQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      88322 | PA      | $76930.87     | 0.00%             | 2050-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TAV HAVALIMANLARI HOLDING AS                                                       | TAV HAVALIMANLARI HOLDING AS 8.5% 12/07/2028 144A                                                       | CUSIP: 87216EAA4<br>LEI: 789000PBM9TT5D88M597 | Long             | DBT              | CORP              | TR        |     105000 | PA      | $108018.75    | 0.00%             | 2028-12-07      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| NIGERIA REPUBLIC OF                                                                | NIGERIA REPUBLIC 7.625% 11/21/2025 144A                                                                 | CUSIP: 65412JAJ2<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |     335000 | PA      | $336360.10    | 0.00%             | 2025-11-21      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 07/51#BT1461                                                                               | CUSIP: 3140LPTT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37811 | PA      | $29858.63     | 0.00%             | 2051-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2% 08/01/2040#MA4093                                                                          | CUSIP: 31418DRP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8003188 | PA      | $6837594.51   | 0.10%             | 2040-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| EGYPT, (ARAB) REPUBLIC OF                                                          | EGYPT (ARAB) REPUBLIC OF 8.7002% 03/01/2049 144A                                                        | CUSIP: 03846JW89<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |     200000 | PA      | $155250.00    | 0.00%             | 2049-03-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| ENCORE CAPITAL GROUP INC                                                           | ENCORE CAP GROUP INC 8.5% 05/15/2030 144A                                                               | CUSIP: 292554AR3<br>LEI: 5493000UVC6H49CIH830 | Long             | DBT              | CORP              | US        |    1005000 | PA      | $1065315.83   | 0.02%             | 2030-05-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 12/01/2047#CA0855                                                                        | CUSIP: 3140Q75R4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61303 | PA      | $55351.89     | 0.00%             | 2047-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 1.5% 11/01/2035#FM4368                                                                        | CUSIP: 3140X72A6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12865 | PA      | $11346.84     | 0.00%             | 2035-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| ANGLIAN WATER SVCS FINANC PLC                                                      | ANGLIAN WATER SVCS FINANC PLC 6.25% 09/12/2044 REGS                                                     | CUSIP: N/A<br>LEI: 213800DL377MH46PDY63       | Long             | DBT              | CORP              | GB        |     175000 | PA      | $220962.46    | 0.00%             | 2044-09-12      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HORIZON US FINCO LP                                                                | THE TRAVEL CORP TERM B 1LN 10/31/2031                                                                   | CUSIP: 44057XAB3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     374223 | PA      | $346623.86    | 0.01%             | 2031-10-31      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+125 10/25/2054                                                   | CUSIP: 3137HJQ26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    3401485 | PA      | $3395109.73   | 0.05%             | 2054-10-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 11/01/2051#CB2276                                                                        | CUSIP: 3140QMQ64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1993018 | PA      | $1640800.86   | 0.02%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HUNGARY REPUBLIC OF                                                                | HUNGARY REPUBLIC OF 6.75% 09/25/2052 144A                                                               | CUSIP: 445545AT3<br>LEI: 5299008DH62LEB10JK83 | Long             | DBT              | NUSS              | HU        |     100000 | PA      | $99925.00     | 0.00%             | 2052-09-25      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BARINGS EQUIPMENT FINANCE LLC 2025-A                                               | BARINGS EQUIPMENT FINANCE LLC 2025-A 4.64% 10/13/2028 144A                                              | CUSIP: 06764MAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1500000 | PA      | $1500058.20   | 0.02%             | 2028-10-13      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 6/40 #745127                                                                                 | CUSIP: 3620C0YY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2661 | PA      | $2614.44      | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 1/38 #889371                                                                                 | CUSIP: 31410KCG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6718 | PA      | $7039.17      | 0.00%             | 2038-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CHARLES RIVER LABORATORIES INTERNATIONAL INC                                       | CHARLES RIVER LABS INTL INC 3.75% 03/15/2029 144A                                                       | CUSIP: 159864AG2<br>LEI: 549300BSQ0R4UZ5KX287 | Long             | DBT              | CORP              | US        |    1295000 | PA      | $1199560.18   | 0.02%             | 2029-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 05/01/2051#CB0447                                                                        | CUSIP: 3140QKP93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1612291 | PA      | $1328869.80   | 0.02%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ENBW INTERNATIONAL FINANCE BV                                                      | ENBW INTERNATIONAL FINANCE BV 3.5% 07/22/2031 REGS                                                      | CUSIP: N/A<br>LEI: 724500CNCIO1ZTJ0X675       | Long             | DBT              | CORP              | NL        |     200000 | PA      | $232202.27    | 0.00%             | 2031-07-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 6/35 #828385                                                                                 | CUSIP: 31407EJ61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1291 | PA      | $1342.77      | 0.00%             | 2035-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PAKISTAN, ISLAMIC REP OF                                                           | PAKISTAN ISLAMIC REP OF 6% 04/08/2026 144A                                                              | CUSIP: 695847AS2<br>LEI: 529900LOP29R5WKHOD86 | Long             | DBT              | NUSS              | PK        |     360000 | PA      | $350730.00    | 0.01%             | 2026-04-08      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GOVERNMENT NAT MTG AS REMIC PT TSFR1M+51.448 08/20/2042                                                 | CUSIP: 38375GZX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      37389 | PA      | $36705.21     | 0.00%             | 2042-08-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE CLO 2024-2 LTD                                                       | PALMER SQUARE CLO 2024-2 LTD E TSFR3M+570 07/20/2037 144A                                               | CUSIP: 69703MAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $504644.00    | 0.01%             | 2037-07-20      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| COMM 2006 FL12                                                                     | COMM 2014-CR20 C CSTR 11/10/2047                                                                        | CUSIP: 12592LBP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     236398 | PA      | $228029.06    | 0.00%             | 2047-11-10      | Variable      | 0.05%                 | No            |                  3 | On Loan: No      |
| DOMINICAN REPUBLIC                                                                 | DOMINICAN REPUBLIC 7.15% 02/24/2055 144A                                                                | CUSIP: 25714PFC7<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |     210000 | PA      | $206220.00    | 0.00%             | 2055-02-24      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| HONDA AUTO RECEIVABLES 2023-3 OWNER TR                                             | HONDA AUTO RECEIVABLES 2023-3 OWNER TR 5.41% 02/18/2028                                                 | CUSIP: 43815QAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     466282 | PA      | $469131.98    | 0.01%             | 2028-02-18      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 11/01/2051#FM9464                                                                          | CUSIP: 3140XDQS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17400 | PA      | $15059.36     | 0.00%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIAN OIL COMPANY                                                          | SAUDI ARABIAN OIL COMPANY 5.875% 07/17/2064 144A                                                        | CUSIP: 80414L2Q7<br>LEI: 5586006WD91QHB7J4X50 | Long             | DBT              | CORP              | SA        |     200000 | PA      | $179062.00    | 0.00%             | 2064-07-17      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| 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        |    5662878 | PA      | $5669949.53   | 0.08%             | 2039-02-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| EXTRA SPACE STORAGE LP                                                             | EXTRA SPACE STORAGE LP 5.4% 02/01/2034                                                                  | CUSIP: 30225VAS6<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              | CORP              | US        |     260000 | PA      | $258484.60    | 0.00%             | 2034-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NAVOI MINING METALLURGIC                                                           | NAVOI MINING METALLURGIC 6.75% 05/14/2030 144A                                                          | CUSIP: 63890CAC8<br>LEI: N/A                  | Long             | DBT              | CORP              | UZ        |     270000 | PA      | $268920.00    | 0.00%             | 2030-05-14      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 7.5% 06/01/2027#250951                                                                        | CUSIP: 31371FWL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         23 | PA      | $23.64        | 0.00%             | 2027-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| J P MORGAN CHASE COML MTG SECS TR 2018-WPT                                         | J P MORGAN CHASE COML MTG SECS TR 2018-WPT 4.248% 07/05/2033 144A                                       | CUSIP: 46645WAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     476000 | PA      | $451097.87    | 0.01%             | 2033-07-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BMO 2025-C12 MORTGAGE TRUST                                                        | BMO 2025-C12 MORTGAGE TRUST VAR 06/15/2058                                                              | CUSIP: 05615DAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     462000 | PA      | $466776.53    | 0.01%             | 2058-06-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| TURKEY REPUBLIC OF                                                                 | TURKEY REPUBLIC OF 5.125% 02/17/2028                                                                    | CUSIP: 900123CP3<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |     225000 | PA      | $218104.88    | 0.00%             | 2028-02-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 08/01/2043#AU3735                                                                        | CUSIP: 3138X3EH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      70488 | PA      | $63043.89     | 0.00%             | 2043-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SELF COMMERCIAL MORTGAGE TRUST 2024-STRG                                           | SELF COMMERCIAL MORTGAGE TRUST 2024-STRG E TSFR1M+418.849 11/15/2034 144A                               | CUSIP: 81631WAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     239000 | PA      | $238347.67    | 0.00%             | 2034-11-15      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 2/30 #535143                                                                                 | CUSIP: 31384VP48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         52 | PA      | $54.26        | 0.00%             | 2030-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 02/01/2043#AR1584                                                                        | CUSIP: 3138NXXN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29913 | PA      | $26975.09     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 4/42 #AK9019                                                                                 | CUSIP: 3138EEAV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6171 | PA      | $5870.91      | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS CORP TR 2023-SHIP                                                      | GS MTG SECS CORP TR 2023-SHIP 7.68138% 09/10/2038 144A                                                  | CUSIP: 36270GAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1250000 | PA      | $1258262.63   | 0.02%             | 2038-09-10      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| AASET 2021-2 TR                                                                    | AASET 2021-2 TR 2.798% 01/15/2047 144A                                                                  | CUSIP: 00258BAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1700118 | PA      | $1562988.96   | 0.02%             | 2047-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                       | UBS GROUP AG 1.494%/VAR 08/10/2027 144A                                                                 | CUSIP: 902613AH1<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    1190000 | PA      | $1144898.76   | 0.02%             | 2027-08-10      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| RESTAURANT TECHNOLOGIES INC                                                        | RESTAURANT TECHNOLOGIES TERM B 1LN 4/2/2029                                                             | CUSIP: 26972CAC6<br>LEI: 5493007MVERDD2NKNE42 | Long             | LON              | CORP              | US        |     513614 | PA      | $498847.60    | 0.01%             | 2029-04-02      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| VIRGIN MEDIA SECURED FINANCE PLC                                                   | VIRGIN MEDIA SECD FIN PLC 4.5% 08/15/2030 144A                                                          | CUSIP: 92769XAR6<br>LEI: 213800X3RLP4NOTPY579 | Long             | DBT              | CORP              | GB        |    1635000 | PA      | $1509768.97   | 0.02%             | 2030-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ARGENTINA REPUBLIC OF                                                              | ARGENTINA REPUBLIC OF STEP 07/09/2030                                                                   | CUSIP: 040114HS2<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |    3616809 | PA      | $2832413.39   | 0.04%             | 2030-07-09      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                                   | SOCIETE GENERALE FRANCE 6.691%/VAR 01/10/2034 144A                                                      | CUSIP: 83368RBS0<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |     798000 | PA      | $840662.40    | 0.01%             | 2034-01-10      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2015-C33                                | JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2015-C33 VAR 12/15/2048                                      | CUSIP: 46645JAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     151699 | PA      | $151043.91    | 0.00%             | 2048-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 11/01/2031#ZS8629                                                                        | CUSIP: 3132A9SS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     100680 | PA      | $96384.22     | 0.00%             | 2031-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2006-15 OP 0% 3/36                                                                                  | CUSIP: 31395BTU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       6751 | PA      | $5740.93      | 0.00%             | 2036-03-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP NEW                                                               | DUKE ENERGY CORP NEW 4.5% 08/15/2032                                                                    | CUSIP: 26441CBT1<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    7000000 | PA      | $6729885.75   | 0.10%             | 2032-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| RWE FINANCE US LLC                                                                 | RWE FINANCE US LLC 5.875% 04/16/2034 144A                                                               | CUSIP: 749983AA0<br>LEI: 529900J7MYLKI84UP772 | Long             | DBT              | CORP              | US        |     782000 | PA      | $794082.46    | 0.01%             | 2034-04-16      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CONSOLIDATED ENERGY FINANCE SA                                                     | CONSOLIDATED ENERGY FINANCE SA 12% 02/15/2031 144A                                                      | CUSIP: 20914UAH9<br>LEI: 549300PUNIS0USNSL750 | Long             | DBT              | CORP              | LU        |     790000 | PA      | $723722.47    | 0.01%             | 2031-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 10/01/2047#CA0623                                                                        | CUSIP: 3140Q7VR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8807 | PA      | $8443.34      | 0.00%             | 2047-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 1/41 #734151                                                                                 | CUSIP: 3620AMTG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9100 | PA      | $8728.49      | 0.00%             | 2041-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AR2904                                                                        | CUSIP: 3138W0GN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7807 | PA      | $7046.62      | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | 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        |    5406000 | PA      | $5537318.50   | 0.08%             | 2033-01-13      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| NEW FORTRESS ENERGY INC                                                            | NEW FORTRESS ENERGY INC 144                                                                             | CUSIP: N/A<br>LEI: 254900EICTYTCHA5X705       | Long             | EC               | CORP              | US        |      21185 | NS      | $52750.65     | 0.00%             |  |  |  | No            |                  1 | 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        |    1023000 | PA      | $1023639.38   | 0.01%             | 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        |    3757953 | PA      | $3274548.13   | 0.05%             | 2042-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HPEFS EQUIP TR 2024-2                                                              | HPEFS EQUIP TR 2024-2 5.36% 10/20/2031 144A                                                             | CUSIP: 40444MAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     700000 | PA      | $704636.10    | 0.01%             | 2031-10-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 09/01/2032#BM1884                                                                          | CUSIP: 3140J6CW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13292 | PA      | $12841.77     | 0.00%             | 2032-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                          | BOEING CO 7.008% 05/01/2064                                                                             | CUSIP: 097023DU6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    1132000 | PA      | $1209231.48   | 0.02%             | 2064-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                                                     | AIR LEASE CORP 4.125%/VAR PERP                                                                          | CUSIP: 00912XBK9<br>LEI: 5493004NW4M4P8TMMK63 | Long             | EP               | CORP              | US        |     500000 | PA      | $481825.50    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2022-LP2                                              | BX 2022-LP2 G TSFR1M+411.27 02/15/39 144A                                                               | CUSIP: 05610HAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     334600 | PA      | $332142.23    | 0.00%             | 2039-02-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 10/41 #479607                                                                                | CUSIP: 36209RYC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6319 | PA      | $6059.33      | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4% 03/20/2047#MA4322                                                                            | CUSIP: 36179SYT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     327547 | PA      | $305277.19    | 0.00%             | 2047-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SABLE INTL FINANCE LTD                                                             | SABLE INTL FIN LTD 7.125% 10/15/2032 144A                                                               | CUSIP: 785712AK6<br>LEI: 2138009IE9A35LO5JS73 | Long             | DBT              | CORP              | KY        |    1355000 | PA      | $1328323.44   | 0.02%             | 2032-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| TOWD PT MTG TR 2018-5                                                              | TOWD PT MTG TR 2018-5 3.25% 07/25/2058 144A                                                             | CUSIP: 89176VAK8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2695045 | PA      | $2656379.91   | 0.04%             | 2058-07-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 6.182% 6/37 #848188                                                                            | CUSIP: 31300LCZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3258 | PA      | $3348.25      | 0.00%             | 2037-06-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| BAMLL COML MTG SECS TR 2019                                                        | BAMLL COML MTG SECS TR 2019 3.112% 11/05/2032 144A                                                      | CUSIP: 05492PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     605596 | PA      | $576559.39    | 0.01%             | 2032-11-05      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 05/01/2046#BC0887                                                                          | CUSIP: 3140EU6Z7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     259498 | PA      | $228931.80    | 0.00%             | 2046-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| OLIN CORP                                                                          | OLIN CORP 5% 02/01/2030                                                                                 | CUSIP: 680665AK2<br>LEI: 549300GKK294V7W57P06 | Long             | DBT              | CORP              | US        |    1525000 | PA      | $1443408.54   | 0.02%             | 2030-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.5% 11/01/2052#SD3410                                                                        | CUSIP: 3132DQYF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     920198 | PA      | $922480.32    | 0.01%             | 2052-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ARTERA SERVICES LLC                                                                | ARTERA SERVICES LLC 8.5% 02/15/2031 144A                                                                | CUSIP: 04302XAA2<br>LEI: 549300J2G34D0WX8Z443 | Long             | DBT              | CORP              | US        |    2470000 | PA      | $2099012.67   | 0.03%             | 2031-02-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                             | US 5YR NOTE (CBT) FUT SEP25 FVU5                                                                        | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |       -248 | NC      | $-180706.85   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BX COML MTG TR 2020-VIV2                                                           | BX COML MTG TR 2020-VIV2 3.66045% 03/09/2044 144A                                                       | CUSIP: 05605NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11671000 | PA      | $10635602.57  | 0.15%             | 2044-03-09      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| TURKEY REPUBLIC OF                                                                 | TURKEY REPUBLIC OF 4.875% 04/16/2043                                                                    | CUSIP: 900123CB4<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |     620000 | PA      | $419275.00    | 0.01%             | 2043-04-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| C AND S GROUP ENTERPRISES LLC                                                      | C AND S GROUP ENTERPRISES LLC 5% 12/15/2028 144A                                                        | CUSIP: 12467AAF5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     760000 | PA      | $646751.79    | 0.01%             | 2028-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 3/28 #420501                                                                                 | CUSIP: 31379JDE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         69 | PA      | $69.76        | 0.00%             | 2028-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PROVINCE CORDOBA                                                                   | PROVINCE CORDOBA STEP 06/01/2027 144A                                                                   | CUSIP: 74408DAD6<br>LEI: 5299006CLM2Z97AATT29 | Long             | DBT              | NUSS              | AR        |     225000 | PA      | $219615.75    | 0.00%             | 2027-06-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.00% 10/41 #005203                                                                             | CUSIP: 36202FX84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     137941 | PA      | $131960.01    | 0.00%             | 2041-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                          | BOEING CO 6.388% 05/01/2031                                                                             | CUSIP: 097023DR3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    5744000 | PA      | $6128701.82   | 0.09%             | 2031-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.00% 11/41 #Q04295                                                                                | CUSIP: 3132GKNL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8225 | PA      | $7828.45      | 0.00%             | 2041-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 04/01/2052#SD0927                                                                        | CUSIP: 3132DNA45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     245728 | PA      | $221337.49    | 0.00%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                                              | LCH OIS SOFRV3.25% MAC 06/18/30                                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |   -1460000 | NC      | $-8857.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FOUNDATION BUILDING MATERIALS INC                                                  | FOUNDATION BUILDING MATERIALS TERM B2 1LN 01/29/2031                                                    | CUSIP: 35039KAD8<br>LEI: 549300ZVE6MONHB01I28 | Long             | LON              | CORP              | US        |     214899 | PA      | $201437.95    | 0.00%             | 2031-01-29      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| DP WORLD CRESCENT LTD                                                              | DP WORLD CRESCENT LTD 3.7495% 01/30/2030 144A                                                           | CUSIP: 26139PAC7<br>LEI: 21380096JRTWB8TL9236 | Long             | DBT              | CORP              | KY        |     170000 | PA      | $160182.50    | 0.00%             | 2030-01-30      | Fixed         | 0.04%                 | 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        |   40000000 | PA      | $38155228.00  | 0.56%             | 2055-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ENTEGRIS INC                                                                       | ENTEGRIS INC 5.95% 06/15/2030 144A                                                                      | CUSIP: 29365BAB9<br>LEI: IYX6OWO7BT5DKO3BYG52 | Long             | DBT              | CORP              | US        |     210000 | PA      | $210115.29    | 0.00%             | 2030-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                                                               | COLOMBIA REPUBLIC OF 7.375% 09/18/2037                                                                  | CUSIP: 195325BK0<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |     100000 | PA      | $94688.00     | 0.00%             | 2037-09-18      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GRAHAM PACKAGING CO INC                                                            | GRAHAM PACKAGING CO INC 7.125% 08/15/2028 144A                                                          | CUSIP: 384701AA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     100000 | PA      | $98180.68     | 0.00%             | 2028-08-15      | Fixed         | 0.07%                 | 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        |   21850000 | PA      | $19440799.34  | 0.28%             | 2055-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 10/01/2042#Q12164                                                                        | CUSIP: 3132HNMM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2322 | PA      | $2207.30      | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 3.242% 9/1/41#1B8659                                                                           | CUSIP: 3128UHAK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3713 | PA      | $3855.46      | 0.00%             | 2041-09-01      | Variable      | 0.08%                 | 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        |   10253536 | PA      | $10288576.89  | 0.15%             | 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        |     314213 | PA      | $260156.70    | 0.00%             | 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        |    1758017 | PA      | $1761826.96   | 0.03%             | 2054-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                                   | ALTRIA GROUP INC 4.5% 05/02/2043                                                                        | CUSIP: 02209SAQ6<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |     632000 | PA      | $513864.49    | 0.01%             | 2043-05-02      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DC COML MTG TR 2023-DC                                                             | DC COML MTG TR 2023-DC VAR 09/10/2028                                                                   | CUSIP: 24023AAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     150000 | PA      | $154331.49    | 0.00%             | 2040-09-12      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 7/28 #406815                                                                                 | CUSIP: 31378R3Y3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        122 | PA      | $127.43       | 0.00%             | 2028-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 03/01/2052#CB3037                                                                          | CUSIP: 3140QNLT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     101889 | PA      | $80078.04     | 0.00%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                   | T-MOBILE USA INC 3.75% 04/15/2027                                                                       | CUSIP: 87264ABD6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    1250000 | PA      | $1233869.95   | 0.02%             | 2027-04-15      | Fixed         | 0.04%                 | 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        |    1301960 | PA      | $1204941.80   | 0.02%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CFCRE COMMERCIAL MORTGAGE TRUST 2016-C7                                            | CFCRE COMMERCIAL MORTGAGE TRUST 2016-C7 3.5853% 12/10/2054                                              | CUSIP: 12532BAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     228740 | PA      | $224590.55    | 0.00%             | 2054-12-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 1/41 #AH4987                                                                                 | CUSIP: 3138A6RH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1945 | PA      | $1853.81      | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 10/41 #479494                                                                                | CUSIP: 36209RUT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18484 | PA      | $17690.51     | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.00% 11/40 #004853                                                                             | CUSIP: 36202FMA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     103595 | PA      | $99315.39     | 0.00%             | 2040-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 4.87% 1/35 #735833                                                                             | CUSIP: 31402RPS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1138 | PA      | $1169.02      | 0.00%             | 2035-01-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 7/38 #889733                                                                                 | CUSIP: 31410KPS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1055 | PA      | $1106.75      | 0.00%             | 2038-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ENTEGRIS INC                                                                       | ENTEGRIS INC 4.75% 04/15/2029 144A                                                                      | CUSIP: 29365BAA1<br>LEI: IYX6OWO7BT5DKO3BYG52 | Long             | DBT              | CORP              | US        |      80000 | PA      | $77677.54     | 0.00%             | 2029-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CANADIAN NATURAL RESOURCES LTD                                                     | CANADIAN NATL RESOURCES LTD 5.85% 02/01/2035                                                            | CUSIP: 136385AG6<br>LEI: 549300T15RIMIKZC5Q38 | Long             | DBT              | CORP              | CA        |     525000 | PA      | $522146.76    | 0.01%             | 2035-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP 04/17/65 B                                                                                  | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     100000 | NC      | $17049.92     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 11/35 #842191                                                                                | CUSIP: 31407VUQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        833 | PA      | $865.82       | 0.00%             | 2035-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                                | GSCOFI SWAP CY885799 12/15/56 S                                                                         | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |    1700000 | NC      | $-29762.41    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM 30YR 6% 06/01/2053#RA9277                                                                          | CUSIP: 3133KRJW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     308580 | PA      | $314635.10    | 0.00%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CLYDESDALE ACQUISITION HOLDINGS INC                                                | CLYDESDALE ACQUISITION HOLDINGS INC 6.75% 04/15/2032 144A                                               | CUSIP: 18972EAD7<br>LEI: 254900QKSDYFR3K5YD98 | Long             | DBT              | CORP              | US        |     630000 | PA      | $636664.24    | 0.01%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SISECAM UK PLC                                                                     | SISECAM UK PLC 8.625% 05/02/2032 144A                                                                   | CUSIP: 829688AB6<br>LEI: 789000T82YRLMLUOC889 | Long             | DBT              | CORP              | GB        |     220000 | PA      | $220000.00    | 0.00%             | 2032-05-02      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 10/42 #AP7148                                                                                | CUSIP: 3138MA5J3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3650 | PA      | $3380.50      | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 12/01/2048#BM5106                                                                        | CUSIP: 3140J9U82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38936 | PA      | $37376.55     | 0.00%             | 2048-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NEXA RESOURCES SA                                                                  | NEXA RESOURCES SA 6.75% 04/09/2034 144A                                                                 | CUSIP: 65290DAB9<br>LEI: 549300QRMRHM7GAU7L47 | Long             | DBT              | CORP              | LU        |      60000 | PA      | $61170.00     | 0.00%             | 2034-04-09      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 05/01/2051#CB0545                                                                        | CUSIP: 3140QKTB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16700 | PA      | $14922.57     | 0.00%             | 2051-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ORBIA ADVANCE CORPORATION SAB DE CV                                                | ORBIA ADVANCE CORPORATION SAB DE CV 6.8% 05/13/2030 144A                                                | CUSIP: 68560EAC2<br>LEI: 549300MVHZ20SBIOEQ79 | Long             | DBT              | CORP              | MX        |     370000 | PA      | $372109.00    | 0.01%             | 2030-05-13      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CPI PROPERTY GROUP SA                                                              | CPI PROPERTY GROUP SA 6% 01/27/2032 REGS                                                                | CUSIP: N/A<br>LEI: 222100CO2ZOTEPGJO223       | Long             | DBT              | CORP              | LU        |     300000 | PA      | $343189.76    | 0.00%             | 2032-01-27      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM 30YR 6% 09/01/2053#RA9856                                                                          | CUSIP: 3133KR5R1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     619337 | PA      | $631490.35    | 0.01%             | 2053-09-01      | Fixed         | 0.06%                 | 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        |     682000 | PA      | $687270.31    | 0.01%             | 2027-06-08      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NEW FORTRESS ENERGY INC                                                            | NEW FORTRESS ENERGY INC 6.5% 09/30/2026 144A                                                            | CUSIP: 644393AB6<br>LEI: 254900EICTYTCHA5X705 | Long             | DBT              | CORP              | US        |      80000 | PA      | $47897.60     | 0.00%             | 2026-09-30      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MINERVA LUXEMBOURG SA                                                              | MINERVA LUXMBOURG SA 8.875% 09/13/2033 144A                                                             | CUSIP: 603374AH2<br>LEI: 222100NM3G3RCPGZ2Z17 | Long             | DBT              | CORP              | LU        |     125000 | PA      | $134185.50    | 0.00%             | 2033-09-13      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| UWM HOLDINGS LLC                                                                   | UWM HOLDINGS LLC 6.625% 02/01/2030 144A                                                                 | CUSIP: 903522AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     875000 | PA      | $857868.03    | 0.01%             | 2030-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AMWINS GROUP INC                                                                   | AMWINS GROUP INC 4.875% 06/30/2029 144A                                                                 | CUSIP: 031921AB5<br>LEI: 549300SJE7MUB8NMRG61 | Long             | DBT              | CORP              | US        |     400000 | PA      | $383216.28    | 0.01%             | 2029-06-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 12/01/2046#G60989                                                                          | CUSIP: 31335BC20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     194815 | PA      | $171300.76    | 0.00%             | 2046-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 03/01/2048#BJ4970                                                                          | CUSIP: 3140H6QY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26015 | PA      | $24246.14     | 0.00%             | 2048-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 7/42 #AA5451                                                                                 | CUSIP: 36178DBU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6928 | PA      | $6422.85      | 0.00%             | 2042-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+648.552 02/15/2036                                               | CUSIP: 31396HLM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       2364 | PA      | $212.84       | 0.00%             | 2036-02-15      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| SUZANO AUSTRIA GMBH                                                                | SUZANO AUSTRIA GMBH 5% 01/15/2030                                                                       | CUSIP: 86964WAH5<br>LEI: 254900287ZNSGVP1R341 | Long             | DBT              | CORP              | AT        |     440000 | PA      | $427745.52    | 0.01%             | 2030-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 05/01/2043#AT5177                                                                        | CUSIP: 3138WSXF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6173 | PA      | $5555.80      | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 02/01/2043#AB7766                                                                        | CUSIP: 31417ETY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19133 | PA      | $17226.86     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES                          | FNS 343 16 5.5% 5/34                                                                                    | CUSIP: 3136FA6N5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |       1593 | PA      | $234.19       | 0.00%             | 2034-05-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| OMAN SULTANATE                                                                     | OMAN SULTANATE 6.75% 01/17/2048 144A                                                                    | CUSIP: 682051AJ6<br>LEI: 549300SZ20F0QTKNQC75 | Long             | DBT              | NUSS              | OM        |     255000 | PA      | $256068.45    | 0.00%             | 2048-01-17      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| LEBANON REPUBLIC OF                                                                | LEBANON REPUBLIC OF 5.8% 12/31/2049 REGS                                                                | CUSIP: N/A<br>LEI: 529900QPC4K9S1KHL354       | Long             | DBT              | NUSS              | LB        |     290000 | PA      | $50170.00     | 0.00%             | 2049-12-31      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 12/01/2050#CA8108                                                                          | CUSIP: 3140QGAJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     252354 | PA      | $198017.65    | 0.00%             | 2050-12-01      | Fixed         | 0.02%                 | 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        |    2854062 | PA      | $2239534.46   | 0.03%             | 2051-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.125% 11/30/2029                                                                             | CUSIP: 91282CMA6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  156430000 | PA      | $157609335.16 | 2.29%             | 2029-11-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/28 #458926                                                                                 | CUSIP: 36208RYX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         27 | PA      | $27.33        | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| EMIRATE OF ABU DHABI                                                               | EMIRATE OF ABU DHABI 3.125% 09/30/2049 144A                                                             | CUSIP: 29135LAF7<br>LEI: 213800FER4348CINTA77 | Long             | DBT              | NUSS              | AE        |    1175000 | PA      | $778437.50    | 0.01%             | 2049-09-30      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 2/1/43#AR5364                                                                            | CUSIP: 3138W26A8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13270 | PA      | $12228.18     | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5% 09/01/2052#BW8697                                                                          | CUSIP: 3140N1UX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23016 | PA      | $22733.24     | 0.00%             | 2052-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ALLIANT HOLDINGS, L.P.                                                             | ALLIANT HOLDINGS LP 10%/ 10.5% PIK PREF PERP                                                            | CUSIP: N/A<br>LEI: N/A                        | Long             | EP               | CORP              | US        |     169668 | PA      | $169040.23    | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| BARCLAYS PLC                                                                       | BARCLAYS PLC 5.262%/VAR 01/29/2034 REGS                                                                 | CUSIP: N/A<br>LEI: 213800LBQA1Y9L22JB70       | Long             | DBT              | CORP              | GB        |     721000 | PA      | $901020.27    | 0.01%             | 2034-01-29      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 06/01/2050#MA4047                                                                          | CUSIP: 31418DP97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     371577 | PA      | $291802.57    | 0.00%             | 2050-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| PRPM 2023-RCF2 LLC                                                                 | PRPM 2023-RCF2 LLC 4% 11/25/2053 144A                                                                   | CUSIP: 69380RAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     449440 | PA      | $438044.37    | 0.01%             | 2053-11-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 02/01/2052#RA6823                                                                          | CUSIP: 3133KNSL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     642058 | PA      | $504614.80    | 0.01%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BX TR 2019-OC11                                                                    | BX TR 2019-OC11 VAR 12/09/2041 144A                                                                     | CUSIP: 05606FAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   50900000 | PA      | $1489863.36   | 0.02%             | 2041-12-09      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.0% 10/20/2044#MA2304                                                                          | CUSIP: 36179QRZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      82771 | PA      | $78540.96     | 0.00%             | 2044-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 2.5% 11/25/2047                                                          | CUSIP: 3137H5J57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      94222 | PA      | $83087.50     | 0.00%             | 2047-11-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 2.986% 10/01/2041#1B8864                                                                       | CUSIP: 3128UHGY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      26399 | PA      | $27455.44     | 0.00%             | 2041-10-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 6/36 #745640                                                                                 | CUSIP: 31403DLV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3882 | PA      | $4054.69      | 0.00%             | 2036-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                                 | WELLS FARGO and CO NEW 5.389%/VAR 04/24/2034                                                            | CUSIP: 95000U3D3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    7133000 | PA      | $7163490.94   | 0.10%             | 2034-04-24      | Variable      | 0.05%                 | 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        |     297000 | PA      | $238739.90    | 0.00%             | 2032-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                                                                | INTESA SANPAOLO SPA 6.625% 06/20/2033 144A                                                              | CUSIP: 46115HBZ9<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |     599000 | PA      | $637911.47    | 0.01%             | 2033-06-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| LADDER CAP FIN HLDGS LLLP / LADDER CAP FIN CORP                                    | LADDER CAP FIN HLDGS LLLP/CORP 7% 07/15/2031 144A                                                       | CUSIP: 505742AR7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     295000 | PA      | $305929.75    | 0.00%             | 2031-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 7/40 #745236                                                                                 | CUSIP: 3620C04V7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4432 | PA      | $4356.22      | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 09/01/2040#G06016                                                                        | CUSIP: 3128M8AR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2834 | PA      | $2790.12      | 0.00%             | 2040-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 6.0% 05/15/2040#783362                                                                        | CUSIP: 36241LWX0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21848 | PA      | $22624.24     | 0.00%             | 2040-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                                | PETROLEOS MEXICANOS 6.75% 09/21/2047                                                                    | CUSIP: 71654QCC4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   13445000 | PA      | $9094198.00   | 0.13%             | 2047-09-21      | Fixed         | 0.07%                 | 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        |     881000 | PA      | $881000.00    | 0.01%             | 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        |    2242000 | PA      | $2223385.91   | 0.03%             | 2030-01-23      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 11/01/2050#SD7530                                                                        | CUSIP: 3132DVLK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     895894 | PA      | $742605.79    | 0.01%             | 2050-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2012-H03 FA TSFR1M+81.448 1/20/62 RVM                                                               | CUSIP: 38375BPJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      45606 | PA      | $45878.76     | 0.00%             | 2062-01-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES INC                                                                | UNITED AIRLINES INC 4.375% 04/15/2026 144A                                                              | CUSIP: 90932LAG2<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | DBT              | CORP              | US        |    1430000 | PA      | $1413054.13   | 0.02%             | 2026-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2025-DIME                                                                 | BX TRUST 2025-DIME 7.32871% 02/15/2035 144A                                                             | CUSIP: 05613UAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     610000 | PA      | $605269.02    | 0.01%             | 2035-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.00% 4/42 #G06973                                                                                 | CUSIP: 3128M9CJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      55048 | PA      | $52347.91     | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 01/01/2048#ZT2430                                                                        | CUSIP: 3132AEVX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     945019 | PA      | $852989.25    | 0.01%             | 2048-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ISRAEL ELECTRIC CORP LTD                                                           | ISRAEL ELECTRIC CORP LTD 3.75% 02/22/2032 144A REGS                                                     | CUSIP: N/A<br>LEI: 254900JW7GE35YNJGJ55       | Long             | DBT              | CORP              | IL        |     260000 | PA      | $230328.80    | 0.00%             | 2032-02-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ATP TOWER HOLDINGS/ ANDEAN TELECOM PARTNERS CHILE SPA/ ANDEAN TOWER PARTNERS C     | ATP TOWER HOLDINGS/ ANDEAN TELECOM PARTNERS CHILE SPA/ ANDEAN TOWER PARTNERS C 7.875% 02/03/2030 144A   | CUSIP: 00193BAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     420000 | PA      | $420299.69    | 0.01%             | 2030-02-03      | Fixed         | 0.08%                 | 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        |    1347822 | PA      | $1224990.36   | 0.02%             | 2048-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FINANCE NETHERLANDS B.V.                                           | IMPERIAL BRANDS FINANCE NETHERLANDS B.V. 5.25% 02/15/2031 REGS                                          | CUSIP: N/A<br>LEI: 724500GIEFJOBWGD0272       | Long             | DBT              | CORP              | NL        |     902000 | PA      | $1108066.15   | 0.02%             | 2031-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FRESNILLO PLC                                                                      | FRESNILLO PLC 4.25% 10/02/2050 144A                                                                     | CUSIP: 358070AB6<br>LEI: 549300JXWH1UV5J0XV81 | Long             | DBT              | CORP              | GB        |     155000 | PA      | $108112.50    | 0.00%             | 2050-10-02      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES LTD                                                        | ROYAL CARIBBEAN CRUISES LTD 6% 02/01/2033 144A                                                          | CUSIP: 780153BV3<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |    1050000 | PA      | $1053768.93   | 0.02%             | 2033-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WR GRACE HOLDING LLC                                                               | WR GRACE HOLDING LLC 5.625% 08/15/2029 144A                                                             | CUSIP: 92943GAA9<br>LEI: 549300WNOVFRGYOAEB12 | Long             | DBT              | CORP              | US        |    1095000 | PA      | $964821.25    | 0.01%             | 2029-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PENNYMAC FINANCIAL SERVICES INC                                                    | PENNYMAC FINANCIAL SERVICES INC 6.875% 02/15/2033 144A                                                  | CUSIP: 70932MAF4<br>LEI: 549300W1D516HBDEU871 | Long             | DBT              | CORP              | US        |     375000 | PA      | $377013.75    | 0.01%             | 2033-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 7% 2/32 #003202                                                                                 | CUSIP: 36202DRX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        558 | PA      | $578.85       | 0.00%             | 2032-02-20      | Fixed         | 0.07%                 | 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        |    8438925 | PA      | $7745233.55   | 0.11%             | 2051-11-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 12/01/2042#AR1624                                                                        | CUSIP: 3138NXYW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3421 | PA      | $3071.72      | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 6.39% 12/36 #1J1448                                                                            | CUSIP: 3128NHTD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1152 | PA      | $1200.42      | 0.00%             | 2036-12-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| KOSMOS ENERGY LTD                                                                  | KOSMOS ENERGY LTD 7.125% 04/04/2026 144A                                                                | CUSIP: 500688AC0<br>LEI: 213800YDFJ3OT9B5P157 | Long             | DBT              | CORP              | US        |     695000 | PA      | $667895.00    | 0.01%             | 2026-04-04      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2% 02/01/2036#BR3300                                                                          | CUSIP: 3140L1U29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21491 | PA      | $19622.25     | 0.00%             | 2036-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GNR 2011-69 GX 4.5% 5/40                                                                                | CUSIP: 38377VH66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      82633 | PA      | $82352.31     | 0.00%             | 2040-05-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 4/42 #AK8228                                                                                 | CUSIP: 3138EDEA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13067 | PA      | $12430.56     | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+56.448 07/25/2042                                                | CUSIP: 3136A7FB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    1317266 | PA      | $1306416.84   | 0.02%             | 2042-07-25      | Variable      | 0.05%                 | 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        |    4364000 | PA      | $4359186.51   | 0.06%             | 2038-01-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CORPORACION NACIONAL DEL COBRE DE CHILE                                            | CORPORACION NACIONAL DEL COBRE DE CHILE 5.95% 01/08/2034 144A                                           | CUSIP: 21987BBG2<br>LEI: 549300UVMBCBCIPSUI70 | Long             | DBT              | CORP              | CL        |     150000 | PA      | $150331.65    | 0.00%             | 2034-01-08      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2011-H12 FA TSFR1M+60.448 5/61                                                                      | CUSIP: 38375BLS9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      75423 | PA      | $75724.69     | 0.00%             | 2061-02-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GOVERNMENT NAT MTG 2010-169 Z 4.5% 12/20/2040                                                           | CUSIP: 38377RM51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     409498 | PA      | $391818.25    | 0.01%             | 2040-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| RETAINED VANTAGE DATA CTRS ISSUER LLC / VANTAGE DATA CTRS CDA QC4 LTD PARTNERSHIP  | RETAINED VANTAGE DATA CTRS ISSUER LLC / VANTAGE DATA CTRS CDA QC4 LTD PARTNERSHIP 5.75% 09/15/2048 144A | CUSIP: 76134KAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     250000 | PA      | $243957.83    | 0.00%             | 2048-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GHANA REPUBLIC OF                                                                  | GHANA REPUBLIC OF 0% 07/03/2026 144A                                                                    | CUSIP: 374422AL7<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |       9600 | PA      | $9288.00      | 0.00%             | 2026-07-03      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BETHP 2021                                                                         | BETHP 2021 A TSFR3M+139.161 01/15/2035 144A                                                             | CUSIP: 087598AA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1049000 | PA      | $1051360.25   | 0.02%             | 2035-01-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FREEPORT INDONESIA PT                                                              | FREEPORT INDONESIA PT 6.2% 04/14/2052 144A                                                              | CUSIP: 69377FAC0<br>LEI: 549300T4HTQHRKLNE619 | Long             | DBT              | CORP              | ID        |     150000 | PA      | $143561.25    | 0.00%             | 2052-04-14      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 3.5% 07/01/2032#G31067                                                                        | CUSIP: 3132J4MR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     155137 | PA      | $151446.17    | 0.00%             | 2032-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TALLGRASS ENERGY PARTNERS LP / TALLGRASS ENERGY FINANCE CORP                       | TALLGRASS ENERGY PARTNERS LP / TALLGRASS ENERGY FINANCE CORP 5.5% 01/15/2028 144A                       | CUSIP: 87470LAD3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     360000 | PA      | $357761.48    | 0.01%             | 2028-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2018-C46                                                   | WELLS FARGO COML MTG TR 2018-C46 XA CSTR 08/15/2051                                                     | CUSIP: 95001QAV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2206011 | PA      | $42549.32     | 0.00%             | 2051-08-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FLATIRON CLO 28 LTD / FLATIRON CLO 28 LLC                                          | FLATIRON CLO 28 LTD / FLATIRON CLO 28 LLC A1 TSFR3M+132 07/15/2036 144A                                 | CUSIP: 33884EAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4000000 | PA      | $4001316.00   | 0.06%             | 2036-07-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| SRI LANKA GOVT DEMOCRATIC SOCIALIST REP                                            | SRI LANKA GOVT DEMOC SOCIA REP 4% 04/15/2028 144A                                                       | CUSIP: N/A<br>LEI: 254900HXCCIOHM74FA02       | Long             | DBT              | NUSS              | LK        |     104640 | PA      | $97446.36     | 0.00%             | 2028-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GOVERNMENT NAT MTG AS REMIC PT 3% 02/20/2044                                                            | CUSIP: 38378Y2R9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      75976 | PA      | $69895.51     | 0.00%             | 2044-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 6.22% 3/37 #910296                                                                             | CUSIP: 31411KKH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4963 | PA      | $5119.51      | 0.00%             | 2037-03-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| LCPR SENIOR SECURED FINANCING DAC                                                  | LCPR SENIOR SECURED FINANCING DAC 6.75% 10/15/2027 144A                                                 | CUSIP: 50201DAA1<br>LEI: 549300LE5FM8IKMXSP90 | Long             | DBT              | CORP              | IE        |     600000 | PA      | $434986.14    | 0.01%             | 2027-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 1.5% 02/01/2036#FM6507                                                                        | CUSIP: 3140XAGR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     207327 | PA      | $182861.56    | 0.00%             | 2036-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| HEATHROW FUNDING LTD                                                               | HEATHROW FUNDING LTD 6% 03/05/2032 REGS                                                                 | CUSIP: N/A<br>LEI: 7TI96JO3DYEIQWZ7Z726       | Long             | DBT              | CORP              | JE        |     505000 | PA      | $677667.63    | 0.01%             | 2032-03-05      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2137 PG 6% 3/29                                                                                     | CUSIP: 3133TJR70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |        751 | PA      | $765.08       | 0.00%             | 2029-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WESTERN DIGITAL CORP                                                               | WESTERN DIGITAL CORP 4.75% 02/15/2026                                                                   | CUSIP: 958102AM7<br>LEI: 549300QQXOOYEF89IC56 | Long             | DBT              | CORP              | US        |     325000 | PA      | $323922.33    | 0.00%             | 2026-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2303 ZV 6% 4/31                                                                                     | CUSIP: 3133TSTH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       2699 | PA      | $2763.53      | 0.00%             | 2031-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 7/39 #782727                                                                                 | CUSIP: 36241LA48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3509 | PA      | $3525.71      | 0.00%             | 2039-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PETRONAS CAP LTD                                                                   | PETRONAS CAP LTD 3.404% 04/28/2061 144A                                                                 | CUSIP: 71675CAE8<br>LEI: 549300G7YFX3540OYR85 | Long             | DBT              | CORP              | MY        |     235000 | PA      | $147439.00    | 0.00%             | 2061-04-28      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GNR 2004-32 GS 650-1ML 5/34                                                                             | CUSIP: 38374GZM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |       2378 | PA      | $154.27       | 0.00%             | 2034-05-16      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 02/01/2051#BR2644                                                                          | CUSIP: 3140L05E3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34631 | PA      | $27368.83     | 0.00%             | 2051-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIA KINGDOM OF                                                            | SAUDI ARABIA KINGDOM OF 3.45% 02/02/2061 144A                                                           | CUSIP: 80413TAW9<br>LEI: 54930044PULMORCKB765 | Long             | DBT              | NUSS              | SA        |     450000 | PA      | $268780.50    | 0.00%             | 2061-02-02      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ALPHA STAR HOLDING IX LTD                                                          | ALPHA STAR HOLDING IX LTD 7% 08/26/2028 REGS                                                            | CUSIP: N/A<br>LEI: 254900IL2SBV9ANGBE89       | Long             | DBT              | CORP              | AE        |     200000 | PA      | $201668.74    | 0.00%             | 2028-08-26      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2010-H27 FA TSFR1M+38 12/60                                                                         | CUSIP: 38375BJK9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      69086 | PA      | $69244.27     | 0.00%             | 2060-12-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 12/01/2042#AQ9061                                                                          | CUSIP: 3138MRB75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3799 | PA      | $3613.79      | 0.00%             | 2042-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COMMERCIAL METALS CO                                                               | COMMERCIAL METALS CO 3.875% 02/15/2031                                                                  | CUSIP: 201723AP8<br>LEI: 549300OQS2LO07ZJ7N73 | Long             | DBT              | CORP              | US        |     380000 | PA      | $344058.38    | 0.01%             | 2031-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 2.5% 11/01/2041#SC0210                                                                        | CUSIP: 3132D9GT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1427616 | PA      | $1253992.22   | 0.02%             | 2041-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GOVERNMENT NAT MTG ASSN HECM TSFR1M+66.448 09/20/2061                                                   | CUSIP: 38375BNA6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      23897 | PA      | $23994.42     | 0.00%             | 2061-09-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 2020-49 LA 2% 03/25/2043                                                 | CUSIP: 3136BAD50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    2354822 | PA      | $2209614.65   | 0.03%             | 2043-03-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ABU DHABI NATL ENERGY CO PJSC                                                      | ABU DHABI NATL ENERGY CO PJSC 4.696% 04/24/2033 144A                                                    | CUSIP: 00388WAM3<br>LEI: 213800UNJSVQFNUYYW03 | Long             | DBT              | CORP              | AE        |     135000 | PA      | $131468.40    | 0.00%             | 2033-04-24      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GGAM FINANCE LTD                                                                   | GGAM FINANCE LTD 5.875% 03/15/2030 144A                                                                 | CUSIP: 36170JAE6<br>LEI: 254900X2QXEN0FVXRF65 | Long             | DBT              | CORP              | KY        |     950000 | PA      | $944347.50    | 0.01%             | 2030-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CANADA, GOVERNMENT OF                                                              | CANADA GOVERNMENT OF 2.75% 06/01/2033                                                                   | CUSIP: 135087Q23<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |     400000 | PA      | $284169.99    | 0.00%             | 2033-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PK ALIFT LOAN FUNDING 3 LP                                                         | PK ALIFT LOAN FUNDING 3 LP 5.842% 09/15/2039 144A                                                       | CUSIP: 69291VAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     579294 | PA      | $583744.41    | 0.01%             | 2039-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN INTL FINANCE NV                                                         | VOLKSWAGEN INTL FINANCE NV 3.875%/VAR PERP REGS                                                         | CUSIP: N/A<br>LEI: 5299004PWNHKYTR23649       | Long             | EP               | CORP              | NL        |     900000 | PA      | $972745.16    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2023-XL3                                                            | BX COML MTG TR 2023-XL3 C TSFR1M+283.988 12/09/2040 144A                                                | CUSIP: 12434GAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     148214 | PA      | $148630.68    | 0.00%             | 2040-12-09      | Variable      | 0.07%                 | 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        |  -21850000 | PA      | $-19448481.80 | -0.28%            | 2055-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 11/01/2053#RJ0189                                                                          | CUSIP: 3142GQF72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     343499 | PA      | $350024.76    | 0.01%             | 2053-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                                                               | EDISON INTERNATIONAL 5%/VAR PERP                                                                        | CUSIP: 281020AT4<br>LEI: 549300I7ROF15MAEVP56 | Long             | EP               | CORP              | US        |     320000 | PA      | $285635.20    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 07/01/2046#FM8611                                                                          | CUSIP: 3140XCR91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     126674 | PA      | $113226.63    | 0.00%             | 2046-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CHILE REPUBLIC OF                                                                  | CHILE REPUBLIC OF 4.34% 03/07/2042                                                                      | CUSIP: 168863DY1<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |     200000 | PA      | $169200.00    | 0.00%             | 2042-03-07      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 03/01/2051#FM6416                                                                          | CUSIP: 3140XADW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     149495 | PA      | $118427.24    | 0.00%             | 2051-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| J P MORGAN CHASE COML MTG SECS TR 2018-WPT                                         | J P MORGAN CHASE COML MTG SECS TR 2018-WPT DFX 5.3503% 07/05/2033 144A                                  | CUSIP: 46645WBE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     159000 | PA      | $101403.44    | 0.00%             | 2033-07-05      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 1.5% 11/01/2035#QN4142                                                                        | CUSIP: 3133GAS72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      22795 | PA      | $20104.69     | 0.00%             | 2035-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2131 BG 6% 3/29                                                                                     | CUSIP: 3133TK2P4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       4896 | PA      | $4992.89      | 0.00%             | 2029-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BAYER US FIN LLC                                                                   | BAYER US FIN LLC 6.5% 11/21/2033 144A                                                                   | CUSIP: 07274EAL7<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |     709000 | PA      | $738217.83    | 0.01%             | 2033-11-21      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                            | MPLX LP 4.8% 02/15/2029                                                                                 | CUSIP: 55336VAS9<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |     175000 | PA      | $175581.27    | 0.00%             | 2029-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MEXICO UNITED MEXICAN STATES                                                       | MEXICO UNITED MEXICAN STATES 6.05% 01/11/2040                                                           | CUSIP: 91086QAV0<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     455000 | PA      | $422353.75    | 0.01%             | 2040-01-11      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 11/01/2042#AB6904                                                                        | CUSIP: 31417DU68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35755 | PA      | $32280.17     | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 9/28 #323317                                                                                 | CUSIP: 31374TDW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         37 | PA      | $38.10        | 0.00%             | 2028-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                     | MORGAN STANLEY 5.424%/VAR 07/21/2034                                                                    | CUSIP: 61747YFG5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    7000000 | PA      | $7063108.99   | 0.10%             | 2034-07-21      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2017-30 AI 5.5% 05/47                                                                               | CUSIP: 3136AWQD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      25958 | PA      | $3719.40      | 0.00%             | 2047-05-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 2.5% 12/20/2051#785805                                                                          | CUSIP: 3622ABKS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2346771 | PA      | $1950074.23   | 0.03%             | 2051-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 07/15/2046#AT7536                                                                          | CUSIP: 36194GLR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4908 | PA      | $4561.63      | 0.00%             | 2046-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| US FOODS INC                                                                       | US FOODS INC 5.75% 04/15/2033 144A                                                                      | CUSIP: 90290MAJ0<br>LEI: 5493000JOOFAOUY1JZ87 | Long             | DBT              | CORP              | US        |     270000 | PA      | $265248.30    | 0.00%             | 2033-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ANGLIAN WATER SVCS FINANC PLC                                                      | ANGLIAN WATER SVCS FINANC PLC 5.875% 06/20/2031 REGS                                                    | CUSIP: N/A<br>LEI: 213800DL377MH46PDY63       | Long             | DBT              | CORP              | GB        |     325000 | PA      | $439957.13    | 0.01%             | 2031-06-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.5% 06/15/2041#366975                                                                        | CUSIP: 36204DT82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      40569 | PA      | $39813.36     | 0.00%             | 2041-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JANE STREET GRP/JSG FIN                                                            | JANE STREET GRP/JSG FIN 6.75% 05/01/2033 144A                                                           | CUSIP: 47077WAE8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     595000 | PA      | $610191.54    | 0.01%             | 2033-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SMYRNA READY MIX LLC                                                               | SMYRNA READY MIX LLC 6% 11/01/2028 144A                                                                 | CUSIP: 85236FAA1<br>LEI: 549300S7RFWHQFOIOY93 | Long             | DBT              | CORP              | US        |     425000 | PA      | $418828.15    | 0.01%             | 2028-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 11/31 #545304                                                                                | CUSIP: 31385HX98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         40 | PA      | $41.80        | 0.00%             | 2031-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 2.5% 05/25/2032                                                          | CUSIP: 3137FFN45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     402917 | PA      | $398522.43    | 0.01%             | 2032-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 5/39 #698329                                                                                 | CUSIP: 36296QY29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        911 | PA      | $896.55       | 0.00%             | 2039-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/01/2040#AE8538                                                                          | CUSIP: 31419KPY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6211 | PA      | $5903.06      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                            | HCA INC 5.5% 06/01/2033                                                                                 | CUSIP: 404119CQ0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2017859.40   | 0.03%             | 2033-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CASTLELAKE AIRCRAFT STRUCTURED TR 2019-1                                           | CASTLELAKE AIRCRAFT STRUCTURED TR 2019-1A A 3.967% 04/15/2039 144A                                      | CUSIP: 14855MAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     461627 | PA      | $437393.05    | 0.01%             | 2039-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MARSH and MCLENNAN COS INC                                                         | MARSH and MCLENNAN COS INC 4.375% 03/15/2029                                                            | CUSIP: 571748BG6<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |     678000 | PA      | $677646.52    | 0.01%             | 2029-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 02/01/2049#CA3129                                                                          | CUSIP: 3140QAPP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      73621 | PA      | $68408.40     | 0.00%             | 2049-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                                                   | WILLIAMS COS INC 5.3% 08/15/2052                                                                        | CUSIP: 969457CA6<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |     346000 | PA      | $306081.79    | 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        |    4615000 | PA      | $4616638.33   | 0.07%             | 2037-07-21      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| J P MORGAN CHASE COML MTG SECS TR 2018-WPT                                         | JPMCC 2018-WPT XAFX CSTR 07/23 144A                                                                     | CUSIP: 46645WAW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2000000 | PA      | $24284.20     | 0.00%             | 2033-07-05      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                         | FANNIEMAE 30YR 2% 02/01/2052#FA0353                                                                     | CUSIP: 3140W0MB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     780853 | PA      | $618578.88    | 0.01%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| LEVEL 3 FINANCING INC                                                              | LEVEL 3 FINANCING INC 4.25% 07/01/2028 144A                                                             | CUSIP: 527298BR3<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |      70000 | PA      | $62300.00     | 0.00%             | 2028-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 4% 10/20/2042#AC0073                                                                            | CUSIP: 36178YCJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      30582 | PA      | $29234.16     | 0.00%             | 2042-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CAS CAPITAL NO 1 LTD                                                               | CAS CAPITAL NO 1 LIMITED 4%/VAR PERP REGS                                                               | CUSIP: N/A<br>LEI: 254900REJZW5L9QRTD85       | Long             | EP               | CORP              | VG        |     275000 | PA      | $266854.50    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                    | CVS HEALTH CORP 6.75%/VAR 12/10/2054                                                                    | CUSIP: 126650EG1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     934000 | PA      | $909148.03    | 0.01%             | 2054-12-10      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| BPR TR 2024-PMDW                                                                   | BPR TR 2024-PMDW B VAR 11/05/2029 144A                                                                  | CUSIP: 05592VAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     120000 | PA      | $120705.08    | 0.00%             | 2041-11-05      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| AES CORP                                                                           | AES CORP 6.95%/VAR 07/15/2055                                                                           | CUSIP: 00130HCL7<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |     658000 | PA      | $624285.79    | 0.01%             | 2055-07-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 11/01/2052#CB5124                                                                        | CUSIP: 3140QQVS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     628789 | PA      | $595301.92    | 0.01%             | 2052-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS CORP TR 2024-RVR                                                       | GS MTG SECS CORP TR 2024-RVR VAR 08/10/2029 144A                                                        | CUSIP: 36272JAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $99610.24     | 0.00%             | 2041-08-10      | 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        |    1093000 | PA      | $1103705.33   | 0.02%             | 2029-05-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| PIKE CORP                                                                          | PIKE CORP 5.5% 09/01/2028 144A                                                                          | CUSIP: 721283AA7<br>LEI: 549300P4EKEP6HK0NC58 | Long             | DBT              | CORP              | US        |     425000 | PA      | $421521.12    | 0.01%             | 2028-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| STAPLES INC                                                                        | STAPLES INC 10.75% 09/01/2029 144A                                                                      | CUSIP: 855030AQ5<br>LEI: XQM2JINI1UL7642TU573 | Long             | DBT              | CORP              | US        |     840000 | PA      | $760436.46    | 0.01%             | 2029-09-01      | Fixed         | 0.11%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 4.19% 9/33 #748643                                                                             | CUSIP: 31403GWC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9796 | PA      | $9944.50      | 0.00%             | 2033-09-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2010-135 ZA 4.5% 12/40                                                                              | CUSIP: 31398SE82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       8693 | PA      | $8310.13      | 0.00%             | 2040-12-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 04/01/2044#AW3253                                                                        | CUSIP: 3138XSTK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4981 | PA      | $4839.10      | 0.00%             | 2044-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OPEN TEXT CORPORATION                                                              | OPEN TEXT CORPORATION 3.875% 02/15/2028 144A                                                            | CUSIP: 683715AC0<br>LEI: 549300UQROQS42RKHM85 | Long             | DBT              | CORP              | CA        |    1495000 | PA      | $1432071.41   | 0.02%             | 2028-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                       | BROADCOM INC 1.95% 02/15/2028 144A                                                                      | CUSIP: 11135FBE0<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     351000 | PA      | $329737.30    | 0.00%             | 2028-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| OCP SA                                                                             | OCP SA 7.5% 05/02/2054 144A                                                                             | CUSIP: 67091TAG0<br>LEI: 213800D26TAPVTCVWG40 | Long             | DBT              | CORP              | MA        |     115000 | PA      | $112083.60    | 0.00%             | 2054-05-02      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                                 | FX Forward: USD/AUD settle 2025-07-08                                                                   | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |          1 | NC      | $756.58       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                                             | STANDARD CHARTERED PLC 3.864%/VAR 03/17/2033 REGS                                                       | CUSIP: N/A<br>LEI: U4LOSYZ7YG4W3S5F2G91       | Long             | DBT              | CORP              | GB        |     300000 | PA      | $345003.58    | 0.01%             | 2033-03-17      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                          | ONEOK INC 4.75% 10/15/2031                                                                              | CUSIP: 682680CD3<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    2540000 | PA      | $2479372.79   | 0.04%             | 2031-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| REALOGY GROUP LLC / REALOGY CO-ISSUER CORP                                         | REALOGY GROUP LLC / REALOGY CO-ISSUER CORP CONV 0.25% 06/15/2026                                        | CUSIP: 75606DAP6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     917000 | PA      | $866106.50    | 0.01%             | 2026-06-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 11/01/2051#FM9568                                                                          | CUSIP: 3140XDT22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     211978 | PA      | $167793.06    | 0.00%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| PRAIRIE ACQUIROR LP                                                                | PRAIRIE ACQUIROR LP 9% 08/01/2029 144A                                                                  | CUSIP: 73943NAA4<br>LEI: 254900Q6KU2LVSIISH22 | Long             | DBT              | CORP              | US        |     360000 | PA      | $365971.32    | 0.01%             | 2029-08-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN ENERGY PARTNERS LP                                                   | KINDER MORGAN ENERGY PTNRS LP 6.55% 09/15/2040                                                          | CUSIP: 494550BF2<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |    1365000 | PA      | $1413927.50   | 0.02%             | 2040-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 08/01/2043#AS0203                                                                        | CUSIP: 3138W9GM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24760 | PA      | $22229.33     | 0.00%             | 2043-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                                | PETROLEOS MEXICANOS 6.625% 06/15/2035                                                                   | CUSIP: 706451BG5<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    1020000 | PA      | $813705.00    | 0.01%             | 2035-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 05/01/2047#Q48095                                                                        | CUSIP: 3132WM7H1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      53204 | PA      | $51156.56     | 0.00%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 02/01/2043#Q15789                                                                        | CUSIP: 3132J62X1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6396 | PA      | $5804.95      | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ALBION FINANCING 1SARL /                                                           | ALBION FINANCING 1SARL / 7% 05/21/2030 144A                                                             | CUSIP: 01330AAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |     635000 | PA      | $645066.24    | 0.01%             | 2030-05-21      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MAGYAR EXPORT-IMPORT BANK                                                          | MAGYAR EXPORT-IMPORT BANK 6.125% 12/04/2027 144A                                                        | CUSIP: 55977YAA6<br>LEI: 529900O4UGETQ9Q3AA63 | Long             | DBT              | CORP              | HU        |      85000 | PA      | $86317.50     | 0.00%             | 2027-12-04      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 10/01/2042#AQ1820                                                                          | CUSIP: 3138MHAW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17921 | PA      | $16039.55     | 0.00%             | 2042-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 02/01/2043#AB7846                                                                        | CUSIP: 31417EWG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23846 | PA      | $21489.74     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.5% 12/31/2031                                                                               | CUSIP: 91282CMC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  125000000 | PA      | $127553711.25 | 1.86%             | 2031-12-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 1.5% 06/01/2036#BR2059                                                                        | CUSIP: 3140L0JD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19864 | PA      | $17464.50     | 0.00%             | 2036-06-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 08/01/2045#BA2698                                                                        | CUSIP: 3140E67L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12796 | PA      | $11977.94     | 0.00%             | 2045-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                       | UBS GROUP AG 3.869%/VAR 01/12/2029 144A                                                                 | CUSIP: 225401AF5<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    1570000 | PA      | $1536784.62   | 0.02%             | 2029-01-12      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 5.64% 4/36 #1J0058                                                                             | CUSIP: 3128LUB39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        964 | PA      | $995.94       | 0.00%             | 2036-04-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| ROCC 2024-CNTR E                                                                   | ROCC 2024-CNTR E 8.81906% 11/13/2041 144A                                                               | CUSIP: 74970WAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     737000 | PA      | $769218.47    | 0.01%             | 2041-11-13      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BK AMER MERRILL LYNCH TR 2013-C9                                    | MSBAM 13-C9 D CSTR 5/15/46                                                                              | CUSIP: 61762DAG6<br>LEI: 549300PFVBG5704L7K74 | Long             | ABS-MBS          | CORP              | US        |     120000 | PA      | $109046.64    | 0.00%             | 2046-05-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| ENERGEAN ISRAEL FINANCE LTD                                                        | ENERGEAN ISRAEL FINANCE LTD 5.875% 03/30/2031 144A REGS                                                 | CUSIP: N/A<br>LEI: 98450044QACBL3F8EB03       | Long             | DBT              | CORP              | IL        |     360000 | PA      | $330480.00    | 0.00%             | 2031-03-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WESTPAC BANKING CORP                                                               | WESTPAC BANKING CORP 4.11%/VAR 07/24/2034                                                               | CUSIP: 961214EF6<br>LEI: EN5TNI6CI43VEPAMHL14 | Long             | DBT              | CORP              | AU        |     744000 | PA      | $712397.14    | 0.01%             | 2034-07-24      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| DLLAD 2023-1A                                                                      | DLLAD 2023-1A 4.79% 01/20/2028 144A                                                                     | CUSIP: 233258AC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     652607 | PA      | $653577.14    | 0.01%             | 2028-01-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AZUL SECURED FINANCE LLP                                                           | AZUL SECURED FINANCE LLP 11.93% 08/28/2028                                                              | CUSIP: 05501WAD4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     298117 | PA      | $80491.59     | 0.00%             | 2028-08-28      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| ARES LOAN FUNDING VII LTD                                                          | ARES LOAN FUNDING VII LTD E TSFR3M+625 10/22/2037 144A                                                  | CUSIP: 04021BAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     100000 | PA      | $100978.20    | 0.00%             | 2037-10-22      | Variable      | 0.11%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 01/01/2041#                                                                                | CUSIP: 312946FC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3086 | PA      | $2960.16      | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII 30YR 4.5% 10/20/2040#004828                                                                        | CUSIP: 36202FLH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20539 | PA      | $19930.00     | 0.00%             | 2040-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GREENSAIF PIPELINES BIDCO SARL                                                     | GREENSAIF PIPELINES BIDCO SARL 5.8528% 02/23/2036 144A                                                  | CUSIP: 39541EAD5<br>LEI: 549300YWDGUXPB8GRP47 | Long             | DBT              | CORP              | LU        |     435000 | PA      | $434799.90    | 0.01%             | 2036-02-23      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 6.25% 6/36 #886983                                                                             | CUSIP: 31410EM88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        709 | PA      | $725.21       | 0.00%             | 2036-06-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMER TR 2021-ESH                                                     | EXTENDED STAY AMER TR 2021-ESH F TSFR1M+381.448 07/15/2038 144A                                         | CUSIP: 30227FAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     943501 | PA      | $943500.41    | 0.01%             | 2038-07-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII 30YR 4.5% 07/20/2039#004488                                                                        | CUSIP: 36202E6Z7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        336 | PA      | $331.61       | 0.00%             | 2039-07-20      | Fixed         | 0.04%                 | 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        |    1076212 | PA      | $924892.51    | 0.01%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MEXICO UNITED MEXICAN STATES                                                       | MEXICO UNITED MEXICAN STATES 6.875% 05/13/2037                                                          | CUSIP: 91087BBC3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     200000 | PA      | $202400.00    | 0.00%             | 2037-05-13      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MCDONALDS CORP                                                                     | MCDONALDS CORP 3.5% 07/01/2027                                                                          | CUSIP: 58013MFP4<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |     353000 | PA      | $347686.95    | 0.01%             | 2027-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 2.55% 09/25/2046                                                         | CUSIP: 3136AWGE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     938206 | PA      | $853968.28    | 0.01%             | 2046-09-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SREIT TR 2021-MFP                                                                  | SREIT TR 2021-MFP G TSFR1M+308.828 38 11/15/2038 144A                                                   | CUSIP: 78472UAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1048552 | PA      | $1044403.38   | 0.02%             | 2038-11-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CCO HLDGS CAP CORP                                                   | CCO HLDGS LLC/CAP CORP 5% 02/01/2028 144A                                                               | CUSIP: 1248EPBX0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2945000 | PA      | $2888534.63   | 0.04%             | 2028-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 5.01% 7/35 #1M1050                                                                             | CUSIP: 3128QFEX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1583 | PA      | $1610.43      | 0.00%             | 2035-07-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                                                | AMERICAN TOWER CORP 5.45% 02/15/2034                                                                    | CUSIP: 03027XCH1<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |     160000 | PA      | $161560.09    | 0.00%             | 2034-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 10/01/2047#ZM4388                                                                        | CUSIP: 3131XX2V2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      32574 | PA      | $29645.76     | 0.00%             | 2047-10-01      | Fixed         | 0.04%                 | 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        |    1647201 | PA      | $1415341.89   | 0.02%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EXELON CORP                                                                        | EXELON CORP 4.1% 03/15/2052                                                                             | CUSIP: 30161NBH3<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |     288000 | PA      | $214198.68    | 0.00%             | 2052-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM 30YR 5% 08/01/2053#RA9615                                                                          | CUSIP: 3133KRVG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     537621 | PA      | $523402.89    | 0.01%             | 2053-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 12/01/2051#CB2420                                                                          | CUSIP: 3140QMVN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     208447 | PA      | $179562.28    | 0.00%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 6/32 #644809                                                                                 | CUSIP: 31390FKW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        165 | PA      | $171.66       | 0.00%             | 2032-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2% 02/01/2036#QN5328                                                                          | CUSIP: 3133GB4M3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      26114 | PA      | $23794.34     | 0.00%             | 2036-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CVR ENERGY INC                                                                     | CVR ENERGY INC 8.5% 01/15/2029 144A                                                                     | CUSIP: 12662PAF5<br>LEI: 529900SOYZIXZBTXB558 | Long             | DBT              | CORP              | US        |    1100000 | PA      | $1073646.75   | 0.02%             | 2029-01-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| 180 MEDICAL INC                                                                    | 180 MEDICAL INC 3.875% 10/15/2029 144A                                                                  | CUSIP: 682357AA6<br>LEI: 254900ZB648OPWVFVX59 | Long             | DBT              | CORP              | US        |     225000 | PA      | $213710.90    | 0.00%             | 2029-10-15      | Fixed         | 0.04%                 | 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        |    3813000 | PA      | $3818910.15   | 0.06%             | 2037-07-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| SIRIUS REAL ESTATE LTD                                                             | SIRIUS REAL ESTATE LTD 4% 01/22/2032 REGS                                                               | CUSIP: N/A<br>LEI: 213800NURUF5W8QSK566       | Long             | DBT              | CORP              | GG        |     300000 | PA      | $336008.50    | 0.00%             | 2032-01-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 5% 11/20/2054#MB0025                                                                            | CUSIP: 3618N5A33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12578119 | PA      | $12210818.97  | 0.18%             | 2054-11-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                                 | WELLS FARGO and CO NEW 5.557%/VAR 07/25/2034                                                            | CUSIP: 95000U3F8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2025597.02   | 0.03%             | 2034-07-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| ZIGGO BV                                                                           | ZIGGO BV 4.875% 01/15/2030 144A                                                                         | CUSIP: 98955DAA8<br>LEI: 213800TQASLF9JXH5J59 | Long             | DBT              | CORP              | NL        |     200000 | PA      | $182528.26    | 0.00%             | 2030-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 7/27 #250990                                                                                 | CUSIP: 31371FXT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          2 | PA      | $2.49         | 0.00%             | 2027-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 04/01/2047#AS9394                                                                        | CUSIP: 3138WKNL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8413 | PA      | $8078.96      | 0.00%             | 2047-04-01      | Fixed         | 0.04%                 | 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        |     490907 | PA      | $425105.32    | 0.01%             | 2050-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 11/01/2044#AL7307                                                                        | CUSIP: 3138EQDM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23899 | PA      | $24028.84     | 0.00%             | 2044-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| IHS HOLDING LTD                                                                    | IHS HOLDING LTD 5.625% 11/29/2026 144A                                                                  | CUSIP: 44963HAA3<br>LEI: 213800CLGMKL63VKTD94 | Long             | DBT              | CORP              | KY        |     329000 | PA      | $321597.50    | 0.00%             | 2026-11-29      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 04/01/2046#AS7000                                                                          | CUSIP: 3138WGX66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      48067 | PA      | $42420.38     | 0.00%             | 2046-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 12/01/42#G07240                                                                            | CUSIP: 3128M9LV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8229 | PA      | $7433.59      | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GOVERNMENT NAT MTG ASSN HECM 1.65% 02/20/2063                                                           | CUSIP: 38375BK84<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |        175 | PA      | $164.48       | 0.00%             | 2063-02-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SOTHEBYS                                                                           | SOTHEBYS 7.375% 10/15/2027 144A                                                                         | CUSIP: 835898AH0<br>LEI: 549300P5BAAMQQ7VL735 | Long             | DBT              | CORP              | US        |     670000 | PA      | $659753.96    | 0.01%             | 2027-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 4.5% 02/15/2044                                                             | CUSIP: 912810TZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1270000 | PA      | $1204416.41   | 0.02%             | 2044-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 10/29 #323968                                                                                | CUSIP: 31374TZ93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          9 | PA      | $9.33         | 0.00%             | 2029-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 12/01/2052#SD2175                                                                          | CUSIP: 3132DPMY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     110920 | PA      | $108619.08    | 0.00%             | 2052-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2017                                                       | WELLS FARGO COML MTG TR 2017 C42 XA CSTR 12/15/2050                                                     | CUSIP: 95001GAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3208930 | PA      | $56212.12     | 0.00%             | 2050-12-15      | Variable      | 0.01%                 | 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        |    4068000 | PA      | $4055796.00   | 0.06%             | 2038-01-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 427 LI 3.5% 02/15/2034                                                   | CUSIP: 3137BGB32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      18129 | PA      | $653.13       | 0.00%             | 2034-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENTEGRIS INC                                                                       | ENTEGRIS INC 3.625% 05/01/2029 144A                                                                     | CUSIP: 29362UAD6<br>LEI: IYX6OWO7BT5DKO3BYG52 | Long             | DBT              | CORP              | US        |    1870000 | PA      | $1743832.60   | 0.03%             | 2029-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: —       |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 4% 08/01/2038#K94341                                                                          | CUSIP: 3132LQWA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17733 | PA      | $16991.84     | 0.00%             | 2038-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM 30YR 5.5% 8/53 #RA9560                                                                             | CUSIP: 3133KRTR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     419708 | PA      | $420093.32    | 0.01%             | 2053-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 11/01/2051#QD1240                                                                          | CUSIP: 3133AXLV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     156844 | PA      | $134766.90    | 0.00%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.50% 8/32 #C01385                                                                                 | CUSIP: 31292HRE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        272 | PA      | $283.62       | 0.00%             | 2032-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 2.5% 11/25/2047                                                          | CUSIP: 3136BLRR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     776598 | PA      | $687374.39    | 0.01%             | 2047-11-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 2.25% 03/25/2052                                                         | CUSIP: 3137H6B53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     427000 | PA      | $369016.66    | 0.01%             | 2052-03-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| VENEZUELA, REPUBLIC OF                                                             | VENEZUELA REPUBLIC OF 11.95% 08/05/2031 REGS                                                            | CUSIP: N/A<br>LEI: 529900XM8PJTJK5OJI77       | Long             | DBT              | NUSS              | VE        |     560000 | PA      | $99456.00     | 0.00%             | 2031-08-05      | Fixed         | 0.12%                 | 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        |    7567124 | PA      | $7562394.56   | 0.11%             | 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        |    1038000 | PA      | $1069742.04   | 0.02%             | 2030-11-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| ERO COPPER CORP                                                                    | ERO COPPER CORP 6.5% 02/15/2030 144A                                                                    | CUSIP: 296006AA7<br>LEI: 549300KL8A21SEIO8I47 | Long             | DBT              | CORP              | CA        |     770000 | PA      | $757487.50    | 0.01%             | 2030-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 02/01/2050#CA5122                                                                          | CUSIP: 3140QCVQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     323751 | PA      | $280354.83    | 0.00%             | 2050-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CEDAR FUNDING LTD                                                                  | CEDAR FUNDING LTD AR2 TSFR3M+136 10/20/2037 144A                                                        | CUSIP: 15033XAU0<br>LEI: 549300ZKTUZSV15HAV29 | Long             | ABS-CBDO         | CORP              | KY        |   11690000 | PA      | $11702403.09  | 0.17%             | 2037-10-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| LEVEL 3 FINANCING INC                                                              | LEVEL 3 FINANCING INC 4.5% 04/01/2030 144A                                                              | CUSIP: 527298CD3<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |    1790000 | PA      | $1574251.30   | 0.02%             | 2030-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                                                   | CSC HOLDINGS LLC 4.625% 12/01/2030 144A                                                                 | CUSIP: 126307BD8<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |    1590000 | PA      | $731400.00    | 0.01%             | 2030-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CHILE ELECTRICITY LUX MPC II SARL                                                  | CHILE ELECTRICITY LUX MPC II SARL 5.58% 10/20/2035 144A                                                 | CUSIP: 16882LAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |     224826 | PA      | $223153.44    | 0.00%             | 2035-10-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TURKEY REPUBLIC OF                                                                 | TURKEY REPUBLIC OF 5.25% 03/13/2030                                                                     | CUSIP: 900123CY4<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |      85000 | PA      | $79135.00     | 0.00%             | 2030-03-13      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PETROLEOS DE VENEZUELA SA                                                          | PETROLEOS DE VENEZUELA SA 9.75% 05/17/2035 144A                                                         | CUSIP: 716558AE1<br>LEI: 549300YWR8TN1OFD4P06 | Long             | DBT              | CORP              | VE        |      50000 | PA      | $7107.50      | 0.00%             | 2035-05-17      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH AMERICAS INC                                                         | BAUSCH HEALTH AMERICAS INC 8.5% 01/31/2027 144A                                                         | CUSIP: 91911XAW4<br>LEI: KOO0397YRO83WY5MGD97 | Long             | DBT              | CORP              | US        |      75000 | PA      | $70687.50     | 0.00%             | 2027-01-31      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3.5% 04/01/2033#ZT1970                                                                        | CUSIP: 3132AEFK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     157137 | PA      | $153184.47    | 0.00%             | 2033-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 1/1/43 #AR1183                                                                           | CUSIP: 3138NXJ57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7378 | PA      | $6650.66      | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 3415 PC 5% 12/37                                                                                    | CUSIP: 31397R3R5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      26597 | PA      | $26712.10     | 0.00%             | 2037-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FLATIRON RR CLO 30 LTD                                                             | FLATIRON RR CLO 30 LTD E TSFR3M+525 04/15/2038 144A                                                     | CUSIP: 33882NAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     200000 | PA      | $201934.40    | 0.00%             | 2038-04-15      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| UKRAINE GOVERNMENT                                                                 | UKRAINE GOVERNMENT VAR 08/01/2041 144A                                                                  | CUSIP: 903724AW2<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |     160000 | PA      | $115600.00    | 0.00%             | 2041-08-01      | Floating      | 0.00%                 | 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        |  -12450000 | PA      | $-11043533.46 | -0.16%            | 2055-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2021-B31 MORTGAGE TRUST                                                  | BENCHMARK 2021-B31 MORTGAGE TRUST 2.669% 12/15/2054                                                     | CUSIP: 08163MAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     300000 | PA      | $259095.12    | 0.00%             | 2054-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.00% 2/41 #A96807                                                                                 | CUSIP: 312945R42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16025 | PA      | $15318.55     | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2% 12/01/2040#FM5042                                                                          | CUSIP: 3140X8S81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      98265 | PA      | $84030.16     | 0.00%             | 2040-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| TTM TECHNOLOGIES INC                                                               | TTM TECHNOLOGIES INC 4% 03/01/2029 144A                                                                 | CUSIP: 87305RAK5<br>LEI: 549300SC4BDOIS008048 | Long             | DBT              | CORP              | US        |     330000 | PA      | $313659.42    | 0.00%             | 2029-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                    | CVS HEALTH CORP 7%/VAR 03/10/2055                                                                       | CUSIP: 126650EH9<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     945000 | PA      | $951867.32    | 0.01%             | 2055-03-10      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FORD CR FLOORPLN MAST OWN TR A                                                     | FORD CR FLOORPLN MAST OWN TR A 4.92% 05/15/2028 144A                                                    | CUSIP: 34528QHV9<br>LEI: 5493001DTG5N7T8BG747 | Long             | ABS-CBDO         | CORP              | US        |   13645000 | PA      | $13688047.25  | 0.20%             | 2028-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| JYSKE BANK                                                                         | JYSKE BANK AS 5.125%/VAR 05/01/2035 REGS                                                                | CUSIP: N/A<br>LEI: 3M5E1GQGKL17HI6CPN30       | Long             | DBT              | CORP              | DK        |     468000 | PA      | $559370.97    | 0.01%             | 2035-05-01      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-PAC                                              | BX COMMERCIAL MORTGAGE TRUST 2021-PAC TSFR1M+206.198 21 10/15/2036 144A                                 | CUSIP: 05609PAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2036000 | PA      | $2022002.50   | 0.03%             | 2036-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| DCP MIDSTREAM OPERATING LP                                                         | DCP MIDSTREAM OPER LP 5.125% 05/15/2029                                                                 | CUSIP: 23311VAH0<br>LEI: 549300Y6CTBSE0QIPL28 | Long             | DBT              | CORP              | US        |     659000 | PA      | $664831.50    | 0.01%             | 2029-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HESS CORP                                                                          | HESS CORP 5.6% 02/15/2041                                                                               | CUSIP: 42809HAD9<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |     549000 | PA      | $532155.54    | 0.01%             | 2041-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2.5% 06/20/2051#MA7418                                                                          | CUSIP: 36179WG36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     589382 | PA      | $494357.42    | 0.01%             | 2051-06-20      | Fixed         | 0.03%                 | 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        |    9180000 | PA      | $9181067.63   | 0.13%             | 2040-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| QXO BUILDING PRODUCTS INC                                                          | QXO BUILDING PRODUCTS INC 6.75% 04/30/2032 144A                                                         | CUSIP: 74825NAA5<br>LEI: 549300HDXQWWCBOYXP31 | Long             | DBT              | CORP              | US        |    1400000 | PA      | $1435489.82   | 0.02%             | 2032-04-30      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| WOLFSPEED INC                                                                      | WOLFSPEED INC CONV 1.875% 12/01/2029                                                                    | CUSIP: 977852AD4<br>LEI: 549300OGU88P3AW3TO93 | Long             | DBT              | CORP              | US        |    1962000 | PA      | $353160.00    | 0.01%             | 2029-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ENFRAGEN ENERGIA SUR SA                                                            | ENFRAGEN ENERGIA SUR SA 5.375% 12/30/2030 144A                                                          | CUSIP: 29280LAA1<br>LEI: 2549002TO75PYMY3VY07 | Long             | DBT              | CORP              | ES        |    1350000 | PA      | $1167412.50   | 0.02%             | 2030-12-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2007-66 SA SOFR30A+3891.312 7/37                                                                    | CUSIP: 31396WYX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       2082 | PA      | $2589.45      | 0.00%             | 2037-07-25      | Variable      | 0.13%                 | 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        |    4237500 | PA      | $4285871.62   | 0.06%             | 2054-12-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WASH MULTIFAMILY ACQUISITION INC                                                   | WASH MULTIFAMILY ACQUISITION INC 5.75% 04/15/2026 144A                                                  | CUSIP: 93710WAA3<br>LEI: 549300AS7PRY5PHG6L12 | Long             | DBT              | CORP              | US        |    1550000 | PA      | $1546313.02   | 0.02%             | 2026-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CY885799 12/15/56 S                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     800000 | NC      | $-14005.84    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                                | PETROLEOS MEXICANOS 6.5% 06/02/2041                                                                     | CUSIP: 71654QAZ5<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |      85000 | PA      | $59805.15     | 0.00%             | 2041-06-02      | Fixed         | 0.07%                 | 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        |    2246000 | PA      | $2247668.78   | 0.03%             | 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        |   15123000 | PA      | $12077723.99  | 0.18%             | 2053-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COMMSCOPE INC                                                                      | COMMSCOPE INC 4.75% 09/01/2029 144A                                                                     | CUSIP: 203372AX5<br>LEI: 549300Z6K4JXMFE8QY54 | Long             | DBT              | CORP              | US        |     474000 | PA      | $453869.74    | 0.01%             | 2029-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| CONSOLIDATED COMMUNICATIONS LLC / FIDIUM FIBER FIN HOLDCO LLC                      | CONSOLIDATED COMMUNICATIONS LLC / FIDIUM FIBER FIN HOLDCO LLC 25-1A A2 6% 05/20/2055 144A               | CUSIP: 209031AA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     570000 | PA      | $576123.05    | 0.01%             | 2055-05-20      | Fixed         | 0.06%                 | 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        |    5000000 | PA      | $5207442.85   | 0.08%             | 2029-06-08      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FOUNDATION BUILDING MATERIALS INC                                                  | FOUNDATION BUILDING MATERIALS INC 6% 03/01/2029 144A                                                    | CUSIP: 350392AA4<br>LEI: 549300ZVE6MONHB01I28 | Long             | DBT              | CORP              | US        |     245000 | PA      | $208682.03    | 0.00%             | 2029-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2002-7 FC SOFR30A+86.448 1/32                                                                       | CUSIP: 31392B2Z8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        169 | PA      | $169.33       | 0.00%             | 2032-01-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 6.00% 5/32 #003238                                                                              | CUSIP: 36202DS36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2081 | PA      | $2136.20      | 0.00%             | 2032-05-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 7.00% 8/26 #C90997                                                                            | CUSIP: 3128P7DA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        122 | PA      | $123.16       | 0.00%             | 2026-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 04/01/2046#AS7024                                                                          | CUSIP: 3138WGYW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15435 | PA      | $14428.82     | 0.00%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DELEK LOGISTICS PARTNERS LP / DELEK LOGISTICS FIN CORP                             | DELEK LOGISTICS PARTNERS LP / DELEK LOGISTICS FIN CORP 7.125% 06/01/2028 144A                           | CUSIP: 24665FAC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1325000 | PA      | $1330567.65   | 0.02%             | 2028-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MSRM 2025-NQM3                                                                     | MSRM 2025-NQM3 VAR 05/25/2070 144A                                                                      | CUSIP: 61778LAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2139000 | PA      | $2141244.88   | 0.03%             | 2070-05-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 02/01/2033#SB0621                                                                          | CUSIP: 3132CWVN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      43345 | PA      | $42152.23     | 0.00%             | 2033-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                       | BARCLAYS PLC 8.407%/VAR 11/14/2032 REGS                                                                 | CUSIP: N/A<br>LEI: 213800LBQA1Y9L22JB70       | Long             | DBT              | CORP              | GB        |     317000 | PA      | $452534.36    | 0.01%             | 2032-11-14      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 04/01/2047#SD0978                                                                        | CUSIP: 3132DNCP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     494461 | PA      | $410321.99    | 0.01%             | 2047-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ROMANIA, REPUBLIC OF                                                               | ROMANIA REPUBLIC OF 3% 02/27/2027 144A                                                                  | CUSIP: 77586RAK6<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     105000 | PA      | $100406.25    | 0.00%             | 2027-02-27      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                              | BOAM SWAP PAY 4.065 05/02/30                                                                            | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    4330000 | NC      | $176524.66    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OVINTIV INC                                                                        | OVINTIV INC 6.625% 08/15/2037                                                                           | CUSIP: 292505AE4<br>LEI: 2549003MEX7YMKLGI239 | Long             | DBT              | CORP              | US        |     350000 | PA      | $342492.73    | 0.00%             | 2037-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                                                                 | REALTY INCOME CORP 3.4% 01/15/2028                                                                      | CUSIP: 756109BH6<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |     320000 | PA      | $312100.24    | 0.00%             | 2028-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GEO GROUP INC/THE                                                                  | GEO GROUP INC/THE 8.625% 04/15/2029                                                                     | CUSIP: 36162JAG1<br>LEI: 5493003VOR6NTY465495 | Long             | DBT              | CORP              | US        |     945000 | PA      | $997519.52    | 0.01%             | 2029-04-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 0.0% 05/01/2041#1B8124                                                                         | CUSIP: 3128UGMY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6896 | PA      | $7178.29      | 0.00%             | 2041-05-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 3.75% 12/31/2030                                                                              | CUSIP: 91282CJQ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     617000 | PA      | $608058.32    | 0.01%             | 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        |     983000 | PA      | $982594.02    | 0.01%             | 2028-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 9/39 #710868                                                                                 | CUSIP: 36297FW57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7938 | PA      | $8097.34      | 0.00%             | 2039-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 12/39 #728451                                                                                | CUSIP: 3620AFH42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1644 | PA      | $1651.70      | 0.00%             | 2039-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-RCF3 LLC                                                                 | PRPM 2024-RCF3 LLC 4% 05/25/2054 144A                                                                   | CUSIP: 74390BAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1027817 | PA      | $999982.31    | 0.01%             | 2054-05-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                                                           | VISTRA OPERATIONS CO LLC 5.625% 02/15/2027 144A                                                         | CUSIP: 92840VAB8<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |     580000 | PA      | $579615.75    | 0.01%             | 2027-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 05/01/2043#AB9376                                                                        | CUSIP: 31417GM29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42310 | PA      | $38996.22     | 0.00%             | 2043-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AUNA SA                                                                            | AUNA SA 10% 12/18/2029 144A                                                                             | CUSIP: 05151AAA1<br>LEI: 254900SOGP7YC0N9I368 | Long             | DBT              | CORP              | LU        |     325000 | PA      | $346843.25    | 0.01%             | 2029-12-18      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| ARES CLO                                                                           | ARES CLO AR TSFR3M+127 10/15/2032 144A                                                                  | CUSIP: 04017WAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2514695 | PA      | $2515378.92   | 0.04%             | 2032-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII 15YR 3% 01/20/2032#MA4170                                                                          | CUSIP: 36179ST31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     411499 | PA      | $398094.11    | 0.01%             | 2032-01-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WESSEX WATER SERVS FIN PLC                                                         | WESSEX WATER SERVS FIN PLC 6.125% 09/19/2034 REGS                                                       | CUSIP: N/A<br>LEI: 213800B9BFRCA1YMEI57       | Long             | DBT              | CORP              | GB        |     300000 | PA      | $399474.18    | 0.01%             | 2034-09-19      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+632.552 05/25/2037                                               | CUSIP: 31396VYS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       1739 | PA      | $190.52       | 0.00%             | 2037-05-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 1.5% 07/25/2040                                                          | CUSIP: 3136BA6V1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    1034452 | PA      | $853433.82    | 0.01%             | 2040-07-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIAN OIL COMPANY                                                          | SAUDI ARABIAN OIL COMPANY 4.375% 04/16/2049 144A                                                        | CUSIP: 80414L2F1<br>LEI: 5586006WD91QHB7J4X50 | Long             | DBT              | CORP              | SA        |     120000 | PA      | $92119.20     | 0.00%             | 2049-04-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| X CORP                                                                             | X TERM 1LN 10/26/2029                                                                                   | CUSIP: 90184NAK4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     615000 | PA      | $611826.60    | 0.01%             | 2029-10-26      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 8/40 #748482                                                                                 | CUSIP: 3620C4RB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2485 | PA      | $2495.95      | 0.00%             | 2040-08-15      | Fixed         | 0.05%                 | 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        |     511110 | PA      | $525416.56    | 0.01%             | 2054-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 4% 03/01/2039#MA3612                                                                          | CUSIP: 31418DAN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7245 | PA      | $6911.39      | 0.00%             | 2039-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ARDAGH METAL PACKAGING FINANCE USA LLC/ARDAGH METAL PACKAGING FINANCE PLC          | ARDAGH METAL PACKAGING FINANCE USA LLC/ARDAGH METAL PACKAGING FINANCE PLC 3.25% 09/01/2028 144A         | CUSIP: 03969YAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     680000 | PA      | $625354.72    | 0.01%             | 2028-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ELECTRICITE DE FRANCE                                                              | ELECTRICITE DE FRANCE 4.75% 10/12/2034 REGS                                                             | CUSIP: N/A<br>LEI: 549300X3UK4GG3FNMO06       | Long             | DBT              | CORP              | FR        |     200000 | PA      | $246226.85    | 0.00%             | 2034-10-12      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SUNOCO LP / SUNOCO FIN CORP                                                        | SUNOCO LP / SUNOCO FIN CORP 4.5% 05/15/2029                                                             | CUSIP: 86765LAT4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     200000 | PA      | $191599.20    | 0.00%             | 2029-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 11/01/2042#Q13425                                                                        | CUSIP: 3132HPYW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8531 | PA      | $8093.40      | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                          | BOEING CO 6.259% 05/01/2027                                                                             | CUSIP: 097023DP7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     766000 | PA      | $787343.13    | 0.01%             | 2027-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 3.303% 11/25/2027                                                        | CUSIP: 3137FCJK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1900000 | PA      | $1858567.65   | 0.03%             | 2027-11-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 08/01/2053#FA1108                                                                        | CUSIP: 3140W1GS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6099399 | PA      | $5809350.93   | 0.08%             | 2053-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PANAMA REPUBLIC OF                                                                 | PANAMA REPUBLIC OF 4.5% 04/16/2050                                                                      | CUSIP: 698299BH6<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |     420000 | PA      | $267120.00    | 0.00%             | 2050-04-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 2.5% 04/25/2049                                                          | CUSIP: 3137H56A0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     444275 | PA      | $381096.69    | 0.01%             | 2049-04-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 2.25% 11/25/2047                                                         | CUSIP: 3136BLHG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     710556 | PA      | $621299.49    | 0.01%             | 2047-11-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2877 ZD 5% 10/34                                                                                    | CUSIP: 31395HNX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     146048 | PA      | $145902.63    | 0.00%             | 2034-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DAVITA INC                                                                         | DAVITA INC 6.75% 07/15/2033 144A                                                                        | CUSIP: 23918KAY4<br>LEI: M2XHYMU3TZNEZURC6H66 | Long             | DBT              | CORP              | US        |     630000 | PA      | $636506.06    | 0.01%             | 2033-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ADVANCED DRAIN SYS INC DEL                                                         | ADVANCED DRAIN SYS INC DEL 5% 09/30/2027 144A                                                           | CUSIP: 00790RAA2<br>LEI: 6QQTOZ5MF5DHM7K92I60 | Long             | DBT              | CORP              | US        |     420000 | PA      | $415115.15    | 0.01%             | 2027-09-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NBM US HOLDINGS INC                                                                | NBM US HOLDINGS INC 6.625% 08/06/2029 144A                                                              | CUSIP: 62877VAB7<br>LEI: 5493008K1QMSP0J8UC24 | Long             | DBT              | CORP              | US        |     330000 | PA      | $330618.75    | 0.00%             | 2029-08-06      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2% 02/01/2036#FM6342                                                                          | CUSIP: 3140XABL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28069 | PA      | $25417.44     | 0.00%             | 2036-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 6/29 #500286                                                                                 | CUSIP: 31383DXP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         77 | PA      | $80.18        | 0.00%             | 2029-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| KOSMOS ENERGY LTD                                                                  | KOSMOS ENERGY LTD 7.5% 03/01/2028 144A                                                                  | CUSIP: 500688AD8<br>LEI: 213800YDFJ3OT9B5P157 | Long             | DBT              | CORP              | US        |     341000 | PA      | $278446.96    | 0.00%             | 2028-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2% 03/01/2041#MA4287                                                                          | CUSIP: 31418DXR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16592 | PA      | $14088.43     | 0.00%             | 2041-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 2.5% 06/25/2049                                                          | CUSIP: 3136BKND0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     803040 | PA      | $688248.42    | 0.01%             | 2049-06-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PENNYMAC FINANCIAL SERVICES INC                                                    | PENNYMAC FINANCIAL SERVICES INC 6.875% 05/15/2032 144A                                                  | CUSIP: 70932MAG2<br>LEI: 549300W1D516HBDEU871 | Long             | DBT              | CORP              | US        |     580000 | PA      | $582726.00    | 0.01%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 04/01/2036#FM9743                                                                        | CUSIP: 3140XDZH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     118813 | PA      | $113743.90    | 0.00%             | 2036-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 12/01/2032#BJ3746                                                                        | CUSIP: 3140H5EU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     182193 | PA      | $173577.43    | 0.00%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 05/01/2051#MA4325                                                                          | CUSIP: 31418DYX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6054563 | PA      | $4735778.33   | 0.07%             | 2051-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                      | GOLDMAN SACHS GROUP INC (THE) 4.223%/VAR 05/01/2029                                                     | CUSIP: 38141GWZ3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    2500000 | PA      | $2474228.83   | 0.04%             | 2029-05-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS CORP TR 2021-IP                                                        | GSMS 2021-IP B TSFR1M+126.448 10/15/2036 144A                                                           | CUSIP: 36262MAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     160000 | PA      | $158800.00    | 0.00%             | 2036-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+115 02/25/2055                                                   | CUSIP: 3137HJEZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    3632429 | PA      | $3621892.53   | 0.05%             | 2055-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                | MSCS SWAP CY885802 12/15/56 B                                                                           | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |     300000 | NC      | $39057.39     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 02/01/2047#BM4896                                                                          | CUSIP: 3140J9NN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30029 | PA      | $26867.64     | 0.00%             | 2047-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SLM CORP                                                                           | SLM CORP 6.5% 01/31/2030                                                                                | CUSIP: 78442PGF7<br>LEI: 4K8SLPBF5DXXGPW03H93 | Long             | DBT              | CORP              | US        |     375000 | PA      | $386673.67    | 0.01%             | 2030-01-31      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AZUL SECURED FINANCE LLP                                                           | AZUL SECURED FINANCE LLP 11.5% 08/28/2029                                                               | CUSIP: 05501WAE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     188748 | PA      | $3774.96      | 0.00%             | 2029-08-28      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| CASTLELAKE AIRCRAFT SECURITIZATION                                                 | CASTLELAKE AIRCRAFT SECURITIZATION 2018-1 A 4.125% 06/15/2043 144A                                      | CUSIP: 14856CAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     100726 | PA      | $97915.34     | 0.00%             | 2043-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 06/01/2052#QE5393                                                                          | CUSIP: 3133BE7E7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20414 | PA      | $19053.66     | 0.00%             | 2052-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CARLSBERG BREWERIES A/S                                                            | CARLSBERG BREWERIES A/S 3.25% 02/28/2032 REGS                                                           | CUSIP: N/A<br>LEI: 5493008YL42784DMWN61       | Long             | DBT              | CORP              | DK        |     325000 | PA      | $368502.78    | 0.01%             | 2032-02-28      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 1.5% 05/36#MA4328                                                                             | CUSIP: 31418DY22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15564 | PA      | $13707.96     | 0.00%             | 2036-05-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 02/01/2052#CB2906                                                                        | CUSIP: 3140QNGQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     278965 | PA      | $249444.85    | 0.00%             | 2052-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 11/35 #843567                                                                                | CUSIP: 31407XFG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        158 | PA      | $165.11       | 0.00%             | 2035-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                    | CVS HEALTH CORP 5% 01/30/2029                                                                           | CUSIP: 126650DW7<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     801000 | PA      | $806409.49    | 0.01%             | 2029-01-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 2.5% 06/25/2049                                                          | CUSIP: 3137H5J24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     241540 | PA      | $206927.38    | 0.00%             | 2049-06-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                                                                 | REALTY INCOME CORP 3.25% 01/15/2031                                                                     | CUSIP: 756109AX2<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |     213000 | PA      | $196741.43    | 0.00%             | 2031-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 11/01/2051#RA6239                                                                          | CUSIP: 3133KM4Y8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     714435 | PA      | $564177.66    | 0.01%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| EG GLOBAL FINANCE PLC                                                              | EG GLOBAL FINANCE PLC 12% 11/30/2028 144A                                                               | CUSIP: 28228PAC5<br>LEI: 549300TL8Q5207VYET27 | Long             | DBT              | CORP              | GB        |    2165000 | PA      | $2387061.45   | 0.03%             | 2028-11-30      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| SAFEHOLD GL HOLDINGS LLC                                                           | SAFEHOLD GL HOLDINGS LLC 2.85% 01/15/2032                                                               | CUSIP: 78646UAB5<br>LEI: 54930012UY5Z4Q8NL108 | Long             | DBT              | CORP              | US        |     250000 | PA      | $212594.10    | 0.00%             | 2032-01-15      | Fixed         | 0.03%                 | 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        |     738000 | PA      | $530863.70    | 0.01%             | 2042-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WR GRACE HOLDING LLC                                                               | WR GRACE HOLDING LLC 7.375% 03/01/2031 144A                                                             | CUSIP: 92943GAE1<br>LEI: 549300WNOVFRGYOAEB12 | Long             | DBT              | CORP              | US        |      65000 | PA      | $65652.54     | 0.00%             | 2031-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 2.25% 02/15/2052                                                            | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   24090000 | PA      | $14344842.19  | 0.21%             | 2052-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 04/01/2054#                                                                                | CUSIP: 3140QUH33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2262669 | PA      | $2290100.36   | 0.03%             | 2054-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 3% 03/01/2037#MA2922                                                                          | CUSIP: 31418CG81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     101483 | PA      | $94666.63     | 0.00%             | 2037-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2001-38 QF SOFR30A+109.448 8/31                                                                     | CUSIP: 313920QV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       1593 | PA      | $1605.61      | 0.00%             | 2031-08-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII 30YR 4.5% 06/20/2039#004461                                                                        | CUSIP: 36202E5W5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1531 | PA      | $1487.09      | 0.00%             | 2039-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 08/01/43#AL7261                                                                          | CUSIP: 3138EQB76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33395 | PA      | $30957.90     | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 10/01/2054#CB9365                                                                        | CUSIP: 3140QVMP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1068393 | PA      | $1060358.26   | 0.02%             | 2054-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                                 | VICI PROPERTIES LP 5.125% 05/15/2032                                                                    | CUSIP: 925650AD5<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |    6485000 | PA      | $6354560.06   | 0.09%             | 2032-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 03/01/2052#FS9607                                                                          | CUSIP: 3140XRU94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     837721 | PA      | $663628.36    | 0.01%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 11/27 #417739                                                                                | CUSIP: 31379FBG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         15 | PA      | $15.63        | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                              | JPMORGAN CHASE and CO 4.912%/VAR 07/25/2033                                                             | CUSIP: 46647PDH6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    9234000 | PA      | $9151199.55   | 0.13%             | 2033-07-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| RITHM CAPITAL CORP                                                                 | RITHM CAPITAL CORP 8% 04/01/2029 144A                                                                   | CUSIP: 64828TAB8<br>LEI: 549300WNTHGEO5LP2G31 | Long             | DBT              | CORP              | US        |     125000 | PA      | $125332.88    | 0.00%             | 2029-04-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.50% 5/41 #005055                                                                              | CUSIP: 36202FTL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      88601 | PA      | $87122.91     | 0.00%             | 2041-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENERGEAN PLC                                                                       | ENERGEAN PLC 6.5% 04/30/2027 144A                                                                       | CUSIP: 29280EAA7<br>LEI: 549300RVMKU0CYUZBB05 | Long             | DBT              | CORP              | GB        |     889000 | PA      | $868997.50    | 0.01%             | 2027-04-30      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CHILE ELECTRICITY LUX MPC SARL                                                     | CHILE ELECTRICITY LUX MPC SARL 6.01% 01/20/2033 144A                                                    | CUSIP: 168829AA7<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |      74400 | PA      | $76362.30     | 0.00%             | 2033-01-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 1.5% 05/01/2036#QN6387                                                                        | CUSIP: 3133GDCY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1036608 | PA      | $912987.39    | 0.01%             | 2036-05-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2019-IMC                                              | BX COMMERCIAL MORTGAGE TRUST 2019-IMC B TSFR1M+141.448 04/15/2034 144A                                  | CUSIP: 05608BAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     614000 | PA      | $604022.50    | 0.01%             | 2034-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINL ISSUANCE TR 2020-2                                                    | ONEMAIN FINL ISSUANCE TR 2020-2 1.75% 09/14/2035 144A                                                   | CUSIP: 682696AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3900000 | PA      | $3793293.27   | 0.06%             | 2035-09-14      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 05/01/2042#RB0806                                                                        | CUSIP: 3133KT3P3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17873 | PA      | $15646.27     | 0.00%             | 2042-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 05/01/2051#CB0388                                                                        | CUSIP: 3140QKNE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3215825 | PA      | $2650521.11   | 0.04%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 5.11% 4/38 #1B3803                                                                             | CUSIP: 3128JPDH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        783 | PA      | $816.36       | 0.00%             | 2038-04-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 22-17 BH 3% 05/25/2047                                                   | CUSIP: 3136BMRP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     188084 | PA      | $176754.18    | 0.00%             | 2047-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 04/01/2052#QE0889                                                                          | CUSIP: 3133B97A6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      39776 | PA      | $37124.96     | 0.00%             | 2052-04-01      | Fixed         | 0.04%                 | 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        |    4177000 | PA      | $4181544.58   | 0.06%             | 2035-07-24      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.00% 3/42 #Q07242                                                                                 | CUSIP: 3132GSLX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4046 | PA      | $3848.08      | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EMIRATE OF ABU DHABI                                                               | EMIRATE OF ABU DHABI 5.5% 04/30/2054 144A                                                               | CUSIP: 29135LAU4<br>LEI: 213800FER4348CINTA77 | Long             | DBT              | NUSS              | AE        |     200000 | PA      | $193614.00    | 0.00%             | 2054-04-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| VENEZUELA, REPUBLIC OF                                                             | VENEZUELA REPUBLIC OF 9.25% 09/15/2027                                                                  | CUSIP: 922646AS3<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |    1285000 | PA      | $244150.00    | 0.00%             | 2027-09-15      | Fixed         | 0.09%                 | 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        |    1293000 | PA      | $1292275.92   | 0.02%             | 2037-10-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 1.5% 02/01/2036#SB8088                                                                        | CUSIP: 3132D56Z0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17139 | PA      | $15116.17     | 0.00%             | 2036-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 2/41 #A96766                                                                                 | CUSIP: 312945QT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1000 | PA      | $982.59       | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | 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        |      79000 | PA      | $77819.60     | 0.00%             | 2030-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 3.627% 6/1/41#1B8372                                                                           | CUSIP: 3128UGVQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6607 | PA      | $6860.12      | 0.00%             | 2041-06-01      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| HORIZON AIRCRAFT FINANCE LTD                                                       | HORIZON AIRCRAFT FINANCE LTD 2019-1 A 3.721% 07/15/2039 144A                                            | CUSIP: 44040HAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     615826 | PA      | $594880.13    | 0.01%             | 2039-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VORNADO REALTY L P                                                                 | VORNADO REALTY LP 2.15% 06/01/2026                                                                      | CUSIP: 929043AK3<br>LEI: 549300BMOJ05INE4YK86 | Long             | DBT              | CORP              | US        |     374000 | PA      | $361630.28    | 0.01%             | 2026-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                                                       | ECOPETROL SA 4.625% 11/02/2031                                                                          | CUSIP: 279158AP4<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |     160000 | PA      | $132352.00    | 0.00%             | 2031-11-02      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 01/01/2037#FS1654                                                                        | CUSIP: 3140XGZU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     559965 | PA      | $519979.34    | 0.01%             | 2037-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ARGENTUM NETHERLANDS BV                                                            | ARGENTUM NETHERLANDS BV 5.75%/VAR 08/15/2050 REGS                                                       | CUSIP: N/A<br>LEI: 724500RPEZI5VVQQWE89       | Long             | DBT              | CORP              | NL        |     775000 | PA      | $773347.70    | 0.01%             | 2050-08-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                                                       | ALPHABET INC 3.375% 05/06/2037                                                                          | CUSIP: 02079KAR8<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |     100000 | PA      | $112666.32    | 0.00%             | 2037-05-06      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                      | GOLDMAN SACHS GROUP INC (THE) 6.75% 10/01/2037                                                          | CUSIP: 38141GFD1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     278000 | PA      | $299017.61    | 0.00%             | 2037-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GNR 2010-H03 FA TSFR1M+66.448 3/60                                                                      | CUSIP: 38376XNT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      15339 | PA      | $15415.85     | 0.00%             | 2060-03-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2% 11/01/2041#BQ6743                                                                          | CUSIP: 3140KSP50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1026411 | PA      | $865568.17    | 0.01%             | 2041-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CENOVUS ENERGY INC                                                                 | CENOVUS ENERGY INC 5.25% 06/15/2037                                                                     | CUSIP: 15135UAP4<br>LEI: 549300F4XPHJ7NOSP309 | Long             | DBT              | CORP              | CA        |     717000 | PA      | $663834.29    | 0.01%             | 2037-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ALA TRUST 2025-OANA                                                                | ALA TRUST 2025-OANA A 6.04263% 06/15/2030 144A                                                          | CUSIP: 009920AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3220000 | PA      | $3233486.00   | 0.05%             | 2030-06-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BARINGS CLO LTD 2021-1                                                             | BARINGS CLO LTD 2021-1 A TSFR3M+128.161 04/25/2034 144A                                                 | CUSIP: 06762EAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1437000 | PA      | $1439110.95   | 0.02%             | 2034-04-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| AETHON UNITED BR LP / AETHON UNITED FINANCE CORP                                   | AETHON UNITED BR LP / AETHON UNITED FINANCE CORP 7.5% 10/01/2029 144A                                   | CUSIP: 00810GAD6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     465000 | PA      | $476517.59    | 0.01%             | 2029-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| TOLEDO HOSPITAL/THE                                                                | TOLEDO HOSPITAL/THE 5.325% 11/15/2028                                                                   | CUSIP: 889184AC1<br>LEI: 5493009DCR7NWV6K4T34 | Long             | DBT              | CORP              | US        |     319000 | PA      | $312030.04    | 0.00%             | 2028-11-15      | Fixed         | 0.05%                 | 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        |   11918635 | PA      | $9579896.89   | 0.14%             | 2052-02-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FHLMC MFD HSG COP GTD (FREDMAC                                                     | FHLMC REMI 30YR 6% 03/01/2055#RJ3645                                                                    | CUSIP: 3142GUBP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4314180 | PA      | $4408613.16   | 0.06%             | 2055-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 01/01/2051#RA4352                                                                          | CUSIP: 3133KKZR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     466687 | PA      | $366055.31    | 0.01%             | 2051-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                                | GSCOFI SWAP CZ030007 12/17/57 B                                                                         | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |     100000 | NC      | $12752.26     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-IRON                                             | BX COMMERCIAL MORTGAGE TRUST 2021-IRON TSFR1M+ 02/15/2038 144A                                          | CUSIP: 05608JAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     242703 | PA      | $233086.22    | 0.00%             | 2038-02-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 12/01/2042#C04320                                                                          | CUSIP: 31292LYR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      92693 | PA      | $83751.01     | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 4.5% 07/25/2027                                                          | CUSIP: 3136A7HT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |         72 | PA      | $0.97         | 0.00%             | 2027-07-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2017-134 BA 2.5% 11/46                                                                              | CUSIP: 38380GF25<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      52718 | PA      | $47464.10     | 0.00%             | 2046-11-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 11/01/2051#                                                                              | CUSIP: 3132DWCP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     196667 | PA      | $160988.83    | 0.00%             | 2051-11-01      | Fixed         | 0.03%                 | 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        |    5000000 | PA      | $5099925.25   | 0.07%             | 2030-02-08      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM 30YR 6.5% 11/01/2054#RJ2828                                                                        | CUSIP: 3142GTEA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     105361 | PA      | $110022.03    | 0.00%             | 2054-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                        | BNP PARIBAS 2.159%/VAR 09/15/2029 144A                                                                  | CUSIP: 09659W2R4<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |     532000 | PA      | $488253.08    | 0.01%             | 2029-09-15      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 12/20/2049#BR8987                                                                          | CUSIP: 3617M76Y9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3593 | PA      | $3213.58      | 0.00%             | 2049-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 03/01/2035#CA5427                                                                        | CUSIP: 3140QDA53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     647271 | PA      | $603680.55    | 0.01%             | 2035-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 5182 A 2.5% 10/25/2048                                                   | CUSIP: 3137H5BQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     841296 | PA      | $730263.70    | 0.01%             | 2048-10-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ARDAGH METAL PACKAGING FINANCE USA LLC/ARDAGH METAL PACKAGING FINANCE PLC          | ARDAGH METAL PACKAGING FINANCE USA LLC/ARDAGH METAL PACKAGING FINANCE PLC 6% 06/15/2027 144A            | CUSIP: 03969YAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      20000 | PA      | $20049.26     | 0.00%             | 2027-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 2/41 #A97152                                                                                 | CUSIP: 3129455M6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2197 | PA      | $2163.29      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 01/01/2046#G60393                                                                        | CUSIP: 31335ANJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6102 | PA      | $5562.83      | 0.00%             | 2046-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CY873248 04/17/65 B                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |      80000 | NC      | $13639.94     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LEVEL 3 FINANCING INC                                                              | LEVEL 3 FINANCING INC 4% 04/15/2031 144A                                                                | CUSIP: 527298CH4<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |      25000 | PA      | $20687.50     | 0.00%             | 2031-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PERU, REPUBLIC OF                                                                  | PERU REPUBLIC OF 3% 01/15/2034                                                                          | CUSIP: 715638DU3<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     190000 | PA      | $157795.00    | 0.00%             | 2034-01-15      | Fixed         | 0.03%                 | 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        |    1895332 | PA      | $1641280.02   | 0.02%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 2/42 #778882                                                                                 | CUSIP: 36176XCT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10076 | PA      | $9366.30      | 0.00%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 3.75% 08/31/2031                                                                              | CUSIP: 91282CLJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  122370000 | PA      | $119946500.08 | 1.75%             | 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        |   32000000 | PA      | $26817091.20  | 0.39%             | 2055-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ORGANON and CO / ORGANON FOREIGN DEBT CO-ISSUER BV                                 | ORGANON and CO / ORGANON FOREIGN DEBT CO-ISSUER BV 5.125% 04/30/2031 144A                               | CUSIP: 68622TAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     775000 | PA      | $651217.47    | 0.01%             | 2031-04-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 2.686% 04/01/2044#AL5128                                                                       | CUSIP: 3138EMVW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1834 | PA      | $1893.07      | 0.00%             | 2044-04-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 02/01/2043#AQ9994                                                                        | CUSIP: 3138MSC80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11694 | PA      | $10558.58     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNCL 2011-39 ZA 6% 11/32                                                                                | CUSIP: 31397SVY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       7766 | PA      | $7948.66      | 0.00%             | 2032-11-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| REWE INT FINANCE                                                                   | REWE INT FINANCE 4.875% 09/13/2030 REGS                                                                 | CUSIP: N/A<br>LEI: 5299003XLG8J4YTHLX44       | Long             | DBT              | CORP              | NL        |     400000 | PA      | $487406.90    | 0.01%             | 2030-09-13      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 11/01/2051#FM9539                                                                          | CUSIP: 3140XDS56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     134707 | PA      | $106375.75    | 0.00%             | 2051-11-01      | 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        |   15310000 | PA      | $16016851.52  | 0.23%             | 2034-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MEXICO UNITED MEXICAN STATES                                                       | MEXICO UNITED MEXICAN STATES 3.5% 02/12/2034                                                            | CUSIP: 91087BAR1<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     260000 | PA      | $213590.00    | 0.00%             | 2034-02-12      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 12/40 #AB1898                                                                                | CUSIP: 31416XDC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2407 | PA      | $2368.50      | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.5% 03/20/2055#MB0257                                                                          | CUSIP: 3618N5JB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2999997 | PA      | $2832800.43   | 0.04%             | 2055-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SOBHA SUKUK LTD                                                                    | SOBHA SUKUK LTD 8.75% 07/17/2028 REGS                                                                   | CUSIP: N/A<br>LEI: 5493000HMN2AOHV8GU08       | Long             | DBT              | CORP              | KY        |     200000 | PA      | $206506.24    | 0.00%             | 2028-07-17      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 09/01/2043#Q21255                                                                        | CUSIP: 3132JNMC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6104 | PA      | $5769.57      | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | 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        |     180600 | PA      | $178342.50    | 0.00%             | 2038-03-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.0% 07/20/2044#MA2074                                                                          | CUSIP: 36179QJT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4489 | PA      | $4262.77      | 0.00%             | 2044-07-20      | Fixed         | 0.04%                 | 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        |    4016748 | PA      | $3464531.89   | 0.05%             | 2050-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ROMANIA, REPUBLIC OF                                                               | ROMANIA REPUBLIC OF 4% 02/14/2051 144A                                                                  | CUSIP: 77586RAJ9<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     221000 | PA      | $132477.35    | 0.00%             | 2051-02-14      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 4/40 #782918                                                                                 | CUSIP: 36241LG34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15854 | PA      | $15927.58     | 0.00%             | 2040-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SAPPHIRE AVIATION FINANCE                                                          | SAPPHIRE AVIATION FINANCE 3.228% 03/15/2040 144A                                                        | CUSIP: 80307AAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     668779 | PA      | $633280.12    | 0.01%             | 2040-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 12/01/2051#SD0785                                                                          | CUSIP: 3132DM2S3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     771952 | PA      | $611045.13    | 0.01%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| WIN WASTE INNOVATIONS HOLDINGS INC                                                 | WIN WASTE TERM B 1LN 3/24/2028                                                                          | CUSIP: 38723BAJ0<br>LEI: 549300DJBUN7Z75R2S83 | Long             | LON              | CORP              | US        |    1050579 | PA      | $1041712.12   | 0.02%             | 2028-03-24      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 2.5% 11/01/2041#QK1167                                                                        | CUSIP: 3133D4JL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      68192 | PA      | $59921.12     | 0.00%             | 2041-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 8/46#BC1509                                                                                | CUSIP: 3140EVVB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     186049 | PA      | $163494.77    | 0.00%             | 2046-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CBRE GLOBAL INVESTOR PAN EUROPEAN CORE FUND                                        | CBRE GLOBAL INVESTOR PAN EUROPEAN CORE FUND 4.75% 03/27/2034 REGS                                       | CUSIP: N/A<br>LEI: 529900J5H3JGJ83AUZ88       | Long             | DBT              | CORP              | LU        |     289000 | PA      | $343116.34    | 0.00%             | 2034-03-27      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CFMT 2024-HB15 LLC                                                                 | CFMT 2024-HB15 LLC VAR 08/25/2034 144A                                                                  | CUSIP: 15723AAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     613192 | PA      | $606656.97    | 0.01%             | 2034-08-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                                   | ALTRIA GROUP INC 4.8% 02/14/2029                                                                        | CUSIP: 02209SBD4<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |     173000 | PA      | $173618.95    | 0.00%             | 2029-02-14      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 03/01/2041#A97673                                                                        | CUSIP: 312946Q25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23107 | PA      | $22740.85     | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 12/01/2051#                                                                                | CUSIP: 3140M82X6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21436 | PA      | $16719.71     | 0.00%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| OMAN SULTANATE                                                                     | OMAN SULTANATE 5.625% 01/17/2028 144A                                                                   | CUSIP: 682051AH0<br>LEI: 549300SZ20F0QTKNQC75 | Long             | DBT              | NUSS              | OM        |     395000 | PA      | $398530.31    | 0.01%             | 2028-01-17      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                                                                      | CARNIVAL CORP 6% 05/01/2029 144A                                                                        | CUSIP: 143658BR2<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |     500000 | PA      | $501317.86    | 0.01%             | 2029-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 1.5% 01/01/2036#MA4228                                                                        | CUSIP: 31418DVW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     620913 | PA      | $547642.47    | 0.01%             | 2036-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                             | FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD 2.5% 07/25/2048                                  | CUSIP: 3137H3QP0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     186479 | PA      | $161695.36    | 0.00%             | 2048-07-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 8/39 #724223                                                                                 | CUSIP: 3620AASL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15625 | PA      | $15370.63     | 0.00%             | 2039-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 09/01/2033#741529                                                                        | CUSIP: 31402XY26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        764 | PA      | $757.40       | 0.00%             | 2033-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BBCMS MTG TR 2022-C16                                                              | BBCMS MTG TR 2022-C16 4.6% 06/15/2055                                                                   | CUSIP: 05552YAK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     200000 | PA      | $185445.50    | 0.00%             | 2055-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BBCMS MTG TR 2025-C32                                                              | BBCMS MTG TR 2025-C32 VAR 02/15/2063                                                                    | CUSIP: 07337AAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     368000 | PA      | $362878.62    | 0.01%             | 2062-02-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| ORGANON and CO / ORGANON FOREIGN DEBT CO-ISSUER BV                                 | ORGANON and CO / ORGANON FOREIGN DEBT CO-ISSUER BV 6.75% 05/15/2034 144A                                | CUSIP: 68622FAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     270000 | PA      | $251184.56    | 0.00%             | 2034-05-15      | Fixed         | 0.07%                 | 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        |     200000 | PA      | $199875.00    | 0.00%             | 2036-02-15      | Floating      | 0.05%                 | No            |                  2 | On Loan: No      |
| GEORGIA REPUBLIC OF                                                                | GEORGIA REPUBLIC OF 2.75% 04/22/2026 144A                                                               | CUSIP: 37311PAB6<br>LEI: 254900MHQHBC58M2GR84 | Long             | DBT              | NUSS              | GE        |     230000 | PA      | $220571.45    | 0.00%             | 2026-04-22      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 07/01/2051#SD0716                                                                          | CUSIP: 3132DMYM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     745074 | PA      | $592563.55    | 0.01%             | 2051-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| AZORRA FINANCE LTD                                                                 | AZORRA FINANCE LTD 7.75% 04/15/2030 144A                                                                | CUSIP: 05480AAA3<br>LEI: 254900MC1HXDAVUUP395 | Long             | DBT              | CORP              | KY        |     340000 | PA      | $341048.58    | 0.00%             | 2030-04-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 10/39 #723224                                                                                | CUSIP: 3620A9PH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1818 | PA      | $1826.70      | 0.00%             | 2039-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ANTOFAGASTA PLC                                                                    | ANTOFAGASTA PLC 2.375% 10/14/2030 144A                                                                  | CUSIP: 03718NAA4<br>LEI: 213800MY6QVH4FVLD628 | Long             | DBT              | CORP              | GB        |     385000 | PA      | $330487.85    | 0.00%             | 2030-10-14      | Fixed         | 0.02%                 | 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        |    1686000 | PA      | $1686256.27   | 0.02%             | 2035-04-23      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 12/01/2042#AL2884                                                                        | CUSIP: 3138EKF26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4769 | PA      | $4299.91      | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SPA HOLDINGS 3 OY                                                                  | SPA HOLDINGS 3 OY 4.875% 02/04/2028 144A                                                                | CUSIP: 84612JAA0<br>LEI: 743700UEY0YM039XN974 | Long             | DBT              | CORP              | FI        |     190000 | PA      | $179017.50    | 0.00%             | 2028-02-04      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 05/01/2051#RA5267                                                                          | CUSIP: 3133KLZ83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     321665 | PA      | $276940.65    | 0.00%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| RADIOLOGY PARTNERS INC                                                             | RADIOLOGY PARTNERS TERM B 1LN 01/31/2029                                                                | CUSIP: 75041EAJ1<br>LEI: 549300SFTAG2177WUZ08 | Long             | LON              | CORP              | US        |     516932 | PA      | $512052.59    | 0.01%             | 2029-01-31      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| TIERRA MOJADA LUXEMBOURG II SARL                                                   | TIERRA MOJADA LUXEMBOURG II SARL 5.75% 12/01/2040 144A                                                  | CUSIP: 30260LAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |     108228 | PA      | $100208.40    | 0.00%             | 2040-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 5.288%/VAR 04/25/2034                                                       | CUSIP: 06051GLH0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   11000000 | PA      | $11019183.67  | 0.16%             | 2034-04-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 12/49#BR8986                                                                               | CUSIP: 3617M76X1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1073 | PA      | $953.14       | 0.00%             | 2049-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                              | BOAM SWAP REC 3.805 11/05/29                                                                            | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    5300000 | NC      | $171057.92    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| QATAR PETROLEUM                                                                    | QATAR PETROLEUM 3.125% 07/12/2041 144A                                                                  | CUSIP: 74730DAE3<br>LEI: 254900QTESJKJ3P87J26 | Long             | DBT              | CORP              | QA        |     535000 | PA      | $387523.93    | 0.01%             | 2041-07-12      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PHILIPPINES REPUBLIC OF                                                            | PHILIPPINES REPUBLIC OF 5.5% 01/17/2048                                                                 | CUSIP: 718286CX3<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |     125000 | PA      | $119861.25    | 0.00%             | 2048-01-17      | Fixed         | 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        |     665520 | PA      | $666352.24    | 0.01%             | 2041-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BPR TRUST 2022                                                                     | BPR TRUST 2022 TSFR1M+229.667 04/15/2024 144A                                                           | CUSIP: 05592DAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     900000 | PA      | $899437.59    | 0.01%             | 2037-04-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 3% 02/01/2037#AS8773                                                                          | CUSIP: 3138WJXB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40834 | PA      | $38091.55     | 0.00%             | 2037-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOLAR LNG LTD                                                                      | GOLAR LNG LTD 7.75% 09/19/2029 144A REGS                                                                | CUSIP: N/A<br>LEI: 213800C2VSFZG3EZLO34       | Long             | DBT              | CORP              | BM        |    1600000 | PA      | $1600000.00   | 0.02%             | 2029-09-19      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR                                 | AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 6.5%/VAR 01/31/2056                                  | CUSIP: 00774MBQ7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |     519000 | PA      | $511567.88    | 0.01%             | 2056-01-31      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 01/01/2032#                                                                                | CUSIP: 31287NDD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        264 | PA      | $272.14       | 0.00%             | 2032-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MCR 2024-TWA MTG TR                                                                | MCR 2024-TWA MTG TR 10.114% 06/12/2039 144A                                                             | CUSIP: 582923AF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     200000 | PA      | $203500.14    | 0.00%             | 2039-06-12      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 07/01/2043#AB9858                                                                        | CUSIP: 31417G5U6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      86411 | PA      | $77505.11     | 0.00%             | 2043-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                     | MORGAN STANLEY 5.449%/VAR 07/20/2029                                                                    | CUSIP: 61747YFF7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    1318000 | PA      | $1348117.99   | 0.02%             | 2029-07-20      | Variable      | 0.05%                 | 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        |    2803000 | PA      | $2809292.74   | 0.04%             | 2038-07-18      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BPR TR 2024-PMDW                                                                   | BPR TR 2024-PMDW VAR 11/05/2029 144A                                                                    | CUSIP: 05592VAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      70000 | PA      | $64436.89     | 0.00%             | 2041-11-05      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTL NV                                                               | ENEL FINANCE INTL NV 5.5% 06/26/2034 144A                                                               | CUSIP: 29278GBE7<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |     300000 | PA      | $300396.15    | 0.00%             | 2034-06-26      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SOUTHERN GAS CORRIDOR CJSC                                                         | SOUTHERN GAS CORRIDOR CJSC 6.875% 03/24/2026 144A                                                       | CUSIP: 84302LAA0<br>LEI: 213800DG58KG59XY6318 | Long             | DBT              | CORP              | AZ        |     360000 | PA      | $363052.80    | 0.01%             | 2026-03-24      | Fixed         | 0.07%                 | 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        |    5839000 | PA      | $5908899.31   | 0.09%             | 2031-04-23      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ARGENTINA REPUBLIC OF                                                              | ARGENTINA REPUBLIC OF STEP 07/09/2041                                                                   | CUSIP: 040114HV5<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |     460000 | PA      | $285836.55    | 0.00%             | 2041-07-09      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| MODIVCARE INC                                                                      | MODIVCARE INC 5% 10/01/2029 144A                                                                        | CUSIP: 60783XAA2<br>LEI: 549300EFZIFW7F7I0Q28 | Long             | DBT              | CORP              | US        |     188000 | PA      | $9400.00      | 0.00%             | 2029-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ALEXANDRIA REAL ESTATE EQUITIES INC                                                | ALEXANDRIA REAL EST EQUITS INC 4.9% 12/15/2030                                                          | CUSIP: 015271AU3<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |     857000 | PA      | $849354.51    | 0.01%             | 2030-12-15      | Fixed         | 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        |    1070000 | PA      | $933470.27    | 0.01%             | 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        |     897000 | PA      | $775129.93    | 0.01%             | 2031-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANCO DE CREDITO E INVERSIONES                                                     | BANCO DE CREDITO E INVERSIONES 7.5%/VAR PERP 144A                                                       | CUSIP: 05956NAF9<br>LEI: 549300E9E5Y3PKW24142 | Long             | EP               | CORP              | CL        |     250000 | PA      | $244375.00    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 02/52#CB2764                                                                               | CUSIP: 3140QNCA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1684732 | PA      | $1314610.68   | 0.02%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CROSS 2025-H4 MTG TR                                                               | CROSS 2025-H4 MTG TR A1 VAR 06/25/2070 144A                                                             | CUSIP: 22790AAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1300000 | PA      | $1301933.49   | 0.02%             | 2070-06-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 5.05% 7/34 #801635                                                                             | CUSIP: 31405WSY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        177 | PA      | $180.11       | 0.00%             | 2034-07-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| ROCKLAND PARK CLO LTD                                                              | ROCKLAND PARK CLO LTD A TSFR3M+138.161 04/20/2034 144A                                                  | CUSIP: 773663AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1717000 | PA      | $1720222.81   | 0.03%             | 2034-04-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2006-104 GI SOFR30A+656.552 11/36                                                                   | CUSIP: 31396LMA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       5184 | PA      | $499.26       | 0.00%             | 2036-11-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 12/01/2047#Q53034                                                                        | CUSIP: 3132XVLQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      38261 | PA      | $34580.47     | 0.00%             | 2047-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 01/01/2041#A96413                                                                          | CUSIP: 312945DS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6152 | PA      | $5878.62      | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| 1011778 B C UNLIMITED LIABILITY CO / NEW RED FIN INC                               | 1011778 BC ULC/NEW RED FIN INC 6.125% 06/15/2029 144A                                                   | CUSIP: 68245XAR0<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |     619000 | PA      | $631274.15    | 0.01%             | 2029-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GHANA REPUBLIC OF                                                                  | GHANA REPUBLIC OF 0% 01/03/2030 144A                                                                    | CUSIP: 374422AN3<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |      10037 | PA      | $8154.77      | 0.00%             | 2030-01-03      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 12/01/2033#FM4036                                                                        | CUSIP: 3140X7PW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1864079 | PA      | $1782095.92   | 0.03%             | 2033-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 11/01/2054#CB9500                                                                          | CUSIP: 3140QVRW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      70968 | PA      | $72781.71     | 0.00%             | 2054-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 1.5% 03/01/2041#MA4286                                                                        | CUSIP: 31418DXQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      56086 | PA      | $46199.70     | 0.00%             | 2041-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 06/01/2044#AL7195                                                                        | CUSIP: 3138EP7H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41682 | PA      | $37519.10     | 0.00%             | 2044-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TURKEY REPUBLIC OF                                                                 | TURKEY REPUBLIC OF 9.375% 03/14/2029                                                                    | CUSIP: 900123DH0<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |     780000 | PA      | $844478.70    | 0.01%             | 2029-03-14      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 01/01/2051#FM7484                                                                        | CUSIP: 3140XBJ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1691937 | PA      | $1407204.53   | 0.02%             | 2051-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LTD                                                        | AVOLON HOLDINGS FUNDING LTD 4.25% 04/15/2026 144A                                                       | CUSIP: 05401AAL5<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |     290000 | PA      | $287881.51    | 0.00%             | 2026-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL PLAQUE                                                              | VENTURE GLOBAL PLAQUE 7.5% 05/01/2033 144A                                                              | CUSIP: 922966AA4<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |     415000 | PA      | $433445.92    | 0.01%             | 2033-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG 3237 C 5.5% 11/15/2036                                                              | CUSIP: 31397CDM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      31542 | PA      | $32226.21     | 0.00%             | 2036-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 10/40#AE3576                                                                               | CUSIP: 31419D6N6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6498 | PA      | $6176.54      | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA GTD MTG PASS THRU CTF 2% 05/25/2043                                                                | CUSIP: 3136BBQT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     665582 | PA      | $606132.87    | 0.01%             | 2043-05-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                                                   | WILLIAMS COS INC 5.75% 06/24/2044                                                                       | CUSIP: 969457BV1<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |      35000 | PA      | $33304.91     | 0.00%             | 2044-06-24      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WEBER-STEPHEN PRODUCTS LLC                                                         | WEBER-STEPHEN PRODUCTS TERM B 1LN 10/30/2027                                                            | CUSIP: 94767KAN1<br>LEI: 549300XU8TJBBGLK8V26 | Long             | LON              | CORP              | US        |     466860 | PA      | $462410.48    | 0.01%             | 2027-10-30      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 07/01/2033#                                                                                | CUSIP: 3140JAUL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      70561 | PA      | $68128.34     | 0.00%             | 2033-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ECUADOR REPUBLIC OF                                                                | ECUADOR REPUBLIC OF STEP 07/31/2035 144A                                                                | CUSIP: N/A<br>LEI: 5299003Y2U5XK0A35H71       | Long             | DBT              | NUSS              | EC        |     655000 | PA      | $406755.00    | 0.01%             | 2035-07-31      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| ENERGEAN ISRAEL FINANCE LTD                                                        | ENERGEAN ISRAEL FINANCE LTD 4.875% 03/30/2026 144A REGS                                                 | CUSIP: N/A<br>LEI: 98450044QACBL3F8EB03       | Long             | DBT              | CORP              | IL        |     605000 | PA      | $596366.05    | 0.01%             | 2026-03-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NBK TIER 1 LTD                                                                     | NBK TIER 1 LTD 3.625%/VAR PERP 144A                                                                     | CUSIP: 62879NAA5<br>LEI: 5493000G4QCCEE8YHF19 | Long             | EP               | CORP              | AE        |     105000 | PA      | $101161.20    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 11/42 #AQ0170                                                                                | CUSIP: 3138MFFL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4009 | PA      | $3694.71      | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VENTAS RLTY LTD PARTNERSHIP                                                        | VENTAS RLTY LTD PARTNERSHIP 3% 01/15/2030                                                               | CUSIP: 92277GAU1<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |    1531000 | PA      | $1418489.12   | 0.02%             | 2030-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 07/01/2050#SD8079                                                                          | CUSIP: 3132DV6Q3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      55157 | PA      | $43281.05     | 0.00%             | 2050-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY OPERATING PARTNERS LP                                               | NEXTERA ENERGY OPERATING PARTNERS LP 7.25% 01/15/2029 144A                                              | CUSIP: 65342QAM4<br>LEI: 549300KJEC5IUVJWR786 | Long             | DBT              | CORP              | US        |     875000 | PA      | $879293.63    | 0.01%             | 2029-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: —       |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.0% 12/15/2042#AA5897                                                                        | CUSIP: 36178DRS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21727 | PA      | $19499.40     | 0.00%             | 2042-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/01/2045#AZ7335                                                                          | CUSIP: 3140E0EH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26531 | PA      | $24834.62     | 0.00%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CAMB COML MTG TR 2019-LIFE                                                         | CAMB COML MTG TR 2019-LIFE A TSFR1M+118.448 12/15/2037 144A                                             | CUSIP: 12482HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $99937.50     | 0.00%             | 2037-12-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 12/1/42 #AQ7097                                                                          | CUSIP: 3138MN3F5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5286 | PA      | $4899.91      | 0.00%             | 2042-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 11/26 #572166                                                                                | CUSIP: 31386STX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          5 | PA      | $4.83         | 0.00%             | 2026-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SMYRNA READY MIX LLC                                                               | SMYRNA READY MIX LLC 8.875% 11/15/2031 144A                                                             | CUSIP: 83283WAE3<br>LEI: 549300S7RFWHQFOIOY93 | Long             | DBT              | CORP              | US        |     335000 | PA      | $344010.16    | 0.01%             | 2031-11-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4% 02/15/2034                                                                                 | CUSIP: 91282CJZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2293000 | PA      | $2240422.22   | 0.03%             | 2034-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ECUADOR REPUBLIC OF                                                                | ECUADOR REPUBLIC OF STEP 07/31/2030 144A                                                                | CUSIP: N/A<br>LEI: 5299003Y2U5XK0A35H71       | Long             | DBT              | NUSS              | EC        |     526601 | PA      | $408247.43    | 0.01%             | 2030-07-31      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 09/01/2053#CB7123                                                                          | CUSIP: 3140QS4H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     520266 | PA      | $530475.30    | 0.01%             | 2053-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 04/01/2043#Q17646                                                                        | CUSIP: 3132J85G1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23349 | PA      | $21591.01     | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                             | US LONG BOND(CBT) FUT SEP25 USU5                                                                        | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |         24 | NC      | $64946.16     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CAPITAL ONE NATL ASSN MCLEAN VA                                                    | CAPITAL ONE NATL ASN MCLEAN VA 4.682%/VAR 08/09/2028                                                    | CUSIP: 25466AAN1<br>LEI: 207ALC1P1YM0OVDV0K75 | Long             | DBT              | CORP              | US        |     401000 | PA      | $408909.17    | 0.01%             | 2028-08-09      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6% 11/35 #AD0687                                                                                   | CUSIP: 31418MXR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11368 | PA      | $11816.45     | 0.00%             | 2035-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MONG DUONG FINANCE HOLDINGS B.V                                                    | MONG DUONG FINANCE HOLDINGS B.V 5.125% 05/07/2029 144A                                                  | CUSIP: 60935DAA3<br>LEI: 549300995KGQFMWSV879 | Long             | DBT              | CORP              | NL        |     243935 | PA      | $236361.18    | 0.00%             | 2029-05-07      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SWCH COML MTG TR 2025-DATA                                                         | SWCH COML MTG TR 2025-DATA D TSFR1M+264.122 03/15/2042 144A                                             | CUSIP: 78489CAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     385000 | PA      | $380665.36    | 0.01%             | 2042-02-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2011-H13 FA TSFR1M+61.448 4/61                                                                      | CUSIP: 38375BLW0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      67163 | PA      | $67397.98     | 0.00%             | 2061-04-20      | Variable      | 0.05%                 | 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        |    2000000 | PA      | $2098780.30   | 0.03%             | 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        |    3082000 | PA      | $3132339.69   | 0.05%             | 2036-04-17      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2% 02/01/2036#SB8510                                                                          | CUSIP: 3132D6N30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      41046 | PA      | $37348.34     | 0.00%             | 2036-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP TRUST 2025-800D                                        | GS MORTGAGE SECURITIES CORP TRUST 2025-800D B TSFR1M+315 11/17/2029 144A                                | CUSIP: 36273XAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     180000 | PA      | $180010.51    | 0.00%             | 2041-11-25      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| CGMS COMMERCIAL MORTGAGE TRUST 2017-B1                                             | CGMS COMMERCIAL MORTGAGE TRUST 2017-B1 3.197% 08/15/2050                                                | CUSIP: 17326CAY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     287607 | PA      | $278726.82    | 0.00%             | 2050-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VALLOUREC SA                                                                       | VALLOUREC SA 7.5% 04/15/2032 144A                                                                       | CUSIP: 92023RAA8<br>LEI: 969500P2Q1B47H4MCJ34 | Long             | DBT              | CORP              | FR        |    1020000 | PA      | $1064175.18   | 0.02%             | 2032-04-15      | Fixed         | 0.07%                 | 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        |    2763000 | PA      | $2753412.39   | 0.04%             | 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        |    2400000 | PA      | $2518784.64   | 0.04%             | 2029-09-13      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 4% 09/01/2039#MA3773                                                                          | CUSIP: 31418DFP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8291 | PA      | $7893.30      | 0.00%             | 2039-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| M2S GROUP INTERMEDIATE HOLDINGS INC                                                | M2S GROUP TERM B 1LN 8/25/2031                                                                          | CUSIP: 55287CAB7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     884218 | PA      | $845533.19    | 0.01%             | 2031-08-25      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 7/27 #394197                                                                                 | CUSIP: 31378B3E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          9 | PA      | $9.65         | 0.00%             | 2027-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6.5% 02/01/2054#SD5078                                                                        | CUSIP: 3132DSUB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6911094 | PA      | $7161776.58   | 0.10%             | 2054-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 9/27 #313711                                                                                 | CUSIP: 31374GN45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          4 | PA      | $4.18         | 0.00%             | 2027-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 02/01/2052#CB2842                                                                          | CUSIP: 3140QNEQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     782980 | PA      | $614880.70    | 0.01%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 2/42 #783532                                                                                 | CUSIP: 36241L4R4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3536 | PA      | $3286.75      | 0.00%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HYUNDAI AUTO RECEIVABLES TR 2024-A                                                 | HYUNDAI AUTO RECEIVABLES TR 2024-A 4.99% 02/15/2029                                                     | CUSIP: 448973AD9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1629000 | PA      | $1640952.14   | 0.02%             | 2029-02-15      | Fixed         | 0.05%                 | 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        |   15026000 | PA      | $14775044.61  | 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        |    3375000 | PA      | $3384210.38   | 0.05%             | 2037-04-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| REPUBLICA ORIENTAL DEL URUGUAY                                                     | URUGUAY REPUBLICA ORIENTAL DL 5.75% 10/28/2034                                                          | CUSIP: 760942BE1<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |     140000 | PA      | $145718.54    | 0.00%             | 2034-10-28      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GOVERNMENT NAT MTG AS REMIC PT 17-186 HK 3% 11/16/2045                                                  | CUSIP: 38380T6K7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     110270 | PA      | $101409.08    | 0.00%             | 2045-11-16      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 2% 07/25/2050                                                            | CUSIP: 3137FUAS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     122412 | PA      | $102623.46    | 0.00%             | 2050-07-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FIRST CITIZENS BANK and TRUST COMPANY                                              | FIRST CITIZENS BANK and TRUST CO 6.125% 03/09/2028                                                      | CUSIP: 125581GX0<br>LEI: L9VVX1KT5TFTKS0MLF66 | Long             | DBT              | CORP              | US        |     210000 | PA      | $217448.76    | 0.00%             | 2028-03-09      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 2% 03/25/2040                                                            | CUSIP: 3137H0UM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     492138 | PA      | $433871.85    | 0.01%             | 2040-03-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2017                                                       | WFCM 2017-C42 ASB 3.488% 12/15/2050                                                                     | CUSIP: 95001GAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     322285 | PA      | $318845.15    | 0.00%             | 2050-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LTD                                                        | AVOLON HOLDINGS FUNDING LTD 5.75% 11/15/2029 144A                                                       | CUSIP: 05401AAV3<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    3000000 | PA      | $3051332.16   | 0.04%             | 2029-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MHP COML MTG TR 2021-STOR                                                          | MERIT 2021-STOR G TSFR1M+286.448 07/15/2038 144A                                                        | CUSIP: 55293BAP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1500000 | PA      | $1497187.50   | 0.02%             | 2038-07-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| QUIKRETE HOLDINGS INC                                                              | QUIKRETE HOLDINGS INC 6.375% 03/01/2032 144A                                                            | CUSIP: 74843PAA8<br>LEI: 5493007KIN86DIZWZT22 | Long             | DBT              | CORP              | US        |    1965000 | PA      | $1996748.51   | 0.03%             | 2032-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                 | ENERGY TRANSFER LP 7.125%/VAR PERP                                                                      | CUSIP: 29273VAM2<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | EP               | CORP              | US        |      40000 | PA      | $40171.92     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 11/01/2050#MA4184                                                                          | CUSIP: 31418DUJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      77913 | PA      | $67055.73     | 0.00%             | 2050-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3.5% 11/01/2034#FM7876                                                                        | CUSIP: 3140XBXE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      49820 | PA      | $48287.13     | 0.00%             | 2034-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 3.224% 4/41#1B8179                                                                             | CUSIP: 3128UGPP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        476 | PA      | $495.51       | 0.00%             | 2041-04-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 01/01/2044#V80950                                                                        | CUSIP: 3132L6BT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4491 | PA      | $4241.56      | 0.00%             | 2044-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 08/01/2047#ZM4038                                                                        | CUSIP: 3131XXPX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      95475 | PA      | $86893.29     | 0.00%             | 2047-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 01/01/2049#CA2963                                                                        | CUSIP: 3140QAJH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2472 | PA      | $2365.65      | 0.00%             | 2049-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH COS INC                                                              | BAUSCH HEALTH COS INC 4.875% 06/01/2028 144A                                                            | CUSIP: 071734AN7<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | CA        |     370000 | PA      | $302012.50    | 0.00%             | 2028-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 3/41 #AH6233                                                                                 | CUSIP: 3138A74T2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2567 | PA      | $2448.66      | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | 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        |    1580410 | PA      | $1599569.51   | 0.02%             | 2054-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                                                 | DOMINICAN REPUBLIC 7.45% 04/30/2044 144A                                                                | CUSIP: 25714PCF3<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |     235000 | PA      | $241580.00    | 0.00%             | 2044-04-30      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2017-GS6                                                            | GS MTG SECS TR 2017-GS6 3.164% 05/10/2050                                                               | CUSIP: 36253PAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      92387 | PA      | $89540.11     | 0.00%             | 2050-05-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| OVINTIV INC                                                                        | OVINTIV INC 7.375% 11/01/2031                                                                           | CUSIP: 012873AK1<br>LEI: 2549003MEX7YMKLGI239 | Long             | DBT              | CORP              | US        |     435000 | PA      | $464568.98    | 0.01%             | 2031-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| NOVELIS CORP                                                                       | NOVELIS CORP 6.875% 01/30/2030 144A                                                                     | CUSIP: 670001AL0<br>LEI: 549300G5F3W3B52WYL23 | Long             | DBT              | CORP              | US        |     875000 | PA      | $902329.75    | 0.01%             | 2030-01-30      | Fixed         | 0.07%                 | No            |                  2 | On Loan: —       |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 08/01/2045#AZ7222                                                                        | CUSIP: 3140E0AY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13753 | PA      | $12873.66     | 0.00%             | 2045-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NOVA CHEMICALS CORP                                                                | NOVA CHEMICALS CORP 7% 12/01/2031 144A                                                                  | CUSIP: 66977WAV1<br>LEI: 549300ZOD6N7RI2FJP09 | Long             | DBT              | CORP              | CA        |     570000 | PA      | $596123.10    | 0.01%             | 2031-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 6/40 #733726                                                                                 | CUSIP: 3620AMD74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      37007 | PA      | $37178.54     | 0.00%             | 2040-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UKRAINE GOVERNMENT                                                                 | UKRAINE GOVERNMENT STEP 02/01/2029 144A                                                                 | CUSIP: 903724BZ4<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |     343290 | PA      | $209406.90    | 0.00%             | 2029-02-01      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2011-67 AI IO 4% 7/26                                                                               | CUSIP: 31397U4B2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        558 | PA      | $2.37         | 0.00%             | 2026-07-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PEAC SOLUTIONS RECEIVABLES 2025-1 LLC                                              | PEAC SOLUTIONS RECEIVABLES 2025-1 LLC 4.94% 10/20/2028 144A                                             | CUSIP: 69392HAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2275000 | PA      | $2277813.95   | 0.03%             | 2028-10-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FORTRESS TRANSN and INFRASTRUCTURE INVS LLC                                        | FORTRESS TRANSN and INFRASTRUCTURE INVS LLC 7.875% 12/01/2030 144A                                      | CUSIP: 34960PAE1<br>LEI: 529900E7PUVK6BC8PE80 | Long             | DBT              | CORP              | US        |     275000 | PA      | $288990.35    | 0.00%             | 2030-12-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| MAGNETITE XXIII LTD                                                                | MAGNETITE XXIII LTD AR TSFR3M+139.161 01/25/2035 144A                                                   | CUSIP: 55954NAJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1132000 | PA      | $1133486.32   | 0.02%             | 2035-01-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 02/01/2035#                                                                                | CUSIP: 3140XC4X3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      60422 | PA      | $58759.40     | 0.00%             | 2035-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MEXICO UNITED MEXICAN STATES                                                       | MEXICO UNITED MEXICAN STATES 4.875% 05/19/2033                                                          | CUSIP: 91087BAT7<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     200000 | PA      | $184750.00    | 0.00%             | 2033-05-19      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                                                               | COLOMBIA REPUBLIC OF 3.25% 04/22/2032                                                                   | CUSIP: 195325DZ5<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |     200000 | PA      | $156900.00    | 0.00%             | 2032-04-22      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 01/15/2043#AD2150                                                                        | CUSIP: 36180DL70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10394 | PA      | $9627.48      | 0.00%             | 2043-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MAGNETITE XXIX LTD / MAGNETITE XXIX LLC                                            | MAGNETITE XXIX LTD / MAGNETITE XXIX LLC AR TSFR3M+135 07/15/2037 144A                                   | CUSIP: 55955KAL8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2024000 | PA      | $2027969.06   | 0.03%             | 2037-07-15      | Variable      | 0.06%                 | 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        |    5341000 | PA      | $5528935.37   | 0.08%             | 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        |     467899 | PA      | $477665.24    | 0.01%             | 2053-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| POSCO                                                                              | POSCO 5.875% 01/17/2033 144A                                                                            | CUSIP: 73730EAE3<br>LEI: 9884000N94NH7G6LQ816 | Long             | DBT              | CORP              | KR        |      70000 | PA      | $71116.83     | 0.00%             | 2033-01-17      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 9/35 #A37119                                                                                 | CUSIP: 31297S4C6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2438 | PA      | $2455.21      | 0.00%             | 2035-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 11/01/2050#RA4055                                                                          | CUSIP: 3133KKQG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      27156 | PA      | $21274.68     | 0.00%             | 2050-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CASTLELAKE AIRCRAFT STRUCTURED TR 2021-1                                           | CASTLELAKE AIRCRAFT STRUCTURED TR 2021-1 3.474% 01/15/2046 144A                                         | CUSIP: 14856GAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      75686 | PA      | $73803.00     | 0.00%             | 2046-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 8/32 #582029                                                                                 | CUSIP: 36201FSS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         38 | PA      | $38.45        | 0.00%             | 2032-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BANCO MERCANTIL DEL NORTE SA CAYMAN ISLANDS BRANCH                                 | BANCO MERCANTIL DEL NORTE CAYMAN ISLAND BRH 7.625%/VAR PERP 144A                                        | CUSIP: 05962GAJ8<br>LEI: 549300QTVYRPFHS0J362 | Long             | EP               | CORP              | KY        |     535000 | PA      | $536102.10    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GOVERNMENT NAT MTG AS REMIC PT 2016-69 WA 3% 02/20/2046                                                 | CUSIP: 38379WN73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      39776 | PA      | $36249.48     | 0.00%             | 2046-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CFMT 2022-HB10                                                                     | CFMT 2022-HB10 3.5% 11/25/2035 144A                                                                     | CUSIP: 12529GAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     397379 | PA      | $394207.74    | 0.01%             | 2035-11-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CO                                                                      | FORD MOTOR CO 3.25% 02/12/2032                                                                          | CUSIP: 345370DA5<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |    4000000 | PA      | $3300828.68   | 0.05%             | 2032-02-12      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2022-IND                                                                  | BX TRUST 2022-IND TSFR1M+274.6 04/15/2024 144A                                                          | CUSIP: 05609WAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     123200 | PA      | $123199.81    | 0.00%             | 2037-04-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG NEW YORK BNCH                                                     | DEUTSCHE BANK AG NEW YORK BNCH 6.819%/VAR 11/20/2029                                                    | CUSIP: 251526CU1<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | US        |    2377000 | PA      | $2515124.43   | 0.04%             | 2029-11-20      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| RHP HOTEL PPTYS LP and RHP FIN CORP                                                | RHP HOTEL PPTYS LP and RHP FIN CORP 6.5% 06/15/2033 144A                                                | CUSIP: 749571AL9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     425000 | PA      | $432231.05    | 0.01%             | 2033-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FING 2023-1 LLC                                                   | ENTERPRISE FLEET FING 2023-1 LLC 5.51% 01/22/2029 144A                                                  | CUSIP: 29375CAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     852399 | PA      | $855028.31    | 0.01%             | 2029-01-22      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CSN RESOURCES SA                                                                   | CSN RESOURCES SA 5.875% 04/08/2032 144A                                                                 | CUSIP: 12644VAE8<br>LEI: 222100ZEX458NMOXZP08 | Long             | DBT              | CORP              | LU        |     195000 | PA      | $159217.50    | 0.00%             | 2032-04-08      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| JPMORGAN SECURITIES LLC                                                            | MNGT SWAP CZ030007 12/17/57 B                                                                           | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |     100000 | NC      | $12752.26     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 01/01/2048#ZM5477                                                                        | CUSIP: 3131Y0CN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9321 | PA      | $8474.46      | 0.00%             | 2048-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 07/51#QC4163                                                                               | CUSIP: 3133ANTU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      47008 | PA      | $37121.55     | 0.00%             | 2051-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3.5% 11/01/2033#ZT1410                                                                        | CUSIP: 3132ADR75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      64599 | PA      | $62459.35     | 0.00%             | 2033-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/28 #460857                                                                                 | CUSIP: 36208T5S5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         31 | PA      | $31.41        | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 5.869% 5/36 #995608                                                                            | CUSIP: 31416CAH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1065 | PA      | $1096.93      | 0.00%             | 2036-05-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 2% 02/25/2052                                                            | CUSIP: 3136BLYN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     354215 | PA      | $314111.53    | 0.00%             | 2052-02-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                                                                | SYNCHRONY FINANCIAL 3.95% 12/01/2027                                                                    | CUSIP: 87165BAM5<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |    3042000 | PA      | $2958269.65   | 0.04%             | 2027-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SWISS RE FINANCE LUXEMBOURG                                                        | SWISS RE FINANCE LUXEMBOURG 5%/VAR 04/02/2049 144A                                                      | CUSIP: 87089NAA8<br>LEI: 549300CLQZ6TM98LW631 | Long             | DBT              | CORP              | LU        |     200000 | PA      | $197269.00    | 0.00%             | 2049-04-02      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 4.625% 05/15/2044                                                           | CUSIP: 912810UB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     435000 | PA      | $418789.46    | 0.01%             | 2044-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2020-GC45                                                           | GS MTG SECS TR 2020-GC45 SWB VAR 12/13/2039 144A                                                        | CUSIP: 36258YAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     445000 | PA      | $381144.37    | 0.01%             | 2039-12-13      | Variable      | 0.03%                 | 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        |    2342000 | PA      | $2346520.06   | 0.03%             | 2038-01-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| WHEELS FLEET LEASE FUNDING 1 LLC                                                   | WHEELS FLEET LEASE FUNDING 1 LLC 4.57% 01/18/2040 144A                                                  | CUSIP: 96328GCE5<br>LEI: 549300BSFY0E0XXREF43 | Long             | ABS-CBDO         | CORP              | US        |    5100000 | PA      | $5104838.37   | 0.07%             | 2040-01-18      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                                      | TRANSDIGM INC 6.375% 05/31/2033 144A                                                                    | CUSIP: 893647BY2<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |     210000 | PA      | $207480.16    | 0.00%             | 2033-05-31      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.0% 07/01/2041#Q02067                                                                        | CUSIP: 3132GFJL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1572 | PA      | $1579.57      | 0.00%             | 2041-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII 15YR 3% 08/20/2031#MA3850                                                                          | CUSIP: 36179SH34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      43531 | PA      | $42180.55     | 0.00%             | 2031-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| KINGSTON AIRPORT REV FIN                                                           | KINGSTON AIRPORT REV FIN 6.75% 12/15/2036 144A                                                          | CUSIP: 49647QAA6<br>LEI: 254900SK2YRR95AVHU30 | Long             | DBT              | CORP              | KY        |     230000 | PA      | $227196.30    | 0.00%             | 2036-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| RR 28 LTD / RR 28 LLC                                                              | RR 28 LTD / RR 28 LLC A1R TSFR3M+155 04/15/2037 144A                                                    | CUSIP: 74989NAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   17800000 | PA      | $17838412.40  | 0.26%             | 2037-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| PEDIATRIX MEDICAL GROUP INC                                                        | PEDIATRIX MEDICAL GROUP INC 5.375% 02/15/2030 144A                                                      | CUSIP: 58502BAE6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     365000 | PA      | $353335.15    | 0.01%             | 2030-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 11/01/2054#CB9502                                                                          | CUSIP: 3140QVRY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     548086 | PA      | $560896.14    | 0.01%             | 2054-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 03/01/2033#BK4845                                                                          | CUSIP: 3140HJL33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9822 | PA      | $9489.35      | 0.00%             | 2033-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ASTON MARTIN CAPITAL HOLDINGS LTD                                                  | ASTON MARTIN CAP HLDGS LTD 10% 03/31/2029 144A                                                          | CUSIP: 04625HAJ8<br>LEI: 213800H4GKEF3CJ8C774 | Long             | DBT              | CORP              | JE        |     480000 | PA      | $449842.12    | 0.01%             | 2029-03-31      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.50% 7/32 #G01433                                                                                 | CUSIP: 31283HSW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         26 | PA      | $27.55        | 0.00%             | 2032-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 8/40 #719262                                                                                 | CUSIP: 3620A5B73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2583 | PA      | $2595.23      | 0.00%             | 2040-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2024-V11 MTG TR                                                          | BENCHMARK 2024-V11 MTG TR 6.295% 11/15/2057                                                             | CUSIP: 081921BE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     596000 | PA      | $599655.74    | 0.01%             | 2057-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CZ030005 12/17/57 B                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    1300000 | NC      | $2216.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COMM 2017-COR2                                                                     | COMM 2017-COR2 VAR 09/10/2050                                                                           | CUSIP: 12595EAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     126000 | PA      | $118724.70    | 0.00%             | 2050-09-10      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| VB-S1 ISSUER LLC                                                                   | VB-S1 ISSUER LLC 8.871% 05/15/2054 144A                                                                 | CUSIP: 91823ABG5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     693000 | PA      | $717859.99    | 0.01%             | 2054-05-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 12/01/2032#                                                                                | CUSIP: 31283HUA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         74 | PA      | $76.16        | 0.00%             | 2032-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 3123 LO 0% 3/36                                                                                     | CUSIP: 31396JPR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       4411 | PA      | $3656.06      | 0.00%             | 2036-03-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.625% 09/30/2030                                                                             | CUSIP: 91282CHZ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     160000 | PA      | $164668.75    | 0.00%             | 2030-09-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 3.75% 05/31/2030                                                                              | CUSIP: 91282CHF1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      85000 | PA      | $84113.48     | 0.00%             | 2030-05-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| US FOODS INC                                                                       | US FOODS INC 7.25% 01/15/2032 144A                                                                      | CUSIP: 90290MAH4<br>LEI: 5493000JOOFAOUY1JZ87 | Long             | DBT              | CORP              | US        |     180000 | PA      | $188122.50    | 0.00%             | 2032-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| HERC HOLDINGS ESCROW                                                               | HERC HOLDINGS ESCROW 7% 06/15/2030 144A                                                                 | CUSIP: 42703NAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     835000 | PA      | $860238.39    | 0.01%             | 2030-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 03/01/2051#QC0161                                                                          | CUSIP: 3133AJFA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      49639 | PA      | $39214.46     | 0.00%             | 2051-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 2% 06/25/2046                                                            | CUSIP: 3136BASY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     694142 | PA      | $605491.12    | 0.01%             | 2046-06-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 03/01/2035#CA5428                                                                        | CUSIP: 3140QDA61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     625920 | PA      | $583767.07    | 0.01%             | 2035-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2% 05/01/2036#FM6899                                                                          | CUSIP: 3140XAUZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33129 | PA      | $30206.14     | 0.00%             | 2036-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                                 | WELLS FARGO and CO NEW 5.574%/VAR 07/25/2029                                                            | CUSIP: 95000U3E1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    6500000 | PA      | $6668273.95   | 0.10%             | 2029-07-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 3/40 #711495                                                                                 | CUSIP: 36297GNL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      37169 | PA      | $35695.85     | 0.00%             | 2040-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FHLMC MFD HSG COP GTD (FREDMAC                                                     | FHR 2056 Z 6% 5/28                                                                                      | CUSIP: 3133TDZM1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |       1303 | PA      | $1323.96      | 0.00%             | 2028-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HILTON DOMESTIC OPERATING CO INC                                                   | HILTON DOMESTIC OPERATING CO INC 5.875% 03/15/2033 144A                                                 | CUSIP: 432833AR2<br>LEI: 5493003EG7H0N1E4XV50 | Long             | DBT              | CORP              | US        |     355000 | PA      | $357398.03    | 0.01%             | 2033-03-15      | Fixed         | 0.06%                 | 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        |   13339000 | PA      | $10970684.16  | 0.16%             | 2033-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DT MIDSTREAM INC                                                                   | DT MIDSTREAM INC 5.8% 12/15/2034 144A                                                                   | CUSIP: 23345MAD9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     621000 | PA      | $615950.15    | 0.01%             | 2034-12-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING 2024-2                                                  | ENTERPRISE FLEET FINANCING 2024-2 5.74% 12/20/2026 144A                                                 | CUSIP: 29375RAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1195185 | PA      | $1200387.78   | 0.02%             | 2026-12-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 03/01/2052#CB3036                                                                          | CUSIP: 3140QNLS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     104260 | PA      | $82332.09     | 0.00%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                                                   | WILLIAMS COS INC 4.65% 08/15/2032                                                                       | CUSIP: 969457BZ2<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    3526000 | PA      | $3412452.75   | 0.05%             | 2032-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                          | BOEING CO 5.93% 05/01/2060                                                                              | CUSIP: 097023CX1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     720000 | PA      | $666579.02    | 0.01%             | 2060-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BANK AMER MERRILL LYNCH COML MTG TR 2016-UBS10                                     | BANK AMER MERRILL LYNCH COML MTG TR 2016-UBS10 B 3.79% 06/15/2049                                       | CUSIP: 06054MAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     157148 | PA      | $153116.29    | 0.00%             | 2049-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2017-C38                                                   | WELLS FARGO COML MTG TR 2017-C38 3.261% 07/15/2050                                                      | CUSIP: 95001MAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     288015 | PA      | $284832.38    | 0.00%             | 2050-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 2.5% 05/25/2049                                                          | CUSIP: 3137H4R85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     516849 | PA      | $443099.16    | 0.01%             | 2049-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 3% 11/01/2039#MA3831                                                                          | CUSIP: 31418DHH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26129 | PA      | $23785.98     | 0.00%             | 2039-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.5% 11/20/2054#MB0024                                                                          | CUSIP: 3618N5A25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5905070 | PA      | $5575967.00   | 0.08%             | 2054-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 09/01/44#Q28370                                                                          | CUSIP: 3132M86F8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5512 | PA      | $5210.83      | 0.00%             | 2044-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 11/29 #527286                                                                                | CUSIP: 31384LXP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         69 | PA      | $72.48        | 0.00%             | 2029-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2005-81 PC 5.5% 9/35                                                                                | CUSIP: 31394FCS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       3894 | PA      | $3975.27      | 0.00%             | 2035-09-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 06/01/2053#CB6636                                                                        | CUSIP: 3140QSLS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     548313 | PA      | $547788.13    | 0.01%             | 2053-06-01      | Fixed         | 0.06%                 | 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        |    2889000 | PA      | $2892065.23   | 0.04%             | 2038-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BELRON UK FINANCE PLC                                                              | BELRON UK FINANCE PLC 5.75% 10/15/2029 144A                                                             | CUSIP: 080782AA3<br>LEI: 9845006BC9D1A77B8178 | Long             | DBT              | CORP              | GB        |     445000 | PA      | $446197.50    | 0.01%             | 2029-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 02/01/2031#FS1234                                                                          | CUSIP: 3140XGLQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     152863 | PA      | $148997.76    | 0.00%             | 2031-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 10/01/2050#QB3878                                                                          | CUSIP: 3133AAJX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21146 | PA      | $16566.74     | 0.00%             | 2050-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| AIMCO 2019                                                                         | AIMCO 2019 ARR TSFR3M+141 07/22/2037 144A                                                               | CUSIP: 00901AAS6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1558000 | PA      | $1558118.41   | 0.02%             | 2037-07-22      | Variable      | 0.06%                 | 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        |    1337000 | PA      | $1321427.25   | 0.02%             | 2026-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 08/01/2052#QE9066                                                                        | CUSIP: 3133BKCB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      50587 | PA      | $47972.36     | 0.00%             | 2052-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 06/01/2051#FM7694                                                                          | CUSIP: 3140XBRQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2109545 | PA      | $1820186.84   | 0.03%             | 2051-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2% 02/01/2036#FM6089                                                                          | CUSIP: 3140X9XT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31355 | PA      | $28500.92     | 0.00%             | 2036-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| VODAFONE GRP PLC                                                                   | VODAFONE GROUP PLC 4.875%/VAR 10/03/2078 REGS                                                           | CUSIP: N/A<br>LEI: 213800TB53ELEUKM7Q61       | Long             | DBT              | CORP              | GB        |     106000 | PA      | $142462.01    | 0.00%             | 2078-10-03      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| STONEMOR INC                                                                       | STONEMOR INC 8.5% 05/15/2029 144A                                                                       | CUSIP: 86184WAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     698000 | PA      | $643411.23    | 0.01%             | 2029-05-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| RCI BANQUE S A                                                                     | RCI BANQUE S A 4.75%/VAR 03/24/2037 REGS                                                                | CUSIP: N/A<br>LEI: 96950001WI712W7PQG45       | Long             | DBT              | CORP              | FR        |     100000 | PA      | $113822.80    | 0.00%             | 2037-03-24      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                                          | AMGEN INC 5.75% 03/02/2063                                                                              | CUSIP: 031162DU1<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |     804000 | PA      | $760106.01    | 0.01%             | 2063-03-02      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 05/01/2041#CB0471                                                                        | CUSIP: 3140QKQZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      80816 | PA      | $71301.50     | 0.00%             | 2041-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                        | BNP PARIBAS 2.219%/VAR 06/09/2026 144A                                                                  | CUSIP: 09659W2L7<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    1520000 | PA      | $1519221.99   | 0.02%             | 2026-06-09      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR                                 | AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 5.75% 06/06/2028                                     | CUSIP: 00774MBC8<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    2000000 | PA      | $2055194.04   | 0.03%             | 2028-06-06      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| NEPTUNE BIDCO US INC                                                               | NEPTUNE BIDCO US INC 9.29% 04/15/2029 144A                                                              | CUSIP: 640695AA0<br>LEI: 549300VG15T3VCYZ4531 | Long             | DBT              | CORP              | US        |     995000 | PA      | $941518.75    | 0.01%             | 2029-04-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP I TR 2024-NSTB                                                  | MORGAN STANLEY CAP I TR 2024-NSTB C VAR 09/20/2032 144A                                                 | CUSIP: 61690BAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     152000 | PA      | $142631.43    | 0.00%             | 2057-09-24      | Variable      | 0.04%                 | 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        |    3216479 | PA      | $3216479.05   | 0.05%             | 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        |    4410000 | PA      | $4408615.26   | 0.06%             | 2039-12-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 05/50#FM3269                                                                               | CUSIP: 3140X6T35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      82397 | PA      | $71352.13     | 0.00%             | 2050-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 03/01/2041#CA9362                                                                        | CUSIP: 3140QHML6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      90827 | PA      | $80350.89     | 0.00%             | 2041-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TESLA AUTO LEASE TRUST 2023-B                                                      | TESLA AUTO LEASE TRUST 2023-B 6.13% 09/21/2026 144A                                                     | CUSIP: 88167QAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     701586 | PA      | $704319.82    | 0.01%             | 2026-09-21      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2002-39 FD SOFR30A+111.448 3/32                                                                     | CUSIP: 31392DPW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        328 | PA      | $330.56       | 0.00%             | 2032-03-18      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2011-H21 FA TSFR1M+71.448 10/61                                                                     | CUSIP: 38375BNE8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      75901 | PA      | $76294.55     | 0.00%             | 2061-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 3% 11/01/2036#AS8355                                                                          | CUSIP: 3138WJH92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52309 | PA      | $49057.23     | 0.00%             | 2036-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 01/42#G60517                                                                             | CUSIP: 31335ASE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      61185 | PA      | $60223.88     | 0.00%             | 2042-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BRAND INDUSTRIAL SERVICES INC                                                      | BRAND INDUSTRIAL SERVICES INC 10.375% 08/01/2030 144A                                                   | CUSIP: 104931AA8<br>LEI: 549300B658W2BPDQMW42 | Long             | DBT              | CORP              | US        |     790000 | PA      | $708571.86    | 0.01%             | 2030-08-01      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 10/01/2031#G15963                                                                        | CUSIP: 3128MEZ46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24001 | PA      | $23045.06     | 0.00%             | 2031-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DNB BANK ASA                                                                       | DNB BANK ASA 3%/VAR 11/29/2030 REGS                                                                     | CUSIP: N/A<br>LEI: 549300GKFG0RYRRQ1414       | Long             | DBT              | CORP              | NO        |     250000 | PA      | $284102.93    | 0.00%             | 2030-11-29      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FIRST QUANTUM MINERALS LTD                                                         | FIRST QUANTUM MINERALS LTD 9.375% 03/01/2029 144A                                                       | CUSIP: 335934AV7<br>LEI: 549300I7UVBGWRYMYZ18 | Long             | DBT              | CORP              | CA        |     980000 | PA      | $1029000.00   | 0.01%             | 2029-03-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 7/35 #745092                                                                                 | CUSIP: 31403CXV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4961 | PA      | $5176.58      | 0.00%             | 2035-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| VFH PARENT LLC / VALOR CO-ISSUER INC                                               | VFH PARENT LLC / VALOR CO-ISSUER INC 7.5% 06/15/2031 144A                                               | CUSIP: 91824YAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     290000 | PA      | $302351.97    | 0.00%             | 2031-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC DEL                                                              | KINDER MORGAN INC DEL 5.55% 06/01/2045                                                                  | CUSIP: 49456BAH4<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |     415000 | PA      | $380898.76    | 0.01%             | 2045-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FING 2022-3 LLC                                                   | ENTERPRISE FLEET FING 2022-3 LLC 4.29% 07/20/2029 144A                                                  | CUSIP: 29374FAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3005000 | PA      | $2992801.20   | 0.04%             | 2029-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 12/01/2051#QD3433                                                                          | CUSIP: 3133B0Y64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     151558 | PA      | $119682.67    | 0.00%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                              | BOAM SWAP REC 4.025 04/23/30                                                                            | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    1950000 | NC      | $71736.03     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 02/01/2052#RA6799                                                                        | CUSIP: 3133KNRU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     277150 | PA      | $248168.22    | 0.00%             | 2052-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 8/36 #888544                                                                                 | CUSIP: 31410GER0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36466 | PA      | $37971.98     | 0.00%             | 2036-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 06/01/2047#BE3663                                                                        | CUSIP: 3140FPB99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      97618 | PA      | $93738.26     | 0.00%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OCWEN LN INVT TR 2023-HB1                                                          | OCWEN LN INVT TR 2023-HB1 A 3% 06/25/2036 144A                                                          | CUSIP: 67578KAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      84151 | PA      | $83047.05     | 0.00%             | 2036-06-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 12/40 #746823                                                                                | CUSIP: 3620C2VQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1141 | PA      | $1099.10      | 0.00%             | 2040-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WFRBS COML MTG TR 2013-C11                                                         | WFRBS COML MTG TR 2013-C11 VAR 03/15/2045                                                               | CUSIP: 92937EAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     170000 | PA      | $161739.85    | 0.00%             | 2045-03-15      | Variable      | 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 | Short            | ABS-MBS          | USGA              | US        |  -13375000 | PA      | $-11208706.09 | -0.16%            | 2055-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 4.24% 6/33 #847147                                                                             | CUSIP: 3128HD5G0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2557 | PA      | $2595.16      | 0.00%             | 2033-06-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| CANACOL ENERGY LTD                                                                 | CANACOL ENERGY LTD 5.75% 11/24/2028 144A                                                                | CUSIP: 134808AD6<br>LEI: 549300X5MNRWPMSM9N14 | Long             | DBT              | CORP              | CA        |    1420000 | PA      | $650360.00    | 0.01%             | 2028-11-24      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 2/41 #A96695                                                                                 | CUSIP: 312945NL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2334 | PA      | $2291.82      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NIGERIA REPUBLIC OF                                                                | NIGERIA REPUBLIC 7.696% 02/23/2038 144A                                                                 | CUSIP: 65412JAH6<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |     200000 | PA      | $163250.00    | 0.00%             | 2038-02-23      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| PHILIPPINES REPUBLIC OF                                                            | PHILIPPINES REPUBLIC OF 5.6% 05/14/2049                                                                 | CUSIP: 718286DB0<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |     240000 | PA      | $231148.80    | 0.00%             | 2049-05-14      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 2/28 #416823                                                                                 | CUSIP: 31379EAY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         13 | PA      | $13.82        | 0.00%             | 2028-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA                                                                   | ALTICE FRANCE SA 5.125% 01/15/2029 144A                                                                 | CUSIP: 02156LAE1<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |     855000 | PA      | $718654.77    | 0.01%             | 2029-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+652.552 12/25/2036                                               | CUSIP: 31396LZK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       3104 | PA      | $309.93       | 0.00%             | 2036-12-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 05/01/2031#AS7145                                                                        | CUSIP: 3138WG5F7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     899866 | PA      | $863456.29    | 0.01%             | 2031-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3.5% 08/01/2034#CA4090                                                                        | CUSIP: 3140QBRL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     204756 | PA      | $197814.70    | 0.00%             | 2034-08-01      | Fixed         | 0.04%                 | 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 2.5% 01/15/2027                                   | CUSIP: 46590XAS5<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |    1945000 | PA      | $1875280.89   | 0.03%             | 2027-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 11/01/2051#RA6241                                                                          | CUSIP: 3133KM5A9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1576812 | PA      | $1239761.50   | 0.02%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.0% 04/15/2045#AK8698                                                                        | CUSIP: 36183SUX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7262 | PA      | $6445.48      | 0.00%             | 2045-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 4/40 #A91937                                                                                 | CUSIP: 312940EJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6615 | PA      | $6657.16      | 0.00%             | 2040-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| INDONESIA REPUBLIC OF                                                              | INDONESIA REPUBLIC OF 5.25% 01/17/2042 144A                                                             | CUSIP: 455780BJ4<br>LEI: 254900G208H6Q0L5B953 | Long             | DBT              | NUSS              | ID        |     200000 | PA      | $192800.00    | 0.00%             | 2042-01-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 04/01/2052#FS1647                                                                          | CUSIP: 3140XGZM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     628358 | PA      | $582545.86    | 0.01%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SCLP 2025-1                                                                        | SCLP 2025-1 4.8% 02/27/2034 144A                                                                        | CUSIP: 83406YAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3239660 | PA      | $3238934.65   | 0.05%             | 2034-02-27      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TEVA PHARMACEUTICAL FIN NETH III B V                                               | TEVA PHARMACEUTICAL FIN NETH III B V 6% 12/01/2032                                                      | CUSIP: 88167AAT8<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |     620000 | PA      | $625545.28    | 0.01%             | 2032-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TRANSOCEAN INC                                                                     | TRANSOCEAN INC 8.5% 05/15/2031 144A                                                                     | CUSIP: 893830BZ1<br>LEI: DOL4HJ22ADYSIWES4H94 | Long             | DBT              | CORP              | KY        |    1140000 | PA      | $979813.24    | 0.01%             | 2031-05-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 2.5% 10/01/2041#RB5132                                                                        | CUSIP: 3133KYVZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     123905 | PA      | $108344.85    | 0.00%             | 2041-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ROCKIES EXPRESS PIPELINE LLC                                                       | ROCKIES EXPRESS PIPELINE LLC 4.8% 05/15/2030 144A                                                       | CUSIP: 77340RAT4<br>LEI: W2ZGZGZKY5GGNY6F3V51 | Long             | DBT              | CORP              | US        |     650000 | PA      | $613850.90    | 0.01%             | 2030-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                      | GOLDMAN SACHS GROUP INC (THE) 3.8% 03/15/2030                                                           | CUSIP: 38141GXH2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    3630000 | PA      | $3502077.93   | 0.05%             | 2030-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 04/01/2048#FS8326                                                                        | CUSIP: 3140XQHC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3061345 | PA      | $2840639.17   | 0.04%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2121 MG 6% 2/29                                                                                     | CUSIP: 3133TJA60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |        646 | PA      | $658.65       | 0.00%             | 2029-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HERC HOLDINGS ESCROW                                                               | HERC HOLDINGS ESCROW 7.25% 06/15/2033 144A                                                              | CUSIP: 42703NAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     600000 | PA      | $617515.15    | 0.01%             | 2033-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL    | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 5.5% 04/01/2063         | CUSIP: 161175CL6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2499000 | PA      | $2045375.85   | 0.03%             | 2063-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                              | JPMORGAN CHASE and CO 5.299%/VAR 07/24/2029                                                             | CUSIP: 46647PDU7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    6500000 | PA      | $6631780.87   | 0.10%             | 2029-07-24      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 01/01/2035#787546                                                                          | CUSIP: 31405E5F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17415 | PA      | $18167.87     | 0.00%             | 2035-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SPGN 2022-TFLM MTG TR                                                              | SPGN 2022-TFLM B TSFR1M+200 02/15/2039 144A                                                             | CUSIP: 78473HAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     457000 | PA      | $447897.34    | 0.01%             | 2039-02-15      | Variable      | 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        |     268000 | PA      | $266492.50    | 0.00%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 1.5% 08/01/2036#                                                                              | CUSIP: 31418D3L4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20081 | PA      | $17655.28     | 0.00%             | 2036-08-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| EMIRATE OF DUBAI GOVERNMENT INTERNATIONAL BONDS                                    | EMIRATE OF DUBAI GOVT INTL BONDS 5.25% 01/30/2043 REGS                                                  | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | AE        |     200000 | PA      | $186270.00    | 0.00%             | 2043-01-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 5.5% 03/20/2054#787292                                                                          | CUSIP: 3622AC7D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2314420 | PA      | $2313745.07   | 0.03%             | 2054-03-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CEDAR FUNDING                                                                      | CEDAR FUNDING A TSFR3M+155 04/23/2037 144A                                                              | CUSIP: 15033BAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    7100000 | PA      | $7133135.70   | 0.10%             | 2037-04-23      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 0.0% 07/01/2041#AI6050                                                                         | CUSIP: 3138AKWL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1357 | PA      | $1409.76      | 0.00%             | 2041-07-01      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| CFCRE COMMERCIAL MORTGAGE TRUST 2017-C8                                            | CFCRE COMMERCIAL MORTGAGE TRUST 2017-C8 A3 3.3048% 06/15/2050                                           | CUSIP: 12532CAZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     245012 | PA      | $238113.37    | 0.00%             | 2050-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BARBADOS GOVT OF                                                                   | BARBADOS GOVT OF 6.5% 10/01/2029 144A                                                                   | CUSIP: 067070AH5<br>LEI: 529900UD1KUUS4SFD905 | Long             | DBT              | NUSS              | BB        |     283500 | PA      | $269892.00    | 0.00%             | 2029-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 04/01/2054#CB8330                                                                        | CUSIP: 3140QUHG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5616111 | PA      | $5577386.96   | 0.08%             | 2054-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CAIXABANK SA                                                                       | CAIXABANK SA 3.625%/VAR 09/19/2032 REGS                                                                 | CUSIP: N/A<br>LEI: 7CUNS533WID6K7DGFI87       | Long             | DBT              | CORP              | ES        |     600000 | PA      | $687796.57    | 0.01%             | 2032-09-19      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| NIGERIA REPUBLIC OF                                                                | NIGERIA REPUBLIC 7.143% 02/23/2030 144A                                                                 | CUSIP: 65412JAD5<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |     200000 | PA      | $184000.00    | 0.00%             | 2030-02-23      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 06/01/2050#RA2677                                                                          | CUSIP: 3133KH6N1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     640016 | PA      | $506009.72    | 0.01%             | 2050-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| POLARIS NEWCO LLC                                                                  | SOLERA TERM B 1LN 06/02/2028                                                                            | CUSIP: 73108RAB4<br>LEI: 254900LEPDAG7EDOA064 | Long             | LON              | CORP              | US        |     429406 | PA      | $415548.76    | 0.01%             | 2028-06-02      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| NIAGARA ENERGY SAC                                                                 | NIAGARA ENERGY SAC 5.746% 10/03/2034 144A                                                               | CUSIP: 65345YAA0<br>LEI: 254900V9UGCG42YQ6848 | Long             | DBT              | CORP              | PE        |     345000 | PA      | $337030.50    | 0.00%             | 2034-10-03      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SNAP INC                                                                           | SNAP INC 6.875% 03/01/2033 144A                                                                         | CUSIP: 83304AAL0<br>LEI: 549300JNC0L6VP8A2Q35 | Long             | DBT              | CORP              | US        |     355000 | PA      | $359595.83    | 0.01%             | 2033-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                              | BOAM SWAP REC 4.01 05/07/30                                                                             | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    3370000 | NC      | $123123.35    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CAESARS ENTERTAINMENT INC                                                          | CAESARS ENTERTAINMENT INC 6.5% 02/15/2032 144A                                                          | CUSIP: 12769GAC4<br>LEI: 5299000BKFWWVND5L441 | Long             | DBT              | CORP              | US        |     920000 | PA      | $927401.40    | 0.01%             | 2032-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 01/01/2052#SD7549                                                                          | CUSIP: 3132DVL60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     310027 | PA      | $245501.51    | 0.00%             | 2052-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CONSTANT CONTACT INC                                                               | CONSTANT CONTACT TERM B 1LN 02/10/2028                                                                  | CUSIP: 21031HAC5<br>LEI: 2549000JW50H0AI5B946 | Long             | LON              | CORP              | US        |     690273 | PA      | $646702.95    | 0.01%             | 2028-02-10      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| BRITISH AMERICAN TOBACCO PLC                                                       | BRITISH AMERICAN TOBACCO PLC 3%/VAR PERP REGS                                                           | CUSIP: N/A<br>LEI: 213800FKA5MF17RJKT63       | Long             | EP               | CORP              | GB        |     975000 | PA      | $1093225.45   | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2424 FM SOFR30A+111.448 3/32                                                                        | CUSIP: 31339WJT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |        182 | PA      | $182.87       | 0.00%             | 2032-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                    | CVS HEALTH CORP 5.55% 06/01/2031                                                                        | CUSIP: 126650EC0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    6000000 | PA      | $6132273.84   | 0.09%             | 2031-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AMERICOLD REALTY OPERATING PARTNERSHIP LP                                          | AMERICOLD REALTY OPERATING PARTNERSHIP LP 5.409% 09/12/2034                                             | CUSIP: 03063UAA9<br>LEI: 549300FKD9KVWNHSUU79 | Long             | DBT              | CORP              | US        |     200000 | PA      | $192167.24    | 0.00%             | 2034-09-12      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BW REAL ESTATE INC                                                                 | BW REAL ESTATE INC 9.5%/VAR PERP 144A                                                                   | CUSIP: 05614HAA7<br>LEI: N/A                  | Long             | EP               | CORP              | US        |    1385000 | PA      | $1382965.44   | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 2.5% 06/25/2049                                                          | CUSIP: 3137H4HQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     185247 | PA      | $158388.16    | 0.00%             | 2049-06-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                  | HSBC HOLDINGS PLC 5.813%/VAR 05/22/2033 REGS                                                            | CUSIP: N/A<br>LEI: MLU0ZO3ML4LN2LL2TL39       | Long             | DBT              | CORP              | GB        |     325000 | PA      | $439676.98    | 0.01%             | 2033-05-22      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.0% 06/20/2045#MA2893                                                                          | CUSIP: 36179RGA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      80485 | PA      | $76262.05     | 0.00%             | 2045-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2423 FA SOFR30A+101.448 3/32                                                                        | CUSIP: 31339WBA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |        189 | PA      | $189.54       | 0.00%             | 2032-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 11/40 #AE6775                                                                                | CUSIP: 31419HQ54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14124 | PA      | $13506.26     | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | 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        |    1684000 | PA      | $1667160.00   | 0.02%             | 2030-03-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 10/01/2052#SD1733                                                                          | CUSIP: 3132DN4S9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     161710 | PA      | $158406.40    | 0.00%             | 2052-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 09/01/2051#MA4413                                                                          | CUSIP: 31418D3X8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     147799 | PA      | $115421.45    | 0.00%             | 2051-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UKRAINE GOVERNMENT                                                                 | UKRAINE GOVERNMENT STEP 02/01/2030 144A                                                                 | CUSIP: 903724CD2<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |      56813 | PA      | $27412.27     | 0.00%             | 2030-02-01      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| BMO 2025-5C9 MTG TR                                                                | BMO 2025-5C9 XA MTG TR VAR 12/15/2057                                                                   | CUSIP: 096933AE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6399513 | PA      | $194543.27    | 0.00%             | 2058-04-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| ACCENTRO 2 WOHNEIGENTUM GMBH                                                       | ACCENTRO 2 WOHNEIGENTUM GMBH 20% 06/30/2025                                                             | CUSIP: N/A<br>LEI: 89450029G1XWU8H02364       | Long             | DBT              | CORP              | DE        |     100000 | PA      | $113545.00    | 0.00%             | 2025-06-30      | Fixed         | 0.20%                 | No            |                  3 | 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        |    5781000 | PA      | $5950424.81   | 0.09%             | 2033-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UZBEKISTAN REPUBLIC OF                                                             | UZBEKISTAN REPUBLIC OF 3.9% 10/19/2031 144A                                                             | CUSIP: 91822Q2E6<br>LEI: 213800L6VDKUM3TCM927 | Long             | DBT              | NUSS              | UZ        |     230000 | PA      | $193430.00    | 0.00%             | 2031-10-19      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 8/39 #724220                                                                                 | CUSIP: 3620AASH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13196 | PA      | $12982.24     | 0.00%             | 2039-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| REGIONS BANK OF ALABAMA                                                            | REGIONS BANK OF ALABAMA 6.45% 06/26/2037                                                                | CUSIP: 75913MAA7<br>LEI: EQTWLK1G7ODGC2MGLV11 | Long             | DBT              | CORP              | US        |     250000 | PA      | $254080.63    | 0.00%             | 2037-06-26      | 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        |   71675000 | PA      | $72394552.49  | 1.05%             | 2055-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CLEVELAND-CLIFFS INC                                                               | CLEVELAND-CLIFFS INC 7.375% 05/01/2033 144A                                                             | CUSIP: 185899AR2<br>LEI: 549300TM2WLI2BJMDD86 | Long             | DBT              | CORP              | US        |     220000 | PA      | $188940.81    | 0.00%             | 2033-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4% 01/31/2029                                                                                 | CUSIP: 91282CJW2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     797000 | PA      | $799459.49    | 0.01%             | 2029-01-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                    | CVS HEALTH CORP 4.78% 03/25/2038                                                                        | CUSIP: 126650CY4<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    2092000 | PA      | $1859219.77   | 0.03%             | 2038-03-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FIVE CORNERS FND TR II                                                             | FIVE CORNERS FND TR II 2.85% 05/15/2030 144A                                                            | CUSIP: 33834DAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    6287000 | PA      | $5792280.12   | 0.08%             | 2030-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE PROPERTY PARTNERS EUROPE HOLDINGS SARL                                  | BLACKSTONE PROP PARTNERS EUR HOLD 2.625% 10/20/2028 REGS                                                | CUSIP: N/A<br>LEI: 213800Y3B5GQFBGVHP79       | Long             | DBT              | CORP              | LU        |     254000 | PA      | $313820.35    | 0.00%             | 2028-10-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PETROLEOS DE VENEZUELA SA                                                          | PETROLEOS DE VENEZUELA SA 5.5% 04/12/2037 REGS                                                          | CUSIP: N/A<br>LEI: 549300YWR8TN1OFD4P06       | Long             | DBT              | CORP              | VE        |      15000 | PA      | $1747.50      | 0.00%             | 2037-04-12      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 12/01/2042#AQ7688                                                                          | CUSIP: 3138MPRJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10302 | PA      | $9215.59      | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 06/01/2045#Q34164                                                                        | CUSIP: 3132QQTW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     100453 | PA      | $91386.90     | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-SOAR                                             | BX TRUST 2.9% 06/15/2023 144A                                                                           | CUSIP: 05608WAS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1315107 | PA      | $1312229.91   | 0.02%             | 2038-06-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 04/01/2046#Q40046                                                                        | CUSIP: 3132WDBQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      42565 | PA      | $38683.63     | 0.00%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.625% 02/15/2035                                                                             | CUSIP: 91282CMM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   90123000 | PA      | $91786283.05  | 1.34%             | 2035-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 03/01/2045#Q31974                                                                        | CUSIP: 3132QNFQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9724 | PA      | $8933.15      | 0.00%             | 2045-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY BANK                                                                     | SYNCHRONY BANK 5.625% 08/23/2027                                                                        | CUSIP: 87166FAE3<br>LEI: 549300UATVPGSLE43Z27 | Long             | DBT              | CORP              | US        |    1253000 | PA      | $1269919.55   | 0.02%             | 2027-08-23      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                 | ENERGY TRANSFER LP 6.125% 12/15/2045                                                                    | CUSIP: 29273RBJ7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     100000 | PA      | $95259.27     | 0.00%             | 2045-12-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 0.0% 09/01/2041#AI9813                                                                         | CUSIP: 3138AP3X4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2503 | PA      | $2605.85      | 0.00%             | 2041-09-01      | Variable      | 0.07%                 | 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        |     290000 | PA      | $301308.50    | 0.00%             | 2030-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 09/01/2052#SD8245                                                                        | CUSIP: 3132DWES8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3067968 | PA      | $2904578.56   | 0.04%             | 2052-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.375% 12/31/2029                                                                             | CUSIP: 91282CMD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     510000 | PA      | $518925.00    | 0.01%             | 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        |    1055000 | PA      | $1010754.14   | 0.01%             | 2030-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                        | ORACLE CORP 2.3% 03/25/2028                                                                             | CUSIP: 68389XCD5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    1961000 | PA      | $1852428.31   | 0.03%             | 2028-03-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| POLAND REPUBLIC OF                                                                 | POLAND REPUBLIC OF 5.5% 03/18/2054                                                                      | CUSIP: 731011AZ5<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |     115000 | PA      | $104031.88    | 0.00%             | 2054-03-18      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| LOGICOR FINANCING SARL                                                             | LOGICOR FINANCING SARL 4.25% 07/18/2029 REGS                                                            | CUSIP: N/A<br>LEI: 254900IS16Q1A2TQFN22       | Long             | DBT              | CORP              | LU        |     100000 | PA      | $116725.40    | 0.00%             | 2029-07-18      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 1.5% 02/01/2036#RC1756                                                                        | CUSIP: 3133L75R4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1087441 | PA      | $959118.30    | 0.01%             | 2036-02-01      | Fixed         | 0.01%                 | 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        |    3887364 | PA      | $3028483.10   | 0.04%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 9/39 #710849                                                                                 | CUSIP: 36297FWJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10396 | PA      | $10445.44     | 0.00%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 11/01/2040#A94862                                                                        | CUSIP: 312943MK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1370 | PA      | $1348.53      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UKRAINE GOVERNMENT                                                                 | UKRAINE GOVERNMENT STEP 02/01/2036 144A                                                                 | CUSIP: 903724CC4<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |     136722 | PA      | $64259.34     | 0.00%             | 2036-02-01      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 3/36 #AH8017                                                                                 | CUSIP: 3138A94B7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1379 | PA      | $1331.57      | 0.00%             | 2036-03-01      | Fixed         | 0.04%                 | 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        |     544093 | PA      | $503913.99    | 0.01%             | 2042-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HOWARD MIDSTREAM ENERGY PARTNERS LLC                                               | HOWARD MIDSTREAM ENERGY PARTNERS LLC 7.375% 07/15/2032 144A                                             | CUSIP: 442722AC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     520000 | PA      | $538140.20    | 0.01%             | 2032-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 01/01/2052#BV1314                                                                          | CUSIP: 3140MEN85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31407 | PA      | $26898.07     | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                                                   | WILLIAMS COS INC 3.5% 11/15/2030                                                                        | CUSIP: 969457BX7<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    1727000 | PA      | $1616059.61   | 0.02%             | 2030-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 12/01/2051#FS0002                                                                          | CUSIP: 3140XFAC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1231385 | PA      | $1058055.60   | 0.02%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NABORS INDUSTRIES INC                                                              | NABORS INDUSTRIES INC 8.875% 08/15/2031 144A                                                            | CUSIP: 62957HAQ8<br>LEI: 549300VFQWRKICUFNU92 | Long             | DBT              | CORP              | US        |     385000 | PA      | $263473.25    | 0.00%             | 2031-08-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 04/01/2051#SD8140                                                                          | CUSIP: 3132DWBH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     294907 | PA      | $230671.02    | 0.00%             | 2051-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 9/35 #255844                                                                                 | CUSIP: 31371MER4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3566 | PA      | $3719.84      | 0.00%             | 2035-09-01      | Fixed         | 0.06%                 | 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        |    4562000 | PA      | $4603050.66   | 0.07%             | 2027-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HESS CORP                                                                          | HESS CORP 5.8% 04/01/2047                                                                               | CUSIP: 42809HAH0<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |     874000 | PA      | $842460.41    | 0.01%             | 2047-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 1/28 #405455                                                                                 | CUSIP: 31378QMC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        876 | PA      | $899.53       | 0.00%             | 2028-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AR1812                                                                        | CUSIP: 3138NYAN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4070 | PA      | $3694.24      | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | 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        |     536435 | PA      | $488218.02    | 0.01%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 05/01/2046#V82275                                                                          | CUSIP: 3132L7Q44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     148566 | PA      | $131051.91    | 0.00%             | 2046-05-01      | Fixed         | 0.03%                 | 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        |    3343580 | PA      | $3337536.97   | 0.05%             | 2050-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL    | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 6.65% 02/01/2034        | CUSIP: 161175CP7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   11000000 | PA      | $11562891.23  | 0.17%             | 2034-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AZUL SECURED FINANCE LLP                                                           | AZUL SECURED FINANCE LLP PIK SOFRINDX+825 01/28/2030 144A                                               | CUSIP: 05501WAG7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     100895 | PA      | $124605.33    | 0.00%             | 2030-01-28      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 6.5% 3/31 #003053                                                                               | CUSIP: 36202DMA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         99 | PA      | $101.32       | 0.00%             | 2031-03-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| METHANEX CORP                                                                      | METHANEX CORP 5.125% 10/15/2027                                                                         | CUSIP: 59151KAM0<br>LEI: 549300TSJHRXT9QXRD13 | Long             | DBT              | CORP              | CA        |    1229000 | PA      | $1218551.04   | 0.02%             | 2027-10-15      | 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 5.75% 04/01/2033                                  | CUSIP: 46590XAY2<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |    5994000 | PA      | $6071562.36   | 0.09%             | 2033-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 09/01/2052#SD1572                                                                          | CUSIP: 3132DNW90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     156196 | PA      | $153005.35    | 0.00%             | 2052-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                        | BNP PARIBAS 3.132%/VAR 01/20/2033 144A                                                                  | CUSIP: 09659W2U7<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |     650000 | PA      | $567760.05    | 0.01%             | 2033-01-20      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2135 JE 6% 3/29                                                                                     | CUSIP: 3133TJWJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |        286 | PA      | $292.05       | 0.00%             | 2029-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TALLGRASS ENERGY PARTNERS LP / TALLGRASS ENERGY FINANCE CORP                       | TALLGRASS ENERGY PARTNERS LP / TALLGRASS ENERGY FINANCE CORP 6% 03/01/2027 144A                         | CUSIP: 87470LAG6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     355000 | PA      | $354510.06    | 0.01%             | 2027-03-01      | 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        |    4267000 | PA      | $4264555.01   | 0.06%             | 2038-01-22      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| KINETIK HOLDINGS LP                                                                | KINETIK HOLDINGS LP 5.875% 06/15/2030 144A                                                              | CUSIP: 49461MAA8<br>LEI: 549300RD6AJIMYC0HY12 | Long             | DBT              | CORP              | US        |     620000 | PA      | $616315.71    | 0.01%             | 2030-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: —       |
| UBS GROUP AG                                                                       | UBS GROUP AG 4.125% 09/24/2025 144A                                                                     | CUSIP: 90351DAB3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     500000 | PA      | $498848.02    | 0.01%             | 2025-09-24      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 06/01/2031#J34501                                                                        | CUSIP: 31307RAA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15681 | PA      | $15077.58     | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 10/01/2043#Q22499                                                                        | CUSIP: 3132JPX49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11866 | PA      | $11235.80     | 0.00%             | 2043-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                                                               | COLOMBIA REPUBLIC OF 8% 04/20/2033                                                                      | CUSIP: 195325EF8<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |     130000 | PA      | $133282.50    | 0.00%             | 2033-04-20      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 02/01/2041#MA4269                                                                        | CUSIP: 31418DW73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     160152 | PA      | $140866.36    | 0.00%             | 2041-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                      | CITIGROUP INC 4.3% 11/20/2026                                                                           | CUSIP: 172967JC6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    6314000 | PA      | $6282036.01   | 0.09%             | 2026-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CFMT 2025-HB16                                                                     | CFMT 2025-HB16 A VAR 03/25/2035 144A                                                                    | CUSIP: 12531BAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     979300 | PA      | $954816.14    | 0.01%             | 2035-03-25      | Variable      | 0.03%                 | 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        |     420000 | PA      | $422099.40    | 0.01%             | 2053-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 4% 08/01/2038#K94337                                                                          | CUSIP: 3132LQV61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24950 | PA      | $23907.38     | 0.00%             | 2038-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SEALED AIR CORP                                                                    | SEALED AIR CORP 6.5% 07/15/2032 144A                                                                    | CUSIP: 812127AC2<br>LEI: Q0M0CZB4YN6JZ65WXI09 | Long             | DBT              | CORP              | US        |     190000 | PA      | $194590.59    | 0.00%             | 2032-07-15      | 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        |    8520000 | PA      | $8604867.21   | 0.13%             | 2031-02-28      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 5210 TA 3.5% 11/25/2046                                                  | CUSIP: 3137H6WW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     115558 | PA      | $108139.95    | 0.00%             | 2046-11-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CLOUD SOFTWARE GROUP INC                                                           | CLOUD SOFTWARE GROUP INC 6.5% 03/31/2029 144A                                                           | CUSIP: 88632QAE3<br>LEI: 04EEB871XLHVNY4RZJ65 | Long             | DBT              | CORP              | US        |     250000 | PA      | $249718.73    | 0.00%             | 2029-03-31      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT LP                                                           | AMERICAN HOMES 4 RENT LP 3.625% 04/15/2032                                                              | CUSIP: 02666TAE7<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              | CORP              | US        |    3681000 | PA      | $3341537.55   | 0.05%             | 2032-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 1.5% 05/01/2036#FM7544                                                                        | CUSIP: 3140XBL24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29215 | PA      | $25959.64     | 0.00%             | 2036-05-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 04/01/2050#RA2457                                                                          | CUSIP: 3133KHWS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     167648 | PA      | $145176.71    | 0.00%             | 2050-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 06/01/2050#SD7518                                                                          | CUSIP: 3132DVK79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      80510 | PA      | $69869.15     | 0.00%             | 2050-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| LAMB WESTON HOLDINGS INC                                                           | LAMB WESTON HOLDINGS INC 4.375% 01/31/2032 144A                                                         | CUSIP: 513272AE4<br>LEI: 5493005SMYID1D2OY946 | Long             | DBT              | CORP              | US        |    1465000 | PA      | $1351392.33   | 0.02%             | 2032-01-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: —       |
| SASOL FING USA LLC                                                                 | SASOL FING USA LLC 5.5% 03/18/2031                                                                      | CUSIP: 80386WAD7<br>LEI: 549300XRB1PFMESFEL85 | Long             | DBT              | CORP              | US        |     100000 | PA      | $81965.74     | 0.00%             | 2031-03-18      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3.5% 02/01/2035#CA5291                                                                        | CUSIP: 3140QC2Z8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     135457 | PA      | $130695.50    | 0.00%             | 2035-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 06/01/2041#AL7018                                                                        | CUSIP: 3138EPYQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22756 | PA      | $22513.36     | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                          | OCCIDENTAL PETROLEUM CORP 7.875% 09/15/2031                                                             | CUSIP: 674599DE2<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    4000000 | PA      | $4398360.00   | 0.06%             | 2031-09-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| HEALTHPEAK OP LLC                                                                  | HEALTHPEAK OP LLC 3.25% 07/15/2026                                                                      | CUSIP: 40414LAQ2<br>LEI: PZ9HF5U52KPF0MH0QN75 | Long             | DBT              | CORP              | US        |     113000 | PA      | $111281.15    | 0.00%             | 2026-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SCIH SALT HLDGS INC                                                                | MORTON TERM B 1LN 01/31/2029                                                                            | CUSIP: 78397GAF8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      15000 | PA      | $14953.20     | 0.00%             | 2029-01-31      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| DEL MONTE FOODS CORP II INC                                                        | DEL MONTE TERM FLFO B 1LN 11/2/2028                                                                     | CUSIP: 24521WAF6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       8796 | PA      | $8136.60      | 0.00%             | 2028-08-02      | Variable      | 0.12%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 09/01/2051#FS5803                                                                          | CUSIP: 3140XMNV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     254500 | PA      | $199065.63    | 0.00%             | 2051-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ACRISURE LLC / ACRISURE FINANCE INC                                                | ACRISURE LLC / ACRISURE FINANCE INC 8.25% 02/01/2029 144A                                               | CUSIP: 00489LAK9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     125000 | PA      | $129265.00    | 0.00%             | 2029-02-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| BWX TECHNOLOGIES INC                                                               | BWX TECHNOLOGIES INC 4.125% 06/30/2028 144A                                                             | CUSIP: 05605HAB6<br>LEI: 549300NP85N265KWMS58 | Long             | DBT              | CORP              | US        |     425000 | PA      | $413598.65    | 0.01%             | 2028-06-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 4.5% 07/01/2055 #TBA                                                                          | CUSIP: 01F042673<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    6500000 | PA      | $6130823.40   | 0.09%             | 2055-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 1.5% 06/01/2036#MA4359                                                                        | CUSIP: 31418DZZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     562641 | PA      | $495543.52    | 0.01%             | 2036-06-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| PETROLEOS DE VENEZUELA SA                                                          | PETROLEOS DE VENEZUELA SA 6% 12/31/2049 144A                                                            | CUSIP: 716558AG6<br>LEI: 549300YWR8TN1OFD4P06 | Long             | DBT              | CORP              | VE        |     385000 | PA      | $45557.05     | 0.00%             | 2049-12-31      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                                                                | INTESA SANPAOLO SPA 4.198%/VAR 06/01/2032 144A                                                          | CUSIP: 46115HBQ9<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |     242000 | PA      | $218035.25    | 0.00%             | 2032-06-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2015-70 JC 3% 10/45                                                                                 | CUSIP: 3136AQCV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      53459 | PA      | $50493.91     | 0.00%             | 2045-10-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.50% 11/41 #005232                                                                             | CUSIP: 36202FY59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      59172 | PA      | $54824.70     | 0.00%             | 2041-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OWENS and MINOR INC                                                                | OWENS and MINOR TERM B 1LN 04/02/2030                                                                   | CUSIP: 69073LAF7<br>LEI: 549300LMT5KQQXCEZ733 | Long             | LON              | CORP              | US        |     520000 | PA      | $516100.00    | 0.01%             | 2030-04-02      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                             | FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD 5159 GC 2% 11/25/2047                            | CUSIP: 3137H3SE3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     100991 | PA      | $86903.42     | 0.00%             | 2047-11-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 4.0% 12/15/2028                                                          | CUSIP: 3137B6MF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |          5 | PA      | $0.02         | 0.00%             | 2028-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2% 04/01/2041#CB0116                                                                          | CUSIP: 3140QKDW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      95872 | PA      | $81861.00     | 0.00%             | 2041-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| COMM 2015-DC1 MTG TR                                                               | COMM 2015-DC1 MTG TR VAR 02/10/2048                                                                     | CUSIP: 12629NAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     688000 | PA      | $622357.92    | 0.01%             | 2048-02-10      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 12/40#V82128                                                                             | CUSIP: 3132L7LH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13999 | PA      | $12809.96     | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| KENNEDY-WILSON INC                                                                 | KENNEDY-WILSON INC 4.75% 02/01/2030                                                                     | CUSIP: 489399AN5<br>LEI: 5EA4464UK7FM5QNNKL62 | Long             | DBT              | CORP              | US        |     360000 | PA      | $319500.00    | 0.00%             | 2030-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| BPCE SA                                                                            | BPCE SA 5.716%/VAR 01/18/2030 144A                                                                      | CUSIP: 05571AAV7<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |     250000 | PA      | $255470.66    | 0.00%             | 2030-01-18      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BANK 2017-BNKS                                                                     | BANK 2017-BNKS 3.39% 06/15/2060                                                                         | CUSIP: 06541WAX0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $973674.40    | 0.01%             | 2060-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 02/01/2052#CB2890                                                                          | CUSIP: 3140QNF80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42961 | PA      | $36913.75     | 0.00%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 1.875% 11/15/2051                                                           | CUSIP: 912810TB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   34881000 | PA      | $18898416.97  | 0.27%             | 2051-11-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.5% 05/01/2053#SD2891                                                                        | CUSIP: 3132DQF84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     587497 | PA      | $586567.36    | 0.01%             | 2053-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 08/01/2049#SD7503                                                                        | CUSIP: 3132DVKQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10114090 | PA      | $9135463.53   | 0.13%             | 2049-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 06/01/2046#BC1130                                                                          | CUSIP: 3140EVHG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      83472 | PA      | $78188.79     | 0.00%             | 2046-06-01      | 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 | Long             | ABS-MBS          | USGA              | US        |   19400000 | PA      | $19814843.78  | 0.29%             | 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        |    9084350 | PA      | $9167601.71   | 0.13%             | 2054-07-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| QATAR PETROLEUM                                                                    | QATAR PETROLEUM 1.375% 09/12/2026 144A                                                                  | CUSIP: 74730DAB9<br>LEI: 254900QTESJKJ3P87J26 | Long             | DBT              | CORP              | QA        |     350000 | PA      | $336087.50    | 0.00%             | 2026-09-12      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| MDGH GMTN RSC LTD                                                                  | MDGH GMTN RSC LTD 2.875% 11/07/2029 144A                                                                | CUSIP: 55276VAJ1<br>LEI: 213800WRY6FRL9IXLT77 | Long             | DBT              | CORP              | AE        |     280000 | PA      | $259837.20    | 0.00%             | 2029-11-07      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                                             | FX Forward: USD/EUR settle 2025-07-08                                                                   | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |          1 | NC      | $38711.39     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CORE SCIENTIFIC INC                                                                | CORE SCIENTIFIC INC CONV 3% 09/01/2029 144A                                                             | CUSIP: 21874AAC0<br>LEI: 5299003RGB2LAZ65RK73 | Long             | DBT              | CORP              | US        |     101000 | PA      | $128775.00    | 0.00%             | 2029-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TERMOCANDELARIA POWER LTD                                                          | TERMOCANDELARIA POWER LTD 7.75% 09/17/2031 144A                                                         | CUSIP: 88087AAA6<br>LEI: 549300YDORW43JL6G659 | Long             | DBT              | CORP              | ES        |     225000 | PA      | $223875.00    | 0.00%             | 2031-09-17      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-RCF6 LLC                                                                 | PRPM 2024-RCF6 A1 LLC VAR 10/25/2054 144A                                                               | CUSIP: 74390FAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     181414 | PA      | $175411.32    | 0.00%             | 2054-10-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| PINE STREET TRUST II                                                               | PINE STR TR II 5.568% 02/15/2049 144A                                                                   | CUSIP: 72284LAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1000000 | PA      | $896341.29    | 0.01%             | 2049-02-15      | Fixed         | 0.06%                 | 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        |    7649897 | PA      | $6614934.82   | 0.10%             | 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        |    2849372 | PA      | $2849371.56   | 0.04%             | 2038-07-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CIM 2025-NR1                                                                       | CIM 2025-NR1 5% 06/25/2064 144A                                                                         | CUSIP: 17181YAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2427062 | PA      | $2340353.38   | 0.03%             | 2064-06-25      | Fixed         | 0.05%                 | 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        |  105000000 | PA      | $99877148.70  | 1.45%             | 2054-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AUTOZONE INC                                                                       | AUTOZONE INC 4% 04/15/2030                                                                              | CUSIP: 053332AZ5<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |    1110000 | PA      | $1076990.23   | 0.02%             | 2030-04-15      | Fixed         | 0.04%                 | 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        |   42800000 | PA      | $43150502.04  | 0.63%             | 2055-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DTP COML MTG TR 2023-STE2                                                          | DTP COML MTG TR 2023-STE2 D CSTR 01/15/2041 144A                                                        | CUSIP: 23346GAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1100000 | PA      | $1098858.97   | 0.02%             | 2041-01-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 03/01/2040#FM2646                                                                        | CUSIP: 3140X55G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      49559 | PA      | $43900.31     | 0.00%             | 2040-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 1.5% 11/25/2050                                                          | CUSIP: 3136BPQ95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    1214793 | PA      | $961793.78    | 0.01%             | 2050-11-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA GTD MTG PASS THRU CTF SOFR30A+120 06/25/2054                                                       | CUSIP: 3136BUGA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    2027055 | PA      | $2018572.65   | 0.03%             | 2054-06-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                                                               | EDISON INTERNATIONAL 6.25% 03/15/2030                                                                   | CUSIP: 281020BC0<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |     394000 | PA      | $399066.52    | 0.01%             | 2030-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: —       |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 06/01/2041#                                                                              | CUSIP: 3132GEQJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1054 | PA      | $1040.74      | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NOVO NORDISK FINANCE NETHERLANDS BV                                                | NOVO NORDISK FINANCE NETHERLANDS BV 3.625% 05/27/2037 REGS                                              | CUSIP: N/A<br>LEI: 549300X0PCJ6M2JZQW91       | Long             | DBT              | CORP              | NL        |     725000 | PA      | $827136.15    | 0.01%             | 2037-05-27      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                                                               | COLOMBIA REPUBLIC OF 3.125% 04/15/2031                                                                  | CUSIP: 195325DS1<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |     240000 | PA      | $196416.00    | 0.00%             | 2031-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EMRLD BORROWER LP / EMERALD CO-ISSUER INC                                          | EMRLD BORROWER LP / EMERALD CO-ISSUER INC 6.625% 12/15/2030 144A                                        | CUSIP: 29103CAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1585000 | PA      | $1601030.04   | 0.02%             | 2030-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2019-IMC                                              | BX COMMERCIAL MORTGAGE TRUST 2019-IMC D TSFR1M+201.448 04/15/2034 144A                                  | CUSIP: 05608BAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     426000 | PA      | $418012.50    | 0.01%             | 2034-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 07/01/46#BC1443                                                                            | CUSIP: 3140EVS99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      77541 | PA      | $72826.62     | 0.00%             | 2046-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GRAN TIERRA ENERGY INC                                                             | GRAN TIERRA ENERGY INC 9.5% 10/15/2029 144A                                                             | CUSIP: 38500TAC5<br>LEI: 549300IH2S17MAIUCM32 | Long             | DBT              | CORP              | US        |     933000 | PA      | $653100.00    | 0.01%             | 2029-10-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| WHITBREAD GROUP PLC                                                                | WHITBREAD GROUP PLC 2.375% 05/31/2027 REGS                                                              | CUSIP: N/A<br>LEI: 2138006LIAYQKUCYBB20       | Long             | DBT              | CORP              | GB        |     249000 | PA      | $317274.72    | 0.00%             | 2027-05-31      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SUNOCO LP                                                                          | SUNOCO LP 7% 05/01/2029 144A                                                                            | CUSIP: 86765KAB5<br>LEI: 54930001NJU8E40NQ561 | Long             | DBT              | CORP              | US        |      60000 | PA      | $61923.78     | 0.00%             | 2029-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BANK GOSPODARSTWA KRAJOWEGO                                                        | BANK GOSPODARSTWA KRAJOWEGO 6.25% 10/31/2028 144A                                                       | CUSIP: 06237MAB9<br>LEI: 259400BCOV9JJIGLYF05 | Long             | DBT              | NUSS              | PL        |      85000 | PA      | $88835.63     | 0.00%             | 2028-10-31      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 05/01/2048#Q55992                                                                          | CUSIP: 3132XYUS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     135789 | PA      | $127019.45    | 0.00%             | 2048-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.5% 02/01/2054#RJ0836                                                                        | CUSIP: 3142GQ4W9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     255219 | PA      | $253618.81    | 0.00%             | 2054-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| USIMINAS INTERNATIONAL SARL                                                        | USIMINAS INTERNATIONAL SARL 7.5% 01/27/2032 144A                                                        | CUSIP: 91734JAB6<br>LEI: 529900KLYX6QPXVIVP43 | Long             | DBT              | CORP              | LU        |     315000 | PA      | $317342.79    | 0.00%             | 2032-01-27      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                                 | FX Forward: EUR/USD settle 2025-07-08                                                                   | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |          1 | NC      | $2271.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 9/41 #AJ0165                                                                                 | CUSIP: 3138ARFF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2734 | PA      | $2601.47      | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 11/01/2032#MA3187                                                                        | CUSIP: 31418CRH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25728 | PA      | $24512.08     | 0.00%             | 2032-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| STELLANTIS FINANCE US INC                                                          | STELLANTIS FINANCE US INC 5.75% 03/18/2030 144A                                                         | CUSIP: 85855CAK6<br>LEI: 549300QZ0AI8Q7LNON33 | Long             | DBT              | CORP              | US        |     340000 | PA      | $340795.22    | 0.00%             | 2030-03-18      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.125% 07/31/2031                                                                             | CUSIP: 91282CLD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  107000000 | PA      | $107136007.70 | 1.56%             | 2031-07-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GOVERNMENT NAT MTG ASSN HECM 2016-H21 DF TSFR1M+76.448 05/20/2061                                       | CUSIP: 38375BWC2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |       2200 | PA      | $2200.64      | 0.00%             | 2061-05-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| VIASAT INC                                                                         | VIASAT INC 6.5% 07/15/2028 144A                                                                         | CUSIP: 92552VAN0<br>LEI: UFC8NYMNFSYIHNSM2I38 | Long             | DBT              | CORP              | US        |     330000 | PA      | $302885.72    | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: —       |
| KREDITANSTALT FUR WIEDERAUFB                                                       | KREDITANSTALT FUR WIEDER(UNGTD 1.125% 06/15/2037 REGS                                                   | CUSIP: N/A<br>LEI: 549300GDPG70E3MBBU98       | Long             | DBT              | CORP              | DE        |     110000 | PA      | $101400.91    | 0.00%             | 2037-06-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| PRIMA CAPITAL CRE SECURITIZATION 2020-VIII LTD                                     | PRIMA CAPITAL CRE SECURITIZATION 2020-VIII LTD 3% 12/26/2070 144A                                       | CUSIP: 74167UAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     840000 | PA      | $693252.00    | 0.01%             | 2070-12-26      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2024-1CHI                                    | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2024-1CHI VAR 07/15/2035 144A                                     | CUSIP: 95003PAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     415000 | PA      | $420031.50    | 0.01%             | 2035-07-15      | Variable      | 0.08%                 | 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        |    1024000 | PA      | $1060213.76   | 0.02%             | 2028-11-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 04/01/2033#                                                                                | CUSIP: 31283HWZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        483 | PA      | $499.41       | 0.00%             | 2033-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                            | MPLX LP 4.95% 09/01/2032                                                                                | CUSIP: 55336VBU3<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |   10463000 | PA      | $10178493.77  | 0.15%             | 2032-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 01/01/2052#CB2679                                                                        | CUSIP: 3140QM6R0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     151964 | PA      | $136120.78    | 0.00%             | 2052-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 08/01/2045#AZ4663                                                                        | CUSIP: 3138YWFD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8328 | PA      | $7795.65      | 0.00%             | 2045-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| STANDARD BUILDING SOLUTIONS INC                                                    | STANDARD BUILDING SOLUTIONS INC 6.5% 08/15/2032 144A                                                    | CUSIP: 853191AA2<br>LEI: 54930064UHXCIUWVI755 | Long             | DBT              | CORP              | US        |     355000 | PA      | $360529.84    | 0.01%             | 2032-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 07/01/2032#                                                                                | CUSIP: 31288AFU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        350 | PA      | $360.71       | 0.00%             | 2032-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                                   | BAT CAPITAL CORP 6.421% 08/02/2033                                                                      | CUSIP: 054989AB4<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    1137000 | PA      | $1218870.31   | 0.02%             | 2033-08-02      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CARMAX SELECT RECEIVABLES TRUST 2024-A                                             | CARMAX SELECT RECEIVABLES TRUST 2024-A 5.4% 11/15/2028                                                  | CUSIP: 14319FAD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     471000 | PA      | $475604.17    | 0.01%             | 2028-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TURKEY REPUBLIC OF                                                                 | TURKEY REPUBLIC OF 9.875% 01/15/2028                                                                    | CUSIP: 900123DF4<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |     410000 | PA      | $444464.60    | 0.01%             | 2028-01-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 07/01/2043#Q19988                                                                        | CUSIP: 3132JBRJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4430 | PA      | $4188.17      | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MILLICOM INTL CELLULAR SA                                                          | MILLICOM INTL CELLULAR SA 4.5% 04/27/2031 144A                                                          | CUSIP: 600814AR8<br>LEI: 549300CTHC1CP86P2G96 | Long             | DBT              | CORP              | LU        |     165000 | PA      | $146850.00    | 0.00%             | 2031-04-27      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OSCAR ACQUISITIONCO LLC                                                            | OLDCASTLE BUILDINGENVELOPE TERM B 1LN 04/29/2029                                                        | CUSIP: 68778DAB4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     180000 | PA      | $161955.00    | 0.00%             | 2029-04-29      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 4.625% 11/15/2044                                                           | CUSIP: 912810UF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   17715000 | PA      | $17014703.91  | 0.25%             | 2044-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 12/01/2051#RA6434                                                                        | CUSIP: 3133KNEF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     561704 | PA      | $462260.72    | 0.01%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DEL MONTE FOODS CORP II INC                                                        | DEL MONTE FOODS TERM 1LN SUPER_PRIORITY FIRST OUT 08/02/2028                                            | CUSIP: 24521WAB5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      30267 | PA      | $27996.75     | 0.00%             | 2028-08-02      | Variable      | 0.15%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2% 12/01/2035#BQ9287                                                                          | CUSIP: 3140KVJ92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      30594 | PA      | $27904.63     | 0.00%             | 2035-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 5.5% 12/20/2054#787741                                                                          | CUSIP: 3622ADP28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2298083 | PA      | $2300285.89   | 0.03%             | 2054-12-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 3/41 #A97661                                                                                 | CUSIP: 312946QN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9733 | PA      | $9581.79      | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2003-118 S SOFR30A+798.552 12/33                                                                    | CUSIP: 31393UNH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       6848 | PA      | $790.30       | 0.00%             | 2033-12-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 07/01/2040#                                                                              | CUSIP: 312941SD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1868 | PA      | $1836.90      | 0.00%             | 2040-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 02/50#RA2141                                                                               | CUSIP: 3133KHLW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14916 | PA      | $13831.64     | 0.00%             | 2050-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 2.5% 02/25/2052                                                          | CUSIP: 3136BLLH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     135420 | PA      | $122751.03    | 0.00%             | 2052-02-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 4.80% 7/34 #849923                                                                             | CUSIP: 31408FG86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        797 | PA      | $813.90       | 0.00%             | 2034-07-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 11/01/2052#SD1862                                                                          | CUSIP: 3132DPB72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     259523 | PA      | $254950.98    | 0.00%             | 2052-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 03/01/2047#FS0976                                                                        | CUSIP: 3140XGCN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43880 | PA      | $36426.85     | 0.00%             | 2047-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                 | ENERGY TRANSFER LP 6.55% 12/01/2033                                                                     | CUSIP: 29273VAU4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   14000000 | PA      | $14869947.54  | 0.22%             | 2033-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GRAND CITY PROPERTIES SA                                                           | GRAND CITY PROPERTIES SA 1.5%/VAR PERP REGS                                                             | CUSIP: N/A<br>LEI: 5299002QLUYKK2WBMB18       | Long             | EP               | CORP              | LU        |     800000 | PA      | $869837.16    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| HEIMSTADEN BOSTAD AB                                                               | HEIMSTADEN BOSTAD AB 3.875% 11/05/2029 REGS                                                             | CUSIP: N/A<br>LEI: 549300TJR3PR8EXILG79       | Long             | DBT              | CORP              | SE        |     475000 | PA      | $539530.22    | 0.01%             | 2029-11-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| INDONESIA REPUBLIC OF                                                              | INDONESIA REPUBLIC OF 5.125% 01/15/2045 144A                                                            | CUSIP: 455780BU9<br>LEI: 254900G208H6Q0L5B953 | Long             | DBT              | NUSS              | ID        |     500000 | PA      | $467800.00    | 0.01%             | 2045-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 02/01/2053#FS6783                                                                          | CUSIP: 3140XNRD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4520874 | PA      | $4615239.58   | 0.07%             | 2053-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/01/2051#CB2189                                                                          | CUSIP: 3140QMNF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     179971 | PA      | $167974.35    | 0.00%             | 2051-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.0% 03/01/2045#AY9025                                                                             | CUSIP: 3138YPA36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6265 | PA      | $5892.70      | 0.00%             | 2045-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CSAIL 2018-CX12 COML MTG TR                                                        | CSAIL 2018-CX12 COML MTG TR 3.9585% 08/15/2051                                                          | CUSIP: 12595XAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     280000 | PA      | $271999.34    | 0.00%             | 2051-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CABLE ONDA SA                                                                      | CABLE ONDA SA 4.5% 01/30/2030 144A                                                                      | CUSIP: 12686LAA7<br>LEI: 5299008Q5GONPYNF9J32 | Long             | DBT              | CORP              | PA        |     460000 | PA      | $421716.50    | 0.01%             | 2030-01-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 03/01/2052#FS8336                                                                          | CUSIP: 3140XQHN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     523796 | PA      | $409704.41    | 0.01%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2015-H13 HA 2.5% 08/64                                                                              | CUSIP: 38376RCQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |        266 | PA      | $250.27       | 0.00%             | 2064-08-20      | Fixed         | 0.03%                 | 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        |     812905 | PA      | $776313.85    | 0.01%             | 2038-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 04/01/2042#MA4587                                                                        | CUSIP: 31418ECZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3396173 | PA      | $2960794.47   | 0.04%             | 2042-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2020-IG3 MTG TR                                                          | BENCHMARK 2020-IG3 825C MTG TR CSTR 09/15/2048 144A                                                     | CUSIP: 08162QBY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     242000 | PA      | $221944.56    | 0.00%             | 2048-09-15      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| SEASPAN CORPORATION                                                                | SEASPAN CORPORATION 5.5% 08/01/2029 144A                                                                | CUSIP: 81254UAK2<br>LEI: 5493007Z8Q1H45KT7W98 | Long             | DBT              | CORP              | MH        |     265000 | PA      | $244402.98    | 0.00%             | 2029-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| KAISER ALUMINUM CORP                                                               | KAISER ALUMINUM CORP 4.625% 03/01/2028 144A                                                             | CUSIP: 483007AJ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     155000 | PA      | $150640.30    | 0.00%             | 2028-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CNX MIDSTREAM PARTNERS LP                                                          | CNX MIDSTREAM PARTNERS LP 4.75% 04/15/2030 144A                                                         | CUSIP: 12654AAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1175000 | PA      | $1089234.40   | 0.02%             | 2030-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GREENSAIF PIPELINES BIDCO SARL                                                     | GREENSAIF PIPELINES BIDCO SARL 6.129% 02/23/2038 144A                                                   | CUSIP: 39541EAA1<br>LEI: 549300YWDGUXPB8GRP47 | Long             | DBT              | CORP              | LU        |     400000 | PA      | $405444.00    | 0.01%             | 2038-02-23      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 9/41 #772063                                                                                 | CUSIP: 36176PQQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7473 | PA      | $7159.53      | 0.00%             | 2041-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY OPERATING PARTNERS LP                                               | NEXTERA ENERGY OPERATING PARTNERS LP 8.375% 01/15/2031 144A                                             | CUSIP: 98380MAA3<br>LEI: 549300KJEC5IUVJWR786 | Long             | DBT              | CORP              | US        |     630000 | PA      | $657905.85    | 0.01%             | 2031-01-15      | Fixed         | 0.08%                 | 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        |     734000 | PA      | $733529.39    | 0.01%             | 2032-06-08      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FIRST QUANTUM MINERALS LTD                                                         | FIRST QUANTUM MINERALS LTD 8.625% 06/01/2031 144A                                                       | CUSIP: 335934AU9<br>LEI: 549300I7UVBGWRYMYZ18 | Long             | DBT              | CORP              | CA        |     285000 | PA      | $288918.75    | 0.00%             | 2031-06-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 06/01/2045#Q34467                                                                        | CUSIP: 3132QQ6D9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5486 | PA      | $5165.59      | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 8/39 #704665                                                                                 | CUSIP: 36296XZ64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1578 | PA      | $1585.84      | 0.00%             | 2039-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                  | HSBC HOLDINGS PLC 6.8%/VAR 09/14/2031                                                                   | CUSIP: 404280EB1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     139000 | PA      | $198554.09    | 0.00%             | 2031-09-14      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 1.5% 02/01/2051#MA4254                                                                        | CUSIP: 31418DWQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1130259 | PA      | $835999.60    | 0.01%             | 2051-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 06/01/2039#AL7550                                                                        | CUSIP: 3138EQL83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27674 | PA      | $27823.00     | 0.00%             | 2039-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| EL SALVADOR REPUBLIC OF                                                            | EL SALVADOR REPUBLIC OF 9.65% 11/21/2054 144A                                                           | CUSIP: 283875CG5<br>LEI: 529900AKDMUSFSDOM949 | Long             | DBT              | NUSS              | SV        |     150000 | PA      | $149625.00    | 0.00%             | 2054-11-21      | Fixed         | 0.10%                 | 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        |    2414000 | PA      | $2416143.63   | 0.04%             | 2037-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 09/01/2049#RA1293                                                                          | CUSIP: 3133KGNJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11880 | PA      | $10358.31     | 0.00%             | 2049-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 4.376%/VAR 04/27/2028                                                       | CUSIP: 06051GKP3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   10000000 | PA      | $9951200.70   | 0.14%             | 2028-04-27      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                       | BROADCOM INC 2.6% 02/15/2033 144A                                                                       | CUSIP: 11135FBF7<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   17032000 | PA      | $14378079.38  | 0.21%             | 2033-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 11/41 #AB3872                                                                                | CUSIP: 31417AJS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38481 | PA      | $36656.00     | 0.00%             | 2041-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 07/01/2051#FS3744                                                                          | CUSIP: 3140XKES5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      97145 | PA      | $76106.94     | 0.00%             | 2051-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 05/01/2052#FS9743                                                                        | CUSIP: 3140XRZH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2880464 | PA      | $2380413.32   | 0.03%             | 2052-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                       | BARCLAYS PLC 6.692%/VAR 09/13/2034                                                                      | CUSIP: 06738ECL7<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    2000000 | PA      | $2148133.44   | 0.03%             | 2034-09-13      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2010-H010 FA TSFR1M+44.448 5/60                                                                     | CUSIP: 38375BBV3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      13158 | PA      | $13172.08     | 0.00%             | 2060-05-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2018-B2 MTG TR                                                           | BENCHMARK 2018-B2 MTG TR 3.7802% 02/15/2051                                                             | CUSIP: 08161CAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     521156 | PA      | $515582.37    | 0.01%             | 2051-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 04/01/2049#BN6036                                                                          | CUSIP: 3140JNV64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15287 | PA      | $14194.81     | 0.00%             | 2049-04-01      | Fixed         | 0.04%                 | 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        |    2643733 | PA      | $2753878.84   | 0.04%             | 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        |     153000 | PA      | $131270.03    | 0.00%             | 2031-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 4% 04/20/2048#BG3507                                                                            | CUSIP: 3617GM3Q3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6730 | PA      | $6238.93      | 0.00%             | 2048-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| METALSA S A DE C V                                                                 | METALSA S A DE C V 3.75% 05/04/2031 144A                                                                | CUSIP: 59132VAB4<br>LEI: 549300F2FONGJR575V67 | Long             | DBT              | CORP              | MX        |     205000 | PA      | $165793.75    | 0.00%             | 2031-05-04      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 3/41 #783267                                                                                 | CUSIP: 36241LTY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18377 | PA      | $17645.75     | 0.00%             | 2041-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 11/01/2051#QD1841                                                                          | CUSIP: 3133AYBJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     151486 | PA      | $118158.14    | 0.00%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                          | BOEING CO 5.805% 05/01/2050                                                                             | CUSIP: 097023CW3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    1130000 | PA      | $1058166.24   | 0.02%             | 2050-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 1/31 #781247                                                                                 | CUSIP: 36225BL48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         13 | PA      | $13.10        | 0.00%             | 2031-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2024-AIRC                                             | BX COMMERCIAL MORTGAGE TRUST 2024-AIRC D TSFR1M+308.923 08/15/2039 144A                                 | CUSIP: 12433CAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     397995 | PA      | $398990.55    | 0.01%             | 2039-08-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 10/01/2031#AS8226                                                                        | CUSIP: 3138WJD88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     123852 | PA      | $118572.53    | 0.00%             | 2031-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 1.5% 04/01/2036#MA4321                                                                        | CUSIP: 31418DYT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2663651 | PA      | $2323524.24   | 0.03%             | 2036-04-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| DISCOVERY COMMUNICATIONS LLC                                                       | DISCOVERY COMMUNICATIONS LLC 4.125% 05/15/2029                                                          | CUSIP: 25470DBF5<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |      46000 | PA      | $42831.71     | 0.00%             | 2029-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6.5% 09/01/2053#QH0277                                                                        | CUSIP: 3133CCJW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     322257 | PA      | $334878.04    | 0.00%             | 2053-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 06/01/2035#310165                                                                        | CUSIP: 31374CQS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13006 | PA      | $13079.58     | 0.00%             | 2038-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 3.5% 05/38#MA3360                                                                             | CUSIP: 31418CWW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8108 | PA      | $7662.96      | 0.00%             | 2038-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 6/40 #745138                                                                                 | CUSIP: 3620C0ZB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3154 | PA      | $3100.71      | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 6.03% 1/37 #1A1202                                                                             | CUSIP: 3128NFKP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2196 | PA      | $2237.03      | 0.00%             | 2037-01-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| AASET 2019-2 TR                                                                    | AASET 2019-2 B TR 4.458% 10/16/2039 144A                                                                | CUSIP: 00038RAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      60406 | PA      | $56481.92     | 0.00%             | 2039-10-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 5.12% 7/35 #1L0109                                                                             | CUSIP: 3128Q2DN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6179 | PA      | $6321.88      | 0.00%             | 2035-07-01      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| PAKISTAN, ISLAMIC REP OF                                                           | PAKISTAN ISLAMIC REP OF 7.375% 04/08/2031 144A                                                          | CUSIP: 695847AT0<br>LEI: 529900LOP29R5WKHOD86 | Long             | DBT              | NUSS              | PK        |     470000 | PA      | $400200.30    | 0.01%             | 2031-04-08      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 11/01/2042#AQ1869                                                                          | CUSIP: 3138MHCF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35619 | PA      | $31874.54     | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MACQUARIE AIRFINANCE HOLDINGS LTD                                                  | MACQUARIE AIRFINANCE HOLDINGS LTD 6.4% 03/26/2029 144A                                                  | CUSIP: 55609NAC2<br>LEI: 549300MCGUSL5B852H65 | Long             | DBT              | CORP              | GB        |      75000 | PA      | $77547.15     | 0.00%             | 2029-03-26      | 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                  | Long             | ABS-MBS          | USGA              | US        |    6600000 | PA      | $5618246.70   | 0.08%             | 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        |    1560019 | PA      | $1451621.29   | 0.02%             | 2046-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 08/01/2033#CA2266                                                                        | CUSIP: 3140Q9QU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5131 | PA      | $4874.99      | 0.00%             | 2033-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 12/01/2050#RA4142                                                                        | CUSIP: 3133KKS75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     377327 | PA      | $313473.30    | 0.00%             | 2050-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 02/01/2051#BQ4491                                                                          | CUSIP: 3140KP7D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     500471 | PA      | $391773.22    | 0.01%             | 2051-02-01      | 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        |    1714000 | PA      | $1718801.75   | 0.03%             | 2030-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| IP 2025-IP MTG TR                                                                  | IP 2025-IP F CSTR MTG TR VAR 06/10/2042 144A                                                            | CUSIP: 449843AL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     240000 | PA      | $239999.91    | 0.00%             | 2042-06-10      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 02/01/2035#FM2518                                                                        | CUSIP: 3140X5YQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      58933 | PA      | $55092.70     | 0.00%             | 2035-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CORE SCIENTIFIC INC                                                                | CORE SCIENTIFIC INC CONV 0% 06/15/2031 144A                                                             | CUSIP: 21874AAE6<br>LEI: 5299003RGB2LAZ65RK73 | Long             | DBT              | CORP              | US        |     827000 | PA      | $769110.00    | 0.01%             | 2031-06-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 10/01/2051#FM8864                                                                        | CUSIP: 3140XCZ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     733939 | PA      | $608591.32    | 0.01%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PETRONAS CAP LTD                                                                   | PETRONAS CAP LTD 3.5% 04/21/2030 144A                                                                   | CUSIP: 716743AP4<br>LEI: 549300G7YFX3540OYR85 | Long             | DBT              | CORP              | MY        |     120000 | PA      | $113832.00    | 0.00%             | 2030-04-21      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                             | US 10YR NOTE FUT (CBT)SEP25 TYU5                                                                        | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |       -440 | NC      | $-606061.92   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 03/01/2055#CC0116                                                                          | CUSIP: 3140Y6DW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1396571 | PA      | $1430195.19   | 0.02%             | 2055-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| STONEPEAK NILE PARENT LLC                                                          | STONEPEAK NILE PARENT LLC 7.25% 03/15/2032 144A                                                         | CUSIP: 861932AA9<br>LEI: 254900TJV3VAFZD0GU41 | Long             | DBT              | CORP              | US        |     510000 | PA      | $528207.00    | 0.01%             | 2032-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: —       |
| HUNGARY REPUBLIC OF                                                                | HUNGARY REPUBLIC OF 6.25% 09/22/2032 144A                                                               | CUSIP: 445545AS5<br>LEI: 5299008DH62LEB10JK83 | Long             | DBT              | NUSS              | HU        |     140000 | PA      | $144813.20    | 0.00%             | 2032-09-22      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 08/01/2040#V81886                                                                        | CUSIP: 3132L7CX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19940 | PA      | $18258.72     | 0.00%             | 2040-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 02/01/2035#QN1578                                                                        | CUSIP: 3133G7XF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     100116 | PA      | $93373.26     | 0.00%             | 2035-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CHESAPEAKE FUNDING II LLC                                                          | CHESAPEAKE FUNDING II LLC 5.52% 05/15/2036 144A                                                         | CUSIP: 165183DE1<br>LEI: 5493000HT7H4OFOD6Z12 | Long             | ABS-CBDO         | CORP              | US        |     960875 | PA      | $969613.91    | 0.01%             | 2036-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TURKEY REPUBLIC OF                                                                 | TURKEY REPUBLIC OF 9.125% 07/13/2030                                                                    | CUSIP: 900123DJ6<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |     350000 | PA      | $380341.50    | 0.01%             | 2030-07-13      | Fixed         | 0.09%                 | 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        |  122975000 | PA      | $95589033.19  | 1.39%             | 2055-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| JOHN LEWIS PLC                                                                     | JOHN LEWIS PLC 4.25% 12/18/2034 REGS                                                                    | CUSIP: N/A<br>LEI: 213800JSUFNZLZLCVJ25       | Long             | DBT              | CORP              | GB        |     200000 | PA      | $213322.15    | 0.00%             | 2034-12-18      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 1.5% 06/01/2051#MA4354                                                                        | CUSIP: 31418DZU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     885941 | PA      | $654735.49    | 0.01%             | 2051-06-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GINNIE MAE II POOL II 3.5% 12/20/2049#BR8984                                                            | CUSIP: 3617M76V5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4631 | PA      | $4116.08      | 0.00%             | 2049-12-20      | Fixed         | 0.04%                 | 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        |    6102688 | PA      | $5939709.74   | 0.09%             | 2049-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PMHC II INC                                                                        | PMHC II INC 9% 02/15/2030 144A                                                                          | CUSIP: 69357VAA3<br>LEI: 549300GYZ1T3S8OPH343 | Long             | DBT              | CORP              | US        |     420000 | PA      | $296100.00    | 0.00%             | 2030-02-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| ANGLIAN WATER SVCS FINANC PLC                                                      | ANGLIAN WATER SVCS FINANC PLC 6.293% 07/30/2030 REGS                                                    | CUSIP: N/A<br>LEI: 213800DL377MH46PDY63       | Long             | DBT              | CORP              | GB        |     305000 | PA      | $421963.21    | 0.01%             | 2030-07-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MEXICO UNITED MEXICAN STATES                                                       | MEXICO UNITED MEXICAN STATES 7.375% 05/13/2055                                                          | CUSIP: 91087BBD1<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     350000 | PA      | $345975.00    | 0.01%             | 2055-05-13      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ANHEUSER BUSCH INBEV WORLDWIDE INC                                                 | ANHEUSER BUSCH INBEV WORLD INC 5.55% 01/23/2049                                                         | CUSIP: 03523TBV9<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |    1824000 | PA      | $1789975.52   | 0.03%             | 2049-01-23      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2412 FK SOFR30A+91.448 1/32                                                                         | CUSIP: 31339DTC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |        134 | PA      | $134.27       | 0.00%             | 2032-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| WP CAREY INC                                                                       | WP CAREY INC 4.25% 07/23/2032                                                                           | CUSIP: N/A<br>LEI: 54930042CRNE713E3Q67       | Long             | DBT              | CORP              | US        |     100000 | PA      | $116954.76    | 0.00%             | 2032-07-23      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                                 | ALLY FINL INC 4.7%/VAR PERP                                                                             | CUSIP: 02005NBN9<br>LEI: 549300JBN1OSM8YNAI90 | Long             | EP               | CORP              | US        |     705000 | PA      | $615798.47    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| IRON MOUNTAIN INC                                                                  | IRON MTN INC 6.25% 01/15/2033 144A                                                                      | CUSIP: 46284VAQ4<br>LEI: SQL3F6CKNNBM3SQGHX24 | Long             | DBT              | CORP              | US        |     345000 | PA      | $348240.24    | 0.01%             | 2033-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH COS INC                                                              | BAUSCH HEALTH COS INC 11% 09/30/2028 144A                                                               | CUSIP: 071734AQ0<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | CA        |     230000 | PA      | $220676.95    | 0.00%             | 2028-09-30      | Fixed         | 0.11%                 | No            |                  2 | On Loan: No      |
| AMMC CLO 24 LTD                                                                    | AMMC CLO 24 LTD ER TSFR3M+650 01/20/2035 144A                                                           | CUSIP: 00177MAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     150000 | PA      | $148139.40    | 0.00%             | 2035-01-20      | Variable      | 0.11%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 12/01/2034#FM0046                                                                          | CUSIP: 3140X3BQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     112478 | PA      | $107043.26    | 0.00%             | 2034-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 06/45#AZ3341                                                                               | CUSIP: 3138YUWB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13377 | PA      | $12550.82     | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                   | T-MOBILE USA INC 4.375% 04/15/2040                                                                      | CUSIP: 87264AAX3<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     269000 | PA      | $233259.11    | 0.00%             | 2040-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                          | OCCIDENTAL PETROLEUM CORP 6.2% 03/15/2040                                                               | CUSIP: 674599DJ1<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |     700000 | PA      | $652394.47    | 0.01%             | 2040-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 05/01/2051#RA5288                                                                          | CUSIP: 3133KL2V8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     193406 | PA      | $151701.89    | 0.00%             | 2051-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MIWD HOLDCO II LLC / MIWD FINANCE CORP                                             | MIWD HOLDCO II LLC / MIWD FINANCE CORP 5.5% 02/01/2030 144A                                             | CUSIP: 55337PAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     250000 | PA      | $230484.95    | 0.00%             | 2030-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 3244 SG SOFR30A+654.552 11/36                                                                       | CUSIP: 31397CDA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      10977 | PA      | $962.65       | 0.00%             | 2036-11-15      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| EMIRATE OF DUBAI GOVERNMENT INTERNATIONAL BONDS                                    | EMIRATE OF DUBAI GOVT INTL BONDS 3.9% 09/09/2050 REGS                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | AE        |     305000 | PA      | $213484.75    | 0.00%             | 2050-09-09      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2020-IG3 MTG TR                                                          | BENCHMARK 2020-IG3 MTG TR CSTR 09/15/2048 144A                                                          | CUSIP: 08162QCA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     265000 | PA      | $239805.15    | 0.00%             | 2048-09-15      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.00% 3/41 #004977                                                                              | CUSIP: 36202FQ66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8671 | PA      | $8310.13      | 0.00%             | 2041-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CARMX 2025-2                                                                       | CARMX 2025-2 4.59% 07/17/2028                                                                           | CUSIP: 14320AAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2530000 | PA      | $2531107.63   | 0.04%             | 2028-07-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BERMUDA GOVERNMENT OF                                                              | BERMUDA GOVERNMENT OF 5% 07/15/2032 144A                                                                | CUSIP: 085209AJ3<br>LEI: 549300FP5PUZXX9FVJ40 | Long             | DBT              | NUSS              | BM        |     140000 | PA      | $135695.00    | 0.00%             | 2032-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| LBM ACQUISITION LLC                                                                | US LBM TERM B 1LN 06/06/2031                                                                            | CUSIP: 50179JAH1<br>LEI: 549300FAEB3VWZL4NI86 | Long             | LON              | CORP              | US        |     802791 | PA      | $718787.14    | 0.01%             | 2031-06-06      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| NEW FORTRESS                                                                       | NEW FORTRESS 12% 11/15/2029 144A                                                                        | CUSIP: 62909BAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     983176 | PA      | $421810.79    | 0.01%             | 2029-11-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| ARGENTINA REPUBLIC OF                                                              | ARGENTINA REPUBLIC OF STEP 07/09/2035                                                                   | CUSIP: 040114HT0<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |    3529989 | PA      | $2374800.10   | 0.03%             | 2035-07-09      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BANCO BILBAO VIZCAYA ARGENTARIA S.A                                                | BANCO BILBAO VIZ ARGENTARIA SA 6.033%/VAR 03/13/2035                                                    | CUSIP: 05946KAR2<br>LEI: K8MS7FD7N5Z2WQ51AZ71 | Long             | DBT              | CORP              | ES        |     400000 | PA      | $408846.24    | 0.01%             | 2035-03-13      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 8/41 #Q02763                                                                                 | CUSIP: 3132GGB87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1494 | PA      | $1467.89      | 0.00%             | 2041-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 9/39 #A88585                                                                                 | CUSIP: 312935RE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6772 | PA      | $6689.08      | 0.00%             | 2039-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HAT HOLDINGS I LLC / HAT HOLDINGS II LLC                                           | HAT HOLDINGS I LLC / II LLC 8% 06/15/2027 144A                                                          | CUSIP: 418751AL7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     118000 | PA      | $121451.50    | 0.00%             | 2027-06-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TRUST 2024-4                                                     | CARMAX AUTO OWNER TRUST 2024-4 4.6% 10/15/2029                                                          | CUSIP: 14290DAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     500000 | PA      | $503112.70    | 0.01%             | 2029-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA GTD MTG PASS THRU CTF 2% 09/25/2045                                                                | CUSIP: 3136BBB76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     338234 | PA      | $302465.53    | 0.00%             | 2045-09-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIA KINGDOM OF                                                            | SAUDI ARABIA KINGDOM OF 4.625% 10/04/2047 144A                                                          | CUSIP: 80413TAF6<br>LEI: 54930044PULMORCKB765 | Long             | DBT              | NUSS              | SA        |     300000 | PA      | $243936.00    | 0.00%             | 2047-10-04      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                              | JPMORGAN CHASE and CO 5.717%/VAR 09/14/2033                                                             | CUSIP: 46647PDK9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    2700000 | PA      | $2776378.52   | 0.04%             | 2033-09-14      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES INC / AADVANTAGE LOYALTY IP LTD                                  | AMERICAN AIRLINES INC / AADVANTAGE LOYALTY IP LTD 5.5% 04/20/2026 144A                                  | CUSIP: 00253XAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     135000 | PA      | $134769.36    | 0.00%             | 2026-04-20      | 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        |     341000 | PA      | $315778.92    | 0.00%             | 2028-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 3.283 6/1/41                                                                                   | CUSIP: 3128UGXF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1900 | PA      | $1971.56      | 0.00%             | 2041-06-01      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| TANGER PROPERTIES LP                                                               | TANGER PROPERTIES LP 3.125% 09/01/2026                                                                  | CUSIP: 875484AJ6<br>LEI: PQPGJDNFN35EXH363L31 | Long             | DBT              | CORP              | US        |    2775000 | PA      | $2714245.76   | 0.04%             | 2026-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA GTD MTG PASS THRU CTF SOFR30A+140 02/25/2055                                                       | CUSIP: 3136BUWL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    3549823 | PA      | $3542313.52   | 0.05%             | 2055-02-25      | Variable      | 0.06%                 | 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        |    5608000 | PA      | $5619081.41   | 0.08%             | 2037-07-18      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL HOTELS GROUP PLC NEW                                              | INTERCONTINENT HTL GRP PLC NEW 3.375% 10/08/2028 REGS                                                   | CUSIP: N/A<br>LEI: 2138007ZFQYRUSLU3J98       | Long             | DBT              | CORP              | GB        |     254000 | PA      | $323946.28    | 0.00%             | 2028-10-08      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MHC COML MTG TR 2021-MHC                                                           | MHC 2021 MHC G TSFR1M+331.544 9 04/15/2026 144A                                                         | CUSIP: 55316VAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1280000 | PA      | $1279200.00   | 0.02%             | 2038-04-15      | Variable      | 0.08%                 | 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        |    3196080 | PA      | $3062429.20   | 0.04%             | 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        |    1442312 | PA      | $1235912.00   | 0.02%             | 2052-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                                                   | CSC HOLDINGS LLC 3.375% 02/15/2031 144A                                                                 | CUSIP: 126307BF3<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |    3715000 | PA      | $2433325.00   | 0.04%             | 2031-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 05/51#RA5117                                                                               | CUSIP: 3133KLVJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6946375 | PA      | $5465900.00   | 0.08%             | 2051-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| AMPRION GMBH                                                                       | AMPRION GMBH 3.125% 08/27/2030 REGS                                                                     | CUSIP: N/A<br>LEI: 529900ZIV0ETYHYZM863       | Long             | DBT              | CORP              | DE        |     500000 | PA      | $568985.11    | 0.01%             | 2030-08-27      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HEXION HOLDINGS CORPORATION                                                        | HEXION TERM 1LN 03/15/2029                                                                              | CUSIP: 00217XAE6<br>LEI: 549300LBB370MUHGLV84 | Long             | LON              | CORP              | US        |     640000 | PA      | $635315.20    | 0.01%             | 2029-03-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| ONE SKY FLIGHT LLC                                                                 | ONE SKY FLIGHT LLC 8.875% 12/15/2029 144A                                                               | CUSIP: 68278CAA3<br>LEI: 549300PM6NEPXGG5B882 | Long             | DBT              | CORP              | US        |     415000 | PA      | $418417.11    | 0.01%             | 2029-12-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| NOVELIS CORP                                                                       | NOVELIS CORP 3.25% 11/15/2026 144A                                                                      | CUSIP: 670001AG1<br>LEI: 549300G5F3W3B52WYL23 | Long             | DBT              | CORP              | US        |     115000 | PA      | $112801.15    | 0.00%             | 2026-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CEDF 2016-6A                                                                       | CEDF 2016-6A ARR TSFR3M+131.161 04/20/2034 144A                                                         | CUSIP: 15032DAR2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1199000 | PA      | $1200123.46   | 0.02%             | 2034-04-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 04/01/2041#                                                                              | CUSIP: 3132GDGH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3107 | PA      | $3054.41      | 0.00%             | 2041-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 05/01/2053#FS4919                                                                        | CUSIP: 3140XLPD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     406482 | PA      | $332359.62    | 0.00%             | 2053-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2021                                         | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2021-FCMT A TSFR1M+131.448 12/31/2049 144A                        | CUSIP: 95003EAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     953000 | PA      | $945909.78    | 0.01%             | 2031-05-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 05/01/2045#Q33769                                                                        | CUSIP: 3132QQFK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18617 | PA      | $18046.25     | 0.00%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP 04/17/65 B                                                                                  | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     190000 | NC      | $32394.85     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PARAGUAY REPUBLIC OF                                                               | PARAGUAY REPUBLIC OF 2.739% 01/29/2033 144A                                                             | CUSIP: 699149AK6<br>LEI: 529900UXKJTJPCU0HK83 | Long             | DBT              | NUSS              | PY        |     125000 | PA      | $104575.00    | 0.00%             | 2033-01-29      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.5% 07/01/2054#CB8867                                                                        | CUSIP: 3140QUZ90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     274477 | PA      | $285398.19    | 0.00%             | 2054-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                         | FANNIEMAE 30YR 3% 06/01/2052#FA0115                                                                     | CUSIP: 3140W0DV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1721259 | PA      | $1491615.91   | 0.02%             | 2052-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 4% 04/20/2048#BG7744                                                                            | CUSIP: 3617GSS91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7323 | PA      | $6788.07      | 0.00%             | 2048-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ESKOM HLDGS LTD                                                                    | ESKOM HLDGS LTD 6.35% 08/10/2028 144A                                                                   | CUSIP: 29646AAC0<br>LEI: 3789001900ED06F65111 | Long             | DBT              | CORP              | ZA        |     350000 | PA      | $349562.50    | 0.01%             | 2028-08-10      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SCOTTISH HYDRO ELECTRIC TRANSMISSION PLC                                           | SCOTTISH HYDRO ELECTRIC TRANSMISSION PLC 3.375% 09/04/2032 REGS                                         | CUSIP: N/A<br>LEI: 549300ECJZDA7203MK64       | Long             | DBT              | CORP              | GB        |     375000 | PA      | $424423.20    | 0.01%             | 2032-09-04      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SWITCH ABS ISSUER LLC                                                              | SWITCH ABS ISSUER LLC 10.033% 06/25/2054 144A                                                           | CUSIP: 871044AJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     750000 | PA      | $778347.08    | 0.01%             | 2054-06-25      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2526 FC SOFR30A+51.448 11/32                                                                        | CUSIP: 31393FGG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       2037 | PA      | $2034.09      | 0.00%             | 2032-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5% 11/01/2052#CB5128                                                                          | CUSIP: 3140QQVW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     405117 | PA      | $397979.86    | 0.01%             | 2052-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| OLYMPUS WATER US HOLDING CORPORATION                                               | OLYMPUS WATER US HOLDING CORPORATION 7.25% 06/15/2031 144A                                              | CUSIP: 681639AD2<br>LEI: 549300YU2GGVCBN3MY89 | Long             | DBT              | CORP              | US        |    1560000 | PA      | $1560000.00   | 0.02%             | 2031-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: —       |
| MADISON PK FDG L LTD / MADISON PK FDG L LLC                                        | MADISON PK FDG L LTD / MADISON PK FDG L LLC A TSFR3M+140.161 04/19/2034 144A                            | CUSIP: 55821FAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1690000 | PA      | $1690912.60   | 0.02%             | 2034-04-19      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| SOUTH WEST WATER FINANCE PLC                                                       | SOUTH WEST WATER FINANCE PLC 5.75% 12/11/2032 REGS                                                      | CUSIP: N/A<br>LEI: 213800OV68U446W4NV89       | Long             | DBT              | CORP              | GB        |     100000 | PA      | $135346.02    | 0.00%             | 2032-12-11      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.679% 02/01/2039#AL8741                                                                      | CUSIP: 3138ETWB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7586 | PA      | $7835.35      | 0.00%             | 2039-02-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 01/01/2042#AJ7531                                                                        | CUSIP: 3138E0LM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8761 | PA      | $8121.41      | 0.00%             | 2042-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 02/01/2049#MA3593                                                                        | CUSIP: 31418C7F5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6614 | PA      | $6328.27      | 0.00%             | 2049-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BBCMS TRUST                                                                        | BBCMS TRUST VAR 07/15/2057 144A                                                                         | CUSIP: 05555FAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     500000 | PA      | $510241.45    | 0.01%             | 2057-07-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 8/42 #AO9892                                                                                 | CUSIP: 3138M17E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9126 | PA      | $8472.48      | 0.00%             | 2042-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HESS MIDSTREAM PARTNERS LP                                                         | HESS MIDSTREAM PARTNERS LP 5.125% 06/15/2028 144A                                                       | CUSIP: 428104AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     705000 | PA      | $695704.29    | 0.01%             | 2028-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.125% 11/30/2031                                                                             | CUSIP: 91282CLZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   20000000 | PA      | $19989062.40  | 0.29%             | 2031-11-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ECHOSTAR CORP                                                                      | ECHOSTAR CORP 10.75% 11/30/2029                                                                         | CUSIP: 278768AC0<br>LEI: 549300EE20907QZ9GT38 | Long             | DBT              | CORP              | US        |     414506 | PA      | $416578.53    | 0.01%             | 2029-11-30      | Fixed         | 0.11%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 10/41 #738885                                                                                | CUSIP: 3620AS2S7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4889 | PA      | $4688.81      | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 1999-17 PG 6% 4/29                                                                                  | CUSIP: 31359VSD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       1203 | PA      | $1220.16      | 0.00%             | 2029-04-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2022-B33 MORTGAGE TRUST                                                  | BENCHMARK 2022-B33 MORTGAGE TRUST VAR 03/15/2055                                                        | CUSIP: 08163PBN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     400000 | PA      | $308405.80    | 0.00%             | 2055-03-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 4.889% 3/33 #847126                                                                            | CUSIP: 3128HD4K2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         29 | PA      | $29.48        | 0.00%             | 2033-03-01      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 07/01/2033#ZS8703                                                                        | CUSIP: 3132A9U47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      49873 | PA      | $47421.28     | 0.00%             | 2033-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 9/41 #Q03090                                                                                 | CUSIP: 3132GJC31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14845 | PA      | $14610.38     | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 3% 11/01/2036#MA2804                                                                          | CUSIP: 31418CDJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8732 | PA      | $8189.30      | 0.00%             | 2036-11-01      | Fixed         | 0.03%                 | 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        |     917180 | PA      | $866780.23    | 0.01%             | 2049-12-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 5.44% 2/37 #888171                                                                             | CUSIP: 31410FW84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10996 | PA      | $11335.86     | 0.00%             | 2037-02-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 09/01/2043#Q21845                                                                        | CUSIP: 3132JPBN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6263 | PA      | $5924.93      | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 08/01/2050#RA3206                                                                          | CUSIP: 3133KJR38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16105 | PA      | $12732.91     | 0.00%             | 2050-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 3/29 #323688                                                                                 | CUSIP: 31374TRH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         22 | PA      | $22.08        | 0.00%             | 2029-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BBVA BANCOMER SA TEXAS BRANCH                                                      | BBVA BANCOMER SA TEXAS BRH 8.45%/VAR 06/29/2038 144A                                                    | CUSIP: 07336UAA1<br>LEI: 549300WIWQK5Q9MCUN92 | Long             | EP               | CORP              | US        |     220000 | PA      | $229336.36    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 3.705%/VAR 04/24/2028                                                       | CUSIP: 06051GGL7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     528000 | PA      | $519060.44    | 0.01%             | 2028-04-24      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 06/01/2051#FM7507                                                                        | CUSIP: 3140XBKV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1366484 | PA      | $1133105.11   | 0.02%             | 2051-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM 30YR 6% 07/01/2053#RA9383                                                                          | CUSIP: 3133KRM84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     328688 | PA      | $335137.67    | 0.00%             | 2053-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GALAXY PIPELINE ASSETS BIDCO LTD                                                   | GALAXY PIPELINE ASSETS BIDCO LTD 2.16% 03/31/2034 144A                                                  | CUSIP: 36321PAD2<br>LEI: 549300L82YB0C6JQIC26 | Long             | DBT              | CORP              | JE        |     210088 | PA      | $184246.96    | 0.00%             | 2034-03-31      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 3/26 #339830                                                                                 | CUSIP: 31375NPP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         20 | PA      | $20.09        | 0.00%             | 2026-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 12/01/2041#AJ7242                                                                        | CUSIP: 3138E0BL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13437 | PA      | $13187.49     | 0.00%             | 2041-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 07/01/2047#Q49393                                                                        | CUSIP: 3132WPNK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      31929 | PA      | $30689.71     | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| KAZMUAIGAZ NATIONAL CO JSC                                                         | KAZMUNAYGAS NATIONAL CO JSC 5.75% 04/19/2047 144A                                                       | CUSIP: 48667QAP0<br>LEI: 2138001H1M69RFJCSH88 | Long             | DBT              | CORP              | KZ        |      80000 | PA      | $67120.00     | 0.00%             | 2047-04-19      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 9/41 #783501                                                                                 | CUSIP: 36241L3J3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      27108 | PA      | $27235.33     | 0.00%             | 2041-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 05/01/2041#CB0469                                                                        | CUSIP: 3140QKQX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      89360 | PA      | $78736.30     | 0.00%             | 2041-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 07/01/2041#CB1076                                                                        | CUSIP: 3140QLFS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     326798 | PA      | $287315.33    | 0.00%             | 2041-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                         | FANNIE MAE 4.5% 07/25/2048                                                                              | CUSIP: 3136BM7C6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     426137 | PA      | $418826.02    | 0.01%             | 2048-07-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 2% 01/25/2040                                                            | CUSIP: 3137H2RD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     501848 | PA      | $438858.69    | 0.01%             | 2040-01-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BX TR 2025-VLT6                                                                    | BX TR 2025-VLT6 E TSFR1M+319.073 03/15/2030 144A                                                        | CUSIP: 12433KAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     447000 | PA      | $443647.50    | 0.01%             | 2042-03-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 12/01/2032#J38057                                                                          | CUSIP: 31307U5S3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3994 | PA      | $3860.08      | 0.00%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 8/35 #830779                                                                                 | CUSIP: 31407G6Q6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        260 | PA      | $274.83       | 0.00%             | 2035-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AMERN PIPELINE MLP                                                      | PLAINS ALL AMERN PIPELINE MLP FRN TSFR3M+437.161 PERP                                                   | CUSIP: 726503AE5<br>LEI: 5521FA2ITF25TVH63740 | Long             | EP               | CORP              | US        |    1165000 | PA      | $1157073.69   | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 05/47#BM1277                                                                               | CUSIP: 3140J5M30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      80515 | PA      | $75318.06     | 0.00%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 03/01/2048#Q54900                                                                        | CUSIP: 3132XXNS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      46149 | PA      | $41710.07     | 0.00%             | 2048-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 10/01/2051#QC8300                                                                          | CUSIP: 3133ATGH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23433 | PA      | $18372.60     | 0.00%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BCPE ULYSSES INTERMEDIATE INC                                                      | BCPE ULYSSES INTERMEDIATE INC PIK VAR 04/01/2027 144A                                                   | CUSIP: 05553LAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     625000 | PA      | $593811.88    | 0.01%             | 2027-04-01      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| MDGH GMTN RSC LTD                                                                  | MDGH GMTN RSC LTD 5.5% 04/28/2033 144A                                                                  | CUSIP: 55285GAB0<br>LEI: 213800WRY6FRL9IXLT77 | Long             | DBT              | CORP              | AE        |     145000 | PA      | $148788.85    | 0.00%             | 2033-04-28      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 03/01/2051#QC0041                                                                          | CUSIP: 3133AJBJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     413794 | PA      | $326895.66    | 0.00%             | 2051-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 03/01/2046#BM4548                                                                        | CUSIP: 3140J9BS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      71396 | PA      | $70214.45     | 0.00%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 2% 11/25/2040                                                            | CUSIP: 3137H53G0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     514394 | PA      | $442484.54    | 0.01%             | 2040-11-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG NEW YORK BNCH                                                     | DEUTSCHE BANK AG NEW YORK BNCH 5.882%/VAR 07/08/2031                                                    | CUSIP: 25160PAE7<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $5069167.50   | 0.07%             | 2031-07-08      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 07/01/2042#AB5542                                                                        | CUSIP: 31417CEQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9840 | PA      | $8898.03      | 0.00%             | 2042-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| STAR HOLDING LLC                                                                   | STAR HOLDING LLC 8.75% 08/01/2031 144A                                                                  | CUSIP: 85513AAA6<br>LEI: 254900BDGPE9N1WAKD59 | Long             | DBT              | CORP              | US        |     225000 | PA      | $203001.11    | 0.00%             | 2031-08-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| CONSOLIDATED COMMUNICATIONS INC                                                    | CONSOLIDATED COMMUNICATIONS INC 5% 10/01/2028 144A                                                      | CUSIP: 20903XAH6<br>LEI: 549300WW675Y48HDVX34 | Long             | DBT              | CORP              | US        |     148000 | PA      | $149490.45    | 0.00%             | 2028-10-01      | 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        |     832248 | PA      | $757442.51    | 0.01%             | 2047-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LOGICOR FINANCING SARL                                                             | LOGICOR FINANCING SARL 2% 01/17/2034 REGS                                                               | CUSIP: N/A<br>LEI: 254900IS16Q1A2TQFN22       | Long             | DBT              | CORP              | LU        |     428000 | PA      | $411434.12    | 0.01%             | 2034-01-17      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| TESLA AUTO LEASE TRUST 23-A                                                        | TESLA AUTO LEASE TRUST 23-A 5.89% 06/22/2026 144A                                                       | CUSIP: 88167PAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     286638 | PA      | $287022.42    | 0.00%             | 2026-06-22      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-SOAR                                             | BX COMMERCIAL MORTGAGE TRUST 2021-SOAR E TSFR1M+191.448 06/15/2038 144A                                 | CUSIP: 05608WAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2873070 | PA      | $2869478.47   | 0.04%             | 2038-06-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 9/39 #710839                                                                                 | CUSIP: 36297FV82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4775 | PA      | $4695.29      | 0.00%             | 2039-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2002-74 FV SOFR30A+56.448 11/32                                                                     | CUSIP: 31392FRJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       2006 | PA      | $2005.33      | 0.00%             | 2032-11-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| JAPAN TOBACCO INC                                                                  | JAPAN TOBACCO INC 5.856% 06/15/2035 144A                                                                | CUSIP: 471105AE6<br>LEI: 353800Z0ENYBQO0XRJ31 | Long             | DBT              | CORP              | JP        |     340000 | PA      | $350561.10    | 0.01%             | 2035-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| JEFFERIES FIN LLC/JFIN                                                             | JEFFERIES FIN LLC/JFIN 5% 08/15/2028 144A                                                               | CUSIP: 47232MAF9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      65000 | PA      | $61578.31     | 0.00%             | 2028-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SHRIRAM FINANCE LTD                                                                | SHRIRAM FINANCE LTD 6.625% 04/22/2027 144A                                                              | CUSIP: 82556FAA0<br>LEI: 335800TM2YO24B76XL26 | Long             | DBT              | CORP              | IN        |     135000 | PA      | $135168.75    | 0.00%             | 2027-04-22      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ROCKIES EXPRESS PIPELINE LLC                                                       | ROCKIES EXPRESS PIPELINE LLC 6.75% 03/15/2033 144A                                                      | CUSIP: 77340RAU1<br>LEI: W2ZGZGZKY5GGNY6F3V51 | Long             | DBT              | CORP              | US        |     605000 | PA      | $623117.94    | 0.01%             | 2033-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 3.5% 05/01/2034#C91764                                                                        | CUSIP: 3128P75Z2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      27945 | PA      | $27096.60     | 0.00%             | 2034-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                                 | ALLY FINL INC 5.75% 11/20/2025                                                                          | CUSIP: 02005NBF6<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |    1560000 | PA      | $1562661.11   | 0.02%             | 2025-11-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 01/15/2047#AX5831                                                                          | CUSIP: 36196HPQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5843 | PA      | $5412.81      | 0.00%             | 2047-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALLIANT HLDGS INTERMEDIATE LLC/ALLIANT HLDGS CO-ISSUER                             | ALLIANT HLDGS INTERMEDIATE LLC/ALLIANT HLDGS CO-ISSUER 6.5% 10/01/2031 144A                             | CUSIP: 01883LAG8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      70000 | PA      | $70560.35     | 0.00%             | 2031-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ELP COMMERCIAL MORTGAGE TRUST 2021-ELP                                             | ELP COMMERCIAL MORTGAGE TRUST 2021-ELP TSFR1M+278.148 7 11/15/2038 144A                                 | CUSIP: 26863LAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     163809 | PA      | $162887.90    | 0.00%             | 2038-11-15      | Variable      | 0.07%                 | 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        |     316416 | PA      | $322922.14    | 0.00%             | 2052-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 04/01/2044#AV7161                                                                        | CUSIP: 3138XJ5X1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6801 | PA      | $6434.98      | 0.00%             | 2044-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 7/39 #692706                                                                                 | CUSIP: 36296JR31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2684 | PA      | $2640.56      | 0.00%             | 2039-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 2% 08/25/2040                                                            | CUSIP: 3137H2BS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     473854 | PA      | $409690.01    | 0.01%             | 2040-08-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ALBERTSONS COS LLC / SAFEWAY INC / NEW ALBERTSONS INC / ALBERTSONS LLC             | ALBERTSONS COS LLC / SAFEWAY INC / NEW ALBERTSONS INC / ALBERTSONS LLC 4.875% 02/15/2030 144A           | CUSIP: 013092AE1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     800000 | PA      | $778201.12    | 0.01%             | 2030-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 3832 PE 5% 3/41                                                                                     | CUSIP: 3137A7WV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      35745 | PA      | $35826.89     | 0.00%             | 2041-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| EUREX DEUTSCHLAND                                                                  | EURO-BUND FUTURE SEP25 RXU5                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |         -2 | NC      | $-1001.89     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 1% 08/15/2038                                                            | CUSIP: 3137FFWL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     267933 | PA      | $253412.32    | 0.00%             | 2038-08-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 3/28 #251570                                                                                 | CUSIP: 31371GMT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         12 | PA      | $12.46        | 0.00%             | 2028-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 2% 08/15/2048                                                            | CUSIP: 3137F95R8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    4884874 | PA      | $4121234.78   | 0.06%             | 2048-08-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.00% 4/42 #C03856                                                                                 | CUSIP: 31292LH99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      42570 | PA      | $40548.10     | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ACURIS FIN US/ACURIS FIN                                                           | ACURIS FIN US/ACURIS FIN 9% 08/01/2029 144A                                                             | CUSIP: 00511BAE7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     340000 | PA      | $347419.47    | 0.01%             | 2029-08-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 08/01/2047#ZM3810                                                                        | CUSIP: 3131XXGT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      65716 | PA      | $59808.78     | 0.00%             | 2047-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.125% 03/31/2031                                                                             | CUSIP: 91282CKF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   80315000 | PA      | $80544023.04  | 1.17%             | 2031-03-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MOTABILITY OPERATIONS GROUP PLC                                                    | MOTABILITY OPERATIONS GRP PLC 3.625% 01/22/2033 REGS                                                    | CUSIP: N/A<br>LEI: AZ3NL8JCZDCNUXFWI720       | Long             | DBT              | CORP              | GB        |     450000 | PA      | $514152.88    | 0.01%             | 2033-01-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2% 12/01/2040#MA4204                                                                          | CUSIP: 31418DU67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     324866 | PA      | $276456.92    | 0.00%             | 2040-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MA'ADEN SUKUK LTD                                                                  | MA'ADEN SUKUK LTD 5.25% 02/13/2030 144A                                                                 | CUSIP: 55407NAA0<br>LEI: 254900QDNU6I6VA8UL14 | Long             | DBT              | CORP              | KY        |     335000 | PA      | $338552.68    | 0.00%             | 2030-02-13      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| COPT DEFENSE PROPERTIES LP                                                         | COPT DEFENSE PROPERTIES LP 2.25% 03/15/2026                                                             | CUSIP: 22003BAL0<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              | CORP              | US        |     348000 | PA      | $340703.10    | 0.00%             | 2026-03-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MEDCO OAK TREE PTE LTD                                                             | MEDCO OAK TREE PTE LTD 7.375% 05/14/2026 144A                                                           | CUSIP: 58405FAA3<br>LEI: 254900AU06KP3JTGZL51 | Long             | DBT              | CORP              | SG        |      50000 | PA      | $50625.00     | 0.00%             | 2026-05-14      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 10/01/2051#RA6010                                                                        | CUSIP: 3133KMVB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     213457 | PA      | $191669.57    | 0.00%             | 2051-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 12/01/2051#CB2460                                                                          | CUSIP: 3140QMWW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     105893 | PA      | $98834.59     | 0.00%             | 2051-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 03/01/2051#FM6560                                                                          | CUSIP: 3140XAJE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17699 | PA      | $13882.82     | 0.00%             | 2051-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MEXICO UNITED MEXICAN STATES                                                       | MEXICO UNITED MEXICAN STATES 3.75% 01/11/2028                                                           | CUSIP: 91087BAE0<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     300000 | PA      | $293287.50    | 0.00%             | 2028-01-11      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 9/42 #AP5129                                                                                 | CUSIP: 3138M8VX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7977 | PA      | $7385.69      | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 8/28 #464767                                                                                 | CUSIP: 36208YJL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         15 | PA      | $15.00        | 0.00%             | 2028-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| QATAR ST                                                                           | QATAR ST 4.817% 03/14/2049 144A                                                                         | CUSIP: 74727PBB6<br>LEI: 52990074F6OJOAXK4P65 | Long             | DBT              | NUSS              | QA        |     370000 | PA      | $328560.00    | 0.00%             | 2049-03-14      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 05/01/2045#G61807                                                                          | CUSIP: 31335CAG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      33109 | PA      | $31573.31     | 0.00%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF BENIN                                                                  | REPUBLIC OF BENIN 8.375% 01/23/2041 144A                                                                | CUSIP: 08205QAC2<br>LEI: 635400Q11P6AE5A5Y230 | Long             | DBT              | NUSS              | BJ        |     100000 | PA      | $92609.00     | 0.00%             | 2041-01-23      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 02/35#BO9279                                                                             | CUSIP: 3140K5JZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40970 | PA      | $38210.71     | 0.00%             | 2035-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 7/32 #545759                                                                                 | CUSIP: 31385JJC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11990 | PA      | $12459.04     | 0.00%             | 2032-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 03/01/2052#RA6987                                                                        | CUSIP: 3133KNXQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     236262 | PA      | $211637.16    | 0.00%             | 2052-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 12/01/2051#QD3432                                                                          | CUSIP: 3133B0Y56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     144882 | PA      | $113777.33    | 0.00%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.5% 03/01/2054#CB8113                                                                        | CUSIP: 3140QUAP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     484555 | PA      | $498004.22    | 0.01%             | 2054-03-01      | Fixed         | 0.07%                 | 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        |   12725663 | PA      | $10675931.43  | 0.16%             | 2052-05-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ACRISURE LLC / ACRISURE FINANCE INC                                                | ACRISURE LLC / ACRISURE FINANCE INC 7.5% 11/06/2030 144A                                                | CUSIP: 00489LAL7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     270000 | PA      | $278585.75    | 0.00%             | 2030-11-06      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ARES TR 2025-IND3                                                                  | ARES TR 2025-IND3 E TSFR1M+355 04/15/2027 144A                                                          | CUSIP: 039955AL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     240000 | PA      | $238638.86    | 0.00%             | 2042-04-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 4/1/43 #AB8881                                                                             | CUSIP: 31417F2P2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10532 | PA      | $9490.36      | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                 | ENERGY TRANSFER LP 3.75% 05/15/2030                                                                     | CUSIP: 29278NAQ6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     481000 | PA      | $455097.30    | 0.01%             | 2030-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5% 10/01/2052#CB4893                                                                          | CUSIP: 3140QQNK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     166392 | PA      | $162992.24    | 0.00%             | 2052-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2947 XZ 6% 3/35                                                                                     | CUSIP: 31395RA81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      14321 | PA      | $14660.61     | 0.00%             | 2035-03-15      | Fixed         | 0.06%                 | 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        |    1077839 | PA      | $1021809.99   | 0.01%             | 2053-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 09/01/2042#FS6944                                                                        | CUSIP: 3140XNWE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8313397 | PA      | $7438638.50   | 0.11%             | 2042-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                                                               | ONEMAIN FINANCE CORP 3.5% 01/15/2027                                                                    | CUSIP: 682691AB6<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |     545000 | PA      | $528046.14    | 0.01%             | 2027-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 8/30 #567034                                                                                 | CUSIP: 31386L4T6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        660 | PA      | $676.57       | 0.00%             | 2030-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2024-VLT5                                                           | BX COML MTG TR 2024-VLT5 E CSTR 11/13/2046 144A                                                         | CUSIP: 05614JAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     944000 | PA      | $981667.96    | 0.01%             | 2046-11-13      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 06/01/2053#SD3196                                                                          | CUSIP: 3132DQRR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     326953 | PA      | $322520.90    | 0.00%             | 2053-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 12/01/2032#SB0030                                                                          | CUSIP: 3132CWA79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      38178 | PA      | $36996.98     | 0.00%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CORPORACION NACIONAL DEL COBRE DE CHILE                                            | CORPORACION NACIONAL DEL COBRE DE CHILE 3.7% 01/30/2050 144A                                            | CUSIP: 21987BBA5<br>LEI: 549300UVMBCBCIPSUI70 | Long             | DBT              | CORP              | CL        |     595000 | PA      | $390320.00    | 0.01%             | 2050-01-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 3119 PO 0 2/36                                                                                      | CUSIP: 31396HSG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       8143 | PA      | $6668.38      | 0.00%             | 2036-02-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| TGS ASA                                                                            | TGS ASA 8.5% 01/15/2030 144A                                                                            | CUSIP: 87243KAA7<br>LEI: 549300NUPLAXPB0WYH90 | Long             | DBT              | CORP              | NO        |     518000 | PA      | $527065.00    | 0.01%             | 2030-01-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 11/01/2032#ZS8675                                                                        | CUSIP: 3132A9T80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4655 | PA      | $4434.47      | 0.00%             | 2032-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SCIH SALT HLDGS INC                                                                | SCIH SALT HLDGS INC 6.625% 05/01/2029 144A                                                              | CUSIP: 78433BAB4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     250000 | PA      | $245276.25    | 0.00%             | 2029-05-01      | Fixed         | 0.07%                 | 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        |    2372000 | PA      | $2330490.00   | 0.03%             | 2030-03-15      | Floating      | 0.06%                 | No            |                  2 | On Loan: No      |
| WESTERN GAS PARTNERS LP                                                            | WESTERN GAS PARTNERS LP 4.75% 08/15/2028                                                                | CUSIP: 958254AK0<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |     168000 | PA      | $166841.36    | 0.00%             | 2028-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 5.65% 7/37 #942609                                                                             | CUSIP: 31413DVA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1772 | PA      | $1838.80      | 0.00%             | 2037-07-01      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF ARMENIA                                                                | REPUBLIC OF ARMENIA 6.75% 03/12/2035 144A                                                               | CUSIP: 042207AE0<br>LEI: 5299000H77JSW90G7935 | Long             | DBT              | NUSS              | AM        |     260000 | PA      | $247625.61    | 0.00%             | 2035-03-12      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 9/42 #AL2537                                                                                 | CUSIP: 3138EJZB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16002 | PA      | $14798.87     | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2024-VLT5                                                           | BX COML MTG TR 2024-VLT5 VAR 11/13/2046 144A                                                            | CUSIP: 05614JAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     262000 | PA      | $259562.27    | 0.00%             | 2046-11-13      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BUILDERS FIRSTSOURCE INC                                                           | BUILDERS FIRSTSOURCE INC 6.75% 05/15/2035 144A                                                          | CUSIP: 12008RAT4<br>LEI: 549300W0SKP6L3H7DP63 | Long             | DBT              | CORP              | US        |    1045000 | PA      | $1050946.01   | 0.02%             | 2035-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| JORDAN KINGDOM OF                                                                  | JORDAN KINGDOM OF 7.375% 10/10/2047 144A                                                                | CUSIP: 418097AJ0<br>LEI: 5493000JZ4MYPVMBVN50 | Long             | DBT              | NUSS              | JO        |     115000 | PA      | $99072.50     | 0.00%             | 2047-10-10      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 07/01/2045#Q34759                                                                        | CUSIP: 3132QRJD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9480 | PA      | $8379.78      | 0.00%             | 2045-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2011-H17 FA TSFR1M+64.448 6/61                                                                      | CUSIP: 38375BML3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      65126 | PA      | $65395.10     | 0.00%             | 2061-06-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                                     | CITI SWAP PAY 4.03 04/25/30                                                                             | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |     200000 | NC      | $8237.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 10/39 #G08368                                                                                | CUSIP: 3128MJMS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12156 | PA      | $11980.46     | 0.00%             | 2039-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 05/01/2043#Q18481                                                                        | CUSIP: 3132J92P2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5212 | PA      | $4934.84      | 0.00%             | 2043-05-01      | Fixed         | 0.04%                 | 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        |    3992000 | PA      | $3987692.63   | 0.06%             | 2037-10-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 10/01/2031#AS8010                                                                        | CUSIP: 3138WH3U4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17776 | PA      | $17033.26     | 0.00%             | 2031-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING 2024-3 LLC                                              | ENTERPRISE FLEET FINANCING 2024-3 LLC 4.98% 08/21/2028 144A                                             | CUSIP: 29375QAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     900000 | PA      | $907396.74    | 0.01%             | 2028-08-21      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 2% 11/25/2047                                                            | CUSIP: 3136BFP49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    1889204 | PA      | $1669799.79   | 0.02%             | 2047-11-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 6.29% 3/36 #1G1852                                                                             | CUSIP: 3128QSBV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1396 | PA      | $1431.55      | 0.00%             | 2036-03-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                                 | WELLS FARGO and CO NEW 3.526%/VAR 03/24/2028                                                            | CUSIP: 95000U2V4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    2047000 | PA      | $2007690.66   | 0.03%             | 2028-03-24      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 2/44 #AG9361                                                                                 | CUSIP: 36182EMJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6868 | PA      | $6315.89      | 0.00%             | 2044-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HUDSON PACIFIC PROPERTIES LP                                                       | HUDSON PAC PPTYS LP 4.65% 04/01/2029                                                                    | CUSIP: 44409MAB2<br>LEI: 5493007NTUGLGZ8T3526 | Long             | DBT              | CORP              | US        |    1473000 | PA      | $1065991.25   | 0.02%             | 2029-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 4.5% 08/01/2039#FM1353                                                                        | CUSIP: 3140X4QF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29610 | PA      | $29053.21     | 0.00%             | 2039-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ANGOLA REPUBLIC                                                                    | ANGOLA REPUBLIC 8.75% 04/14/2032 144A                                                                   | CUSIP: 035198AF7<br>LEI: 549300QHR2R3J8JSGK83 | Long             | DBT              | NUSS              | AO        |     200000 | PA      | $164562.00    | 0.00%             | 2032-04-14      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORP                                                                      | DISH DBS CORP 7.375% 07/01/2028                                                                         | CUSIP: 25470XBB0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     215000 | PA      | $147670.22    | 0.00%             | 2028-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 2012-149 DA 1.75% 01/25/2043                                             | CUSIP: 3136AA4A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      33549 | PA      | $31066.81     | 0.00%             | 2043-01-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CPI PROPERTY GROUP SA                                                              | CPI PROPERTY GROUP SA 1.5% 01/27/2031 REGS                                                              | CUSIP: N/A<br>LEI: 222100CO2ZOTEPGJO223       | Long             | DBT              | CORP              | LU        |     500000 | PA      | $455826.40    | 0.01%             | 2031-01-27      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 03/01/2051#SD8134                                                                          | CUSIP: 3132DWBB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3599970 | PA      | $2818086.21   | 0.04%             | 2051-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 10/29 #252805                                                                                | CUSIP: 31371HYA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         11 | PA      | $11.80        | 0.00%             | 2029-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 6.5% 11/31 #003161                                                                              | CUSIP: 36202DQN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         78 | PA      | $80.38        | 0.00%             | 2031-11-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                                | PETROLEOS MEXICANOS 6.95% 01/28/2060                                                                    | CUSIP: 71654QDF6<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    1224000 | PA      | $827056.80    | 0.01%             | 2060-01-28      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 10/01/2031#MA2775                                                                        | CUSIP: 31418CCM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4695 | PA      | $4498.88      | 0.00%             | 2031-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 8/40 #737311                                                                                 | CUSIP: 3620ARDQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2977 | PA      | $2990.25      | 0.00%             | 2040-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SANDISK CORP                                                                       | SANDISK TERM B 1LN 2/20/2032                                                                            | CUSIP: 80004YAC7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     970000 | PA      | $955450.00    | 0.01%             | 2032-02-20      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                | MSCS SWAP CY873248 04/17/65 B                                                                           | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |     110000 | NC      | $18754.91     | 0.00%             |  |  |  | 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        |  -29850000 | PA      | $-23982284.01 | -0.35%            | 2055-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 5/41 #Q00753                                                                                 | CUSIP: 3132GDZS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3372 | PA      | $3313.71      | 0.00%             | 2041-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BRAZIL, FEDERATIVE REPUBLIC OF                                                     | BRAZIL FEDERATIVE REPUBLIC OF 7.125% 05/13/2054                                                         | CUSIP: 105756CJ7<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |     100000 | PA      | $92600.00     | 0.00%             | 2054-05-13      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| NXPT COML MTG TR                                                                   | NXPT COML MTG TR 6.92673% 11/05/2041 144A                                                               | CUSIP: 67119YAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1134000 | PA      | $1150141.02   | 0.02%             | 2041-11-05      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| MEXICO UNITED MEXICAN STATES                                                       | MEXICO UNITED MEXICAN STATES 6.338% 05/04/2053                                                          | CUSIP: 91087BAX8<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     200000 | PA      | $175600.00    | 0.00%             | 2053-05-04      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ILIAD HOLDING SAS                                                                  | ILIAD HOLDING SAS 7% 04/15/2032 144A                                                                    | CUSIP: 449691AG9<br>LEI: 9695009PXA7OI9NXN582 | Long             | DBT              | CORP              | FR        |     505000 | PA      | $508246.40    | 0.01%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 11/01/2051#MA4465                                                                          | CUSIP: 31418D6B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     170620 | PA      | $133083.18    | 0.00%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                  | HSBC HOLDINGS 7.05%/VAR PERP                                                                            | CUSIP: 404280FA2<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     420000 | PA      | $420038.01    | 0.01%             | 2199-12-31      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                | MSCS SWAP CY873248 04/17/65 B                                                                           | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |     190000 | NC      | $32394.85     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                             | US ULTRA BOND CBT FUT SEP25 WNU5                                                                        | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |        -10 | NC      | $-30488.90    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.50% 9/34 #574764                                                                                 | CUSIP: 36200WQR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        369 | PA      | $381.50       | 0.00%             | 2034-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 9/31 #622547                                                                                 | CUSIP: 31389DTC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        168 | PA      | $175.65       | 0.00%             | 2031-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 5.5% 12/20/2054#MB0092                                                                          | CUSIP: 3618N5C64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2182046 | PA      | $2168283.29   | 0.03%             | 2054-12-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BMP 2024-MF23                                                                      | BMP 2024-MF23 C TSFR1M+194.113 06/15/2041 144A                                                          | CUSIP: 05593JAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     723000 | PA      | $723451.88    | 0.01%             | 2041-06-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                              | JPMORGAN CHASE and CO 4.586%/VAR 04/26/2033                                                             | CUSIP: 46647PDC7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    2682000 | PA      | $2614351.14   | 0.04%             | 2033-04-26      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| SUNNOVA ENERGY CORP                                                                | SUNNOVA ENERGY CORP 5.875% 09/01/2026 144A                                                              | CUSIP: 86745GAF0<br>LEI: 549300TH3GCD8YQUDR46 | Long             | DBT              | CORP              | US        |    1060000 | PA      | $315350.00    | 0.00%             | 2026-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2018-H4                                             | MORGAN STANLEY CAPITAL I TRUST 2018-H4 4.31% 12/15/2051                                                 | CUSIP: 61691RAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5485000 | PA      | $5390516.49   | 0.08%             | 2051-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                              | BOAM SWAP PAY 3.95 04/29/30                                                                             | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    4560000 | NC      | $194727.91    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 22-56 FJ SOFR30A+80 09/25/2052                                           | CUSIP: 3136BNY75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    3504498 | PA      | $3398068.40   | 0.05%             | 2052-09-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.00% 9/41 #Q03358                                                                                 | CUSIP: 3132GJMF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5973 | PA      | $5697.43      | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 7/41 #AL0913                                                                                 | CUSIP: 3138EHAP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14357 | PA      | $15059.37     | 0.00%             | 2041-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ORCHARD PARK CLO LTD                                                               | ORCHARD PARK CLO LTD E TSFR3M+560 10/20/2037 144A                                                       | CUSIP: 68563KAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     100000 | PA      | $100935.20    | 0.00%             | 2037-10-20      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2002-75 FA SOFR30A+111.448 11/32                                                                    | CUSIP: 31392FMU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        650 | PA      | $654.28       | 0.00%             | 2032-11-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 11/01/2051#RA6302                                                                          | CUSIP: 3133KNAB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     673762 | PA      | $529531.95    | 0.01%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FHLMC MFD HSG COP GTD (FREDMAC                                                     | FHLMC REMI 30YR 6.5% 03/01/2055#RJ3704                                                                  | CUSIP: 3142GUDJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     617014 | PA      | $642576.53    | 0.01%             | 2055-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| INVITATION HOMES OPERATING PARTNERSHIP LP                                          | INVITATION HOMES OPERATING PARTNERSHIP LP 4.15% 04/15/2032                                              | CUSIP: 46188BAD4<br>LEI: 549300147YMUQB3GW319 | Long             | DBT              | CORP              | US        |    1126000 | PA      | $1048959.25   | 0.02%             | 2032-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-VINO                                             | BX COMMERCIAL MORTGAGE TRUST 2021-VINO F TSFR1M+291.681 82 05/15/2038 144A                              | CUSIP: 05608KAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     633500 | PA      | $631322.34    | 0.01%             | 2038-05-15      | Variable      | 0.07%                 | 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        |    4288000 | PA      | $4350211.55   | 0.06%             | 2031-04-22      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                                                           | VISTRA OPERATIONS CO LLC 7.75% 10/15/2031 144A                                                          | CUSIP: 92840VAP7<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |     355000 | PA      | $376419.98    | 0.01%             | 2031-10-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| REDFIN CORPORATION                                                                 | REDFIN CORP CONV 0.5% 04/01/2027                                                                        | CUSIP: 75737FAE8<br>LEI: 549300HXWD3JEMZU3O57 | Long             | DBT              | CORP              | US        |    1423000 | PA      | $1264762.40   | 0.02%             | 2027-04-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 6/28 #251822                                                                                 | CUSIP: 31371GVP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         33 | PA      | $33.82        | 0.00%             | 2028-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BRANDYWINE OPER PARTNERSHIP LP                                                     | BRANDYWINE OPER PARTNERSHIP LP 4.55% 10/01/2029                                                         | CUSIP: 105340AP8<br>LEI: IXBXSCONLDQ1ZI73YU71 | Long             | DBT              | CORP              | US        |     260000 | PA      | $238964.70    | 0.00%             | 2029-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 07/51#BQ1010                                                                               | CUSIP: 3140KLDQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      70988 | PA      | $55836.58     | 0.00%             | 2051-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2019-IMC                                              | BX COMMERCIAL MORTGAGE TRUST 2019-IMC C TSFR1M+171.448 04/15/2034 144A                                  | CUSIP: 05608BAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     406000 | PA      | $398895.00    | 0.01%             | 2034-04-15      | Variable      | 0.06%                 | 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        |   19875000 | PA      | $20048908.24  | 0.29%             | 2055-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 2/40 #737007                                                                                 | CUSIP: 3620AQYC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3207 | PA      | $3154.87      | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WESTERN ALLIANCE BANCORPORATN                                                      | WESTERN ALLIANCE BANCORPORATN 3%/VAR 06/15/2031                                                         | CUSIP: 957638AD1<br>LEI: 5493003VJXZ5JXT9S762 | Long             | DBT              | CORP              | US        |     105000 | PA      | $96940.20     | 0.00%             | 2031-06-15      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| TKC HOLDINGS INC                                                                   | TKC HOLDINGS INC 10.5% 05/15/2029 144A                                                                  | CUSIP: 87256YAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1310000 | PA      | $1346695.72   | 0.02%             | 2029-05-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2015-H13 FL TSFR1M+39.448 05/63                                                                     | CUSIP: 38376RCN4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |       2943 | PA      | $2928.25      | 0.00%             | 2063-05-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2003-21 SK SOFR30A+798.552 3/33                                                                     | CUSIP: 31392JY37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        369 | PA      | $38.04        | 0.00%             | 2033-03-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 07/01/2051#FS5871                                                                          | CUSIP: 3140XMQZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22365 | PA      | $17521.47     | 0.00%             | 2051-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| TELENET FINANCE LUXEMBOURG NOTES SARL                                              | TELENET FINANCE LUXEMBOURG NOTES SARL 5.5% 03/01/2028 144A                                              | CUSIP: N/A<br>LEI: 2138007RI9GLJPCC3E25       | Long             | DBT              | CORP              | LU        |     400000 | PA      | $394000.00    | 0.01%             | 2028-03-01      | 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        |     233000 | PA      | $234094.22    | 0.00%             | 2043-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WASTE PRO USA INC                                                                  | WASTE PRO USA INC 7% 02/01/2033 144A                                                                    | CUSIP: 94107JAC7<br>LEI: 549300BY1QXU5BI3UF28 | Long             | DBT              | CORP              | US        |     330000 | PA      | $338358.57    | 0.00%             | 2033-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 6% 07/01/2055 #TBA                                                                            | CUSIP: 01F060675<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -19875000 | PA      | $-20048908.24 | -0.29%            | 2055-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UKRAINE GOVERNMENT                                                                 | UKRAINE GOVERNMENT STEP 02/01/2034 144A                                                                 | CUSIP: 903724CA8<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |     422544 | PA      | $205990.20    | 0.00%             | 2034-02-01      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| CONE TR 2024-DFW1                                                                  | CONE TR 2024-DFW1 E TSFR1M+388.79 08/15/2026 144A                                                       | CUSIP: 20682AAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     351000 | PA      | $348294.88    | 0.01%             | 2041-08-15      | Variable      | 0.08%                 | 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        |   11000000 | PA      | $10456979.28  | 0.15%             | 2030-02-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 03/01/2043#AR9089                                                                        | CUSIP: 3138W7C36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16331 | PA      | $14732.03     | 0.00%             | 2043-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HEALTHPEAK OP LLC                                                                  | HEALTHPEAK OP LLC 3.5% 07/15/2029                                                                       | CUSIP: 40414LAR0<br>LEI: PZ9HF5U52KPF0MH0QN75 | Long             | DBT              | CORP              | US        |     129000 | PA      | $123008.76    | 0.00%             | 2029-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 05/01/2040#V81750                                                                        | CUSIP: 3132L65K3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      35137 | PA      | $32814.83     | 0.00%             | 2040-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MYLAN INC                                                                          | MYLAN INC 4.55% 04/15/2028                                                                              | CUSIP: 628530BK2<br>LEI: 30ZMPDNA1RHIBH89C294 | Long             | DBT              | CORP              | US        |     450000 | PA      | $440227.22    | 0.01%             | 2028-04-15      | Fixed         | 0.05%                 | 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        |    2058084 | PA      | $2072266.91   | 0.03%             | 2049-05-16      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| EL SALVADOR REPUBLIC OF                                                            | EL SALVADOR REPUBLIC OF 9.25% 04/17/2030 144A                                                           | CUSIP: 283875CE0<br>LEI: 529900AKDMUSFSDOM949 | Long             | DBT              | NUSS              | SV        |     205000 | PA      | $214237.81    | 0.00%             | 2030-04-17      | Fixed         | 0.09%                 | 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        |   -7300000 | PA      | $-6214121.35  | -0.09%            | 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        |    2044000 | PA      | $2029947.50   | 0.03%             | 2036-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2% 02/01/2041#                                                                                | CUSIP: 31418DW65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16220 | PA      | $13772.28     | 0.00%             | 2041-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| PRM5 TR 2025-PRM5                                                                  | PRM5 TR 2025-PRM5 D VAR 02/10/2028 144A                                                                 | CUSIP: 693980AG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     164000 | PA      | $162219.78    | 0.00%             | 2033-03-10      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| ISRAEL, STATE OF                                                                   | ISRAEL STATE OF 3.375% 01/15/2050                                                                       | CUSIP: 46513JXN6<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |     270000 | PA      | $167184.00    | 0.00%             | 2050-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                              | JPMORGAN CHASE and CO 4.323%/VAR 04/26/2028                                                             | CUSIP: 46647PDA1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $4977930.65   | 0.07%             | 2028-04-26      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 5175 CB 2.5% 04/25/2050                                                  | CUSIP: 3137H4N30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     636995 | PA      | $545797.25    | 0.01%             | 2050-04-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| COSAN LUXEMBOURG SA                                                                | COSAN LUXEMBOURG SA 7.25% 06/27/2031 144A                                                               | CUSIP: 22112EAE8<br>LEI: 222100ZY943WERK7RZ38 | Long             | DBT              | CORP              | LU        |     465000 | PA      | $479531.25    | 0.01%             | 2031-06-27      | Fixed         | 0.07%                 | 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        |    5028000 | PA      | $5038619.14   | 0.07%             | 2037-07-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CONSOLIDATED ENERGY FINANCE SA                                                     | CONSOLIDATED ENERGY FINANCE SA 5.625% 10/15/2028 144A                                                   | CUSIP: 20914UAF3<br>LEI: 549300PUNIS0USNSL750 | Long             | DBT              | CORP              | LU        |     320000 | PA      | $258349.66    | 0.00%             | 2028-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2017-H1                                             | MORGAN STANLEY CAPITAL I TRUST 2017-H1 4.281% 06/15/2050                                                | CUSIP: 61691JBA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     442000 | PA      | $412244.34    | 0.01%             | 2050-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OMEGA HEALTHCARE INVESTORS INC                                                     | OMEGA HEALTHCARE INVESTORS INC 4.75% 01/15/2028                                                         | CUSIP: 681936BK5<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |    3349000 | PA      | $3351240.01   | 0.05%             | 2028-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 09/01/2046#FS2334                                                                          | CUSIP: 3140XHSY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4837675 | PA      | $4565654.90   | 0.07%             | 2046-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WESTERN GAS PARTNERS LP                                                            | WESTERN GAS PARTNERS LP 4.65% 07/01/2026                                                                | CUSIP: 958254AF1<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |     138000 | PA      | $137614.43    | 0.00%             | 2026-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 2.5% 01/01/2042#RB5142                                                                        | CUSIP: 3133KYWB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     247865 | PA      | $216289.87    | 0.00%             | 2042-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2022-LP2                                              | BX COMMERCIAL MORTGAGE TRUST 2022-LP2 F TSFR1M+325.78 02/15/2039 144A                                   | CUSIP: 05610HAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     945000 | PA      | $937321.87    | 0.01%             | 2039-02-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 1/28 #251410                                                                                 | CUSIP: 31371GGT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         18 | PA      | $18.56        | 0.00%             | 2028-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| KAZMUAIGAZ NATIONAL CO JSC                                                         | KAZMUNAYGAS NATIONAL CO JSC 3.5% 04/14/2033 144A                                                        | CUSIP: 48126PAA0<br>LEI: 2138001H1M69RFJCSH88 | Long             | DBT              | CORP              | KZ        |     195000 | PA      | $163739.55    | 0.00%             | 2033-04-14      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 05/01/2050#CA6009                                                                        | CUSIP: 3140QDVB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29766 | PA      | $26560.46     | 0.00%             | 2050-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AVANTOR FUNDING INC                                                                | AVANTOR FUNDING INC 4.625% 07/15/2028 144A                                                              | CUSIP: 05352TAA7<br>LEI: 5493003VM0XB4U8YD238 | Long             | DBT              | CORP              | US        |     195000 | PA      | $190050.49    | 0.00%             | 2028-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AMER SPORTS CO                                                                     | AMER SPORTS CO 6.75% 02/16/2031 144A                                                                    | CUSIP: 02352NAA7<br>LEI: 549300NRKH9WF70VFC95 | Long             | DBT              | CORP              | US        |     970000 | PA      | $1008523.94   | 0.01%             | 2031-02-16      | Fixed         | 0.07%                 | No            |                  2 | On Loan: —       |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 3.5% 02/34#G30703                                                                             | CUSIP: 3132J4AD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     253242 | PA      | $246327.23    | 0.00%             | 2034-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 2.5% 02/25/2046                                                          | CUSIP: 3136ARGN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    5431360 | PA      | $4625214.60   | 0.07%             | 2046-02-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 12/01/2032#BM5109                                                                          | CUSIP: 3140J9VB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     232111 | PA      | $224929.98    | 0.00%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| KENYA REPUBLIC OF                                                                  | KENYA REPUBLIC OF 6.3% 01/23/2034 144A                                                                  | CUSIP: 491798AL8<br>LEI: 549300VVURQQYU45PR87 | Long             | DBT              | NUSS              | KE        |     105000 | PA      | $83638.80     | 0.00%             | 2034-01-23      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 09/01/2047#CA0324                                                                        | CUSIP: 3140Q7LE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14874 | PA      | $14264.52     | 0.00%             | 2047-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PROJECT SILVER 2019                                                                | SILVER AIRCRAFT LEASE INVT LTD 2019-1 A 3.967% 07/15/2044 144A                                          | CUSIP: 827304AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     657534 | PA      | $634545.78    | 0.01%             | 2044-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UBS COML MTG TR 2017-C7                                                            | UBSCM 2017-C7 XA CSTR 12/50                                                                             | CUSIP: 90276WAT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1113394 | PA      | $23336.96     | 0.00%             | 2050-12-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| J P MORGAN CHASE COML MTG SECS TR 2018-WPT                                         | J P MORGAN CHASE COML MTG SECS TR 2018-WPT CFX 4.95% 07/05/2023 144A                                    | CUSIP: 46645WBC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     103000 | PA      | $78559.86     | 0.00%             | 2033-07-05      | Fixed         | 0.05%                 | 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        |    5093000 | PA      | $5181716.60   | 0.08%             | 2036-04-22      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 08/01/2052#SD4717                                                                          | CUSIP: 3132DSG22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     530887 | PA      | $414089.35    | 0.01%             | 2052-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 05/01/2051#SD8146                                                                          | CUSIP: 3132DWBP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3614139 | PA      | $2826919.41   | 0.04%             | 2051-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 04/01/2052#CB3313                                                                          | CUSIP: 3140QNVF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1255127 | PA      | $1159696.13   | 0.02%             | 2052-04-01      | Fixed         | 0.04%                 | 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        |    2210000 | PA      | $2230039.48   | 0.03%             | 2030-07-26      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/01/2040#AE7376                                                                          | CUSIP: 31419JFS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3224 | PA      | $3072.05      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CLEAR CHANNEL OUTDOOR HOLDINGS INC                                                 | CLEAR CHANNEL OUTDOOR HOLDINGS INC 9% 09/15/2028 144A                                                   | CUSIP: 18453HAE6<br>LEI: 254900XBEE6V1ENYS150 | Long             | DBT              | CORP              | US        |     300000 | PA      | $314201.40    | 0.00%             | 2028-09-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| KOSMOS ENERGY LTD                                                                  | KOSMOS ENERGY LTD 8.75% 10/01/2031 144A                                                                 | CUSIP: 500688AJ5<br>LEI: 213800YDFJ3OT9B5P157 | Long             | DBT              | CORP              | US        |    1010000 | PA      | $767812.10    | 0.01%             | 2031-10-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 1.5% 04/01/2036#MA4302                                                                        | CUSIP: 31418DX80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1514493 | PA      | $1333882.32   | 0.02%             | 2036-04-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 04/01/2046#Q40085                                                                        | CUSIP: 3132WDCX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      35894 | PA      | $32688.35     | 0.00%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 6/41 #Q01208                                                                                 | CUSIP: 3132GEKV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2206 | PA      | $2173.44      | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | 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        |    4916000 | PA      | $4904678.45   | 0.07%             | 2038-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 02/01/2052#CB2765                                                                          | CUSIP: 3140QNCB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4986852 | PA      | $3905307.30   | 0.06%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                                | GSCOFI SWAP CY873248 04/17/65 B                                                                         | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |     150000 | NC      | $25574.88     | 0.00%             |  |  |  | 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        |     331512 | PA      | $260339.26    | 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        |    6362001 | PA      | $5466487.33   | 0.08%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6.5% 08/01/2032#                                                                              | CUSIP: 31283HS89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        403 | PA      | $419.55       | 0.00%             | 2032-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SSE PLC                                                                            | SSE PLC 3.74%/VAR PERP REGS                                                                             | CUSIP: N/A<br>LEI: 549300KI75VYLLMSK856       | Long             | EP               | CORP              | GB        |     335000 | PA      | $444852.58    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINA REPUBLIC OF                                                              | ARGENTINA REPUBLIC OF STEP 01/09/2038                                                                   | CUSIP: 040114HU7<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |     825000 | PA      | $587482.50    | 0.01%             | 2038-01-09      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GO DADDY OPERATING CO LLC / GD FINANCE CO INC                                      | GO DADDY OPERATING CO LLC / GD FINANCE CO INC 3.5% 03/01/2029 144A                                      | CUSIP: 38016LAC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     430000 | PA      | $401382.81    | 0.01%             | 2029-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ARCHROCK PARTNERS L P / ARCHROCK PARTNERS FIN CORP                                 | ARCHROCK PARTNERS LP / FIN CORP 6.625% 09/01/2032 144A                                                  | CUSIP: 03959KAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     300000 | PA      | $301578.00    | 0.00%             | 2032-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| YPF SA                                                                             | YPF SA 8.25% 01/17/2034 144A                                                                            | CUSIP: 984245BB5<br>LEI: 5493003N7447U18U5U53 | Long             | DBT              | CORP              | AR        |     140000 | PA      | $137747.40    | 0.00%             | 2034-01-17      | Fixed         | 0.08%                 | 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        |    2215023 | PA      | $2215380.10   | 0.03%             | 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        |    2060000 | PA      | $2160414.89   | 0.03%             | 2027-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                                                               | COLOMBIA REPUBLIC OF 4.125% 05/15/2051                                                                  | CUSIP: 195325DT9<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |     200000 | PA      | $112000.00    | 0.00%             | 2051-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES LTD                                                        | ROYAL CARIBBEAN CRUISES LTD 5.625% 09/30/2031 144A                                                      | CUSIP: 780153BW1<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |    2100000 | PA      | $2075610.50   | 0.03%             | 2031-09-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/01/2040#AE7679                                                                          | CUSIP: 31419JQ92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8588 | PA      | $8180.10      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CLUE OPCO LLC                                                                      | CLUE OPCO LLC 9.5% 10/15/2031 144A                                                                      | CUSIP: 36267QAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     255000 | PA      | $262540.10    | 0.00%             | 2031-10-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: —       |
| ALTICE FING SA                                                                     | ALTICE FING SA 5.75% 08/15/2029 144A                                                                    | CUSIP: 02154CAH6<br>LEI: 549300DIYGW8HVDF7Q17 | Long             | DBT              | CORP              | LU        |    1790000 | PA      | $1368173.43   | 0.02%             | 2029-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 11/01/2050#RA3913                                                                        | CUSIP: 3133KKK24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3310716 | PA      | $2753561.97   | 0.04%             | 2050-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MILLICOM INTL CELLULAR SA                                                          | MILLICOM INTL CELLULAR SA 7.375% 04/02/2032 144A                                                        | CUSIP: 600814AS6<br>LEI: 549300CTHC1CP86P2G96 | Long             | DBT              | CORP              | LU        |     245000 | PA      | $247664.38    | 0.00%             | 2032-04-02      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| IVORY COAST (COTE D'IVOIRE)                                                        | IVORY COAST (COTE D'IVOIRE) 6.125% 06/15/2033 144A                                                      | CUSIP: 221625AN6<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |     560000 | PA      | $496825.00    | 0.01%             | 2033-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                                                           | COREBRIDGE FINANCIAL INC 3.65% 04/05/2027                                                               | CUSIP: 21871XAD1<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |    1551000 | PA      | $1526499.21   | 0.02%             | 2027-04-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 12/01/2030#ZS8591                                                                          | CUSIP: 3132A9RL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      45032 | PA      | $43739.14     | 0.00%             | 2030-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 7/39 #931506                                                                                 | CUSIP: 31412P3P4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2583 | PA      | $2543.32      | 0.00%             | 2039-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 4.898% 5/35 #995272                                                                            | CUSIP: 31416BT57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1074 | PA      | $1101.28      | 0.00%             | 2035-05-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| MOHEGAN TRIBAL GAMING AUTHORITY / MS DIGITAL ENTERTAINMENT HOLDINGS LLC            | MOHEGAN TRIBAL GAMING AUTHORITY / MS DIGITAL ENTERTAINMENT HOLDINGS LLC 8.25% 04/15/2030 144A           | CUSIP: 60832QAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     370000 | PA      | $376526.06    | 0.01%             | 2030-04-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 07/01/2047#BE8819                                                                          | CUSIP: 3140FUYR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      70770 | PA      | $66202.06     | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FLATIRON CLO 20 LTD / FLATIRON CLO 20 LLC                                          | FLATIRON CLO 20 LTD / LLC AR TSFR3M+138 05/20/2036 144A                                                 | CUSIP: 33883MAJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4613000 | PA      | $4621008.17   | 0.07%             | 2036-05-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| Fidelity Central Investment Portfolios LLC                                         | Fidelity Floating Rate Central Fund                                                                     | CUSIP: 31606V708<br>LEI: S2V1M15I679NQK6BNY65 | Long             | EC               | RF                | US        |    3981378 | NS      | $382411349.70 | 5.56%             |  |  |  | No            |                  1 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 10/01/2033#                                                                                | CUSIP: 31296PYK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        919 | PA      | $925.16       | 0.00%             | 2033-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 10/40 #A94662                                                                                | CUSIP: 312943FB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3442 | PA      | $3382.86      | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHS/CMNTY HEALTH SYSTEMS INC                                                       | CHS/CMNTY HEALTH SYSTEMS INC 5.25% 05/15/2030 144A                                                      | CUSIP: 12543DBM1<br>LEI: 5493007X5NC5XI1BB106 | Long             | DBT              | CORP              | US        |    2260000 | PA      | $2035233.64   | 0.03%             | 2030-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2023-SMRT                                      | CITIGROUP COMMERCIAL MORTGAGE TRUST 2023-SMRT C 6.43808% 06/10/2028 144A                                | CUSIP: 17291NAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     150000 | PA      | $151005.29    | 0.00%             | 2040-10-12      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                                      | TRANSDIGM INC 6.375% 03/01/2029 144A                                                                    | CUSIP: 893647BU0<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |    1155000 | PA      | $1173823.04   | 0.02%             | 2029-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 2.5% 09/20/2051#785619                                                                          | CUSIP: 3622ABDY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     834228 | PA      | $693210.51    | 0.01%             | 2051-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BRAND INDUSTRIAL SERVICES INC                                                      | BRANDSAFWAY TERM B 1LN 08/01/2030                                                                       | CUSIP: 10524MAS6<br>LEI: 549300B658W2BPDQMW42 | Long             | LON              | CORP              | US        |    1462928 | PA      | $1216058.73   | 0.02%             | 2030-08-01      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| SEAGATE HDD CAYMAN                                                                 | SEAGATE HDD CAYMAN 5.75% 12/01/2034                                                                     | CUSIP: 81180WAN1<br>LEI: 529900BD50TRWEG1SF63 | Long             | DBT              | CORP              | KY        |     350000 | PA      | $343632.24    | 0.00%             | 2034-12-01      | Fixed         | 0.06%                 | 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        |     524000 | PA      | $535053.78    | 0.01%             | 2041-01-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BEECHWOOD PARK CLO LTD                                                             | BEECHWOOD PARK CLO LTD A1R TSFR3M+130 01/17/2035 144A                                                   | CUSIP: 07355TAU6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2268000 | PA      | $2273288.98   | 0.03%             | 2035-01-17      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 1/28 #413862                                                                                 | CUSIP: 31379AWX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         50 | PA      | $51.32        | 0.00%             | 2028-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2011-H05 FA TSFR1M+61.448 12/60                                                                     | CUSIP: 38375BKD3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      67161 | PA      | $67402.46     | 0.00%             | 2060-12-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                                                       | ECOPETROL SA 8.375% 01/19/2036                                                                          | CUSIP: 279158AV1<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |     115000 | PA      | $109369.60    | 0.00%             | 2036-01-19      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 06/01/2053#CB6642                                                                        | CUSIP: 3140QSLY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     353592 | PA      | $354137.58    | 0.01%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 10/01/2048#G67716                                                                        | CUSIP: 3132XCSD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      80251 | PA      | $77388.07     | 0.00%             | 2048-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                                   | ALTRIA GROUP INC 4.25% 08/09/2042                                                                       | CUSIP: 02209SAM5<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |     932000 | PA      | $738458.13    | 0.01%             | 2042-08-09      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| POLAND REPUBLIC OF                                                                 | POLAND REPUBLIC OF 5.75% 11/16/2032                                                                     | CUSIP: 857524AE2<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |     175000 | PA      | $182446.25    | 0.00%             | 2032-11-16      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 11/01/2034#FS1799                                                                          | CUSIP: 3140XG7M5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      88417 | PA      | $85908.96     | 0.00%             | 2034-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 6.00% 11/31 #003160                                                                             | CUSIP: 36202DQM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        442 | PA      | $452.63       | 0.00%             | 2031-11-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2002-63 FN SOFR30A+111.448 10/32                                                                    | CUSIP: 31392ED23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        409 | PA      | $411.68       | 0.00%             | 2032-10-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                    | CVS HEALTH CORP 5.125% 02/21/2030                                                                       | CUSIP: 126650DT4<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    4000000 | PA      | $4022796.36   | 0.06%             | 2030-02-21      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GNR 2008-83 FB TSFR1M+101.448 9/38                                                                      | CUSIP: 38375YFB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      35287 | PA      | $35686.57     | 0.00%             | 2038-09-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| AMPRION GMBH                                                                       | AMPRION GMBH 3.625% 05/21/2031 REGS                                                                     | CUSIP: N/A<br>LEI: 529900ZIV0ETYHYZM863       | Long             | DBT              | CORP              | DE        |     100000 | PA      | $116065.10    | 0.00%             | 2031-05-21      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PG and E CORP                                                                      | PG and E CORP 7.375%/VAR 03/15/2055                                                                     | CUSIP: 69331CAM0<br>LEI: 8YQ2GSDWYZXO2EDN3511 | Long             | DBT              | CORP              | US        |     600000 | PA      | $587529.06    | 0.01%             | 2055-03-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 12/01/2051#CB2446                                                                        | CUSIP: 3140QMWG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50614 | PA      | $45194.82     | 0.00%             | 2051-12-01      | Fixed         | 0.04%                 | 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        |    2074145 | PA      | $2095877.17   | 0.03%             | 2055-01-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 12/01/2051#QD3162                                                                          | CUSIP: 3133B0QP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      25077 | PA      | $19559.70     | 0.00%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COML MTG TR 2020-420K                                                    | CITIGROUP COML MTG TR 2020-420K D CSTR 11/10/2042 144A                                                  | CUSIP: 17328QAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     775000 | PA      | $672079.69    | 0.01%             | 2042-11-10      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 3.859% 11/25/2028                                                        | CUSIP: 3137FKSH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2100000 | PA      | $2072113.26   | 0.03%             | 2028-11-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2010-150 ZC 4.75% 01/41                                                                             | CUSIP: 31397QAV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      69709 | PA      | $68524.64     | 0.00%             | 2041-01-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS INC                                                          | ROGERS COMMUNICATIONS INC 7%/VAR 04/15/2055                                                             | CUSIP: 775109DG3<br>LEI: 5493000M6Z4XFIP6PF03 | Long             | DBT              | CORP              | CA        |     184000 | PA      | $185440.25    | 0.00%             | 2055-04-15      | Variable      | 0.07%                 | 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        |    4209957 | PA      | $3476474.77   | 0.05%             | 2050-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 15YR 5.5% 06/01/2040 #TBA                                                                          | CUSIP: 01F052466<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   14075000 | PA      | $14275133.83  | 0.21%             | 2040-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN 2014 SER 4314 A1 5% 03/15/2034                                                          | CUSIP: 3137B9ED3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |         31 | PA      | $0.20         | 0.00%             | 2034-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 06/01/2050#CA6106                                                                          | CUSIP: 3140QDYC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1348319 | PA      | $1249911.27   | 0.02%             | 2050-06-01      | Fixed         | 0.04%                 | 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        |    2688000 | PA      | $2688000.00   | 0.04%             | 2040-11-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.50% 5/40 #004696                                                                              | CUSIP: 36202FGD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2373 | PA      | $2335.54      | 0.00%             | 2040-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SYDNEY FUTURES EXCHANGE LTD                                                        | AUST 10Y BOND FUT JUN25 XMM5                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | AU        |         10 | NC      | $-5098.18     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 2.875% 04/30/2029                                                                             | CUSIP: 91282CEM9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5411700 | PA      | $5209184.01   | 0.08%             | 2029-04-30      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 08/01/2050#SD7523                                                                        | CUSIP: 3132DVLC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1231497 | PA      | $1022711.54   | 0.01%             | 2050-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                          | BOEING CO 5.705% 05/01/2040                                                                             | CUSIP: 097023CV5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     720000 | PA      | $694797.20    | 0.01%             | 2040-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| APOLLO AVIATION SECURITIZATION EQUITY TRUST                                        | APOLLO AVIATION SECURITIZATION EQUITY TRUST 3.351% 01/16/2040 144A                                      | CUSIP: 00255UAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     135563 | PA      | $131497.15    | 0.00%             | 2040-01-16      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ADMIRAL GROUP PLC                                                                  | ADMIRAL GROUP PLC 8.5% 01/06/2034 REGS                                                                  | CUSIP: N/A<br>LEI: 213800FGVM7Z9EJB2685       | Long             | DBT              | CORP              | GB        |     385000 | PA      | $579958.02    | 0.01%             | 2034-01-06      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                 | ENERGY TRANSFER LP 6.625%/VAR PERP                                                                      | CUSIP: 29273VAJ9<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | EP               | CORP              | US        |    2550000 | PA      | $2511474.86   | 0.04%             |  |  |  | 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        |  -21175000 | PA      | $-17256794.94 | -0.25%            | 2055-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 01/01/2052#                                                                              | CUSIP: 31418EAQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     378648 | PA      | $338105.72    | 0.00%             | 2052-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LBA TR 2024-7IND                                                                   | LBA TR 2024-7IND D TSFR1M+264.1 10/15/2041 144A                                                         | CUSIP: 52109XAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     550000 | PA      | $549312.50    | 0.01%             | 2041-10-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                                | PETROLEOS MEXICANOS 6.84% 01/23/2030                                                                    | CUSIP: 71654QDC3<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    1532000 | PA      | $1432343.40   | 0.02%             | 2030-01-23      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 10/01/2045#Q37045                                                                          | CUSIP: 3132QTZK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2979 | PA      | $2792.45      | 0.00%             | 2045-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PEACE PARK CLO LTD                                                                 | PEACE PARK CLO LTD A TSFR3M+139.161 10/20/2034 144A                                                     | CUSIP: 70470MAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1254000 | PA      | $1254927.96   | 0.02%             | 2034-10-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 01/01/2052#CB2610                                                                          | CUSIP: 3140QM3U6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      65966 | PA      | $51659.19     | 0.00%             | 2052-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ORGANON and CO / ORGANON FOREIGN DEBT CO-ISSUER BV                                 | ORGANON and CO / ORGANON FOREIGN DEBT CO-ISSUER BV 7.875% 05/15/2034 144A                               | CUSIP: 68622FAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     250000 | PA      | $215613.01    | 0.00%             | 2034-05-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: —       |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 1.5% 07/01/2036#MA4382                                                                        | CUSIP: 31418D2Q4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16155 | PA      | $14203.56     | 0.00%             | 2036-07-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GEN DIGITAL INC                                                                    | GEN DIGITAL INC 6.25% 04/01/2033 144A                                                                   | CUSIP: 668771AM0<br>LEI: YF6ZV0M6AU4FY94MK914 | Long             | DBT              | CORP              | US        |     455000 | PA      | $460051.87    | 0.01%             | 2033-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AIB GROUP PLC                                                                      | AIB GROUP PLC EUSA5+NA PERP REGS                                                                        | CUSIP: N/A<br>LEI: 635400AKJBGNS5WNQL34       | Long             | EP               | CORP              | IE        |     200000 | PA      | $227503.30    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| KBC GROUPE SA/NV                                                                   | KBC GROUPE SA/NV 3.5%/VAR 01/21/2032 REGS                                                               | CUSIP: N/A<br>LEI: 213800X3Q9LSAKRUWY91       | Long             | DBT              | CORP              | BE        |     500000 | PA      | $574302.09    | 0.01%             | 2032-01-21      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BRASKEM IDESA SAPI                                                                 | BRASKEM IDESA SAPI 7.45% 11/15/2029 144A                                                                | CUSIP: 10554NAA6<br>LEI: YH0V7ZHY352ITDGEYB83 | Long             | DBT              | CORP              | MX        |     300000 | PA      | $240000.00    | 0.00%             | 2029-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 09/01/2050#SI2075                                                                          | CUSIP: 3133USJU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      90529 | PA      | $70923.72     | 0.00%             | 2050-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 8/36 #AE0746                                                                                 | CUSIP: 31419AZL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28666 | PA      | $29837.26     | 0.00%             | 2036-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIAN OIL COMPANY                                                          | SAUDI ARABIAN OIL COMPANY 3.5% 11/24/2070 144A                                                          | CUSIP: 80414L2M6<br>LEI: 5586006WD91QHB7J4X50 | Long             | DBT              | CORP              | SA        |     135000 | PA      | $79143.75     | 0.00%             | 2070-11-24      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 08/01/2043#Q20707                                                                        | CUSIP: 3132JMYC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5220 | PA      | $4940.36      | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 09/01/2050#RA3524                                                                          | CUSIP: 3133KJ4H2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     330227 | PA      | $260052.46    | 0.00%             | 2050-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BOFA AUTO TRUST 2025-1                                                             | BOFA AUTO TRUST 2025-1 4.35% 11/20/2029 144A                                                            | CUSIP: 05594BAD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1000000 | PA      | $999413.20    | 0.01%             | 2029-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TURKEY REPUBLIC OF                                                                 | TURKEY REPUBLIC OF 6.625% 02/17/2045                                                                    | CUSIP: 900123CG3<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |     200000 | PA      | $162637.00    | 0.00%             | 2045-02-17      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MAGNETITE XXI LTD 2019-21A A                                                       | MAGNETITE XXI LTD 2019-21A A AR TSFR3M+128.161 04/20/2034 144A                                          | CUSIP: 55954PAN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1158000 | PA      | $1158632.27   | 0.02%             | 2034-04-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| RIVIAN HOLDCO and RIVIAN LLC and RIVIAN AUTOMOTIVE LLC                             | RIVIAN HOLDCO and RIVIAN LLC and RIVIAN AUTOMOTIVE LLC FRN TSFR6M+605.326 10/15/2026 144A               | CUSIP: 76954LAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     640000 | PA      | $643200.00    | 0.01%             | 2026-10-15      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| OMAN SULTANATE                                                                     | OMAN SULTANATE 6.5% 03/08/2047 144A                                                                     | CUSIP: 682051AF4<br>LEI: 549300SZ20F0QTKNQC75 | Long             | DBT              | NUSS              | OM        |     170000 | PA      | $166018.60    | 0.00%             | 2047-03-08      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ICAHN ENTERPRISES LP / ICAHN ENTERPRISES FIN CORP                                  | ICAHN ENTERPRISES LP/FIN CORP 6.25% 05/15/2026                                                          | CUSIP: 451102BT3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1751000 | PA      | $1734594.18   | 0.03%             | 2026-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BX TR 2025-TAIL                                                                    | BX TR 2025-TAIL D TSFR1M+245 06/15/2035 144A                                                            | CUSIP: 123912AG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     528000 | PA      | $528000.00    | 0.01%             | 2035-06-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| REYNOLDS AMERICAN INC                                                              | REYNOLDS AMERICAN INC 7.25% 06/15/2037                                                                  | CUSIP: 761713AT3<br>LEI: 02S2RPPVO9RP4NEU2740 | Long             | DBT              | CORP              | US        |      75000 | PA      | $82577.79     | 0.00%             | 2037-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GMF FLOORPLAN OWNER REVOLVING TR                                                   | GMF FLOORPLAN OWNER REVOLVING TR 4.59% 03/15/2029 144A                                                  | CUSIP: 361886DV3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2255000 | PA      | $2258004.79   | 0.03%             | 2029-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 12/01/2054#QX0383                                                                          | CUSIP: 31425UM93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2695347 | PA      | $2623856.02   | 0.04%             | 2054-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 4/41 #734392                                                                                 | CUSIP: 3620AM2Z4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2524 | PA      | $2534.55      | 0.00%             | 2041-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                        | BNPI SWAP CDS 06/20/30 BMW B                                                                            | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DCR              | CORP              | FR        |    1500000 | NC      | $-34885.11    | -0.00%            |  |  |  | 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        |    5646698 | PA      | $5595285.65   | 0.08%             | 2050-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/01/2048#CA2631                                                                          | CUSIP: 3140Q94R1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26897 | PA      | $25018.30     | 0.00%             | 2048-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GABONESE REPUBLIC                                                                  | GABONESE REPUBLIC 7% 11/24/2031 144A                                                                    | CUSIP: 362420AE1<br>LEI: N/A                  | Long             | DBT              | NUSS              | GA        |     260000 | PA      | $193395.80    | 0.00%             | 2031-11-24      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 1/40 #AD0732                                                                                 | CUSIP: 31418MY63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6269 | PA      | $6576.54      | 0.00%             | 2040-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WESCO DISTRIBUTION INC                                                             | WESCO DISTRIBUTION INC 6.375% 03/15/2033 144A                                                           | CUSIP: 95081QAS3<br>LEI: 549300I2CEZJG9N4AH67 | Long             | DBT              | CORP              | US        |     565000 | PA      | $575488.10    | 0.01%             | 2033-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 10/40 #682568                                                                                | CUSIP: 36295WJM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9209 | PA      | $8845.23      | 0.00%             | 2040-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 1.5% 11/01/2035#BQ5806                                                                        | CUSIP: 3140KRNY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     212209 | PA      | $187167.72    | 0.00%             | 2035-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.125% 03/31/2032                                                                             | CUSIP: 91282CMT5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   70000000 | PA      | $69857812.50  | 1.02%             | 2032-03-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 10/01/2052#CB4909                                                                        | CUSIP: 3140QQN35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     994748 | PA      | $993795.83    | 0.01%             | 2052-10-01      | 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        |     138000 | PA      | $145841.56    | 0.00%             | 2054-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BALL CORP                                                                          | BALL CORP 6% 06/15/2029                                                                                 | CUSIP: 058498AZ9<br>LEI: 0BGI85ALH27ZJP15DY16 | Long             | DBT              | CORP              | US        |     357000 | PA      | $363999.34    | 0.01%             | 2029-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 01/01/2032#                                                                                | CUSIP: 31287NUQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        167 | PA      | $172.42       | 0.00%             | 2032-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| LGI HOMES INC                                                                      | LGI HOMES INC 8.75% 12/15/2028 144A                                                                     | CUSIP: 50187TAH9<br>LEI: 549300W02B4WNV8CV109 | Long             | DBT              | CORP              | US        |     251000 | PA      | $258315.90    | 0.00%             | 2028-12-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 12/1/42 #AL3046                                                                          | CUSIP: 3138EKL45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19361 | PA      | $17501.93     | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TENET HEALTHCARE CORP                                                              | TENET HEALTHCARE CORP 4.625% 06/15/2028                                                                 | CUSIP: 88033GDH0<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |    2525000 | PA      | $2475957.05   | 0.04%             | 2028-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 11/01/2041#MA4475                                                                        | CUSIP: 31418D6M9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     162988 | PA      | $142427.40    | 0.00%             | 2041-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 04/01/2052#FS8772                                                                        | CUSIP: 3140XQXA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1375244 | PA      | $1131773.08   | 0.02%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| OWENS and MINOR INC                                                                | OWENS and MINOR INC 10% 04/15/2030 144A                                                                 | CUSIP: 690732AH5<br>LEI: 549300LMT5KQQXCEZ733 | Long             | DBT              | CORP              | US        |     705000 | PA      | $736361.22    | 0.01%             | 2030-04-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| EATON VANCE CLO 2013-1 LTD / EATON VANCE CLO 2013-1 LLC                            | EATON VANCE CLO 2013-1 LTD / EATON VANCE CLO 2013-1 LLC A13R TSFR3M+151.161 01/15/2034 144A             | CUSIP: 27830BBN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4175000 | PA      | $4178828.48   | 0.06%             | 2034-01-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.25% 01/31/2030                                                                              | CUSIP: 91282CMG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   69000000 | PA      | $69851718.75  | 1.02%             | 2030-01-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 5.5% 10/15/2033                                                          | CUSIP: 31394KF41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       7575 | PA      | $7675.17      | 0.00%             | 2033-10-15      | 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        |     689159 | PA      | $637405.11    | 0.01%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 07/01/2041#CB1074                                                                        | CUSIP: 3140QLFQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      82959 | PA      | $73051.69     | 0.00%             | 2041-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2023-XL3                                                            | BX COML MTG TR 2023-XL3 B TSFR1M+239.052 12/09/2040 144A                                                | CUSIP: 12434GAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     278527 | PA      | $279310.80    | 0.00%             | 2040-12-09      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA REPUBLIC OF                                                           | SOUTH AFRICA REPUBLIC OF 5% 10/12/2046                                                                  | CUSIP: 836205AV6<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |     200000 | PA      | $134500.00    | 0.00%             | 2046-10-12      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 10/15/2040#705890                                                                        | CUSIP: 36297AF73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9680 | PA      | $9291.54      | 0.00%             | 2040-10-15      | Fixed         | 0.04%                 | 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        |     252000 | PA      | $255784.11    | 0.00%             | 2063-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CORPORACION NACIONAL DEL COBRE DE CHILE                                            | CORPORACION NACIONAL DEL COBRE DE CHILE 6.78% 01/13/2055 144A                                           | CUSIP: 21987BBM9<br>LEI: 549300UVMBCBCIPSUI70 | Long             | DBT              | CORP              | CL        |     200000 | PA      | $198750.00    | 0.00%             | 2055-01-13      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GFL ENVIRONMENTAL INC                                                              | GFL ENVIRONMENTAL INC 3.5% 09/01/2028 144A                                                              | CUSIP: 36168QAM6<br>LEI: 5493008HF9XC5H29ZX61 | Long             | DBT              | CORP              | CA        |     265000 | PA      | $252428.50    | 0.00%             | 2028-09-01      | 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        |    2194872 | PA      | $1896553.88   | 0.03%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DIAMETER CAP CLO 7 LTD / DIAMETER CAP CLO 7 LLC                                    | DIAMETER CAP CLO 7 LTD / DIAMETER CAP CLO 7 LLC D TSFR3M+610 07/20/2037 144A                            | CUSIP: 25255XAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $250772.50    | 0.00%             | 2037-07-20      | Variable      | 0.10%                 | 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        |    3133355 | PA      | $3265858.71   | 0.05%             | 2054-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UNIVISION COMMUNICATIONS INC                                                       | UNIVISION COMMUNICATIONS INC 7.375% 06/30/2030 144A                                                     | CUSIP: 914906AX0<br>LEI: 549300YQDE2JSGTL8V47 | Long             | DBT              | CORP              | US        |    1820000 | PA      | $1701463.40   | 0.02%             | 2030-06-30      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CHESAPEAKE FUNDING II LLC                                                          | CHESAPEAKE FUNDING II LLC 6.16% 10/15/2035 144A                                                         | CUSIP: 165183CZ5<br>LEI: 5493000HT7H4OFOD6Z12 | Long             | ABS-CBDO         | CORP              | US        |     387569 | PA      | $392258.64    | 0.01%             | 2035-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM 30YR 6.5% 02/01/2055#RJ3572                                                                        | CUSIP: 3142GT6J0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     263369 | PA      | $275350.10    | 0.00%             | 2055-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.50% 4/32 #C01343                                                                                 | CUSIP: 31292HP40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        103 | PA      | $107.46       | 0.00%             | 2032-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 21-66 DM 2% 01/25/2048                                                   | CUSIP: 3136BG6Y2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     133481 | PA      | $109166.10    | 0.00%             | 2048-01-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| EGYPT, (ARAB) REPUBLIC OF                                                          | EGYPT (ARAB) REPUBLIC OF 7.903% 02/21/2048 144A                                                         | CUSIP: 03846JW55<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |     200000 | PA      | $144780.00    | 0.00%             | 2048-02-21      | Fixed         | 0.08%                 | 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        |    1757165 | PA      | $1626063.14   | 0.02%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.264% 08/01/2041#AL6552                                                                      | CUSIP: 3138EPH64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20576 | PA      | $20646.36     | 0.00%             | 2041-08-01      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 09/01/2051#RA5931                                                                          | CUSIP: 3133KMSU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      57892 | PA      | $45716.49     | 0.00%             | 2051-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CY873245 04/17/65 S                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     500000 | NC      | $-6156.85     | -0.00%            |  |  |  | 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        |    5775975 | PA      | $5881091.97   | 0.09%             | 2054-07-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 2.5% 09/25/2048                                                          | CUSIP: 3136BKUC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     538766 | PA      | $467688.05    | 0.01%             | 2048-09-25      | Fixed         | 0.03%                 | 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        |     675170 | PA      | $555639.37    | 0.01%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 4.893% 10/35 #847787                                                                           | CUSIP: 31408C2U9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2603 | PA      | $2655.40      | 0.00%             | 2035-10-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FLYNN RESTAURANT GROUP LP                                                          | FLYNN RESTAURANT TERM B 1LN 01/28/2032                                                                  | CUSIP: 34410JAG6<br>LEI: 5493008VE8TQONGO3817 | Long             | LON              | CORP              | US        |     425000 | PA      | $421175.00    | 0.01%             | 2032-01-28      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6.5% 01/01/2054#SD4623                                                                        | CUSIP: 3132DSD41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1608319 | PA      | $1666657.10   | 0.02%             | 2054-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 1.5% 03/01/2041#RB5104                                                                        | CUSIP: 3133KYU56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      56287 | PA      | $46356.45     | 0.00%             | 2041-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| WESTERN GAS PARTNERS LP                                                            | WESTERN GAS PARTNERS LP 4.5% 03/01/2028                                                                 | CUSIP: 958254AH7<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |     200000 | PA      | $196993.58    | 0.00%             | 2028-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 09/01/2043#AL5059                                                                        | CUSIP: 3138EMTR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33622 | PA      | $30288.08     | 0.00%             | 2043-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ADT SECURITY CORP/THE                                                              | ADT SECURITY CORP/THE 4.125% 08/01/2029 144A                                                            | CUSIP: 00109LAA1<br>LEI: 5493009JEEDYLVRA0J13 | Long             | DBT              | CORP              | US        |     180000 | PA      | $171663.37    | 0.00%             | 2029-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 1/36 #745154                                                                                 | CUSIP: 31403CZT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        334 | PA      | $348.43       | 0.00%             | 2036-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 07/01/2054#FS8456                                                                        | CUSIP: 3140XQME4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3316758 | PA      | $3309436.33   | 0.05%             | 2054-07-01      | Fixed         | 0.06%                 | 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        |    2412069 | PA      | $2416144.68   | 0.04%             | 2050-02-16      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 07/01/2031#V61246                                                                        | CUSIP: 3132KFL34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24617 | PA      | $23647.13     | 0.00%             | 2031-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2012-H07 FA TSFR1M+74.448 3/20/62                                                                   | CUSIP: 38375BQA3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      46834 | PA      | $47078.64     | 0.00%             | 2062-03-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 5% 04/48#784805                                                                                 | CUSIP: 3622AAGN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     152693 | PA      | $152062.99    | 0.00%             | 2048-04-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.5% 01/01/2055#CB9828                                                                        | CUSIP: 3140QV4N1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3503492 | PA      | $3651921.69   | 0.05%             | 2055-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 5.5% 08/25/2035                                                          | CUSIP: 31394EWW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      26544 | PA      | $27337.56     | 0.00%             | 2035-08-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2% 11/01/2041#FS0106                                                                          | CUSIP: 3140XFDL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     471840 | PA      | $398133.54    | 0.01%             | 2041-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 04/15/2043#AA6309                                                                        | CUSIP: 36178EAJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7340 | PA      | $6774.26      | 0.00%             | 2043-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| KRONOS ACQUISITION HOLDINGS INC                                                    | KRONOS ACQUISITION HOLDINGS INC 10.75% 06/30/2032 144A                                                  | CUSIP: 50106GAJ1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     150000 | PA      | $100139.81    | 0.00%             | 2032-06-30      | Fixed         | 0.11%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2% 05/01/2036#SB8512                                                                          | CUSIP: 3132D6N55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      39441 | PA      | $35937.53     | 0.00%             | 2036-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 2/28 #251500                                                                                 | CUSIP: 31371GKM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          3 | PA      | $2.92         | 0.00%             | 2028-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2024-GPA2                                             | BX COMMERCIAL MORTGAGE TRUST 2024-GPA2 VAR 11/15/2029 144A                                              | CUSIP: 12433DAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1250000 | PA      | $1245784.88   | 0.02%             | 2041-11-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| COMMSCOPE INC                                                                      | COMMSCOPE INC 9.5% 12/15/2031 144A                                                                      | CUSIP: 20338MAA0<br>LEI: 549300Z6K4JXMFE8QY54 | Long             | DBT              | CORP              | US        |     600000 | PA      | $623650.80    | 0.01%             | 2031-12-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 01/01/2035#FM2286                                                                          | CUSIP: 3140X5RG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     200829 | PA      | $191125.44    | 0.00%             | 2035-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PARTNERSHIP LP                                                   | BRIXMOR OPERATING PARTNERSHIP LP 4.125% 05/15/2029                                                      | CUSIP: 11120VAH6<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1945881.62   | 0.03%             | 2029-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CARVANA CO                                                                         | CARVANA CO 5.625% 10/01/2025 144A                                                                       | CUSIP: 146869AB8<br>LEI: 5493003WEAK2PJ5WS063 | Long             | DBT              | CORP              | US        |    1970000 | PA      | $1958066.13   | 0.03%             | 2025-10-01      | Fixed         | 0.06%                 | 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        |    -200000 | PA      | $-193648.38   | -0.00%            | 2055-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 7/40 #A93142                                                                                 | CUSIP: 312941P35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4271 | PA      | $4209.12      | 0.00%             | 2040-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MEDCO LAUREL TREE PTE LTD                                                          | MEDCO LAUREL TREE PTE LTD 6.95% 11/12/2028 144A                                                         | CUSIP: 58406RAA6<br>LEI: 254900SX7FFGRREZD046 | Long             | DBT              | CORP              | SG        |     325000 | PA      | $319130.50    | 0.00%             | 2028-11-12      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.0% 08/45#AS5634                                                                                  | CUSIP: 3138WFHL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15063 | PA      | $13279.60     | 0.00%             | 2045-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 02/01/2052#QD6619                                                                          | CUSIP: 3133B4K87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20318 | PA      | $18963.82     | 0.00%             | 2052-02-01      | Fixed         | 0.04%                 | 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        |    1833060 | PA      | $1764841.49   | 0.03%             | 2061-03-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2% 07/01/2041#FM8066                                                                          | CUSIP: 3140XB6C9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     342454 | PA      | $289066.98    | 0.00%             | 2041-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 09/01/2054#CB9149                                                                          | CUSIP: 3140QVEX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     480486 | PA      | $492617.31    | 0.01%             | 2054-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 02/01/2033#ZS8686                                                                          | CUSIP: 3132A9UK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15182 | PA      | $14636.89     | 0.00%             | 2033-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 3.417% 12/01/2040#848392                                                                       | CUSIP: 31300LKD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13157 | PA      | $13631.14     | 0.00%             | 2040-12-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| BARRY CALLEBAUT SVCS NV                                                            | BARRY CALLEBAUT SVCS NV 4.25% 08/19/2031 REGS                                                           | CUSIP: N/A<br>LEI: 213800R1F1EJYM4ICO85       | Long             | DBT              | CORP              | BE        |     500000 | PA      | $571771.74    | 0.01%             | 2031-08-19      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OLEODUCTO CENTRAL SA                                                               | OLEODUCTO CENTRAL SA 4% 07/14/2027 144A                                                                 | CUSIP: 680617AC1<br>LEI: 254900W4CPYCQFVH5E92 | Long             | DBT              | CORP              | CO        |     195000 | PA      | $188845.80    | 0.00%             | 2027-07-14      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 12/01/2051#SD8184                                                                          | CUSIP: 3132DWCV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     221029 | PA      | $189640.76    | 0.00%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JPMORGAN SECURITIES LLC                                                            | MNGT SWAP CY873248 04/17/65 B                                                                           | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |      90000 | NC      | $15344.93     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TURKEY REPUBLIC OF                                                                 | TURKEY REPUBLIC OF 6% 01/14/2041                                                                        | CUSIP: 900123BJ8<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |     470000 | PA      | $372898.00    | 0.01%             | 2041-01-14      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BX 2021-VOLT                                                                       | BX 2021-VOLT E TSFR1M+211.448 09/15/2036 144A                                                           | CUSIP: 05609VAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $992500.00    | 0.01%             | 2036-09-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| NEWELL BRANDS INC                                                                  | NEWELL BRANDS INC STEP 04/01/2046                                                                       | CUSIP: 651229AY2<br>LEI: 549300LWGYFM1TVO1Z12 | Long             | DBT              | CORP              | US        |     290000 | PA      | $235792.91    | 0.00%             | 2046-04-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: —       |
| WELLS FARGO COML MTG TR 2025-VTT                                                   | WELLS FARGO COML MTG TR 2025-VTT A VAR 03/15/2038 144A                                                  | CUSIP: 94990GAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3206000 | PA      | $3196466.32   | 0.05%             | 2038-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ESKOM HLDGS LTD                                                                    | ESKOM HLDGS LTD 8.45% 08/10/2028 144A                                                                   | CUSIP: 29646AAD8<br>LEI: 3789001900ED06F65111 | Long             | DBT              | CORP              | ZA        |     220000 | PA      | $227287.50    | 0.00%             | 2028-08-10      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| STATE OIL COMPANY OF THE AZERBAIJAN REPUBLIC                                       | STATE OIL CO OF THE AZER 6.95% 03/18/2030 REGS                                                          | CUSIP: N/A<br>LEI: 2549002HARR1VE257O76       | Long             | DBT              | CORP              | AZ        |     200000 | PA      | $207700.00    | 0.00%             | 2030-03-18      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                 | ENERGY TRANSFER LP 5.25% 04/15/2029                                                                     | CUSIP: 29278NAG8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     350000 | PA      | $355338.46    | 0.01%             | 2029-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES                          | FNS 339 5 5.5% 8/33                                                                                     | CUSIP: 3136FAZ78<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |       1742 | PA      | $247.84       | 0.00%             | 2033-07-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2% 02/01/2036#FM6186                                                                          | CUSIP: 3140X92U8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22076 | PA      | $20114.57     | 0.00%             | 2036-02-01      | 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        |    8940999 | PA      | $7186548.52   | 0.10%             | 2050-10-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 2% 08/15/2051                                                               | CUSIP: 912810SZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3714000 | PA      | $2086803.75   | 0.03%             | 2051-08-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2357 ZB 6.5% 9/31                                                                                   | CUSIP: 3133TUUS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      10066 | PA      | $10316.38     | 0.00%             | 2031-09-15      | Fixed         | 0.07%                 | 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        |    4000000 | PA      | $4079208.40   | 0.06%             | 2033-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CONTOURGLOBAL PWR HLDGS S A                                                        | CONTOURGLOBAL PWR HLDGS S A 6.75% 02/28/2030 144A                                                       | CUSIP: 21220LAB9<br>LEI: 549300O5AGIFK0PQ1516 | Long             | DBT              | CORP              | LU        |     430000 | PA      | $435607.20    | 0.01%             | 2030-02-28      | Fixed         | 0.07%                 | 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        |   11499000 | PA      | $11412757.50  | 0.17%             | 2030-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 05/01/2051#SD7540                                                                        | CUSIP: 3132DVLV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     370645 | PA      | $307574.66    | 0.00%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BOSTON PPTY LTD PARTNERSHIP                                                        | BOSTON PPTYS LTD PARTNERSHIP 6.75% 12/01/2027                                                           | CUSIP: 10112RBG8<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |    1120000 | PA      | $1168577.72   | 0.02%             | 2027-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHR 2101 PD 6% 11/28                                                                                    | CUSIP: 3133TGPD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |        885 | PA      | $899.61       | 0.00%             | 2028-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 2/41 #AE6390                                                                                 | CUSIP: 31419HC42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41245 | PA      | $39360.64     | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 01/01/2043#Q15247                                                                        | CUSIP: 3132J6HZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6054 | PA      | $5415.58      | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| LIQUID TELECOMMUNICATIONS FINANCING PLC                                            | LIQUID TELECOMMUNICATIONS FINANCING PLC 5.5% 09/04/2026 144A                                            | CUSIP: 536333AB3<br>LEI: 635400MXAVJRJJCWVI87 | Long             | DBT              | CORP              | GB        |    1410000 | PA      | $1191887.10   | 0.02%             | 2026-09-04      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 12/01/2044#Q30263                                                                        | CUSIP: 3132QLJH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3750 | PA      | $3640.90      | 0.00%             | 2044-12-01      | Fixed         | 0.04%                 | 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        |    4971000 | PA      | $4329457.80   | 0.06%             | 2031-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HESS MIDSTREAM PARTNERS LP                                                         | HESS MIDSTREAM PARTNERS LP 6.5% 06/01/2029 144A                                                         | CUSIP: 428102AG2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     650000 | PA      | $663577.20    | 0.01%             | 2029-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                                                       | ALPHABET INC 3.875% 05/06/2045                                                                          | CUSIP: 02079KAS6<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |     100000 | PA      | $113664.45    | 0.00%             | 2045-05-06      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE PROPERTY PARTNERS EUROPE HOLDINGS SARL                                  | BLACKSTONE PROP PARTNERS EUR HOLD 1% 05/04/2028 REGS                                                    | CUSIP: N/A<br>LEI: 213800Y3B5GQFBGVHP79       | Long             | DBT              | CORP              | LU        |     697000 | PA      | $744003.27    | 0.01%             | 2028-05-04      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 10/01/2051#RA6026                                                                          | CUSIP: 3133KMVT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      26120 | PA      | $20373.64     | 0.00%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| PT PERTAMINA (PERSERO)                                                             | PT PERTAMINA (PERSERO) 4.175% 01/21/2050 144A                                                           | CUSIP: 69370PAG6<br>LEI: 254900NDAKGNZ2IBBL45 | Long             | DBT              | CORP              | ID        |     185000 | PA      | $133732.80    | 0.00%             | 2050-01-21      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 3% 07/25/2051                                                            | CUSIP: 3136BHV89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     355426 | PA      | $308342.52    | 0.00%             | 2051-07-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 02/48#G61343                                                                               | CUSIP: 31335BP42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      64951 | PA      | $60614.43     | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 4/41 #Q00114                                                                                 | CUSIP: 3132GDDT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3166 | PA      | $3108.64      | 0.00%             | 2041-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CAMPOSOL SA RGS                                                                    | CAMPOSOL SA 6% 02/03/2027 144A                                                                          | CUSIP: 134638AE5<br>LEI: 5493008B0STMH3JFSW17 | Long             | DBT              | CORP              | PE        |     230000 | PA      | $220441.20    | 0.00%             | 2027-02-03      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| THUNDERBOLT III AIRCRAFT LEASE LTD                                                 | THUNDERBOLT III AIRCRAFT LEASE LTD 2019-1 A 3.671% 11/15/2039 144A                                      | CUSIP: 88607AAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     755535 | PA      | $731167.69    | 0.01%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5% 11/01/2052#FS3295                                                                          | CUSIP: 3140XJUV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     213069 | PA      | $208649.65    | 0.00%             | 2052-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TRONOX INC                                                                         | TRONOX INC 4.625% 03/15/2029 144A                                                                       | CUSIP: 897051AC2<br>LEI: 549300EPZ4YXC7E5P181 | Long             | DBT              | CORP              | US        |    1125000 | PA      | $940564.24    | 0.01%             | 2029-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PERTAMINA GEOTHERMAL ENERGY PT                                                     | PERTAMINA GEOTHERMAL ENERGY PT 5.15% 04/27/2028 144A                                                    | CUSIP: 69379VAA7<br>LEI: 2549009CVV6Y7H26NV14 | Long             | DBT              | CORP              | ID        |      90000 | PA      | $90562.50     | 0.00%             | 2028-04-27      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                | MSCS SWAP CY873248 04/17/65 B                                                                           | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |     100000 | NC      | $17049.92     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                                     | CITI SWAP REC 4.03 04/25/30                                                                             | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |     200000 | NC      | $7355.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CENTENE CORP DEL                                                                   | CENTENE CORP 3% 10/15/2030                                                                              | CUSIP: 15135BAW1<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $2639028.30   | 0.04%             | 2030-10-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 01/01/2044#FM7604                                                                          | CUSIP: 3140XBNW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      84697 | PA      | $75845.35     | 0.00%             | 2044-01-01      | Fixed         | 0.03%                 | 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        |    3061866 | PA      | $3063779.61   | 0.04%             | 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        |    1106886 | PA      | $951081.03    | 0.01%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/01/2040#AE9771                                                                          | CUSIP: 31419L2D4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6650 | PA      | $6342.43      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NEXA RESOURCES SA                                                                  | NEXA RESOURCES SA 6.6% 04/08/2037 144A                                                                  | CUSIP: 65290DAC7<br>LEI: 549300QRMRHM7GAU7L47 | Long             | DBT              | CORP              | LU        |     200000 | PA      | $198372.92    | 0.00%             | 2037-04-08      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GHANA REPUBLIC OF                                                                  | GHANA REPUBLIC OF STEP 07/03/2029 144A                                                                  | CUSIP: 374422AM5<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |     131800 | PA      | $119938.00    | 0.00%             | 2029-07-03      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 11/51#QD2129                                                                               | CUSIP: 3133AYLJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     447008 | PA      | $348664.20    | 0.01%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CORPORACION NACIONAL DEL COBRE DE CHILE                                            | CORPORACION NACIONAL DEL COBRE DE CHILE 3.15% 01/14/2030 144A                                           | CUSIP: 21987BBB3<br>LEI: 549300UVMBCBCIPSUI70 | Long             | DBT              | CORP              | CL        |     150000 | PA      | $136887.00    | 0.00%             | 2030-01-14      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MPT OPER PARTNERSHIP LP / MPT FIN CORP                                             | MPT OPER PARTNERSHIP LP/CORP 8.5% 02/15/2032 144A                                                       | CUSIP: 55342UAQ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     675000 | PA      | $691904.70    | 0.01%             | 2032-02-15      | Fixed         | 0.09%                 | 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        |    1240700 | PA      | $1026089.43   | 0.01%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                              | JPMORGAN CHASE and CO 2.956%/VAR 05/13/2031                                                             | CUSIP: 46647PBP0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     880000 | PA      | $801247.78    | 0.01%             | 2031-05-13      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS LP                                                        | CHENIERE ENERGY PARTNERS LP 5.75% 08/15/2034                                                            | CUSIP: 16411QAS0<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |     270000 | PA      | $270962.83    | 0.00%             | 2034-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UTAH ACQUISITION SUB INC                                                           | UTAH ACQUISITION SUB INC 3.95% 06/15/2026                                                               | CUSIP: 62854AAN4<br>LEI: 254900JOFV74IJ7H9933 | Long             | DBT              | CORP              | US        |     826000 | PA      | $815205.91    | 0.01%             | 2026-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 3/28 #456712                                                                                 | CUSIP: 36208PKZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        523 | PA      | $532.47       | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                                              | LCH OIS SOFRV3.25% MAC 06/18/28                                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        | -100755000 | NC      | $-73038.76    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF MONTENEGRO                                                             | REPUBLIC OF MONTENEGRO 7.25% 03/12/2031 144A                                                            | CUSIP: 857305AA4<br>LEI: 747800V014106FYLL014 | Long             | DBT              | NUSS              | ME        |     420000 | PA      | $430605.00    | 0.01%             | 2031-03-12      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SHRIRAM FINANCE LTD                                                                | SHRIRAM FINANCE LTD 4.15% 07/18/2025 144A                                                               | CUSIP: 825547AE2<br>LEI: 335800TM2YO24B76XL26 | Long             | DBT              | CORP              | IN        |     215000 | PA      | $214247.50    | 0.00%             | 2025-07-18      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 4.125% 08/15/2044                                                           | CUSIP: 912810UD8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     200000 | PA      | $179726.56    | 0.00%             | 2044-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 6/40 #G05898                                                                                 | CUSIP: 3128M73F1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4232 | PA      | $4259.41      | 0.00%             | 2040-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                                                       | ECOPETROL SA 8.875% 01/13/2033                                                                          | CUSIP: 279158AS8<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |     630000 | PA      | $641151.00    | 0.01%             | 2033-01-13      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF ARMENIA                                                                | REPUBLIC OF ARMENIA 3.6% 02/02/2031 144A                                                                | CUSIP: 042207AD2<br>LEI: 5299000H77JSW90G7935 | Long             | DBT              | NUSS              | AM        |     230000 | PA      | $195141.20    | 0.00%             | 2031-02-02      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.00% 11/31 #C01258                                                                                | CUSIP: 31292HMF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        178 | PA      | $184.04       | 0.00%             | 2031-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CY873248 04/17/65 B                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     280000 | NC      | $47739.78     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 02/01/2043#Q15107                                                                        | CUSIP: 3132J6DM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2629 | PA      | $2487.80      | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FINANCE PLC                                                        | IMPERIAL BRANDS FINANCE PLC 6.125% 07/27/2027 144A                                                      | CUSIP: 45262BAF0<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |     764000 | PA      | $783868.08    | 0.01%             | 2027-07-27      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 3.5% 08/01/2034#C91782                                                                        | CUSIP: 3128P76T5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      46721 | PA      | $45280.40     | 0.00%             | 2034-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.00% 12/37 #A69706                                                                                | CUSIP: 3128L1YB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3828 | PA      | $4016.37      | 0.00%             | 2037-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BANCO DEL ESTADO DE CHILE                                                          | BANCO DEL ESTADO DE CHILE 7.95%/VAR PERP 144A                                                           | CUSIP: 05957AAC3<br>LEI: 5493004R4EJC0W0XVQ72 | Long             | EP               | CORP              | CL        |     105000 | PA      | $108806.25    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                          | OCCIDENTAL PETROLEUM CORP 6.6% 03/15/2046                                                               | CUSIP: 674599DL6<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |     807000 | PA      | $764518.15    | 0.01%             | 2046-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| VTR FINANCE BV                                                                     | VTR FINANCE BV 6.375% 07/15/2028 144A                                                                   | CUSIP: 918374AA7<br>LEI: 213800F4XI4RJB82XM19 | Long             | DBT              | CORP              | NL        |    1003000 | PA      | $956297.81    | 0.01%             | 2028-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SAMARCO MINERACAO SA                                                               | SAMARCO MINERACAO SA PIK VAR 06/30/2031 144A                                                            | CUSIP: 79588YAA7<br>LEI: 529900U8HKV15GJC4O60 | Long             | DBT              | CORP              | BR        |    1417080 | PA      | $1372796.25   | 0.02%             | 2031-06-30      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 07/01/2046#AL9515                                                                        | CUSIP: 3138ERSD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      73674 | PA      | $66868.10     | 0.00%             | 2046-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 4% 01/01/2039#K94441                                                                          | CUSIP: 3132LQZE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8665 | PA      | $8275.65      | 0.00%             | 2039-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 06/01/2045#Q33724                                                                        | CUSIP: 3132QQD66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9768 | PA      | $8920.46      | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GNR 2011-68 EC 3.5% 4/20/41                                                                             | CUSIP: 38377VW93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      15756 | PA      | $15419.97     | 0.00%             | 2041-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-BNK1                                    | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-BNK1 2.967% 08/15/2049                                       | CUSIP: 95000GBD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     455000 | PA      | $400448.96    | 0.01%             | 2049-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PERU, REPUBLIC OF                                                                  | PERU REPUBLIC OF 3.3% 03/11/2041                                                                        | CUSIP: 715638DS8<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     205000 | PA      | $149035.00    | 0.00%             | 2041-03-11      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 07/15/2045#AN5744                                                                        | CUSIP: 36186NLZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5297 | PA      | $4939.90      | 0.00%             | 2045-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 1.5% 10/25/2051                                                          | CUSIP: 3137H2UY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     179354 | PA      | $148784.46    | 0.00%             | 2051-10-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 02/01/2035#FM6733                                                                        | CUSIP: 3140XAPT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      66051 | PA      | $63262.28     | 0.00%             | 2035-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2% 01/20/2052#MA7826                                                                            | CUSIP: 36179WVT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4598973 | PA      | $3696538.29   | 0.05%             | 2052-01-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MARS INC                                                                           | MARS INC 5.65% 05/01/2045 144A                                                                          | CUSIP: 571676BB0<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    2458000 | PA      | $2411377.44   | 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        |  178570000 | PA      | $173694201.51 | 2.53%             | 2031-09-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 6/40 #A92350                                                                                 | CUSIP: 312940TF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3380 | PA      | $3401.55      | 0.00%             | 2040-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                        | ORACLE CORP 1.65% 03/25/2026                                                                            | CUSIP: 68389XCC7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    1241000 | PA      | $1210729.43   | 0.02%             | 2026-03-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP I TR 2017-HR2                                                   | MORGAN STANLEY CAP I TR 2017-HR2 D 2.73% 12/15/2050                                                     | CUSIP: 61691NAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     471000 | PA      | $414404.64    | 0.01%             | 2050-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 07/01/2047#AS9990                                                                        | CUSIP: 3138WLC43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13879 | PA      | $13310.28     | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 3.228% 7/41#AI3469                                                                             | CUSIP: 3138AG2B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3043 | PA      | $3163.29      | 0.00%             | 2041-07-01      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| LEVEL 3 FINANCING INC                                                              | LEVEL 3 FINANCING INC 3.75% 07/15/2029 144A                                                             | CUSIP: 527298BT9<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |     371000 | PA      | $304468.57    | 0.00%             | 2029-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SEADRILL FINANCE LTD                                                               | SEADRILL FINANCE LTD 8.375% 08/01/2030 144A                                                             | CUSIP: 81172QAA2<br>LEI: 213800WMN3OHFUDHD642 | Long             | DBT              | CORP              | BM        |     540000 | PA      | $529058.84    | 0.01%             | 2030-08-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 6/39 #720064                                                                                 | CUSIP: 3620A55Z8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3078 | PA      | $3031.14      | 0.00%             | 2039-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 2022-69 AB 4.5% 01/25/2044                                               | CUSIP: 3136BPFB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     538165 | PA      | $527437.25    | 0.01%             | 2044-01-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 2% 03/01/2041#SC0136                                                                          | CUSIP: 3132D9EH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     228241 | PA      | $194935.97    | 0.00%             | 2041-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 7.00% 9/26 #G30299                                                                            | CUSIP: 3128CUKL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        149 | PA      | $149.99       | 0.00%             | 2026-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PG and E CORP                                                                      | PG and E CORP 5.25% 07/01/2030                                                                          | CUSIP: 69331CAJ7<br>LEI: 8YQ2GSDWYZXO2EDN3511 | Long             | DBT              | CORP              | US        |    1725000 | PA      | $1673701.09   | 0.02%             | 2030-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NIGERIA REPUBLIC OF                                                                | NIGERIA REPUBLIC 6.125% 09/28/2028 144A                                                                 | CUSIP: 65412JAR4<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |     590000 | PA      | $547042.10    | 0.01%             | 2028-09-28      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SENSATA TECHNOLOGIES INC                                                           | SENSATA TECHNOLOGIES INC 6.625% 07/15/2032 144A                                                         | CUSIP: 81728UAC8<br>LEI: 5493002MMDDCUNV7NY90 | Long             | DBT              | CORP              | US        |     520000 | PA      | $524651.40    | 0.01%             | 2032-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 06/01/2031#AS7346                                                                        | CUSIP: 3138WHEU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     768035 | PA      | $737301.80    | 0.01%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 11/01/2042#AQ3314                                                                        | CUSIP: 3138MJVG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4940 | PA      | $4840.63      | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TURKEY REPUBLIC OF                                                                 | TURKEY REPUBLIC OF 7.125% 07/17/2032                                                                    | CUSIP: 900123DL1<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |     250000 | PA      | $244687.50    | 0.00%             | 2032-07-17      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOLUB CAP PARTNERS CLO 76 B LTD                                                    | GOLUB CAP PARTNERS CLO 76 B LTD E TSFR3M+575 10/25/2037 144A                                            | CUSIP: 38180CAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |     175000 | PA      | $176812.48    | 0.00%             | 2037-10-25      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 01/15/2047#AX5857                                                                          | CUSIP: 36196HQJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6717 | PA      | $6222.53      | 0.00%             | 2047-01-15      | 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        |     256387 | PA      | $228935.70    | 0.00%             | 2052-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HESS CORP                                                                          | HESS CORP 7.3% 08/15/2031                                                                               | CUSIP: 023551AJ3<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |    2102000 | PA      | $2350883.46   | 0.03%             | 2031-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 01/01/2047#AL9776                                                                        | CUSIP: 3138ER2J8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     225954 | PA      | $204867.47    | 0.00%             | 2047-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DBJPM 2020-C9                                                                      | DBJPM 2020-C9 1.926% 08/15/2053                                                                         | CUSIP: 233063AT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     800000 | PA      | $694059.92    | 0.01%             | 2053-08-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                | MSCS SWAP CZ030007 12/17/57 B                                                                           | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |     200000 | NC      | $25504.52     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 04/40#V81744                                                                             | CUSIP: 3132L65D9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17046 | PA      | $15906.08     | 0.00%             | 2040-04-01      | 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        |    1853053 | PA      | $1717372.41   | 0.02%             | 2053-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                                                           | VISTRA OPERATIONS CO LLC 5.5% 09/01/2026 144A                                                           | CUSIP: 92840VAA0<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    1490000 | PA      | $1491358.88   | 0.02%             | 2026-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| KBC GROUPE SA/NV                                                                   | KBC GROUPE SA/NV 6.324%/VAR 09/21/2034 144A                                                             | CUSIP: 48241FAC8<br>LEI: 213800X3Q9LSAKRUWY91 | Long             | DBT              | CORP              | BE        |     502000 | PA      | $530213.15    | 0.01%             | 2034-09-21      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 10/01/2045#AL7413                                                                        | CUSIP: 3138EQGX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7162 | PA      | $6735.70      | 0.00%             | 2045-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 11/01/2042#Q13121                                                                        | CUSIP: 3132HPPE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9947 | PA      | $9456.28      | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MHP 2022-MHIL F                                                                    | MHP 2022-MHIL E TSFR1M+261.06 01/15/2027 144A                                                           | CUSIP: 55293DAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     444000 | PA      | $440947.50    | 0.01%             | 2039-01-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| BOSTON PPTY LTD PARTNERSHIP                                                        | BOSTON PPTYS LTD PARTNERSHIP 3.25% 01/30/2031                                                           | CUSIP: 10112RBD5<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |     792000 | PA      | $713878.01    | 0.01%             | 2031-01-30      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 02/01/2052#QD7533                                                                          | CUSIP: 3133B5LN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15970 | PA      | $14905.06     | 0.00%             | 2052-02-01      | 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        |     528000 | PA      | $425988.38    | 0.01%             | 2050-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/28 #475908                                                                                 | CUSIP: 36209MU93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         34 | PA      | $34.57        | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.5% 09/15/2039#713871                                                                        | CUSIP: 36297KCG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2230 | PA      | $2193.60      | 0.00%             | 2039-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EL SALVADOR REPUBLIC OF                                                            | EL SALVADOR REPUBLIC OF 7.1246% 01/20/2050 144A                                                         | CUSIP: 283875BZ4<br>LEI: 529900AKDMUSFSDOM949 | Long             | DBT              | NUSS              | SV        |     150000 | PA      | $121725.00    | 0.00%             | 2050-01-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BAT INTERNATIONAL FINANCE PLC                                                      | BAT INTL FINANCE PLC 4.125% 04/12/2032 REGS                                                             | CUSIP: N/A<br>LEI: 21380041YBGOQDFAC823       | Long             | DBT              | CORP              | GB        |    1017000 | PA      | $1184790.07   | 0.02%             | 2032-04-12      | 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        |    1569000 | PA      | $1571959.13   | 0.02%             | 2038-01-18      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CARMAX SELECT RECEIVABLES TRUST 2024-A                                             | CARMAX SELECT RECEIVABLES TRUST 2024-A 5.78% 09/15/2027                                                 | CUSIP: 14319FAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     346846 | PA      | $348094.70    | 0.01%             | 2027-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 3% 05/25/2044                                                            | CUSIP: 3136BL6D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    2858705 | PA      | $2700333.49   | 0.04%             | 2044-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TENET HEALTHCARE CORP                                                              | TENET HEALTHCARE CORP 5.125% 11/01/2027                                                                 | CUSIP: 88033GDB3<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |    1945000 | PA      | $1932906.57   | 0.03%             | 2027-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.50% 7/40 #004923                                                                              | CUSIP: 36202FPG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9525 | PA      | $9367.66      | 0.00%             | 2041-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 10/01/2051#FS4269                                                                          | CUSIP: 3140XKW71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      97240 | PA      | $76849.26     | 0.00%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 07/01/2043#Q19606                                                                        | CUSIP: 3132JBDL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4711 | PA      | $4471.93      | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 07/01/2050#RA2976                                                                        | CUSIP: 3133KJJV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     742230 | PA      | $615234.13    | 0.01%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                                     | NRG ENERGY INC 5.25% 06/15/2029 144A                                                                    | CUSIP: 629377CH3<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    1465000 | PA      | $1447750.94   | 0.02%             | 2029-06-15      | Fixed         | 0.05%                 | 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        |    1521000 | PA      | $1594622.48   | 0.02%             | 2028-03-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| TELEFONICA CELULAR DEL PARAGUAY SA                                                 | TELEFONICA CELULAR PARAGUAY SA 5.875% 04/15/2027 144A                                                   | CUSIP: 87936VAB3<br>LEI: 254900R8A8IKGF4THL54 | Long             | DBT              | CORP              | PY        |     303000 | PA      | $301485.00    | 0.00%             | 2027-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| KROGER CO                                                                          | KROGER CO 5% 09/15/2034                                                                                 | CUSIP: 501044DV0<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |    2680000 | PA      | $2610243.19   | 0.04%             | 2034-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 3/36 #888342                                                                                 | CUSIP: 31410F5B7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3507 | PA      | $3643.03      | 0.00%             | 2036-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 06/01/2052#SD4958                                                                          | CUSIP: 3132DSQK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     356259 | PA      | $278214.14    | 0.00%             | 2052-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BANK5 2024-5YR12                                                                   | BANK5 2024-5YR12 C CSTR 12/15/2057                                                                      | CUSIP: 06644XBY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     161000 | PA      | $162161.81    | 0.00%             | 2057-12-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| INDONESIA ASAHAN ALUMINIUM PT / MINERAL INDUSTRI INDONESIA PERSERO PT              | INDONESIA ASAHAN ALUMINIUM PT / MINERAL INDUSTRI INDONESIA PERSERO PT 5.45% 05/15/2030 144A             | CUSIP: 74445PAF9<br>LEI: N/A                  | Long             | DBT              | CORP              | ID        |     450000 | PA      | $452396.25    | 0.01%             | 2030-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| C and W SENIOR FINANCE LTD                                                         | C and W SENIOR FINANCE LTD 9% 01/15/2033 144A                                                           | CUSIP: 12665MAA0<br>LEI: 213800CG16G1YMJRCG10 | Long             | DBT              | CORP              | KY        |    1565000 | PA      | $1557453.26   | 0.02%             | 2033-01-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| MERCHANTS FLEET FUNDING LLC                                                        | MERCHANTS FLEET FUNDING LLC 7.21% 05/20/2036 144A                                                       | CUSIP: 588926AA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     479967 | PA      | $484108.08    | 0.01%             | 2036-05-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2013-133 IB 3% 04/32                                                                                | CUSIP: 3136AHQ94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        669 | PA      | $2.21         | 0.00%             | 2032-04-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 02/01/2052#                                                                              | CUSIP: 3133B3Q42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      65343 | PA      | $58346.98     | 0.00%             | 2052-02-01      | Fixed         | 0.04%                 | 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        |    4039000 | PA      | $4026458.91   | 0.06%             | 2037-10-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 06/15/2045#AN5671                                                                        | CUSIP: 36186NJQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1942 | PA      | $1848.49      | 0.00%             | 2045-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                                                               | ONEMAIN FINANCE CORP 7.125% 11/15/2031                                                                  | CUSIP: 682691AG5<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |    1255000 | PA      | $1273990.66   | 0.02%             | 2031-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: —       |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 6.5% 07/01/2055 #TBA                                                                          | CUSIP: 01F062671<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |   -1675000 | PA      | $-1718444.48  | -0.03%            | 2055-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 09/01/2033#                                                                                | CUSIP: 31283HX75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2655 | PA      | $2751.32      | 0.00%             | 2033-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 3366 FD SOFR30A+36.448 5/37                                                                         | CUSIP: 31397KMB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       8555 | PA      | $8447.05      | 0.00%             | 2037-05-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 12/41 #778681                                                                                | CUSIP: 36176W2N0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5034 | PA      | $4816.85      | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 12/01/2051#CB2348                                                                          | CUSIP: 3140QMTE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     177041 | PA      | $139806.03    | 0.00%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 12/35 #AD0723                                                                                | CUSIP: 31418MYV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43049 | PA      | $44846.35     | 0.00%             | 2035-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 06/01/2047#Q48759                                                                        | CUSIP: 3132WNWV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      76093 | PA      | $73163.98     | 0.00%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/01/2040#AE7382                                                                          | CUSIP: 31419JFY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2222 | PA      | $2137.07      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 01/01/43#AQ1113                                                                            | CUSIP: 3138MGGX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9911 | PA      | $8981.97      | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 1.5% 11/01/2035#BQ6318                                                                        | CUSIP: 3140KSAU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     223806 | PA      | $197395.84    | 0.00%             | 2035-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA REPUBLIC OF                                                           | SOUTH AFRICA REPUBLIC OF 4.85% 09/27/2027                                                               | CUSIP: 836205AW4<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |     200000 | PA      | $197996.00    | 0.00%             | 2027-09-27      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.50% 6/41 #005082                                                                              | CUSIP: 36202FUF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      55539 | PA      | $54605.28     | 0.00%             | 2041-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PETROLEOS DE VENEZUELA SA                                                          | PETROLEOS DE VENEZUELA SA 12.75% 12/31/2049 144A                                                        | CUSIP: 716558AC5<br>LEI: 549300YWR8TN1OFD4P06 | Long             | DBT              | CORP              | VE        |      51667 | PA      | $7353.72      | 0.00%             | 2049-12-31      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 07/01/2043#Q19690                                                                        | CUSIP: 3132JBF81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9913 | PA      | $9412.67      | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | 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        |    4588000 | PA      | $4572588.91   | 0.07%             | 2033-02-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| UNITED PF HOLDINGS LLC                                                             | UNITED PLANET FITNESS TERM B 1LN 12/30/2026                                                             | CUSIP: 91132UAK9<br>LEI: 2549002AF6PASVP2G486 | Long             | LON              | CORP              | US        |      89531 | PA      | $86621.47     | 0.00%             | 2026-12-30      | Variable      | 0.13%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 2.543% 01/44#AV5544                                                                            | CUSIP: 3138XHES6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        960 | PA      | $988.65       | 0.00%             | 2044-01-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| ALPHA GENERATION LLC                                                               | ALPHA GENERATION LLC 6.75% 10/15/2032 144A                                                              | CUSIP: 02073LAA9<br>LEI: 254900K5V62L4YGVKF49 | Long             | DBT              | CORP              | US        |     186000 | PA      | $189640.21    | 0.00%             | 2032-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 05/01/2051#CB0414                                                                        | CUSIP: 3140QKN87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22285 | PA      | $18367.76     | 0.00%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 11/01/2032#C73584                                                                          | CUSIP: 31288B6V0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1457 | PA      | $1505.41      | 0.00%             | 2032-11-01      | Fixed         | 0.06%                 | 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        |     276000 | PA      | $241125.53    | 0.00%             | 2030-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 9/33 #C01622                                                                                 | CUSIP: 31292HYT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1115 | PA      | $1122.74      | 0.00%             | 2033-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SEALED AIR CORP                                                                    | SEALED AIR CORP 6.875% 07/15/2033 144A                                                                  | CUSIP: 81211KAK6<br>LEI: Q0M0CZB4YN6JZ65WXI09 | Long             | DBT              | CORP              | US        |     390000 | PA      | $408533.54    | 0.01%             | 2033-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                            | HCA INC 3.625% 03/15/2032                                                                               | CUSIP: 404119CK3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     195000 | PA      | $176926.58    | 0.00%             | 2032-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMDB COML MTG SECS TR 2016-C4                                                     | JPMDB COML MTG SECS TR 2016-C4 ASB 2.9941% 12/15/2049                                                   | CUSIP: 46646RAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     229190 | PA      | $226158.19    | 0.00%             | 2049-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GALAXY PIPELINE ASSETS BIDCO LTD                                                   | GALAXY PIPELINE ASSETS BIDCO LTD 2.625% 03/31/2036 144A                                                 | CUSIP: 36321PAB6<br>LEI: 549300L82YB0C6JQIC26 | Long             | DBT              | CORP              | JE        |     790000 | PA      | $661032.50    | 0.01%             | 2036-03-31      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SMRT 2022-MINI                                                                     | SMRT 2022-MINI TSFR1M+335 01/15/2039 144A                                                               | CUSIP: 78457JAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     250000 | PA      | $243000.93    | 0.00%             | 2039-01-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| BX TR 2022-VAMF                                                                    | BX TR 2022-VAMF TSFR1M+329.9 01/15/2039 144A                                                            | CUSIP: 05609TAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     823000 | PA      | $812409.31    | 0.01%             | 2039-01-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| MHP 2022-MHIL F                                                                    | MHP 2022-MHIL F TSFR1M+395.75 01/15/2027 144A                                                           | CUSIP: 55293DAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     979200 | PA      | $977495.11    | 0.01%             | 2027-01-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                                                          | PROSUS NV 3.061% 07/13/2031 144A                                                                        | CUSIP: 74365PAF5<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |     200000 | PA      | $172190.76    | 0.00%             | 2031-07-13      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                                             | GSCM SWAP REC 3.9025 04/14/26                                                                           | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |    2230000 | NC      | $72178.48     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GM FINL CONSUMER AUTOMOBILE RECEIVABLES TR 2023-3                                  | GM FINL CONSUMER AUTOMOBILE RECEIVABLES TR 2023-3 5.45% 06/16/2028                                      | CUSIP: 36267KAD9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     829665 | PA      | $834778.60    | 0.01%             | 2028-06-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ABU DHABI DEVELOPMENTAL HOLDING CO PJSC                                            | ABU DHABI DEVELOPMENTAL HOLDING CO PJSC 5.25% 10/02/2054 144A                                           | CUSIP: 00402D2D6<br>LEI: 254900G082ZFKTCR2Q75 | Long             | DBT              | CORP              | AE        |     265000 | PA      | $237837.50    | 0.00%             | 2054-10-02      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| LBA TR 2024-BOLT                                                                   | LBA TR 2024-BOLT TSFR1M+448.48 06/15/2026 144A                                                          | CUSIP: 50177BAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     215000 | PA      | $214112.67    | 0.00%             | 2039-06-15      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 05/01/2051#CB0454                                                                        | CUSIP: 3140QKQG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2707340 | PA      | $2230576.19   | 0.03%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNR 2006-62 KP PO 0% 4/36                                                                               | CUSIP: 31395N6X0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       3416 | PA      | $2860.20      | 0.00%             | 2036-04-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 3% 05/25/2048                                                            | CUSIP: 3136BL6J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     360389 | PA      | $327421.44    | 0.00%             | 2048-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DCERT BUYER INC                                                                    | DIGICERT TERM B 2LN 02/19/2029                                                                          | CUSIP: 24022KAJ8<br>LEI: 549300EF826JEEUCHZ67 | Long             | LON              | CORP              | US        |     230000 | PA      | $198375.00    | 0.00%             | 2029-02-19      | Variable      | 0.11%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                                             | GSCM SWAP PAY 3.9025 04/14/26                                                                           | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |    2230000 | NC      | $67010.70     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CLOUD SOFTWARE GROUP INC                                                           | CLOUD SOFTWARE GROUP INC 8.25% 06/30/2032 144A                                                          | CUSIP: 18912UAC6<br>LEI: 04EEB871XLHVNY4RZJ65 | Long             | DBT              | CORP              | US        |    1960000 | PA      | $2060885.12   | 0.03%             | 2032-06-30      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 5.0% 04/15/2041                                                          | CUSIP: 3137A9MV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     205247 | PA      | $205455.72    | 0.00%             | 2041-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 04/01/2052#BV3829                                                                          | CUSIP: 3140MHHF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21937 | PA      | $20474.28     | 0.00%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OREILLY AUTOMOTIVE INC                                                             | OREILLY AUTOMOTIVE INC 4.2% 04/01/2030                                                                  | CUSIP: 67103HAJ6<br>LEI: 549300K2RLMQL149Q332 | Long             | DBT              | CORP              | US        |     246000 | PA      | $241374.73    | 0.00%             | 2030-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 09/01/2031#BD6126                                                                        | CUSIP: 3140FDYY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43575 | PA      | $41735.91     | 0.00%             | 2031-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PETROLEOS DE VENEZUELA SA                                                          | PETROLEOS DE VENEZUELA SA 5.375% 04/12/2027 REGS                                                        | CUSIP: N/A<br>LEI: 549300YWR8TN1OFD4P06       | Long             | DBT              | CORP              | VE        |     200000 | PA      | $23466.00     | 0.00%             | 2027-04-12      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                                 | JPSW SWAP CDS 06/20/30 ISPIM B                                                                          | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DCR              | CORP              | US        |     650000 | NC      | $867.28       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 08/01/2051#CB1280                                                                        | CUSIP: 3140QLM60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1650780 | PA      | $1359044.87   | 0.02%             | 2051-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FREEPORT INDONESIA PT                                                              | FREEPORT INDONESIA PT 5.315% 04/14/2032 144A                                                            | CUSIP: 69377FAB2<br>LEI: 549300T4HTQHRKLNE619 | Long             | DBT              | CORP              | ID        |     265000 | PA      | $261223.75    | 0.00%             | 2032-04-14      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 4.0% 12/15/2040                                                          | CUSIP: 3137BJGM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      15596 | PA      | $15402.17     | 0.00%             | 2040-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN SECURITIES LLC                                                            | MNGT SWAP CZ030007 12/17/57 B                                                                           | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |     300000 | NC      | $38256.78     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 05/01/2040#V81771                                                                        | CUSIP: 3132L66G1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5836 | PA      | $5444.25      | 0.00%             | 2040-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| INDEPENDENCE PLAZA TR 2018-INDP                                                    | INDEPENDENCE PLAZA TR 2018-INDP E 4.996% 07/10/2035 144A                                                | CUSIP: 45378YAS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     125000 | PA      | $122469.46    | 0.00%             | 2035-07-10      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 4/1/43 #AT0648                                                                           | CUSIP: 3138WMWJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31283 | PA      | $28855.44     | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GOVERNMENT NAT MTG AS REMIC PT 3% 04/20/2047                                                            | CUSIP: 38380UVE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      99331 | PA      | $91930.19     | 0.00%             | 2047-04-20      | Fixed         | 0.03%                 | 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        |    3941000 | PA      | $3310561.62   | 0.05%             | 2047-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MEXICO UNITED MEXICAN STATES                                                       | MEXICO UNITED MEXICAN STATES 5.75% 10/12/2110                                                           | CUSIP: 91086QAZ1<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     410000 | PA      | $309601.25    | 0.00%             | 2110-10-12      | Fixed         | 0.06%                 | 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        |     218709 | PA      | $192900.34    | 0.00%             | 2035-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 03/01/2048#MA3307                                                                        | CUSIP: 31418CU93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12147 | PA      | $11637.31     | 0.00%             | 2048-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 01/01/2035#FM2349                                                                          | CUSIP: 3140X5TF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     548807 | PA      | $522290.50    | 0.01%             | 2035-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AEROPUERTO INTERNACIONAL DE TOCUMEN SA                                             | AEROPUERTO INTERNACIONAL DE TOCUMEN SA 5.125% 08/11/2061 144A                                           | CUSIP: 00787CAE2<br>LEI: 254900FO1PHX49ZIGB14 | Long             | DBT              | CORP              | PA        |     105000 | PA      | $70816.20     | 0.00%             | 2061-08-11      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CLOUD SOFTWARE GROUP INC                                                           | CLOUD SOFTWARE GROUP INC 9% 09/30/2029 144A                                                             | CUSIP: 18912UAA0<br>LEI: 04EEB871XLHVNY4RZJ65 | Long             | DBT              | CORP              | US        |    1185000 | PA      | $1212941.12   | 0.02%             | 2029-09-30      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FHLMC MFD HSG COP GTD (FREDMAC                                                     | FHLMC REMI 30YR 6.5% 03/01/2055#RJ3703                                                                  | CUSIP: 3142GUDH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     574454 | PA      | $599150.62    | 0.01%             | 2055-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CELULOSA ARAUCO Y CONSTITUCION SA                                                  | CELULOSA ARAUCO Y CONSTITUCION SA 6.18% 05/05/2032 144A                                                 | CUSIP: 151191BR3<br>LEI: 549300QEKV8G0AMNQD28 | Long             | DBT              | CORP              | CL        |     200000 | PA      | $200336.00    | 0.00%             | 2032-05-05      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| KOBE US MIDCO 2 INC                                                                | KOBE US MIDCO 2 INC PIK VAR 11/01/2026 144A                                                             | CUSIP: 499894AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     901425 | PA      | $798887.91    | 0.01%             | 2026-11-01      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| THE BANK OF NOVA SCOTIA                                                            | BANK OF NOVA SCOTIA 3.375%/VAR 03/05/2033 REGS                                                          | CUSIP: N/A<br>LEI: L3I9ZG2KFGXZ61BMYR72       | Long             | DBT              | CORP              | CA        |    1300000 | PA      | $1465150.16   | 0.02%             | 2033-03-05      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 1.5% 02/01/2051#SD8127                                                                        | CUSIP: 3132DWA45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1401544 | PA      | $1036656.92   | 0.02%             | 2051-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| DAVITA INC                                                                         | DAVITA INC 4.625% 06/01/2030 144A                                                                       | CUSIP: 23918KAS7<br>LEI: M2XHYMU3TZNEZURC6H66 | Long             | DBT              | CORP              | US        |     370000 | PA      | $345743.13    | 0.01%             | 2030-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 4/26 #303856                                                                                 | CUSIP: 31373UQH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         19 | PA      | $19.35        | 0.00%             | 2026-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| HARVEST MIDSTREAM I LP                                                             | HARVEST MIDSTREAM I LP 7.5% 05/15/2032 144A                                                             | CUSIP: 417558AB9<br>LEI: 549300DW5M17KJOXCY66 | Long             | DBT              | CORP              | US        |     435000 | PA      | $446930.31    | 0.01%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 10/01/2051#CB1801                                                                          | CUSIP: 3140QMAB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     899442 | PA      | $710274.31    | 0.01%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| TULLOW OIL PLC                                                                     | TULLOW OIL PLC 10.25% 05/15/2026 144A                                                                   | CUSIP: 899415AG8<br>LEI: 2138003EYHWO75RKS857 | Long             | DBT              | CORP              | GB        |    1399000 | PA      | $1210274.90   | 0.02%             | 2026-05-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM 30YR 6% 07/01/2053#RA9382                                                                          | CUSIP: 3133KRM76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     371160 | PA      | $378907.26    | 0.01%             | 2053-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UKRAINE GOVERNMENT                                                                 | UKRAINE GOVERNMENT STEP 02/01/2035 144A                                                                 | CUSIP: 903724CB6<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |     192527 | PA      | $92412.96     | 0.00%             | 2035-02-01      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 2022-7 A 3% 05/25/2048                                                   | CUSIP: 3136BLRV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     234992 | PA      | $213446.24    | 0.00%             | 2048-05-25      | Fixed         | 0.03%                 | 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        |    1441000 | PA      | $946852.78    | 0.01%             | 2059-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 9/41 #G06719                                                                                 | CUSIP: 3128M8YQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11145 | PA      | $10964.12     | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 01/01/2043#AQ7316                                                                        | CUSIP: 3138MPDW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14330 | PA      | $12445.44     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                                   | ALTRIA GROUP INC 5.95% 02/14/2049                                                                       | CUSIP: 02209SBF9<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |     600000 | PA      | $583689.56    | 0.01%             | 2049-02-14      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                                | GSCOFI SWAP CY873248 04/17/65 B                                                                         | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |      60000 | NC      | $10229.95     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII 30YR 4.5% 12/20/2039#004592                                                                        | CUSIP: 36202FC53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7750 | PA      | $7525.74      | 0.00%             | 2039-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| RAND PARENT LLC                                                                    | RAND PARENT LLC 8.5% 02/15/2030 144A                                                                    | CUSIP: 753272AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1575000 | PA      | $1551981.47   | 0.02%             | 2030-02-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: —       |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 12/01/2051#RA6506                                                                          | CUSIP: 3133KNGP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      53046 | PA      | $41557.80     | 0.00%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.0% 12/20/2042#AA5872                                                                          | CUSIP: 36178DQZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      26575 | PA      | $24104.27     | 0.00%             | 2042-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TEVA PHARMACEUTICAL FIN NETH III B V                                               | TEVA PHARMACEUTICAL FIN NETH III B V 7.875% 09/15/2029                                                  | CUSIP: 88167AAS0<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |     215000 | PA      | $231968.66    | 0.00%             | 2029-09-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| SYSCO CORP                                                                         | SYSCO CORP 5.95% 04/01/2030                                                                             | CUSIP: 871829BL0<br>LEI: 5RGWIFLMGH3YS7KWI652 | Long             | DBT              | CORP              | US        |     471000 | PA      | $495761.64    | 0.01%             | 2030-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.0% 11/20/2044#MA2372                                                                          | CUSIP: 36179QT50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     177621 | PA      | $168512.32    | 0.00%             | 2044-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL PLAQUE                                                              | VENTURE GLOBAL PLAQUE 7.75% 05/01/2035 144A                                                             | CUSIP: 922966AB2<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |     425000 | PA      | $447544.55    | 0.01%             | 2035-05-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| REWORLD HLDG CORP                                                                  | REWORLD HLDG CORP 4.875% 12/01/2029 144A                                                                | CUSIP: 22303XAA3<br>LEI: 40XIFLS8XDQGGHGPGC04 | Long             | DBT              | CORP              | US        |     260000 | PA      | $246176.76    | 0.00%             | 2029-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 09/01/2043#Q21835                                                                        | CUSIP: 3132JPBC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8323 | PA      | $7890.36      | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                             | US 10YR NOTE FUT (CBT)SEP25 TYU5                                                                        | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |       1210 | NC      | $1671373.00   | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 10/01/2050#CA7323                                                                          | CUSIP: 3140QFD55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     264251 | PA      | $210078.80    | 0.00%             | 2050-10-01      | Fixed         | 0.02%                 | 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        |  -90350000 | PA      | $-70229470.61 | -1.02%            | 2055-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CAIXABANK SA                                                                       | CAIXABANK SA 5.673%/VAR 03/15/2030 144A                                                                 | CUSIP: 12803RAG9<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |     280000 | PA      | $287573.06    | 0.00%             | 2030-03-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| LOGICOR FINANCING SARL                                                             | LOGICOR FINANCING SARL 1.625% 01/17/2030 REGS                                                           | CUSIP: N/A<br>LEI: 254900IS16Q1A2TQFN22       | Long             | DBT              | CORP              | LU        |     181000 | PA      | $188238.68    | 0.00%             | 2030-01-17      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 07/01/2040#C03486                                                                        | CUSIP: 31292K2T3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1686 | PA      | $1659.67      | 0.00%             | 2040-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 6% 04/01/2039#SB1117                                                                          | CUSIP: 3132CXG22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1325898 | PA      | $1362047.19   | 0.02%             | 2039-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| NORDSTROM INC                                                                      | NORDSTROM INC 4.375% 04/01/2030                                                                         | CUSIP: 655664AT7<br>LEI: 549300S3IZB5P35KNV16 | Long             | DBT              | CORP              | US        |     315000 | PA      | $284205.41    | 0.00%             | 2030-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 10/01/2048#FS9071                                                                        | CUSIP: 3140XRCH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11692787 | PA      | $10649104.36  | 0.15%             | 2048-10-01      | Fixed         | 0.04%                 | 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        |    4177756 | PA      | $4182977.82   | 0.06%             | 2041-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 12/41 #552554                                                                                | CUSIP: 36213EZT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7361 | PA      | $7058.98      | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | 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        |     498000 | PA      | $386480.91    | 0.01%             | 2052-04-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 11/01/2036#CB2246                                                                        | CUSIP: 3140QMP81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1055600 | PA      | $975933.36    | 0.01%             | 2036-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 04/01/2042#MA1028                                                                        | CUSIP: 31418AEA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2043 | PA      | $1940.28      | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MFA 2022-RPL1 TR                                                                   | MFA 2022-RPL1 TR 3.3% 08/25/2061 144A                                                                   | CUSIP: 55285TAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     328348 | PA      | $304788.97    | 0.00%             | 2061-08-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UKRAINE GOVERNMENT                                                                 | UKRAINE GOVERNMENT STEP 02/01/2034 144A                                                                 | CUSIP: 903724CE0<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |     212307 | PA      | $79084.36     | 0.00%             | 2034-02-01      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2011-H14 FC TSFR1M+61.448 5/61                                                                      | CUSIP: 38375BMB5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      62162 | PA      | $62398.99     | 0.00%             | 2061-05-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 09/01/2054#SD6419                                                                          | CUSIP: 3132DUDY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1029056 | PA      | $1055038.22   | 0.02%             | 2054-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CHEMOURS CO                                                                        | CHEMOURS CO 8% 01/15/2033 144A                                                                          | CUSIP: 163851AJ7<br>LEI: 549300M1BOLNXL8DOV14 | Long             | DBT              | CORP              | US        |     380000 | PA      | $331301.29    | 0.00%             | 2033-01-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/01/2040#AE8185                                                                          | CUSIP: 31419KCX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3604 | PA      | $3424.78      | 0.00%             | 2040-11-01      | 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        |     441066 | PA      | $377948.03    | 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        |    3041000 | PA      | $3051226.37   | 0.04%             | 2032-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 02/01/2047#Q46222                                                                        | CUSIP: 3132WK4G0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21071 | PA      | $20260.04     | 0.00%             | 2047-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 04/01/2041#MA4312                                                                        | CUSIP: 31418DYJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     148883 | PA      | $130907.77    | 0.00%             | 2041-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| OLYMPUS WATER US HOLDING CORPORATION                                               | OLYMPUS WATER US HOLDING CORPORATION 6.25% 10/01/2029 144A                                              | CUSIP: 681639AB6<br>LEI: 549300YU2GGVCBN3MY89 | Long             | DBT              | CORP              | US        |     400000 | PA      | $371307.86    | 0.01%             | 2029-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: —       |
| ENERGY TRANSFER LP                                                                 | ENERGY TRANSFER LP 4.95% 06/15/2028                                                                     | CUSIP: 29278NAF0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     494000 | PA      | $497361.50    | 0.01%             | 2028-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 1/41 #AB2079                                                                                 | CUSIP: 31416XJZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      49737 | PA      | $47456.59     | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 7/32 #545762                                                                                 | CUSIP: 31385JJF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2383 | PA      | $2474.86      | 0.00%             | 2032-07-01      | Fixed         | 0.07%                 | 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        |    1778462 | PA      | $1779537.84   | 0.03%             | 2054-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SOUTH BOW CANADIAN INFRASTRUCTURE HOLDINGS LTD                                     | SOUTH BOW CANADIAN INFRASTRUCTURE HOLDINGS LTD 7.625%/VAR 03/01/2055 144A                               | CUSIP: 836720AF9<br>LEI: 2549004FYUSYLPBT1G26 | Long             | DBT              | CORP              | CA        |      63000 | PA      | $63589.74     | 0.00%             | 2055-03-01      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| LIFE 2021-BMR MTG TR                                                               | LIFE 2021-BMR MTG TR TSFR1M+151.448 03/15/2026 144A                                                     | CUSIP: 53218CAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     206500 | PA      | $204693.12    | 0.00%             | 2038-03-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GREENSAIF PIPELINES BIDCO SARL                                                     | GREENSAIF PIPELINES BIDCO SARL 6.51% 02/23/2042 144A                                                    | CUSIP: 39541EAC7<br>LEI: 549300YWDGUXPB8GRP47 | Long             | DBT              | CORP              | LU        |     120000 | PA      | $121875.00    | 0.00%             | 2042-02-23      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 02/01/2051#RA4527                                                                        | CUSIP: 3133KLA49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14812 | PA      | $12199.27     | 0.00%             | 2051-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| REPUBLICA ORIENTAL DEL URUGUAY                                                     | URUGUAY REPUBLICA ORIENTAL DL 5.1% 06/18/2050                                                           | CUSIP: 760942BA9<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |     350000 | PA      | $314405.00    | 0.00%             | 2050-06-18      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ALPHA STAR HOLDING VIII LTD                                                        | ALPHA STAR HOLDING VIII LTD 8.375% 04/12/2027 REGS                                                      | CUSIP: N/A<br>LEI: 254900TMRVHA9YMIFC14       | Long             | DBT              | CORP              | AE        |     200000 | PA      | $206566.00    | 0.00%             | 2027-04-12      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 02/01/2043#Q15893                                                                        | CUSIP: 3132J67F5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5128 | PA      | $4859.39      | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | 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        |  -42800000 | PA      | $-43215707.84 | -0.63%            | 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        |    5157000 | PA      | $5217241.29   | 0.08%             | 2036-04-23      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 11/01/2051#BT9193                                                                          | CUSIP: 3140LYGB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20008 | PA      | $15606.20     | 0.00%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2012-H01 FA TSFR1M+81.448 11/61                                                                     | CUSIP: 38375BNX6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      83857 | PA      | $84359.02     | 0.00%             | 2061-11-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                         | FANNIE MAE 2.5% 02/25/2052                                                                              | CUSIP: 3136BMM70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     617813 | PA      | $580001.32    | 0.01%             | 2052-02-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DLLAA 2023-1A                                                                      | DLLAA 2023-1A 5.93% 07/20/2026 144A                                                                     | CUSIP: 23292HAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      71679 | PA      | $71790.23     | 0.00%             | 2026-07-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2% 08/01/2042#FS8799                                                                          | CUSIP: 3140XQX51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4592307 | PA      | $3867454.59   | 0.06%             | 2042-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| PARKLAND CORP                                                                      | PARKLAND CORP 6.625% 08/15/2032 144A                                                                    | CUSIP: 70137WAN8<br>LEI: 549300UY5C6HUV0XLS53 | Long             | DBT              | CORP              | CA        |    1180000 | PA      | $1182618.42   | 0.02%             | 2032-08-15      | Fixed         | 0.07%                 | 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        |    1325000 | PA      | $1320607.63   | 0.02%             | 2034-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BFLD COML MTG TR 2024-UNIV                                                         | BFLD COML MTG TR 2024-UNIV TSFR1M+363.953 11/15/2029 144A                                               | CUSIP: 08861RAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     393000 | PA      | $392095.86    | 0.01%             | 2041-11-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 10/40 #AE4645                                                                                | CUSIP: 31419FET9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2927 | PA      | $2803.73      | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PANAMA REPUBLIC OF                                                                 | PANAMA REPUBLIC OF 3.298% 01/19/2033                                                                    | CUSIP: 698299BR4<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |     165000 | PA      | $130040.63    | 0.00%             | 2033-01-19      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MKS INC                                                                            | MKS INC CONV 1.25% 06/01/2030                                                                           | CUSIP: 55306NAB0<br>LEI: 549300KEQATBHAGVF505 | Long             | DBT              | CORP              | US        |     463000 | PA      | $423224.92    | 0.01%             | 2030-06-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| NIGERIA REPUBLIC OF                                                                | NIGERIA REPUBLIC 6.5% 11/28/2027 144A                                                                   | CUSIP: 65412JAC7<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |     205000 | PA      | $198530.20    | 0.00%             | 2027-11-28      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 07/01/2050#SI2038                                                                          | CUSIP: 3133USHP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21674 | PA      | $17020.49     | 0.00%             | 2050-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| LEVEL 3 FINANCING INC                                                              | LEVEL 3 FINANCING INC 11% 11/15/2029 144A                                                               | CUSIP: 527298BV4<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |     180000 | PA      | $204194.82    | 0.00%             | 2029-11-15      | Fixed         | 0.11%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 02/15/2043#AD1736                                                                        | CUSIP: 36180C4V8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      46130 | PA      | $42856.16     | 0.00%             | 2043-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                | MSCS SWAP CZ030008 12/17/57 B                                                                           | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |     300000 | NC      | $22930.62     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4% 04/30/2032                                                                                 | CUSIP: 91282CNA5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   22100000 | PA      | $21882453.13  | 0.32%             | 2032-04-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                       | UBS GROUP AG 4.125%/VAR 06/09/2033 REGS                                                                 | CUSIP: N/A<br>LEI: 549300SZJ9VS8SGXAN81       | Long             | DBT              | CORP              | CH        |     378000 | PA      | $445531.16    | 0.01%             | 2033-06-09      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 03/01/2047#BM3114                                                                          | CUSIP: 3140J7N84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     286963 | PA      | $252981.99    | 0.00%             | 2047-03-01      | Fixed         | 0.03%                 | 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        |     653517 | PA      | $594776.71    | 0.01%             | 2047-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BWAY TRUST 2025-1535                                                               | BWAY TRUST 2025-1535 B VAR 05/05/2030 144A                                                              | CUSIP: 12430BAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     290000 | PA      | $299857.77    | 0.00%             | 2042-05-05      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2024-5C2                                     | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2024-5C2 C CSTR 11/15/2057                                        | CUSIP: 95003UAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $100725.96    | 0.00%             | 2057-11-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2% 02/20/2051#MA7192                                                                            | CUSIP: 36179V7D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1010702 | PA      | $812377.01    | 0.01%             | 2051-02-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE FINANCIALS                                                      | LONG GILT FUTURE SEP25 G U5                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |        -11 | NC      | $-18465.71    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC MFD HSG COP GTD (FREDMAC                                                     | FHLMC REMI 30YR 6.5% 03/01/2055#RJ3700                                                                  | CUSIP: 3142GUDE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     180862 | PA      | $189668.45    | 0.00%             | 2055-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| INDONESIA REPUBLIC OF                                                              | INDONESIA REPUBLIC OF 5.95% 01/08/2046 144A                                                             | CUSIP: 455780BW5<br>LEI: 254900G208H6Q0L5B953 | Long             | DBT              | NUSS              | ID        |     200000 | PA      | $204590.00    | 0.00%             | 2046-01-08      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII 15YR 3% 04/20/2031#MA3572                                                                          | CUSIP: 36179R6H7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     134475 | PA      | $130476.80    | 0.00%             | 2031-04-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 5.66% 4/36 #868559                                                                             | CUSIP: 31409D5U3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8515 | PA      | $8803.64      | 0.00%             | 2036-04-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| HEIMSTADEN AB                                                                      | HEIMSTADEN AB 4.375% 03/06/2027 REGS                                                                    | CUSIP: N/A<br>LEI: 549300WD2QBD89VBPV88       | Long             | DBT              | CORP              | SE        |     700000 | PA      | $763601.02    | 0.01%             | 2027-03-06      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 4/36 #A79236                                                                                 | CUSIP: 3128LDHM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7585 | PA      | $7639.11      | 0.00%             | 2036-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE II LLC                                                            | BAYER US FIN II LLC 4.25% 12/15/2025 144A                                                               | CUSIP: 07274NAJ2<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |    3209000 | PA      | $3197067.85   | 0.05%             | 2025-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 02/01/2042#Q06232                                                                        | CUSIP: 3132GRHH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      22143 | PA      | $21060.91     | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BPR TR 2023-BRK2                                                                   | BPR TR 2023-BRK2 C VAR 10/05/2038 144A                                                                  | CUSIP: 05610WAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     616000 | PA      | $645448.50    | 0.01%             | 2038-10-05      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| SAFEHOLD GL HOLDINGS LLC                                                           | SAFEHOLD GL HOLDINGS LLC 6.1% 04/01/2034                                                                | CUSIP: 785931AA4<br>LEI: 54930012UY5Z4Q8NL108 | Long             | DBT              | CORP              | US        |     145000 | PA      | $147751.32    | 0.00%             | 2034-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 5.21% 3/36 #1G1851                                                                             | CUSIP: 3128QSBU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1834 | PA      | $1866.03      | 0.00%             | 2036-03-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.00% 6/36 #782394                                                                                 | CUSIP: 36241KUT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     144272 | PA      | $148764.01    | 0.00%             | 2036-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| VB-S1 ISSUER LLC                                                                   | VB-S1 ISSUER LLC 6.644% 05/15/2054 144A                                                                 | CUSIP: 91823ABE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1500000 | PA      | $1528670.55   | 0.02%             | 2054-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BUILDERS FIRSTSOURCE INC                                                           | BUILDERS FIRSTSOURCE INC 4.25% 02/01/2032 144A                                                          | CUSIP: 12008RAP2<br>LEI: 549300W0SKP6L3H7DP63 | Long             | DBT              | CORP              | US        |    1545000 | PA      | $1401785.61   | 0.02%             | 2032-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| STORE CAPITAL LLC                                                                  | STORE CAPITAL LLC 2.75% 11/18/2030                                                                      | CUSIP: 862121AC4<br>LEI: 254900Z9PIEFQ6AYXK50 | Long             | DBT              | CORP              | US        |     424000 | PA      | $369007.29    | 0.01%             | 2030-11-18      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 04/01/2043#AT2008                                                                        | CUSIP: 3138WPGS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21650 | PA      | $18817.64     | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+100 10/25/2054                                                   | CUSIP: 3137HFYT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     861039 | PA      | $856101.81    | 0.01%             | 2054-10-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 10/40 #AE4113                                                                                | CUSIP: 31419ESB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13017 | PA      | $12439.39     | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CLEVELAND-CLIFFS INC                                                               | CLEVELAND-CLIFFS INC 6.875% 11/01/2029 144A                                                             | CUSIP: 185899AQ4<br>LEI: 549300TM2WLI2BJMDD86 | Long             | DBT              | CORP              | US        |     220000 | PA      | $204549.25    | 0.00%             | 2029-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| INSIGHT ENTERPRISES INC                                                            | INSIGHT ENTERPRISES INC 6.625% 05/15/2032 144A                                                          | CUSIP: 45765UAC7<br>LEI: 529900S8991TYW6YP792 | Long             | DBT              | CORP              | US        |     190000 | PA      | $193597.65    | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2% 02/01/2028#FS3865                                                                          | CUSIP: 3140XKJK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     264016 | PA      | $257130.01    | 0.00%             | 2028-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 6% 09/01/2039#SB1399                                                                          | CUSIP: 3132CXRU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     816807 | PA      | $837953.94    | 0.01%             | 2039-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL    | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 5.25% 04/01/2053        | CUSIP: 161175CK8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2154000 | PA      | $1775566.97   | 0.03%             | 2053-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2020-C55                                                   | WELLS FARGO COML MTG TR 2020-C55 2.651% 02/15/2053                                                      | CUSIP: 95002EAZ0<br>LEI: N/A                  | Long             | ABS-MBS          | MUN               | US        |     376818 | PA      | $361365.99    | 0.01%             | 2053-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 05/01/2031#AS7111                                                                        | CUSIP: 3138WG3V4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     973429 | PA      | $933588.84    | 0.01%             | 2031-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CT TRUST                                                                           | CT TRUST 5.125% 02/03/2032 144A                                                                         | CUSIP: 12659BAA2<br>LEI: 213800MJB7WO427HQD34 | Long             | DBT              | CORP              | GT        |     350000 | PA      | $320250.00    | 0.00%             | 2032-02-03      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 6/41 #Q01393                                                                                 | CUSIP: 3132GERN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3546 | PA      | $3494.35      | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ISRAEL, STATE OF                                                                   | ISRAEL STATE OF 5.75% 03/12/2054                                                                        | CUSIP: 46514BRM1<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |     200000 | PA      | $177344.00    | 0.00%             | 2054-03-12      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                     | MORGAN STANLEY 5.831%/VAR 04/19/2035                                                                    | CUSIP: 61747YFR1<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    6000000 | PA      | $6186486.48   | 0.09%             | 2035-04-19      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| POSCO                                                                              | POSCO 5.75% 01/17/2028 144A                                                                             | CUSIP: 73730EAD5<br>LEI: 9884000N94NH7G6LQ816 | Long             | DBT              | CORP              | KR        |     240000 | PA      | $245466.33    | 0.00%             | 2028-01-17      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PHILIPPINES REPUBLIC OF                                                            | PHILIPPINES REPUBLIC OF 5.609% 04/13/2033                                                               | CUSIP: 718286CT2<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |     240000 | PA      | $249235.68    | 0.00%             | 2033-04-13      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 4/42 #AK9701                                                                                 | CUSIP: 3138EEX79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3434 | PA      | $3261.51      | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 3.625% 03/31/2030                                                                             | CUSIP: 91282CGS4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     525000 | PA      | $517063.48    | 0.01%             | 2030-03-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AES CORP                                                                           | AES CORP 3.95% 07/15/2030 144A                                                                          | CUSIP: 00130HCC7<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |    8288000 | PA      | $7734797.30   | 0.11%             | 2030-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 11/01/2051#BU5834                                                                          | CUSIP: 3140M7PU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     209663 | PA      | $164257.33    | 0.00%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 12/01/2031#AS8511                                                                        | CUSIP: 3138WJN53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     214583 | PA      | $205252.02    | 0.00%             | 2031-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 3.25% 04/25/2052                                                         | CUSIP: 3137H6RT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     761480 | PA      | $710214.07    | 0.01%             | 2052-04-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 10/01/2041#AL4242                                                                        | CUSIP: 3138ELWC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16648 | PA      | $16731.21     | 0.00%             | 2041-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 10/41 #AJ4047                                                                                | CUSIP: 3138AVP90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      64461 | PA      | $61385.45     | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.0% 07/01/2041#Q02189                                                                        | CUSIP: 3132GFNE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        861 | PA      | $866.03       | 0.00%             | 2041-07-01      | Fixed         | 0.05%                 | 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        |   16782814 | PA      | $16793303.10  | 0.24%             | 2041-03-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BOMBARDIER INC                                                                     | BOMBARDIER INC 6.75% 06/15/2033 144A                                                                    | CUSIP: 097751CD1<br>LEI: W7L3VLU8EHQY34Z36697 | Long             | DBT              | CORP              | CA        |     380000 | PA      | $385324.18    | 0.01%             | 2033-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SOUTHERN WTR SERVICES FIN LTD                                                      | SOUTHERN WTR SERVICES FIN LTD 2.375% 05/28/2028 REGS                                                    | CUSIP: N/A<br>LEI: 213800BTY35K1724Z452       | Long             | DBT              | CORP              | KY        |     240000 | PA      | $281496.27    | 0.00%             | 2028-05-28      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 12/01/2051#CB2320                                                                        | CUSIP: 3140QMSJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     271477 | PA      | $224518.21    | 0.00%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 2.5% 06/01/2041#BR1090                                                                        | CUSIP: 3140KYF82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      59818 | PA      | $52632.93     | 0.00%             | 2041-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK 2023-BNK45                                                                    | BANK 2023-BNK45 5.203% 02/15/2056                                                                       | CUSIP: 06541BBK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     800000 | PA      | $799699.36    | 0.01%             | 2056-02-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GOVERNMENT NAT MTG ASSN HECM 1.65% 01/20/2063                                                           | CUSIP: 38375BE73<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |          1 | PA      | $1.02         | 0.00%             | 2063-01-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2933 ZM 5.75% 02/15/2035                                                                            | CUSIP: 31395MT74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      36514 | PA      | $36146.67     | 0.00%             | 2035-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2011-H14 FB TSFR1M+61.448 5/61                                                                      | CUSIP: 38375BLZ3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      61561 | PA      | $61829.44     | 0.00%             | 2061-05-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK 2022-BNK39                                                                    | BANK 2022-BNK39 C CSTR 02/15/2055                                                                       | CUSIP: 06539VBB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     194000 | PA      | $160117.34    | 0.00%             | 2055-02-15      | Variable      | 0.03%                 | 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        |   52350000 | PA      | $51990962.76  | 0.76%             | 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        |    4015000 | PA      | $2956646.00   | 0.04%             | 2050-01-23      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                       | BARCLAYS PLC 5.829%/VAR 05/09/2027                                                                      | CUSIP: 06738ECF0<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    2370000 | PA      | $2391629.92   | 0.03%             | 2027-05-09      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS INC                                                          | ROGERS COMMUNICATIONS INC 7.125%/VAR 04/15/2055                                                         | CUSIP: 775109DH1<br>LEI: 5493000M6Z4XFIP6PF03 | Long             | DBT              | CORP              | CA        |     184000 | PA      | $184266.86    | 0.00%             | 2055-04-15      | Variable      | 0.07%                 | 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        |    3402000 | PA      | $3400111.89   | 0.05%             | 2037-10-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                                | PETROLEOS MEXICANOS 6.875% 08/04/2026                                                                   | CUSIP: 71654QCB6<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |     200000 | PA      | $198180.00    | 0.00%             | 2026-08-04      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AR1910                                                                        | CUSIP: 3138NYDQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8486 | PA      | $7642.18      | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 02/01/2041#                                                                              | CUSIP: 3132GE5T3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2338 | PA      | $2297.14      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                        | FX Forward: USD/EUR settle 2025-07-08                                                                   | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |          1 | NC      | $-1408.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 2021-96 AH 2.5% 03/25/2049                                               | CUSIP: 3136BKXA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    3915803 | PA      | $3366008.35   | 0.05%             | 2049-03-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 5.5% 06/01/2055 #TBA                                                                          | CUSIP: 01F052664<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -17275000 | PA      | $-17107660.53 | -0.25%            | 2055-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ANGLIAN WATER (OSPREY) FINANCING PLC                                               | ANGLIAN WATER (OSPREY) FINANCING PLC 2% 07/31/2028 REGS                                                 | CUSIP: N/A<br>LEI: 21380072JDZ74GW9ZY87       | Long             | DBT              | CORP              | GB        |     179000 | PA      | $210835.75    | 0.00%             | 2028-07-31      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                                                                 | REALTY INCOME CORP 2.2% 06/15/2028                                                                      | CUSIP: 756109BJ2<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |     172000 | PA      | $161033.54    | 0.00%             | 2028-06-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BAYTEX ENERGY CORP                                                                 | BAYTEX ENERGY CORP 7.375% 03/15/2032 144A                                                               | CUSIP: 07317QAK1<br>LEI: 549300R5LTV2H7I1I079 | Long             | DBT              | CORP              | CA        |     375000 | PA      | $340409.14    | 0.00%             | 2032-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| LD CELULOSE INTERNATIONA                                                           | LD CELULOSE INTERNATIONA 7.95% 01/26/2032 144A                                                          | CUSIP: 50206BAA0<br>LEI: 529900EHUSQJVOTP9J45 | Long             | DBT              | CORP              | AT        |     200000 | PA      | $206175.00    | 0.00%             | 2032-01-26      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                          | OCCIDENTAL PETROLEUM CORP 6.45% 09/15/2036                                                              | CUSIP: 674599DF9<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |     600000 | PA      | $589627.02    | 0.01%             | 2036-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ENGIE SA                                                                           | ENGIE SA 4.25% 09/06/2034 REGS                                                                          | CUSIP: N/A<br>LEI: LAXUQCHT4FH58LRZDY46       | Long             | DBT              | CORP              | FR        |     400000 | PA      | $476458.54    | 0.01%             | 2034-09-06      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ORLEN SA                                                                           | ORLEN SA 6% 01/30/2035 144A                                                                             | CUSIP: 68666UAA3<br>LEI: 259400VVMM70CQREJT74 | Long             | DBT              | CORP              | PL        |     260000 | PA      | $262766.14    | 0.00%             | 2035-01-30      | Fixed         | 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        |    2253000 | PA      | $2249557.42   | 0.03%             | 2037-07-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 05/47#Q47942                                                                             | CUSIP: 3132WMZG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17209 | PA      | $16547.00     | 0.00%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TCO COML MTG TR 2024-DPM                                                           | TAUBMAN CENTERS COMMERCIAL MORTGAGE TRUST 2024- DPM D TSFR1M+274.08 12/15/2039 144A                     | CUSIP: 87231EAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     590000 | PA      | $579824.39    | 0.01%             | 2039-12-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 06/01/2031#AS7325                                                                        | CUSIP: 3138WHD74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     789761 | PA      | $757095.66    | 0.01%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANCO DO BRASIL SA CAYMAN ISLANDS BRANCH                                           | BANCO DO BRASIL CAYMAN ISLAND BRH 6.25%/VAR PERP 144A                                                   | CUSIP: 05958AAK4<br>LEI: QE0Q0253K88YAGNPE356 | Long             | EP               | CORP              | KY        |     450000 | PA      | $452250.00    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 10/01/2041#G06800                                                                        | CUSIP: 3128M83H5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4511 | PA      | $4304.20      | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                              | BOAM SWAP PAY 4.025 04/23/30                                                                            | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    1950000 | NC      | $80586.71     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 2% 02/01/2041#RB5100                                                                          | CUSIP: 3133KYUZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     196572 | PA      | $166905.41    | 0.00%             | 2041-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ARGENTINA REPUBLIC OF                                                              | ARGENTINA REPUBLIC OF 1% 07/09/2029                                                                     | CUSIP: 040114HX1<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |     364720 | PA      | $300164.97    | 0.00%             | 2029-07-09      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 2013-134 SA SOFR30A+593.552 01/25/2044                                   | CUSIP: 3136AHTW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       8782 | PA      | $952.31       | 0.00%             | 2044-01-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.00% 10/41 #Q04113                                                                                | CUSIP: 3132GKGW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5808 | PA      | $5538.68      | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 9/29 #357040                                                                                 | CUSIP: 31376JS59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         47 | PA      | $48.88        | 0.00%             | 2029-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| KRONOS ACQUISITION HOLDINGS INC                                                    | KRONOS ACQUISITION HOLDINGS INC 8.25% 06/30/2031 144A                                                   | CUSIP: 50106GAG7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     210000 | PA      | $183680.60    | 0.00%             | 2031-06-30      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| BANK GOSPODARSTWA KRAJOWEGO                                                        | BANK GOSPODARSTWA KRAJOWEGO 6.25% 07/09/2054 144A                                                       | CUSIP: 06237MAD5<br>LEI: 259400BCOV9JJIGLYF05 | Long             | DBT              | NUSS              | PL        |     355000 | PA      | $342685.05    | 0.00%             | 2054-07-09      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WILLIAMS SCOTSMAN INC                                                              | WILLIAMS SCOTSMAN INC 6.625% 06/15/2029 144A                                                            | CUSIP: 96949VAM5<br>LEI: 549300DAKDS8SCO1OT57 | Long             | DBT              | CORP              | US        |     355000 | PA      | $362015.51    | 0.01%             | 2029-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 07/01/2052#QE5493                                                                          | CUSIP: 3133BFC65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      33429 | PA      | $31200.42     | 0.00%             | 2052-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WR GRACE HOLDING LLC                                                               | WR GRACE HOLDING LLC 4.875% 06/15/2027 144A                                                             | CUSIP: 92943GAD3<br>LEI: 549300WNOVFRGYOAEB12 | Long             | DBT              | CORP              | US        |     960000 | PA      | $946519.68    | 0.01%             | 2027-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 06/01/2051#SD8150                                                                          | CUSIP: 3132DWBT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19131 | PA      | $14964.18     | 0.00%             | 2051-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                                | GSCOFI SWAP CY885802 12/15/56 B                                                                         | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |     800000 | NC      | $104153.04    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 8/33 #726956                                                                                 | CUSIP: 31402ETM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1063 | PA      | $1052.28      | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SOUTHERN COMPANY                                                                   | SOUTHERN COMPANY 4.85% 03/15/2035                                                                       | CUSIP: 842587EA1<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $4811881.00   | 0.07%             | 2035-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BAMLL COML MTG SECS TR 2022-DKLX                                                   | BAMLL COML MTG SECS TR 2022-DKLX C VAR 01/15/2039 144A                                                  | CUSIP: 05530SAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     123339 | PA      | $122144.37    | 0.00%             | 2039-01-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                | MSCS SWAP CY873248 04/17/65 B                                                                           | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |     100000 | NC      | $17049.92     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AZULE ENERGY FINANCE PLC                                                           | AZULE ENERGY FINANCE PLC 8.125% 01/23/2030 144A                                                         | CUSIP: 05501YAA6<br>LEI: 2138006X6O82RJSQDB63 | Long             | DBT              | CORP              | GB        |      75000 | PA      | $73025.55     | 0.00%             | 2030-01-23      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| MONTREAL EXCHANGE (THE)                                                            | CAN 10YR BOND FUT SEP25 CNU5                                                                            | CUSIP: N/A<br>LEI: 549300DKBYNOI0B1NP44       | N/A              | DIR              | CORP              | CA        |         26 | NC      | $19890.74     | 0.00%             |  |  |  | No            |                  1 | 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        |   23913791 | PA      | $18779698.94  | 0.27%             | 2050-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2025-ROIC                                                                 | BX TRUST 2025-ROIC TSFR1M+294.129 03/15/2030 144A                                                       | CUSIP: 05593VAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     593000 | PA      | $578193.38    | 0.01%             | 2030-03-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| LGI HOMES INC                                                                      | LGI HOMES INC 7% 11/15/2032 144A                                                                        | CUSIP: 50187TAK2<br>LEI: 549300W02B4WNV8CV109 | Long             | DBT              | CORP              | US        |     725000 | PA      | $673264.00    | 0.01%             | 2032-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 3% 04/25/2041                                                            | CUSIP: 3137FYBN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    1361271 | PA      | $1232716.33   | 0.02%             | 2041-04-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 02/01/2052#FS2040                                                                          | CUSIP: 3140XHHS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     877746 | PA      | $684638.21    | 0.01%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| HUNGARY REPUBLIC OF                                                                | HUNGARY REPUBLIC OF 5.25% 06/16/2029 144A                                                               | CUSIP: 445545AP1<br>LEI: 5299008DH62LEB10JK83 | Long             | DBT              | NUSS              | HU        |     200000 | PA      | $200750.00    | 0.00%             | 2029-06-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BRAZIL, FEDERATIVE REPUBLIC OF                                                     | BRAZIL FEDERATIVE REPUBLIC OF 6% 10/20/2033                                                             | CUSIP: 105756CF5<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |     200000 | PA      | $196250.00    | 0.00%             | 2033-10-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BX TR 2022-LBA6                                                                    | BX TR 2022-LBA6 E TSFR1M+270 01/15/2039 144A                                                            | CUSIP: 12433EAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1225000 | PA      | $1217343.75   | 0.02%             | 2039-01-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 5.81% 1/36 #1J1262                                                                             | CUSIP: 3128NHMK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2655 | PA      | $2695.82      | 0.00%             | 2036-01-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| US ACUTE CARE SOLUTIONS                                                            | US ACUTE CARE SOLUTIONS 9.75% 05/15/2029 144A                                                           | CUSIP: 90367UAD3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     915000 | PA      | $929995.94    | 0.01%             | 2029-05-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE HOLDING SA                                                           | ALTICE FRANCE HOLDING SA 6% 02/15/2028 144A                                                             | CUSIP: 02156TAA2<br>LEI: 5299000JVHXKJPOE6H40 | Long             | DBT              | CORP              | LU        |     865000 | PA      | $315012.07    | 0.00%             | 2028-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CEDAR FDG XVII CLO LTD                                                             | CEDAR FDG XVII CLO LTD A TSFR3M+185 07/20/2036 144A                                                     | CUSIP: 15033PAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1424000 | PA      | $1426872.21   | 0.02%             | 2036-07-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| MTN MAURITIUS INVESTMENTS LTD                                                      | MTN MAURITIUS INVSTMENTS 6.5% 10/13/2026 144A                                                           | CUSIP: 55377XAB2<br>LEI: 2549009PQD415OQIR074 | Long             | DBT              | CORP              | MU        |     145000 | PA      | $145725.00    | 0.00%             | 2026-10-13      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BABSON CLO LTD/CAYMAN ISLANDS                                                      | BABSON CLO LTD/CAYMAN ISLANDS A1R2 TSFR3M+126 01/15/2038 144A                                           | CUSIP: 06762LAR9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     860000 | PA      | $860335.40    | 0.01%             | 2038-01-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 01/01/2047#Q45635                                                                        | CUSIP: 3132WKHM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4311 | PA      | $4149.29      | 0.00%             | 2047-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM 30YR 6% 06/01/2053#RA9278                                                                          | CUSIP: 3133KRJX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     353763 | PA      | $360594.38    | 0.01%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 5.16% 9/35 #850124                                                                             | CUSIP: 31408FPH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        162 | PA      | $166.61       | 0.00%             | 2035-09-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 1.5% 11/01/2035#QN4212                                                                        | CUSIP: 3133GAVD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     160963 | PA      | $141968.51    | 0.00%             | 2035-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 04/01/2031#                                                                                | CUSIP: 31292HJK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        136 | PA      | $140.37       | 0.00%             | 2031-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIAN OIL COMPANY                                                          | SAUDI ARABIAN OIL COMPANY 4.25% 04/16/2039 144A                                                         | CUSIP: 80414L2E4<br>LEI: 5586006WD91QHB7J4X50 | Long             | DBT              | CORP              | SA        |     785000 | PA      | $665295.35    | 0.01%             | 2039-04-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| IVORY COAST (COTE D'IVOIRE)                                                        | IVORY COAST (COTE D'IVOIRE) 8.25% 01/30/2037 144A                                                       | CUSIP: 221625AU0<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |     145000 | PA      | $136118.75    | 0.00%             | 2037-01-30      | Fixed         | 0.08%                 | 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        |    2253000 | PA      | $2238918.75   | 0.03%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| INDONESIA REPUBLIC OF                                                              | INDONESIA REPUBLIC OF 7.75% 01/17/2038 144A                                                             | CUSIP: 455780AZ9<br>LEI: 254900G208H6Q0L5B953 | Long             | DBT              | NUSS              | ID        |     455000 | PA      | $545090.00    | 0.01%             | 2038-01-17      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 22-25 AB 4% 09/25/2047                                                   | CUSIP: 3136BMUF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     330569 | PA      | $322334.46    | 0.00%             | 2047-09-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 3% 06/25/2049                                                            | CUSIP: 3136BMER5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     207295 | PA      | $189908.21    | 0.00%             | 2049-06-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 07/01/2050#CA6416                                                                          | CUSIP: 3140QEDW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2581472 | PA      | $2233028.39   | 0.03%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MODIVCARE INC                                                                      | MODIVCARE TERM B 1LN 07/01/2031                                                                         | CUSIP: 60783LAC4<br>LEI: 549300EFZIFW7F7I0Q28 | Long             | LON              | CORP              | US        |     228278 | PA      | $153199.47    | 0.00%             | 2031-07-01      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2% 08/01/2041#FM8334                                                                          | CUSIP: 3140XCHL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     522092 | PA      | $441300.38    | 0.01%             | 2041-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SHURGARD LUXEMBOURG SARL                                                           | SHURGARD LUXEMBOURG SARL 4% 05/27/2035 REGS                                                             | CUSIP: N/A<br>LEI: 54930064DJ4U15OBV665       | Long             | DBT              | CORP              | LU        |     400000 | PA      | $456401.38    | 0.01%             | 2035-05-27      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LADDER CAP FIN HLDGS LLLP / LADDER CAP FIN CORP                                    | LADDER CAP FIN HLDGS LLLP/CORP 4.25% 02/01/2027 144A                                                    | CUSIP: 505742AM8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     555000 | PA      | $542976.42    | 0.01%             | 2027-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 1.75% 02/25/2052                                                         | CUSIP: 3137H5WR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    2131023 | PA      | $1861796.11   | 0.03%             | 2052-02-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| INTELSAT JACKSON HLDGS SA                                                          | INTELSAT JACKSON HLDGS SA 6.5% 03/15/2030 144A                                                          | CUSIP: 45824TBC8<br>LEI: 8XJ8KF85PBKK1TLMFN29 | Long             | DBT              | CORP              | LU        |     465000 | PA      | $457275.70    | 0.01%             | 2030-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PACIFIC LIFECORP                                                                   | PACIFIC LIFECORP 5.125% 01/30/2043 144A                                                                 | CUSIP: 694476AD4<br>LEI: VFN8KLUEIK7XMVX1JM30 | Long             | DBT              | CORP              | US        |     950000 | PA      | $859935.47    | 0.01%             | 2043-01-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TALLGRASS ENERGY PARTNERS LP / TALLGRASS ENERGY FINANCE CORP                       | TALLGRASS ENERGY PARTNERS LP / TALLGRASS ENERGY FINANCE CORP 6% 12/31/2030 144A                         | CUSIP: 87470LAJ0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2250000 | PA      | $2155918.95   | 0.03%             | 2030-12-31      | Fixed         | 0.06%                 | 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        |     235000 | PA      | $203965.39    | 0.00%             | 2031-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HAH GROUP HOLDING CO LLC                                                           | HAH GROUP HOLDING CO LLC 9.75% 10/01/2031 144A                                                          | CUSIP: 40518JAA7<br>LEI: 254900FFJQHW9R90FL74 | Long             | DBT              | CORP              | US        |     465000 | PA      | $463110.57    | 0.01%             | 2031-10-01      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 11/41 #AJ5385                                                                                | CUSIP: 3138AW6X6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18035 | PA      | $17156.35     | 0.00%             | 2041-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COSTA RICA REPUBLIC OF                                                             | COSTA RICA REPUBLIC OF 5.625% 04/30/2043 144A                                                           | CUSIP: 221597BT3<br>LEI: 549300S1EK2VN6XVJP58 | Long             | DBT              | NUSS              | CR        |      90000 | PA      | $79920.00     | 0.00%             | 2043-04-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BANK 2023-BNK45                                                                    | BANK 2023-BNK45 B VAR 02/15/2056                                                                        | CUSIP: 06541BBX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     200000 | PA      | $204613.52    | 0.00%             | 2056-02-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2006-12 BO 0% 10/35                                                                                 | CUSIP: 31394VS43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       4160 | PA      | $3702.89      | 0.00%             | 2035-10-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                                 | ALLY FINL INC 4.75% 06/09/2027                                                                          | CUSIP: 02005NBQ2<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |    2500000 | PA      | $2502918.45   | 0.04%             | 2027-06-09      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 5.61% 3/35 #1L0297                                                                             | CUSIP: 3128Q2KJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4386 | PA      | $4471.75      | 0.00%             | 2035-03-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 4.293% 3/35 #815586                                                                            | CUSIP: 31406PCX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        459 | PA      | $469.82       | 0.00%             | 2035-03-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 10/01/2053#CB7299                                                                        | CUSIP: 3140QTDD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4666939 | PA      | $4669761.61   | 0.07%             | 2053-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SAAVI ENERGIA SARL                                                                 | SAAVI ENERGIA SARL 8.875% 02/10/2035 144A                                                               | CUSIP: 78518PAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |     410000 | PA      | $417380.00    | 0.01%             | 2035-02-10      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 2% 04/25/2045                                                            | CUSIP: 3137FVE99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     491899 | PA      | $442831.44    | 0.01%             | 2045-04-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FONTAINEBLEAU MIAMI BEACH BEACH MTG TR 2024-FBLU                                   | FONTAINEBLEAU MIAMI BEACH BEACH MTG TR 2024-FBLU TSFR1M+570 12/15/2029 144A                             | CUSIP: 34461WAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     460000 | PA      | $459647.55    | 0.01%             | 2039-12-15      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORP                                                                      | DISH DBS CORP 5.125% 06/01/2029                                                                         | CUSIP: 25470XBD6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1272000 | PA      | $836270.64    | 0.01%             | 2029-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.50% 10/40 #004834                                                                             | CUSIP: 36202FLP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2021 | PA      | $1987.67      | 0.00%             | 2040-10-20      | Fixed         | 0.04%                 | 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        |   13317000 | PA      | $13270713.17  | 0.19%             | 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        |    9063336 | PA      | $7089190.29   | 0.10%             | 2051-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 3/1/43#AR6743                                                                            | CUSIP: 3138W4P54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13913 | PA      | $12815.18     | 0.00%             | 2043-03-01      | 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        |     745599 | PA      | $613832.36    | 0.01%             | 2051-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SOUTHERN COMPANY                                                                   | SOUTHERN COMPANY EUSA5+NA 09/15/2081                                                                    | CUSIP: N/A<br>LEI: 549300FC3G3YU2FBZD92       | Long             | DBT              | CORP              | US        |     437000 | PA      | $473373.11    | 0.01%             | 2081-09-15      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| HELIOS SOFTWARE HOLDINGS INC / ION CORPORATE SOLUTIONS FINANCE SARL                | HELIOS SOFTWARE HOLDINGS INC / ION CORPORATE SOLUTIONS FINANCE SARL 8.75% 05/01/2029 144A               | CUSIP: 42329HAB4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     195000 | PA      | $197979.41    | 0.00%             | 2029-05-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| HAH GROUP HOLDING CO LLC                                                           | HELP AT HOME TERM 1LN 09/24/2031                                                                        | CUSIP: 40467AAN9<br>LEI: 254900FFJQHW9R90FL74 | Long             | LON              | CORP              | US        |     265000 | PA      | $259326.35    | 0.00%             | 2031-09-24      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MORTAGE TR 2024-MGP                                               | WELLS FARGO COML MORTAGE TR 2024-MGP A12 TSFR1M+179.1 08/15/2041 144A                                   | CUSIP: 95003TAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1500000 | PA      | $1492495.50   | 0.02%             | 2041-08-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GENM CAPITAL LABUAN LTD                                                            | GENM CAPITAL LABUAN LTD 3.882% 04/19/2031 144A                                                          | CUSIP: 37231BAA6<br>LEI: 254900DWSHIWTSE0YG58 | Long             | DBT              | CORP              | MY        |     265000 | PA      | $233200.00    | 0.00%             | 2031-04-19      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6.5% 09/01/2054#SD6617                                                                        | CUSIP: 3132DUK63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1938284 | PA      | $2022066.98   | 0.03%             | 2054-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 08/01/2051#RA5746                                                                        | CUSIP: 3133KML37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     276329 | PA      | $248210.57    | 0.00%             | 2051-08-01      | Fixed         | 0.04%                 | 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        |     406872 | PA      | $377811.74    | 0.01%             | 2051-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 6/42 #AB5423                                                                                 | CUSIP: 31417CAZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33854 | PA      | $31348.13     | 0.00%             | 2042-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 02/01/2052#CB2886                                                                          | CUSIP: 3140QNF49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     534538 | PA      | $459129.35    | 0.01%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                            | HCA INC 5.875% 02/01/2029                                                                               | CUSIP: 404119BW8<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     981000 | PA      | $1012540.95   | 0.01%             | 2029-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BX TR 2025-TAIL                                                                    | BX TR 2025-TAIL E TSFR1M+330 06/15/2035 144A                                                            | CUSIP: 123912AJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     330000 | PA      | $330000.00    | 0.00%             | 2035-06-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 05/43 #MA1012                                                                              | CUSIP: 36179NDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     146403 | PA      | $134399.77    | 0.00%             | 2043-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.125% 02/29/2032                                                                             | CUSIP: 91282CMR9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   68440000 | PA      | $68322368.75  | 0.99%             | 2032-02-29      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 10/01/2046#AL9371                                                                          | CUSIP: 3138ERMV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     628926 | PA      | $554450.85    | 0.01%             | 2046-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 7.00% 12/33 #G03583                                                                                | CUSIP: 3128M5J43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        773 | PA      | $817.27       | 0.00%             | 2034-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                          | BOEING CO 5.15% 05/01/2030                                                                              | CUSIP: 097023CY9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    6303000 | PA      | $6358259.09   | 0.09%             | 2030-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 22-67 FA SOFR30A+80 10/25/2052                                           | CUSIP: 3136BPBP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    4115919 | PA      | $3992866.56   | 0.06%             | 2052-10-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BX 2024 VLT4                                                                       | BX 2024 VLT4 F TSFR1M+393.788 07/15/2029 144A                                                           | CUSIP: 05612TAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1750000 | PA      | $1729976.85   | 0.03%             | 2029-07-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2025-SPOT                                             | BX TRUST 2025-SPOT E TSFR1M+344.054 04/15/2040 144A                                                     | CUSIP: 12433FAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1088000 | PA      | $1079172.73   | 0.02%             | 2040-04-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 3.47% 3/40 #AD0820                                                                             | CUSIP: 31418M4E9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4344 | PA      | $4501.84      | 0.00%             | 2040-03-01      | Variable      | 0.07%                 | 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        |   14000000 | PA      | $14159957.00  | 0.21%             | 2034-06-01      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 04/01/2037#BM1257                                                                        | CUSIP: 3140J5MF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     342721 | PA      | $311756.91    | 0.00%             | 2037-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NYMT LN TR 2022-CP1                                                                | NYMT LN TR 2022-CP1 2.0424% 07/25/2061 144A                                                             | CUSIP: 62955VAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     171199 | PA      | $158062.34    | 0.00%             | 2061-07-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SREIT TR 2021-MFP                                                                  | SREIT TR 2021-MFP TSFR1M+144.348 9 11/15/2038 144A                                                      | CUSIP: 78472UAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     507499 | PA      | $505596.05    | 0.01%             | 2038-11-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 08/01/2051#FS2041                                                                          | CUSIP: 3140XHHT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     136203 | PA      | $106365.61    | 0.00%             | 2051-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GOVERNMENT NAT MTG AS REMIC PT 3% 10/20/2047                                                            | CUSIP: 38380UAT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      88297 | PA      | $79038.54     | 0.00%             | 2047-10-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-RCF4 LLC                                                                 | PRPM 2024-RCF4 A1 LLC VAR 07/25/2054 144A                                                               | CUSIP: 74448JAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     319786 | PA      | $311934.29    | 0.00%             | 2054-07-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 03/01/2045#Q32328                                                                        | CUSIP: 3132QNSS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12924 | PA      | $11867.43     | 0.00%             | 2045-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 12/01/2047#ZM5206                                                                        | CUSIP: 3131XYYB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      52991 | PA      | $48178.50     | 0.00%             | 2047-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 07/01/2052#FS7176                                                                          | CUSIP: 3140XN6N9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11290067 | PA      | $9693824.01   | 0.14%             | 2052-07-01      | Fixed         | 0.03%                 | 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        |    2122018 | PA      | $2122018.42   | 0.03%             | 2038-07-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 09/01/2040#AE3951                                                                        | CUSIP: 31419EL98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2289 | PA      | $2179.57      | 0.00%             | 2040-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NAVIENT CORP                                                                       | NAVIENT CORP 5.5% 03/15/2029                                                                            | CUSIP: 63938CAM0<br>LEI: 54930067J0ZNOEBRW338 | Long             | DBT              | CORP              | US        |     220000 | PA      | $211646.82    | 0.00%             | 2029-03-15      | Fixed         | 0.06%                 | 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        |    4486000 | PA      | $4469177.50   | 0.07%             | 2035-02-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BOSTON PPTY LTD PARTNERSHIP                                                        | BOSTON PPTYS LTD PARTNERSHIP 2.9% 03/15/2030                                                            | CUSIP: 10112RBC7<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1810289.96   | 0.03%             | 2030-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BBCMS MTG TR 2025-C32                                                              | BBCMS MTG TR 2025-C32 4.5% 02/15/2062 144A                                                              | CUSIP: 07337AAT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $75542.36     | 0.00%             | 2062-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                                      | TRANSDIGM INC 6% 01/15/2033 144A                                                                        | CUSIP: 893647BW6<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |    4561000 | PA      | $4513164.69   | 0.07%             | 2033-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| COMMERZBANK AG                                                                     | COMMERZBANK AG 8.625%/VAR 02/28/2033 REGS                                                               | CUSIP: N/A<br>LEI: 851WYGNLUQLFZBSYGB56       | Long             | DBT              | CORP              | DE        |     200000 | PA      | $287587.54    | 0.00%             | 2033-02-28      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 10/01/2042#AB6493                                                                        | CUSIP: 31417DGB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6427 | PA      | $5788.98      | 0.00%             | 2042-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.50% 6/33 #003401                                                                              | CUSIP: 36202DX63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        346 | PA      | $342.51       | 0.00%             | 2033-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GOVERNMENT NAT MTG ASSN HECM TSFR1M+60 08/20/2063                                                       | CUSIP: 38375B5N8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |       2613 | PA      | $2628.24      | 0.00%             | 2063-08-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 11/01/2047#CA1780                                                                        | CUSIP: 3140Q86S9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2660 | PA      | $2554.07      | 0.00%             | 2047-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                                              | TIME WARNER CABLE LLC 6.75% 06/15/2039                                                                  | CUSIP: 88732JAU2<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |     545000 | PA      | $551538.75    | 0.01%             | 2039-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE CLO 2021-2 LTD                                                       | PALMER SQUARE CLO 2021-2 LTD DR2 TSFR3M+414 02/15/2038 144A                                             | CUSIP: 69701XAU8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     100000 | PA      | $99784.60     | 0.00%             | 2038-02-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 1.125% 05/15/2040                                                           | CUSIP: 912810SR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    8834000 | PA      | $5366655.00   | 0.08%             | 2040-05-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| NIGERIA REPUBLIC OF                                                                | NIGERIA REPUBLIC 7.875% 02/16/2032 144A                                                                 | CUSIP: 65412JAA1<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |     200000 | PA      | $180950.00    | 0.00%             | 2032-02-16      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| SHR TR 2024-LXRY                                                                   | SHR TR 2024-LXRY D TSFR1M+350 10/15/2041 144A                                                           | CUSIP: 784234AG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     460000 | PA      | $459712.27    | 0.01%             | 2041-10-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| COGENT COMMUNICATIONS GROUP INC / COGENT COMMUNICATIONS FINANCE INC                | COGENT COMMUNICATIONS GROUP INC / COGENT COMMUNICATIONS FINANCE INC 7% 06/15/2027 144A                  | CUSIP: 19240WAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     430000 | PA      | $432658.69    | 0.01%             | 2027-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MEITUAN                                                                            | MEITUAN 4.625% 10/02/2029 144A                                                                          | CUSIP: 58533EAF0<br>LEI: 21380033K525E5JLIA77 | Long             | DBT              | CORP              | KY        |     290000 | PA      | $288434.77    | 0.00%             | 2029-10-02      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 3% 05/25/2048                                                            | CUSIP: 3137H5ZJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     513869 | PA      | $466665.43    | 0.01%             | 2048-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 01/01/2043#AQ9328                                                                        | CUSIP: 3138MRLJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27481 | PA      | $25421.55     | 0.00%             | 2043-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.00% 4/42 #MA0023                                                                              | CUSIP: 36179MAY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      27539 | PA      | $26319.63     | 0.00%             | 2042-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MVM ENERGETIKA ZRT                                                                 | MVM ENERGETIKA ZRT 6.5% 03/13/2031 REGS                                                                 | CUSIP: N/A<br>LEI: 529900ELI5AQ9F74PF85       | Long             | DBT              | CORP              | HU        |     200000 | PA      | $203781.24    | 0.00%             | 2031-03-13      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| COPT DEFENSE PROPERTIES LP                                                         | COPT DEFENSE PROPERTIES LP 2.9% 12/01/2033                                                              | CUSIP: 22003BAP1<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $4032989.15   | 0.06%             | 2033-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 3.5% 02/43 #Q15871                                                                                 | CUSIP: 3132J66H2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7764 | PA      | $7255.42      | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2024-MDHS                                                           | BX COML MTG TR 2024-MDHS E TSFR1M+368.83 05/15/2041 144A                                                | CUSIP: 12433BAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     796660 | PA      | $794009.22    | 0.01%             | 2041-05-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 2/27 #356391                                                                                 | CUSIP: 31376H2Y8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         19 | PA      | $19.58        | 0.00%             | 2027-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 03/01/2051#QB8975                                                                          | CUSIP: 3133AF6L0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      30925 | PA      | $24440.33     | 0.00%             | 2051-03-01      | Fixed         | 0.02%                 | 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        |    2218459 | PA      | $1916241.57   | 0.03%             | 2049-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINE GROUP INC                                                        | COLUMBIA PIPELINE GROUP INC 5.8% 06/01/2045                                                             | CUSIP: 198280AH2<br>LEI: 549300SRP1TQM9JJBG80 | Long             | DBT              | CORP              | US        |      10000 | PA      | $9507.35      | 0.00%             | 2045-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 2.592%/VAR 04/29/2031                                                       | CUSIP: 06051GJB6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   10000000 | PA      | $9022443.10   | 0.13%             | 2031-04-29      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 03/20/44#MA1760                                                                            | CUSIP: 36179N5V6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2154 | PA      | $1975.56      | 0.00%             | 2044-03-20      | Fixed         | 0.04%                 | 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        |     909183 | PA      | $841923.39    | 0.01%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 08/01/2052#QE8192                                                                          | CUSIP: 3133BJC59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19966 | PA      | $18628.96     | 0.00%             | 2052-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CAST and CREW PAYROLL LLC                                                          | CAST and CREW TERM B 1LN 12/29/2028                                                                     | CUSIP: 14835JAQ3<br>LEI: 549300XE7OZGFGN5F466 | Long             | LON              | CORP              | US        |     601914 | PA      | $556018.41    | 0.01%             | 2028-12-29      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                 | ENERGY TRANSFER LP 5% 05/15/2050                                                                        | CUSIP: 29278NAR4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    4089000 | PA      | $3305387.39   | 0.05%             | 2050-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                        | BNP PARIBAS 3.945%/VAR 02/18/2037 REGS                                                                  | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | Long             | DBT              | CORP              | FR        |     900000 | PA      | $1015313.71   | 0.01%             | 2037-02-18      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.50% 8/29 #781078                                                                                 | CUSIP: 36225BFT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          9 | PA      | $9.31         | 0.00%             | 2029-08-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| HEALTHCARE REALTY HOLDINGS LP                                                      | HEALTHCARE REALTY HOLDINGS LP 3.1% 02/15/2030                                                           | CUSIP: 42225UAG9<br>LEI: 549300IYGAS4GE6VDL07 | Long             | DBT              | CORP              | US        |     260000 | PA      | $238286.33    | 0.00%             | 2030-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 10/01/2053#CB7297                                                                        | CUSIP: 3140QTDB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1105565 | PA      | $1108306.71   | 0.02%             | 2053-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| LUMEN TECHNOLOGIES                                                                 | LUMEN TECHNOLOGIES TERM B2 1LN SUPER_PRIORITY 04/15/2030                                                | CUSIP: 55024EAG0<br>LEI: 8M3THTGWLTYZVE6BBY25 | Long             | LON              | CORP              | US        |     629670 | PA      | $622762.88    | 0.01%             | 2030-04-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIA KINGDOM OF                                                            | SAUDI ARABIA KINGDOM OF 2.25% 02/02/2033 144A                                                           | CUSIP: 80413TAV1<br>LEI: 54930044PULMORCKB765 | Long             | DBT              | NUSS              | SA        |     305000 | PA      | $251345.93    | 0.00%             | 2033-02-02      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| VTR COMUNICACIONES SPA                                                             | VTR COMUNICACIONES SPA 5.125% 01/15/2028 144A                                                           | CUSIP: 918367AA1<br>LEI: 213800XDZJKMC1AEUV94 | Long             | DBT              | CORP              | CL        |     315000 | PA      | $296100.00    | 0.00%             | 2028-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SMRT 2022-MINI                                                                     | SMRT 2022-MINI D TSFR1M+195 01/15/2039 144A                                                             | CUSIP: 78457JAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     250000 | PA      | $245625.00    | 0.00%             | 2039-01-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CY885802 12/15/56 B                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     300000 | NC      | $39057.39     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2019-IMC                                              | BX COMMERCIAL MORTGAGE TRUST 2019-IMC A TSFR1M+111.448 04/15/2034 144A                                  | CUSIP: 05608BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     383377 | PA      | $379783.11    | 0.01%             | 2034-04-15      | Variable      | 0.05%                 | 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        |    3521385 | PA      | $2831500.69   | 0.04%             | 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        |   28275000 | PA      | $25167314.54  | 0.37%             | 2055-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 1.5% 09/01/2035#MA4122                                                                        | CUSIP: 31418DSL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     889087 | PA      | $787504.55    | 0.01%             | 2035-09-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 1.5% 09/01/2036#MA4417                                                                        | CUSIP: 31418D4B5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20703 | PA      | $18182.03     | 0.00%             | 2036-09-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 07/01/2050#FM3897                                                                          | CUSIP: 3140X7KK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     122904 | PA      | $97170.43     | 0.00%             | 2050-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CLYDESDALE ACQUISITION HOLDINGS INC                                                | CLYDESDALE ACQUISITION HOLDINGS INC 8.75% 04/15/2030 144A                                               | CUSIP: 18972EAB1<br>LEI: 254900QKSDYFR3K5YD98 | Long             | DBT              | CORP              | US        |     965000 | PA      | $986838.92    | 0.01%             | 2030-04-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: —       |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 06/01/2054#CB8689                                                                        | CUSIP: 3140QUUP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1728761 | PA      | $1716300.30   | 0.02%             | 2054-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 2.5% 12/20/2051#785791                                                                          | CUSIP: 3622ABKC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1227629 | PA      | $1020111.28   | 0.01%             | 2051-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 07/01/2051#FS4654                                                                          | CUSIP: 3140XLE46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2446544 | PA      | $1919762.58   | 0.03%             | 2051-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 06/01/2041#                                                                                | CUSIP: 3132GEVS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2079 | PA      | $1979.24      | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                                 | ALLY FINL INC 8% 11/01/2031                                                                             | CUSIP: 36186CBY8<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |    2549000 | PA      | $2852205.26   | 0.04%             | 2031-11-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| SENSATA TECHNOLOGIES BV                                                            | SENSATA TECHNOLOGIES BV 4% 04/15/2029 144A                                                              | CUSIP: 81725WAK9<br>LEI: PUCKW5P5O3XMOZVH7T53 | Long             | DBT              | CORP              | NL        |      50000 | PA      | $46935.07     | 0.00%             | 2029-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EXCELERATE ENERGY LP                                                               | EXCELERATE ENERGY LP 8% 05/15/2030 144A                                                                 | CUSIP: 30069UAA6<br>LEI: LGL4IE90TNTFYJ55BK06 | Long             | DBT              | CORP              | US        |     400000 | PA      | $414092.56    | 0.01%             | 2030-05-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 04/01/2039#AB0050                                                                        | CUSIP: 31416VBU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14669 | PA      | $14527.01     | 0.00%             | 2039-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 02/01/2051#RA4575                                                                        | CUSIP: 3133KLCL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2454647 | PA      | $2021615.20   | 0.03%             | 2051-02-01      | Fixed         | 0.03%                 | 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        |    4163170 | PA      | $4150160.41   | 0.06%             | 2038-11-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 4% 06/01/2038#K94293                                                                          | CUSIP: 3132LQUS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4413 | PA      | $4228.13      | 0.00%             | 2038-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MHC COML MTG TR 2021-MHC                                                           | MHC COML MTG TR 2021-MHC TSFR1M+271.544 096 04/15/2038 144A                                             | CUSIP: 55316VAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1720000 | PA      | $1718925.00   | 0.03%             | 2038-04-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GFL ENVIRONMENTAL INC                                                              | GFL ENVIRONMENTAL INC 6.75% 01/15/2031 144A                                                             | CUSIP: 36168QAQ7<br>LEI: 5493008HF9XC5H29ZX61 | Long             | DBT              | CORP              | CA        |    1575000 | PA      | $1633745.93   | 0.02%             | 2031-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BX TR 2019-OC11                                                                    | BX TR 2019-OC11 4.075457% 12/09/2041 144A                                                               | CUSIP: 05606FAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1363000 | PA      | $1235192.85   | 0.02%             | 2041-12-09      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 05/01/2043#AT2721                                                                        | CUSIP: 3138WQAX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52997 | PA      | $47647.90     | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ACCENTRO REAL ESTATE AG                                                            | ACCENTRO REAL ESTATE AG STEP 02/13/2026 REGS                                                            | CUSIP: N/A<br>LEI: 391200VKLY50XNAFCM46       | Long             | DBT              | CORP              | DE        |     504000 | PA      | $211738.72    | 0.00%             | 2026-02-13      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 9/33 #734922                                                                                 | CUSIP: 31402QPF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        598 | PA      | $592.36       | 0.00%             | 2033-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 07/01/2045#Q34458                                                                        | CUSIP: 3132QQ5U2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17511 | PA      | $16489.84     | 0.00%             | 2045-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                         | FNR 2010-39 FG SOFR30A+103.448 3/36                                                                     | CUSIP: 31398PU56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     102236 | PA      | $102913.33    | 0.00%             | 2036-03-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-VINO                                             | BX COMMERCIAL MORTGAGE TRUST 2021 SR1M+156.27 02/15/2039 144A                                           | CUSIP: 05610HAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     819700 | PA      | $816113.80    | 0.01%             | 2039-02-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORP                                                                   | EXXON MOBIL CORP 3.482% 03/19/2030                                                                      | CUSIP: 30231GBK7<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |    3150000 | PA      | $3041613.04   | 0.04%             | 2030-03-19      | Fixed         | 0.03%                 | 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        |    2315082 | PA      | $1860803.96   | 0.03%             | 2050-11-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 5.47% 8/59 #725598                                                                              | CUSIP: 3620ACDB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        177 | PA      | $176.04       | 0.00%             | 2059-08-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 11/01/2032#BH5773                                                                        | CUSIP: 3140GUMX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      97973 | PA      | $93381.72     | 0.00%             | 2032-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| COLOMBIA TELECOMUNICACIONES S A ESP                                                | COLOMBIA TELECOMUNICACINES SA 4.95% 07/17/2030 144A                                                     | CUSIP: 19533PAC4<br>LEI: 549300CK4YN0V1C3MN55 | Long             | DBT              | CORP              | CO        |     410000 | PA      | $358237.50    | 0.01%             | 2030-07-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| JORDAN KINGDOM OF                                                                  | JORDAN KINGDOM OF 7.75% 01/15/2028 144A                                                                 | CUSIP: 41809JAA3<br>LEI: 5493000JZ4MYPVMBVN50 | Long             | DBT              | NUSS              | JO        |     230000 | PA      | $235894.90    | 0.00%             | 2028-01-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| MILOS CLO LTD                                                                      | MILOS CLO LTD AR TSFR3M+133.161 10/20/2030 144A                                                         | CUSIP: 60162PAE2<br>LEI: 254900GFWI4EEB8IJS18 | Long             | ABS-CBDO         | CORP              | KY        |     490520 | PA      | $490869.01    | 0.01%             | 2030-10-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.50% 9/40 #004801                                                                              | CUSIP: 36202FKN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21002 | PA      | $20660.40     | 0.00%             | 2040-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 09/01/2047#ZM4241                                                                        | CUSIP: 3131XXWA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14982 | PA      | $13635.20     | 0.00%             | 2047-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SOUTHERN WTR SERVICES FIN LTD                                                      | SOUTHERN WTR SERVICES FIN LTD 1.625% 03/30/2027 REGS                                                    | CUSIP: N/A<br>LEI: 213800BTY35K1724Z452       | Long             | DBT              | CORP              | KY        |     222000 | PA      | $263872.29    | 0.00%             | 2027-03-30      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 01/01/2040#A90709                                                                        | CUSIP: 312938YE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2080 | PA      | $2050.33      | 0.00%             | 2040-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VOYA CLO 2023-1 LTD                                                                | VOYA CLO 2023-1 LTD A1 TSFR3M+180 01/20/2037 144A                                                       | CUSIP: 92920FAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2007000 | PA      | $2015202.61   | 0.03%             | 2037-01-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CAESARS ENTERTAINMENT INC                                                          | CAESARS ENTERTAINMENT INC 6% 10/15/2032 144A                                                            | CUSIP: 12769GAD2<br>LEI: 5299000BKFWWVND5L441 | Long             | DBT              | CORP              | US        |    1725000 | PA      | $1654771.97   | 0.02%             | 2032-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: —       |
| QATAR PETROLEUM                                                                    | QATAR PETROLEUM 3.3% 07/12/2051 144A                                                                    | CUSIP: 74730DAD5<br>LEI: 254900QTESJKJ3P87J26 | Long             | DBT              | CORP              | QA        |     815000 | PA      | $534232.50    | 0.01%             | 2051-07-12      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                   | T-MOBILE USA INC 3.875% 04/15/2030                                                                      | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    2100000 | PA      | $2024961.14   | 0.03%             | 2030-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                                                               | COLOMBIA REPUBLIC OF 8% 11/14/2035                                                                      | CUSIP: 195325EL5<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |    1110000 | PA      | $1111110.00   | 0.02%             | 2035-11-14      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.5% 09/01/2053#CB7134                                                                        | CUSIP: 3140QS4U2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1001941 | PA      | $1038910.40   | 0.02%             | 2053-09-01      | Fixed         | 0.07%                 | 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        |     935000 | PA      | $797322.15    | 0.01%             | 2032-01-07      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CEMEX SAB DE CV                                                                    | CEMEX SAB DE CV T5Y+NA PERP 144A                                                                        | CUSIP: 151290CA9<br>LEI: 549300RIG2CXWN6IV731 | Long             | EP               | CORP              | MX        |     835000 | PA      | $823727.50    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 05/01/2033#G18687                                                                        | CUSIP: 3128MMXR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4042 | PA      | $3845.95      | 0.00%             | 2033-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BMW VEHICLE OWNER TRUST 2025-A                                                     | BMW VEHICLE OWNER TRUST 2025-A 4.56% 09/25/2029                                                         | CUSIP: 096924AD7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     400000 | PA      | $402071.32    | 0.01%             | 2029-09-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2006-72 CY 6% 8/26                                                                                  | CUSIP: 31396KHM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       3240 | PA      | $3244.41      | 0.00%             | 2026-08-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 12/01/2051#CB2346                                                                          | CUSIP: 3140QMTC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     186225 | PA      | $147524.45    | 0.00%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 8/35 #824358                                                                                 | CUSIP: 31406YZX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        154 | PA      | $160.93       | 0.00%             | 2035-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 03/01/2051#QB9896                                                                          | CUSIP: 3133AG7H6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     251083 | PA      | $196393.05    | 0.00%             | 2051-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| INVESCO CLO LTD                                                                    | INVESCO CLO LTD A TSFR3M+139.161 10/22/2034 144A                                                        | CUSIP: 46146JAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     960000 | PA      | $960682.56    | 0.01%             | 2034-10-22      | Variable      | 0.06%                 | 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        |    2890000 | PA      | $2890861.22   | 0.04%             | 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        |    3909000 | PA      | $3689963.45   | 0.05%             | 2028-10-29      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 10/01/2051#FS6478                                                                        | CUSIP: 3140XNFU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     151174 | PA      | $124599.30    | 0.00%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA GTD MTG PASS THRU CTF 2% 04/25/2042                                                                | CUSIP: 3136BBAB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    3227289 | PA      | $3034342.23   | 0.04%             | 2042-04-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| JPMORGAN SECURITIES LLC                                                            | MNGT SWAP CY873248 04/17/65 B                                                                           | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |      70000 | NC      | $11934.94     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 6/39 #713471                                                                                 | CUSIP: 36297JT46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2742 | PA      | $2696.98      | 0.00%             | 2039-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 12/01/2042#AB7280                                                                        | CUSIP: 31417ECS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8305 | PA      | $7487.40      | 0.00%             | 2042-12-01      | 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        |    2000000 | PA      | $2089561.06   | 0.03%             | 2029-06-13      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 12/01/2035#                                                                                | CUSIP: 3128LXFN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2050 | PA      | $2065.26      | 0.00%             | 2035-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| STAPLES INC                                                                        | STAPLES TERM B 1LN 9/4/2029                                                                             | CUSIP: 855031AU4<br>LEI: XQM2JINI1UL7642TU573 | Long             | LON              | CORP              | US        |     337637 | PA      | $301401.40    | 0.00%             | 2029-09-04      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                                             | GSCM SWAP CDS 06/20/30 UCGIM B                                                                          | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DCR              | CORP              | US        |     650000 | NC      | $2800.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 2012-149 GA 1.75% 06/25/2042                                             | CUSIP: 3136AA2T1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      43401 | PA      | $40111.01     | 0.00%             | 2042-06-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| NAVOI MINING METALLURGIC                                                           | NAVOI MINING METALLURGIC 6.7% 10/17/2028 144A                                                           | CUSIP: 63890CAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | UZ        |     260000 | PA      | $262559.39    | 0.00%             | 2028-10-17      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| DBUBS 2011 LC3                                                                     | DBUBS 2011-LC3A D CSTR 8/44                                                                             | CUSIP: 23305YAM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     610655 | PA      | $584702.10    | 0.01%             | 2044-08-10      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 05/01/2053#FS4631                                                                        | CUSIP: 3140XLED6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     648632 | PA      | $647807.83    | 0.01%             | 2053-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 2.25% 03/25/2052                                                         | CUSIP: 3136BMDD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     322579 | PA      | $290108.69    | 0.00%             | 2052-03-25      | Fixed         | 0.02%                 | 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        |    5329000 | PA      | $5373530.24   | 0.08%             | 2031-01-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ANGOLA REPUBLIC                                                                    | ANGOLA REPUBLIC 8.25% 05/09/2028 144A                                                                   | CUSIP: 035198AB6<br>LEI: 549300QHR2R3J8JSGK83 | Long             | DBT              | NUSS              | AO        |     330000 | PA      | $296752.50    | 0.00%             | 2028-05-09      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GOVERNMENT NAT MTG AS REMIC PT 3% 09/20/2047                                                            | CUSIP: 38380HES7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     191561 | PA      | $168388.39    | 0.00%             | 2047-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 12/01/2032#BM5345                                                                          | CUSIP: 3140J95F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      69866 | PA      | $67697.41     | 0.00%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 10/37 #995073                                                                                | CUSIP: 31416BMW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6204 | PA      | $6491.71      | 0.00%             | 2037-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| NETWORK I2I LTD                                                                    | NETWORK I2I LTD T5Y+NA PERP 144A                                                                        | CUSIP: 64132NAC0<br>LEI: 2549003L8M1FGHLHOX45 | Long             | EP               | CORP              | MU        |     105000 | PA      | $103293.75    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 04/01/2052#SD1090                                                                          | CUSIP: 3132DNF73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      59297 | PA      | $46826.20     | 0.00%             | 2052-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2802 OB 6% 5/34                                                                                     | CUSIP: 31394YPA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       4741 | PA      | $4832.73      | 0.00%             | 2034-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 02/47#AL9779                                                                               | CUSIP: 3138ER2M1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13172 | PA      | $12354.58     | 0.00%             | 2047-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DELEK LOGISTICS PARTNERS LP / DELEK LOGISTICS FIN CORP                             | DELEK LOGISTICS PARTNERS LP / DELEK LOGISTICS FIN CORP 8.625% 03/15/2029 144A                           | CUSIP: 24665FAD4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     297000 | PA      | $307593.40    | 0.00%             | 2029-03-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 02/01/2048#BM3532                                                                          | CUSIP: 3140J74S1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23846 | PA      | $22225.03     | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PBF HLDG CO LLC / PBF FIN CORP                                                     | PBF HLDG CO LLC / PBF FIN CORP 9.875% 03/15/2030 144A                                                   | CUSIP: 69318FAM0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     650000 | PA      | $621454.34    | 0.01%             | 2030-03-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| ENGIE SA                                                                           | ENGIE SA 3.875% 03/06/2036 REGS                                                                         | CUSIP: N/A<br>LEI: LAXUQCHT4FH58LRZDY46       | Long             | DBT              | CORP              | FR        |     300000 | PA      | $346722.41    | 0.01%             | 2036-03-06      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MAGNE 2020-27A AR                                                                  | MAGNE 2020-27A AR AR TSFR3M+140.161 10/20/2034 144A                                                     | CUSIP: 55955EAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     305000 | PA      | $305213.50    | 0.00%             | 2034-10-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 08/01/2046#AS7822                                                                        | CUSIP: 3138WHVQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36278 | PA      | $32926.47     | 0.00%             | 2046-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TR 2025-P1                                                | CARVANA AUTO RECEIVABLES TR 2025-P1 4.5% 06/12/2028                                                     | CUSIP: 14689MAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3700000 | PA      | $3694069.27   | 0.05%             | 2028-06-12      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 10/41 #772072                                                                                | CUSIP: 36176PQZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3284 | PA      | $3141.97      | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5% 10/01/2052#FS3047                                                                          | CUSIP: 3140XJL50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     513211 | PA      | $502726.23    | 0.01%             | 2052-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 10/01/2051#MA4438                                                                        | CUSIP: 31418D4Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1782855 | PA      | $1459422.15   | 0.02%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SAPPHIRE AVIATION FINANCE                                                          | SAPPHIRE AVIATION FINANCE 4.335% 03/15/2040 144A                                                        | CUSIP: 80307AAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     131410 | PA      | $119497.36    | 0.00%             | 2040-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST 2025-2                                         | EXETER AUTOMOBILE RECEIVABLES TRUST 2025-2 4.74% 01/16/2029                                             | CUSIP: 30168JAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2770000 | PA      | $2772352.01   | 0.04%             | 2029-01-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 5.872%/VAR 09/15/2034                                                       | CUSIP: 06051GLU1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    9000000 | PA      | $9351979.11   | 0.14%             | 2034-09-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| SEAGATE HDD CAYMAN                                                                 | SEAGATE HDD CAYMAN 8.25% 12/15/2029                                                                     | CUSIP: 81180WBN0<br>LEI: 529900BD50TRWEG1SF63 | Long             | DBT              | CORP              | KY        |    2415000 | PA      | $2574235.44   | 0.04%             | 2029-12-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GABONESE REPUBLIC                                                                  | GABONESE REPUBLIC 6.625% 02/06/2031 144A                                                                | CUSIP: 362420AD3<br>LEI: N/A                  | Long             | DBT              | NUSS              | GA        |     200000 | PA      | $149250.00    | 0.00%             | 2031-02-06      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AMERICAN ROCK SALT CO LLC                                                          | AMERICAN ROCK SALT TERM 1ST OUT TL B 1LN 6/9/2028                                                       | CUSIP: 02932JAT4<br>LEI: 549300FBKBNV4GSVVR46 | Long             | LON              | CORP              | US        |      71445 | PA      | $71445.08     | 0.00%             | 2028-06-09      | Variable      | 0.12%                 | No            |                  2 | On Loan: No      |
| TKC HOLDINGS INC                                                                   | TKC HOLDINGS INC 6.875% 05/15/2028 144A                                                                 | CUSIP: 87256YAC7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     350000 | PA      | $348115.95    | 0.01%             | 2028-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| HUNGARY REPUBLIC OF                                                                | HUNGARY REPUBLIC OF 3.125% 09/21/2051 144A                                                              | CUSIP: 445545AN6<br>LEI: 5299008DH62LEB10JK83 | Long             | DBT              | NUSS              | HU        |     405000 | PA      | $235248.30    | 0.00%             | 2051-09-21      | Fixed         | 0.03%                 | 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        |   11035000 | PA      | $11031551.56  | 0.16%             | 2037-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 6/27 #780580                                                                                 | CUSIP: 36225AUD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         37 | PA      | $37.49        | 0.00%             | 2027-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 11/01/2041#BT9396                                                                        | CUSIP: 3140LYNN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57022 | PA      | $50007.30     | 0.00%             | 2041-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DAVITA INC                                                                         | DAVITA INC 6.875% 09/01/2032 144A                                                                       | CUSIP: 23918KAW8<br>LEI: M2XHYMU3TZNEZURC6H66 | Long             | DBT              | CORP              | US        |    1425000 | PA      | $1447574.75   | 0.02%             | 2032-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: —       |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 09/01/2054#CB9216                                                                          | CUSIP: 3140QVG24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3030128 | PA      | $3065916.27   | 0.04%             | 2054-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+115 02/25/2055                                                   | CUSIP: 3137HJYG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    5160047 | PA      | $5137723.43   | 0.07%             | 2055-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA GTD MTG PASS THRU CTF 2% 05/25/2045                                                                | CUSIP: 3136BBQQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     603206 | PA      | $560106.69    | 0.01%             | 2045-05-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MARS INC                                                                           | MARS INC 5.7% 05/01/2055 144A                                                                           | CUSIP: 571676BC8<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    4902000 | PA      | $4755430.00   | 0.07%             | 2055-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 01/01/2052#CB2629                                                                        | CUSIP: 3140QM4P6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9005075 | PA      | $7410833.52   | 0.11%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FOUNDATION BUILDING MATERIALS INC                                                  | FOUNDATION BUILDING MATERIALS TERM 1LN 1/31/2028                                                        | CUSIP: 35039KAB2<br>LEI: 549300ZVE6MONHB01I28 | Long             | LON              | CORP              | US        |     219715 | PA      | $212556.71    | 0.00%             | 2028-01-31      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| ANHEUSER BUSCH INBEV WORLDWIDE INC                                                 | ANHEUSER BUSCH INBEV WORLD INC 5.45% 01/23/2039                                                         | CUSIP: 03523TBU1<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |     800000 | PA      | $802113.66    | 0.01%             | 2039-01-23      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 5% 9/33 #003442                                                                                 | CUSIP: 36202DZF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15825 | PA      | $15913.70     | 0.00%             | 2033-09-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 03/01/2052#FS9872                                                                          | CUSIP: 3140XR6J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     454025 | PA      | $359387.30    | 0.01%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| WORLD OMNI AUTOMOBILE LEASE SECURITIZATION TR 2025-A                               | WORLD OMNI AUTOMOBILE LEASE SECURITIZATION TR 2025-A 4.35% 12/15/2027                                   | CUSIP: 98164PAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1500000 | PA      | $1497637.95   | 0.02%             | 2027-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                         | FNR 2010-118 PB 4.5% 10/40                                                                              | CUSIP: 31398NUY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     124688 | PA      | $123045.70    | 0.00%             | 2040-10-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                                  | NATWEST GROUP PLC 5.847%/VAR 03/02/2027                                                                 | CUSIP: 639057AJ7<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    3394000 | PA      | $3421470.56   | 0.05%             | 2027-03-02      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 08/01/2050#MA4100                                                                          | CUSIP: 31418DRW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28272 | PA      | $22184.31     | 0.00%             | 2050-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 03/01/2054#CB8112                                                                          | CUSIP: 3140QUAN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     670371 | PA      | $678498.22    | 0.01%             | 2054-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 1.5% 04/01/2051#QC0798                                                                        | CUSIP: 3133AJ3F8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      95605 | PA      | $70654.94     | 0.00%             | 2051-04-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 11/01/2053#DA1079                                                                        | CUSIP: 3140A1FV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     134313 | PA      | $133260.88    | 0.00%             | 2053-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BAHRAIN KINGDOM                                                                    | BAHRAIN KINGDOM 5.625% 05/18/2034 144A                                                                  | CUSIP: 05675M2J2<br>LEI: 549300RODM1WN85LFQ95 | Long             | DBT              | NUSS              | BH        |     190000 | PA      | $172483.90    | 0.00%             | 2034-05-18      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2% 12/01/2040#CA8323                                                                          | CUSIP: 3140QGG92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1827900 | PA      | $1553963.05   | 0.02%             | 2040-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.5% 04/20/2055#MB0306                                                                          | CUSIP: 3618N5KU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11099999 | PA      | $10481370.88  | 0.15%             | 2055-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| 1261229 BC LTD                                                                     | BAUSCH HEALTH TERM B 1LN 10/08/2030                                                                     | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | CA        |     665000 | PA      | $630180.60    | 0.01%             | 2030-10-08      | Variable      | 0.11%                 | No            |                  2 | On Loan: No      |
| J P MORGAN CHASE COML MTG SECS TR 2024-OMNI                                        | J P MORGAN CHASE COML MTG SECS TR 2024-OMNI VAR 10/05/2039 144A                                         | CUSIP: 46593JAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     400000 | PA      | $386944.76    | 0.01%             | 2039-10-05      | Variable      | 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        |    2321280 | PA      | $2191055.50   | 0.03%             | 2049-10-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2025-2                                      | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2025-2 4.67% 08/15/2029                                          | CUSIP: 80287NAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2000000 | PA      | $2005993.80   | 0.03%             | 2029-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2% 07/01/2041#CB1071                                                                          | CUSIP: 3140QLFM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     448214 | PA      | $379127.92    | 0.01%             | 2041-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FAIR ISAAC CORPORATION                                                             | FAIR ISAAC CORPORATION 6% 05/15/2033 144A                                                               | CUSIP: 303250AG9<br>LEI: RI6HET5SJUEY30V1PS26 | Long             | DBT              | CORP              | US        |    1045000 | PA      | $1043027.17   | 0.02%             | 2033-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                             | FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD 2.5% 08/25/2048                                  | CUSIP: 3137H3S94<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     182564 | PA      | $158085.75    | 0.00%             | 2048-08-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                             | FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD 1.75% 10/25/2051                                 | CUSIP: 3137H3EQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |    4776559 | PA      | $3687038.95   | 0.05%             | 2051-10-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 4/27 #780545                                                                                 | CUSIP: 36225ATA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         18 | PA      | $18.49        | 0.00%             | 2027-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 10/01/2046#BC4754                                                                          | CUSIP: 3140F0H80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      54145 | PA      | $50819.56     | 0.00%             | 2046-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FIDELIDADE CO DE SEGUROS SAPORTUGAL                                                | FIDELIDADE CO DE SEGUROS SAPORTUGAL 4.25%/VAR 09/04/2031 REGS                                           | CUSIP: N/A<br>LEI: 529900FNLE8ZOPUOT704       | Long             | DBT              | CORP              | PT        |     300000 | PA      | $341747.47    | 0.00%             | 2031-09-04      | Variable      | 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        |  176540000 | PA      | $170041792.10 | 2.47%             | 2034-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 02/15/2042#778869                                                                        | CUSIP: 36176XCE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2380 | PA      | $2278.35      | 0.00%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| USA COMPRESSION PARTNERS LP / USA COMPRESSION FIN CORP                             | USA COMPRESSION PARTNERS LP / USA COMPRESSION FIN CORP 7.125% 03/15/2029 144A                           | CUSIP: 91740PAG3<br>LEI: 549300ZWL4J1LYMOWK56 | Long             | DBT              | CORP              | US        |     230000 | PA      | $233614.68    | 0.00%             | 2029-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CALPINE CORPORATION                                                                | CALPINE CORPORATION 5.125% 03/15/2028 144A                                                              | CUSIP: 131347CN4<br>LEI: 43R4VPJBXTU2O15HEF41 | Long             | DBT              | CORP              | US        |     200000 | PA      | $198261.58    | 0.00%             | 2028-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2016-NXS6                                                  | WELLS FARGO COML MTG TR 2016-NXS6 4.4523% 11/15/2049                                                    | CUSIP: 95000KBH7<br>LEI: 549300CFP9NBBMZH1008 | Long             | ABS-MBS          | CORP              | US        |     621000 | PA      | $589954.04    | 0.01%             | 2049-11-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 11/01/2050#CA7616                                                                          | CUSIP: 3140QFPA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     222796 | PA      | $175381.38    | 0.00%             | 2050-11-01      | Fixed         | 0.02%                 | 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        |    4549000 | PA      | $4562396.81   | 0.07%             | 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        |    4767000 | PA      | $4508127.73   | 0.07%             | 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        |    1324052 | PA      | $1324052.17   | 0.02%             | 2039-12-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 01/01/2035#CA5039                                                                          | CUSIP: 3140QCS56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13414 | PA      | $12799.39     | 0.00%             | 2035-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK 2018-BNK10                                                                    | BANK 2018-BNK10 VAR 02/15/2061                                                                          | CUSIP: 065404BE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     385000 | PA      | $355105.83    | 0.01%             | 2061-02-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| TRAVIS PERKINS PLC                                                                 | TRAVIS PERKINS PLC 3.75% 02/17/2026 REGS                                                                | CUSIP: N/A<br>LEI: 2138001I27OUBAF22K83       | Long             | DBT              | CORP              | GB        |     141000 | PA      | $186176.82    | 0.00%             | 2026-02-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 3/32 #254240                                                                                 | CUSIP: 31371KLV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        430 | PA      | $452.22       | 0.00%             | 2032-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| EXETER SELECT AUTOMOBILE RECEIVABLES TR 2025-1                                     | EXETER SELECT AUTOMOBILE RECEIVABLES TR 2025-1 4.83% 10/16/2028                                         | CUSIP: 30185AAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     640000 | PA      | $639453.25    | 0.01%             | 2028-10-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SERBIA REPUBLIC OF                                                                 | SERBIA REPUBLIC OF 6% 06/12/2034 144A                                                                   | CUSIP: 817477AJ1<br>LEI: 254900W94OCY91V32O78 | Long             | DBT              | NUSS              | RS        |     110000 | PA      | $108969.30    | 0.00%             | 2034-06-12      | Fixed         | 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        |     731000 | PA      | $741852.57    | 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        |     550000 | PA      | $502972.66    | 0.01%             | 2038-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 10/01/2032#                                                                                | CUSIP: 31283HTS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        140 | PA      | $145.28       | 0.00%             | 2032-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TRANSMONTAIGNE PARTNERS LP                                                         | TRANSMONTAIGNE PARTNERS LP 8.5% 06/15/2030 144A                                                         | CUSIP: 89377AAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     290000 | PA      | $296045.34    | 0.00%             | 2030-06-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 01/01/2046#G08687                                                                        | CUSIP: 3128MJXR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18156 | PA      | $16500.11     | 0.00%             | 2046-01-01      | Fixed         | 0.04%                 | 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        |   17924815 | PA      | $18343777.49  | 0.27%             | 2054-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                                                                 | REALTY INCOME CORP 2.85% 12/15/2032                                                                     | CUSIP: 756109BL7<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |     211000 | PA      | $182139.91    | 0.00%             | 2032-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EUROPEAN UNION                                                                     | EUROPEAN UNION 4% 04/04/2044 REGS                                                                       | CUSIP: N/A<br>LEI: 529900FZRK8FGMPEOM08       | Long             | DBT              | NUSS              | BE        |     730000 | PA      | $873610.59    | 0.01%             | 2044-04-04      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENPRO INC                                                                          | ENPRO INC 6.125% 06/01/2033 144A                                                                        | CUSIP: 29355XAH0<br>LEI: 549300Y5CFT2LKCFDN54 | Long             | DBT              | CORP              | US        |     485000 | PA      | $488607.14    | 0.01%             | 2033-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CHILE REPUBLIC OF                                                                  | CHILE REPUBLIC OF 2.45% 01/31/2031                                                                      | CUSIP: 168863DP0<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |     805000 | PA      | $709607.50    | 0.01%             | 2031-01-31      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CANADIAN IMPERIAL BANK OF COMMERCE                                                 | FX Forward: USD/AUD settle 2025-07-08                                                                   | CUSIP: N/A<br>LEI: 2IGI19DL77OX0HC3ZE78       | N/A              | DFE              | CORP              | CA        |          1 | NC      | $102.57       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ATLANTICA SUSTAINABLE INFRASTRUCTURE PLC                                           | ATLANTICA SUSTAINABLE INFRASTRUCTURE PLC 4.125% 06/15/2028 144A                                         | CUSIP: 04916WAA2<br>LEI: 549300ITBBGKJ651R879 | Long             | DBT              | CORP              | GB        |      30000 | PA      | $28717.19     | 0.00%             | 2028-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 10/01/2051#CB1799                                                                          | CUSIP: 3140QL7M2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     673576 | PA      | $533595.78    | 0.01%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 02/01/2034#FS4276                                                                          | CUSIP: 3140XKXE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2577154 | PA      | $2485404.58   | 0.04%             | 2034-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 06/01/2044#AL5512                                                                        | CUSIP: 3138ENDS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20728 | PA      | $20137.77     | 0.00%             | 2044-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK AMER MERRILL LYNCH COML MTG TR 2016-UBS10                                     | BACM 2016-UBS10 CSTR 06/49                                                                              | CUSIP: 06054MAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     818000 | PA      | $782625.02    | 0.01%             | 2049-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| PERMIAN RESOURCES OPERATING LLC                                                    | PERMIAN RESOURCES OPERATING LLC 7% 01/15/2032 144A                                                      | CUSIP: 71424VAA8<br>LEI: 5493004CTVUMQLRPOE23 | Long             | DBT              | CORP              | US        |     900000 | PA      | $923215.50    | 0.01%             | 2032-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CIFC FDG 2018-IV LTD / CIFC FDG 2018-IV LLC                                        | CIFC FDG 2018-IV LTD / CIFC FDG 2018-IV LLC D2R TSFR3M+375 01/17/2038 144A                              | CUSIP: 17181TAS0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     100000 | PA      | $99491.40     | 0.00%             | 2038-01-17      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| SASOL FING USA LLC                                                                 | SASOL FING USA LLC 4.375% 09/18/2026                                                                    | CUSIP: 80386WAC9<br>LEI: 549300XRB1PFMESFEL85 | Long             | DBT              | CORP              | US        |     555000 | PA      | $541125.00    | 0.01%             | 2026-09-18      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BAYER US FIN LLC                                                                   | BAYER US FIN LLC 6.375% 11/21/2030 144A                                                                 | CUSIP: 07274EAK9<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |     617000 | PA      | $649405.36    | 0.01%             | 2030-11-21      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 03/01/2051#MA4281                                                                          | CUSIP: 31418DXK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9304596 | PA      | $7283714.93   | 0.11%             | 2051-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| INSULET CORP                                                                       | INSULET CORP 6.5% 04/01/2033 144A                                                                       | CUSIP: 45784PAL5<br>LEI: 549300TZTYD2PYN92D43 | Long             | DBT              | CORP              | US        |     160000 | PA      | $164520.96    | 0.00%             | 2033-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA REPUBLIC OF                                                           | SOUTH AFRICA REPUBLIC OF 5.65% 09/27/2047                                                               | CUSIP: 836205AX2<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |     220000 | PA      | $159500.00    | 0.00%             | 2047-09-27      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 04/01/2051#CB0090                                                                          | CUSIP: 3140QKC48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2088157 | PA      | $1633321.42   | 0.02%             | 2051-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CLARIOS GLOBAL LP / CLARIOS US FINANCE CO                                          | CLARIOS GLOBAL LP / CLARIOS US FINANCE CO 6.75% 02/15/2030 144A                                         | CUSIP: 18060TAD7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     330000 | PA      | $336108.30    | 0.00%             | 2030-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 1.5% 02/01/2041#MA4266                                                                        | CUSIP: 31418DW40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      55025 | PA      | $45358.60     | 0.00%             | 2041-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 01/01/2052#FP0069                                                                        | CUSIP: 3140XTCF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10980872 | PA      | $8988797.92   | 0.13%             | 2052-01-01      | Fixed         | 0.03%                 | 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        |    5927000 | PA      | $6379692.41   | 0.09%             | 2031-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BBVA BANCOMER SA TEXAS BRANCH                                                      | BBVA BANCOMER SA TEXAS BRH 5.25% 09/10/2029 144A                                                        | CUSIP: 07336UAC7<br>LEI: 549300WIWQK5Q9MCUN92 | Long             | DBT              | CORP              | US        |     215000 | PA      | $215537.50    | 0.00%             | 2029-09-10      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA                                                                   | SFR TERM B14 1LN 08/15/2028                                                                             | CUSIP: N/A<br>LEI: 5493001ZMCICV4N02J21       | Long             | LON              | CORP              | FR        |     698219 | PA      | $641376.84    | 0.01%             | 2028-08-15      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 05/01/2051#MA4326                                                                        | CUSIP: 31418DYY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     643092 | PA      | $527029.47    | 0.01%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 3002 NE 5% 7/35                                                                                     | CUSIP: 31395WMR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       7608 | PA      | $7750.61      | 0.00%             | 2035-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 05/01/2045#AS4972                                                                        | CUSIP: 3138WEQ28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6716 | PA      | $5958.60      | 0.00%             | 2045-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 1/37 #G02667                                                                                 | CUSIP: 3128M4JL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        521 | PA      | $524.68       | 0.00%             | 2037-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BAMLL COML MTG SECS TR 2022-DKLX                                                   | BAMLL COML MTG SECS TR 2022-DKLX TSFR1M+115 01/15/2039 144A                                             | CUSIP: 05530SAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     911441 | PA      | $908022.69    | 0.01%             | 2039-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| AIMCO CLO 14 LTD / AIMCO CLO 14 LLC                                                | AIMCO CLO 14 LTD / AIMCO CLO 14 LLC A TSFR3M+125.161 04/20/2034 144A                                    | CUSIP: 00144GAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2222000 | PA      | $2222604.38   | 0.03%             | 2034-04-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE PROPERTY PARTNERS EUROPE HOLDINGS SARL                                  | BLACKSTONE PROP PARTNERS EUR HOLD 1.75% 03/12/2029 REGS                                                 | CUSIP: N/A<br>LEI: 213800Y3B5GQFBGVHP79       | Long             | DBT              | CORP              | LU        |     617000 | PA      | $655071.16    | 0.01%             | 2029-03-12      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CCG RECEIVABLES TRUST.                                                             | CCG RECEIVABLES TRUST. 4.48% 10/14/2032 144A                                                            | CUSIP: 12515XAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1120000 | PA      | $1119905.14   | 0.02%             | 2032-10-14      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 03/01/2052#CB3109                                                                        | CUSIP: 3140QNN32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1298530 | PA      | $1073104.81   | 0.02%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 8/27 #313644                                                                                 | CUSIP: 31374GLZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         51 | PA      | $53.66        | 0.00%             | 2027-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 8/33 #727160                                                                                 | CUSIP: 31402EZZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        248 | PA      | $245.84       | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 06/01/2053#CB6539                                                                          | CUSIP: 3140QSHR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     515182 | PA      | $525291.56    | 0.01%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 02/01/2053#CB5600                                                                        | CUSIP: 3140QRGJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      82154 | PA      | $81895.95     | 0.00%             | 2053-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2011-H07 FA TSFR1M+61.448 3/61                                                                      | CUSIP: 38375BKP6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      66220 | PA      | $66493.04     | 0.00%             | 2061-02-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 7.00% 9/35 #A47784                                                                                 | CUSIP: 3128K8UH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2227 | PA      | $2348.07      | 0.00%             | 2035-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 04/01/2031#AS6933                                                                        | CUSIP: 3138WGV35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     772571 | PA      | $741305.66    | 0.01%             | 2031-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VISTAJET MALTA FINANCE PLC / VISTA MANAGEMENT HOLDING INC                          | VISTAJET MALTA FINANCE PLC / VISTA MANAGEMENT HOLDING INC 9.5% 06/01/2028 144A                          | CUSIP: 92841HAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | MT        |      30000 | PA      | $29553.05     | 0.00%             | 2028-06-01      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| OCP SA                                                                             | OCP SA 6.875% 04/25/2044 144A                                                                           | CUSIP: 67091TAB1<br>LEI: 213800D26TAPVTCVWG40 | Long             | DBT              | CORP              | MA        |     160000 | PA      | $149524.80    | 0.00%             | 2044-04-25      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 09/01/2051#QC7127                                                                          | CUSIP: 3133AR4L6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     350577 | PA      | $276845.15    | 0.00%             | 2051-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CARVANA CO                                                                         | CARVANA CO PIK VAR 06/01/2030 144A                                                                      | CUSIP: 146869AN2<br>LEI: 5493003WEAK2PJ5WS063 | Long             | DBT              | CORP              | US        |     766250 | PA      | $808036.16    | 0.01%             | 2030-06-01      | Variable      | 0.11%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP DEL                                                                   | CENTENE CORP 2.45% 07/15/2028                                                                           | CUSIP: 15135BAY7<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    1670000 | PA      | $1538055.14   | 0.02%             | 2028-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+145 11/25/2053                                                   | CUSIP: 3136BQRD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    5020071 | PA      | $5055749.00   | 0.07%             | 2053-11-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FIRST QUANTUM MINERALS LTD                                                         | FIRST QUANTUM MINERALS LTD 8% 03/01/2033 144A                                                           | CUSIP: 335934AW5<br>LEI: 549300I7UVBGWRYMYZ18 | Long             | DBT              | CORP              | CA        |     380000 | PA      | $377090.93    | 0.01%             | 2033-03-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 6/40 #745088                                                                                 | CUSIP: 3620C0XR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3069 | PA      | $3016.66      | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2.5% 02/20/2052#MA7881                                                                          | CUSIP: 36179WXJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     580575 | PA      | $487061.21    | 0.01%             | 2052-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FS 2023-4SZN                                                                       | FS 2023-4SZN D VAR 11/10/2027 144A                                                                      | CUSIP: 30334RAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     500000 | PA      | $517060.30    | 0.01%             | 2039-11-10      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| TALOS PRODUCTION INC                                                               | TALOS PRODUCTION INC 9% 02/01/2029 144A                                                                 | CUSIP: 87485LAD6<br>LEI: 549300GZ2DZZE2Y8TX15 | Long             | DBT              | CORP              | US        |     345000 | PA      | $342649.11    | 0.00%             | 2029-02-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| ENERGEAN ISRAEL FINANCE LTD                                                        | ENERGEAN ISRAEL FINANCE LTD 5.375% 03/30/2028 144A REGS                                                 | CUSIP: N/A<br>LEI: 98450044QACBL3F8EB03       | Long             | DBT              | CORP              | IL        |     395000 | PA      | $374852.63    | 0.01%             | 2028-03-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 4.00% 4/34 #781481                                                                             | CUSIP: 31349SUE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3411 | PA      | $3479.71      | 0.00%             | 2034-04-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 1.5% 03/01/2036#BR4700                                                                        | CUSIP: 3140L3GJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17647 | PA      | $15564.39     | 0.00%             | 2036-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP I TR 2024-BPR2                                                  | MORGAN STANLEY CAP I TR 2024-BPR2 X VAR 05/05/2029 144A                                                 | CUSIP: 61776EAC7<br>LEI: 3IFG42XD94UUZ7FL2766 | Long             | ABS-MBS          | CORP              | US        |    7953014 | PA      | $246117.16    | 0.00%             | 2029-05-05      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| PANAMA REPUBLIC OF                                                                 | PANAMA REPUBLIC OF 7.875% 03/01/2057                                                                    | CUSIP: 698299BZ6<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |     250000 | PA      | $243250.00    | 0.00%             | 2057-03-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 2.691% 02/01/2042#AK2344                                                                       | CUSIP: 3138E6TA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9674 | PA      | $10077.62     | 0.00%             | 2042-02-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 07/01/2047#G61047                                                                        | CUSIP: 31335BEU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      38601 | PA      | $37295.81     | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JOHN DEERE OWNER TRUST 2025                                                        | JOHN DEERE OWNER TRUST 2025 4.23% 03/15/2028 REGS                                                       | CUSIP: 47800DAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1500000 | PA      | $1496820.15   | 0.02%             | 2028-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                          | BOEING CO 3.5% 03/01/2039                                                                               | CUSIP: 097023CE3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $2262338.94   | 0.03%             | 2039-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                             | FEDERAL HOME LN MTG CORP 4.5% 11/15/2040                                                                | CUSIP: 3137BE3R3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      79406 | PA      | $77274.16     | 0.00%             | 2040-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 09/01/2051#QC7480                                                                          | CUSIP: 3133ASJZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      41197 | PA      | $38477.05     | 0.00%             | 2051-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                                                          | PROSUS NV 4.027% 08/03/2050 144A                                                                        | CUSIP: 74365PAD0<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |     270000 | PA      | $173307.60    | 0.00%             | 2050-08-03      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 08/01/2043#AS0076                                                                        | CUSIP: 3138W9CN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5316 | PA      | $4915.30      | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+153 07/25/2054                                                   | CUSIP: 3136BSMZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     666935 | PA      | $667061.24    | 0.01%             | 2054-07-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 10/29 #323961                                                                                | CUSIP: 31374TZ28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         33 | PA      | $33.96        | 0.00%             | 2029-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 09/01/2051#MA4414                                                                        | CUSIP: 31418D3Y6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37013 | PA      | $30298.62     | 0.00%             | 2051-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BMO 2025-5C10 MORTGAGE TRUST                                                       | BMO 2025-5C10 C MORTGAGE TRUST VAR 05/15/2058                                                           | CUSIP: 05615BAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     245000 | PA      | $246881.18    | 0.00%             | 2058-05-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 22-64 GF SOFR30A+80 10/25/2052                                           | CUSIP: 3136BPDD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    1181183 | PA      | $1157556.96   | 0.02%             | 2052-10-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 07/01/2053#CB6673                                                                        | CUSIP: 3140QSMX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     509530 | PA      | $509042.13    | 0.01%             | 2053-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% #BM4385 08/48                                                                            | CUSIP: 3140J82T9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      85954 | PA      | $84510.25     | 0.00%             | 2046-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 8/39 #713740                                                                                 | CUSIP: 36297J4Z4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5412 | PA      | $5321.33      | 0.00%             | 2039-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VLS COMMERCIAL MORTGAGE TRUST 2020                                                 | VLS COMMERCIAL MORTGAGE TRUST 2020 2.453% 10/10/2042 144A                                               | CUSIP: 92858TAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1276000 | PA      | $1018236.13   | 0.01%             | 2042-10-10      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                | MSCS SWAP PAY 4.075 04/24/30                                                                            | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DIR              | CORP              | US        |    6190000 | NC      | $250349.54    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 12/01/2051#CB3005                                                                          | CUSIP: 3140QNKT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21314 | PA      | $18313.80     | 0.00%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.0% 01/20/2043#MA0698                                                                          | CUSIP: 36179MX39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     143151 | PA      | $129510.15    | 0.00%             | 2043-01-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2012-H06 FA TSFR1M+74.448 1/62                                                                      | CUSIP: 38375BPQ9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      89867 | PA      | $90394.98     | 0.00%             | 2062-01-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BMO 2024-C10 MTG TR                                                                | BMO 2024-C10 C MTG TR VAR 11/15/2057                                                                    | CUSIP: 096920AK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     100000 | PA      | $97812.73     | 0.00%             | 2057-11-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 09/01/2043#Q21258                                                                        | CUSIP: 3132JNMF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7457 | PA      | $7065.28      | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 1.5% 06/36#SB8106                                                                             | CUSIP: 3132D6AF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19481 | PA      | $17157.82     | 0.00%             | 2036-06-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                                                                      | CARNIVAL CORP 5.875% 06/15/2031 144A                                                                    | CUSIP: 143658BZ4<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |     840000 | PA      | $840504.00    | 0.01%             | 2031-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CLEVELAND-CLIFFS INC                                                               | CLEVELAND-CLIFFS INC 7% 03/15/2032 144A                                                                 | CUSIP: 185899AP6<br>LEI: 549300TM2WLI2BJMDD86 | Long             | DBT              | CORP              | US        |     320000 | PA      | $276015.20    | 0.00%             | 2032-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| TOWD PT MTG TR 2022                                                                | TOWD PT MTG TR 2022 3.75% 07/25/2062 144A                                                               | CUSIP: 89170VAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     559223 | PA      | $526766.04    | 0.01%             | 2062-07-25      | Fixed         | 0.04%                 | 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        |    5601000 | PA      | $5627357.30   | 0.08%             | 2034-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES INC                                                              | AMERICAN AIRLINES INC 7.25% 02/15/2028 144A                                                             | CUSIP: 023771T32<br>LEI: IWUQB36BXD6OWD6X4T14 | Long             | DBT              | CORP              | US        |     680000 | PA      | $686797.38    | 0.01%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: —       |
| CITIGROUP INC                                                                      | CITIGROUP INC 4.412%/VAR 03/31/2031                                                                     | CUSIP: 172967MP3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    9221000 | PA      | $9016088.08   | 0.13%             | 2031-03-31      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                                   | BAT CAPITAL CORP 4.7% 04/02/2027                                                                        | CUSIP: 05526DBP9<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    1252000 | PA      | $1254548.85   | 0.02%             | 2027-04-02      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 06/01/2053#CB6527                                                                        | CUSIP: 3140QSHD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1246114 | PA      | $1244921.03   | 0.02%             | 2053-06-01      | 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        |   39470000 | PA      | $34117868.00  | 0.50%             | 2031-01-28      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                                                               | COLOMBIA REPUBLIC OF 8.5% 04/25/2035                                                                    | CUSIP: 195325ES0<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |     200000 | PA      | $206380.00    | 0.00%             | 2035-04-25      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 7/42 #AA8273                                                                                 | CUSIP: 36178GFN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2377 | PA      | $2204.45      | 0.00%             | 2042-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.0% 05/15/2042#779220                                                                        | CUSIP: 36176XPD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3393 | PA      | $3066.64      | 0.00%             | 2042-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CENOVUS ENERGY INC                                                                 | CENOVUS ENERGY INC 3.75% 02/15/2052                                                                     | CUSIP: 15135UAX7<br>LEI: 549300F4XPHJ7NOSP309 | Long             | DBT              | CORP              | CA        |     210000 | PA      | $136959.70    | 0.00%             | 2052-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ELP COMMERCIAL MORTGAGE TRUST 2021-ELP                                             | ELP COMMERCIAL MORTGAGE TRUST 2021-ELP TSFR1M+81.548 1 11/15/2036 144A                                  | CUSIP: 26863LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10046306 | PA      | $10021190.41  | 0.15%             | 2038-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST SERIES 2025-NQM2                                          | JP MORGAN MORTGAGE TRUST SERIES 2025-NQM2 A1 VAR 09/25/2065 144A                                        | CUSIP: 46590SAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1000000 | PA      | $1001121.80   | 0.01%             | 2065-09-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                        | FX Forward: USD/GBP settle 2025-07-08                                                                   | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |          1 | NC      | $-104213.18   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GNR 2011-94 SA TSFR1M+598.552 07/41                                                                     | CUSIP: 38377WN83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |       9438 | PA      | $897.73       | 0.00%             | 2041-07-20      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| QUIKRETE HOLDINGS INC                                                              | QUIKRETE HOLDINGS INC 6.75% 03/01/2033 144A                                                             | CUSIP: 74843PAB6<br>LEI: 5493007KIN86DIZWZT22 | Long             | DBT              | CORP              | US        |     490000 | PA      | $497225.54    | 0.01%             | 2033-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA REPUBLIC OF                                                           | SOUTH AFRICA REPUBLIC OF 5.875% 04/20/2032                                                              | CUSIP: 836205BC7<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |     200000 | PA      | $191825.00    | 0.00%             | 2032-04-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 07/01/2035#                                                                                | CUSIP: 3128MJCD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2664 | PA      | $2682.73      | 0.00%             | 2035-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WINDSTREAM SERVICES LLC / WINDSTREAM ESCROW FINANCE CORP                           | WINDSTREAM SERVICES LLC / WINDSTREAM ESCROW FINANCE CORP 8.25% 10/01/2031 144A                          | CUSIP: 97381AAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1195000 | PA      | $1243691.47   | 0.02%             | 2031-10-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| SREIT TR 2021-PALM                                                                 | SREIT TR 2021-PALM TSFR1M+373.058 61 10/15/2034 144A                                                    | CUSIP: 85237AAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     482000 | PA      | $479991.55    | 0.01%             | 2034-10-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 1/39 #701582                                                                                 | CUSIP: 36296UM72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1661 | PA      | $1694.14      | 0.00%             | 2039-01-15      | 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        |    2485649 | PA      | $2040933.79   | 0.03%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 01/01/2053#SD2186                                                                          | CUSIP: 3132DPNB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     376495 | PA      | $367862.02    | 0.01%             | 2053-01-01      | Fixed         | 0.05%                 | 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        |   33175000 | PA      | $27036324.54  | 0.39%             | 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        |   19400000 | PA      | $19801203.64  | 0.29%             | 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        |     828000 | PA      | $848912.05    | 0.01%             | 2030-03-02      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| POST HOLDINGS INC                                                                  | POST HLDGS INC 6.375% 03/01/2033 144A                                                                   | CUSIP: 737446AV6<br>LEI: JM1I5YUAURL6DC8N1468 | Long             | DBT              | CORP              | US        |     700000 | PA      | $694883.91    | 0.01%             | 2033-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BANK 2019-BNK19                                                                    | BANK 2019-BNK19 3.071% 08/15/2061                                                                       | CUSIP: 06540WBB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     535571 | PA      | $518132.96    | 0.01%             | 2061-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 3.50% 4/42 #C03811                                                                                 | CUSIP: 31292LGU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     167737 | PA      | $156133.55    | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                  | HSBC HOLDINGS PLC 8.201%/VAR 11/16/2034 REGS                                                            | CUSIP: N/A<br>LEI: MLU0ZO3ML4LN2LL2TL39       | Long             | DBT              | CORP              | GB        |     225000 | PA      | $328215.64    | 0.00%             | 2034-11-16      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 2.875% 05/15/2052                                                           | CUSIP: 912810TG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   23593000 | PA      | $16208206.74  | 0.24%             | 2052-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO 43 LTD                                                                | SYMPHONY CLO 43 LTD A1 TSFR3M+152 04/15/2037 144A                                                       | CUSIP: 87170BAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2102000 | PA      | $2112322.92   | 0.03%             | 2037-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 03/01/2052#CB3100                                                                          | CUSIP: 3140QNNS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     532583 | PA      | $422402.98    | 0.01%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                | MSCS SWAP CY873248 04/17/65 B                                                                           | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |     150000 | NC      | $25574.88     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT LP                                                           | AMERICAN HOMES 4 RENT LP 5.5% 02/01/2034                                                                | CUSIP: 02666TAG2<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              | CORP              | US        |     387000 | PA      | $386212.01    | 0.01%             | 2034-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 10/01/2043#BM1167                                                                          | CUSIP: 3140J5JM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18020 | PA      | $17142.80     | 0.00%             | 2043-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 2022-1 KA 3% 05/25/2048                                                  | CUSIP: 3136BLMF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     165841 | PA      | $150587.12    | 0.00%             | 2048-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 8/29 #479545                                                                                 | CUSIP: 31382DWE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         13 | PA      | $14.00        | 0.00%             | 2029-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2996 ZD 5.5% 06/35                                                                                  | CUSIP: 31395UZR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      23011 | PA      | $22676.44     | 0.00%             | 2035-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.625% 04/30/2029                                                                             | CUSIP: 91282CKP5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6030000 | PA      | $6182869.91   | 0.09%             | 2029-04-30      | 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        |     415595 | PA      | $342019.00    | 0.00%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 06/01/2052#RA7575                                                                          | CUSIP: 3133KPMY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2154698 | PA      | $2118083.73   | 0.03%             | 2052-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TR 2013-LC12 WELLS FARGO COML MTG TR 2013-LC12                                     | WELLS FARGO TR 2018-C48 A5 4.302% 01/15/2052                                                            | CUSIP: 95001RAX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     824434 | PA      | $812537.66    | 0.01%             | 2052-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 10/01/2050#MA4158                                                                          | CUSIP: 31418DTQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     926794 | PA      | $726081.31    | 0.01%             | 2050-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM 30YR 5.5% 04/01/2055#SL1111                                                                        | CUSIP: 31427NGV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1996445 | PA      | $1997652.55   | 0.03%             | 2055-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 05/51#SD7541                                                                               | CUSIP: 3132DVLW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2840010 | PA      | $2250696.19   | 0.03%             | 2051-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CHAMPIONS FINANCING INC                                                            | CHAMPIONS FINANCING INC 8.75% 02/15/2029 144A                                                           | CUSIP: 15870LAA6<br>LEI: 391200ZDD75EGEUJ7625 | Long             | DBT              | CORP              | US        |     450000 | PA      | $419135.85    | 0.01%             | 2029-02-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 09/01/2047#ZM4140                                                                        | CUSIP: 3131XXS51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18232 | PA      | $16593.30     | 0.00%             | 2047-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 4/28 #251615                                                                                 | CUSIP: 31371GN89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         15 | PA      | $15.48        | 0.00%             | 2028-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2711 FC SOFR30A+101.448 2/33                                                                        | CUSIP: 31394LYV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      38583 | PA      | $38797.67     | 0.00%             | 2033-02-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MADISON PK FDG LII LTD / MADISON PK FDG LII LLC                                    | MADISON PK FDG LII LTD / MADISON PK FDG LII LLC A TSFR3M+136.161 01/22/2035 144A                        | CUSIP: 55822BAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1290000 | PA      | $1290918.48   | 0.02%             | 2035-01-22      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+120 12/25/2054                                                   | CUSIP: 3136BTXR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    4462475 | PA      | $4449710.53   | 0.06%             | 2054-12-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| ROCKIES EXPRESS PIPELINE LLC                                                       | ROCKIES EXPRESS PIPELINE LLC 6.875% 04/15/2040 144A                                                     | CUSIP: 77340RAM9<br>LEI: W2ZGZGZKY5GGNY6F3V51 | Long             | DBT              | CORP              | US        |     110000 | PA      | $105331.25    | 0.00%             | 2040-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY OPERATING PARTNERS LP                                               | NEXTERA ENERGY OPERATING PARTNERS LP 8.625% 03/15/2033 144A                                             | CUSIP: 98380MAB1<br>LEI: 549300KJEC5IUVJWR786 | Long             | DBT              | CORP              | US        |     630000 | PA      | $660866.85    | 0.01%             | 2033-03-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: —       |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 5.78% 10/35 #1N0063                                                                            | CUSIP: 3128QGB84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        165 | PA      | $171.50       | 0.00%             | 2035-10-01      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| PERMIAN RESOURCES OPERATING LLC                                                    | PERMIAN RESOURCES OPERATING LLC 6.25% 02/01/2033 144A                                                   | CUSIP: 71424VAB6<br>LEI: 5493004CTVUMQLRPOE23 | Long             | DBT              | CORP              | US        |      85000 | PA      | $83865.01     | 0.00%             | 2033-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GNR 2008-73 FA TSFR1M+97.448 8/38                                                                       | CUSIP: 38375XJZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      46459 | PA      | $46934.48     | 0.00%             | 2038-08-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MACQUARIE AIRFINANCE HOLDINGS LTD                                                  | MACQUARIE AIRFINANCE HOLDINGS LTD 8.125% 03/30/2029 144A                                                | CUSIP: 55609NAB4<br>LEI: 549300MCGUSL5B852H65 | Long             | DBT              | CORP              | GB        |     365000 | PA      | $381962.28    | 0.01%             | 2029-03-30      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 6/26 #349356                                                                                 | CUSIP: 31376ABZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         17 | PA      | $17.46        | 0.00%             | 2026-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| RR 31 LTD                                                                          | RR 31 LTD D TSFR3M+600 10/15/2039 144A                                                                  | CUSIP: 74988BAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     125000 | PA      | $127055.88    | 0.00%             | 2039-10-15      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 3.5% 12/01/2033#C91737                                                                        | CUSIP: 3128P74W0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23674 | PA      | $23019.87     | 0.00%             | 2033-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 3% 01/01/2037#MA2866                                                                          | CUSIP: 31418CFG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      76170 | PA      | $71291.58     | 0.00%             | 2037-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 04/01/2051#                                                                              | CUSIP: 3140QKGV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     486811 | PA      | $434992.23    | 0.01%             | 2051-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2770 FH SOFR30A+51.448 3/34                                                                         | CUSIP: 31394TZB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      50645 | PA      | $50255.51     | 0.00%             | 2034-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 02/01/2051#BQ4516                                                                          | CUSIP: 3140KQAS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30628 | PA      | $23975.92     | 0.00%             | 2051-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 11/41 #AL1193                                                                                | CUSIP: 3138EHKF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20976 | PA      | $19976.20     | 0.00%             | 2041-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.00% 3/42 #Q06886                                                                                 | CUSIP: 3132GR6X4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4145 | PA      | $3955.22      | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SRI LANKA GOVT DEMOCRATIC SOCIALIST REP                                            | SRI LANKA GOVT DEMOC SOCIA REP STEP 01/15/2030 144A                                                     | CUSIP: N/A<br>LEI: 254900HXCCIOHM74FA02       | Long             | DBT              | NUSS              | LK        |     138250 | PA      | $119977.50    | 0.00%             | 2030-01-15      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| LOWES COS INC                                                                      | LOWES COS INC 3.75% 04/01/2032                                                                          | CUSIP: 548661EH6<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |     459000 | PA      | $427158.15    | 0.01%             | 2032-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 2/41 #A96731                                                                                 | CUSIP: 312945PQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9040 | PA      | $8901.94      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 10/01/2050#SD8098                                                                          | CUSIP: 3132DV7K5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     486467 | PA      | $381114.42    | 0.01%             | 2050-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 12/01/2044#AW9502                                                                        | CUSIP: 3138XZRY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5220 | PA      | $4918.48      | 0.00%             | 2044-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 2.5% 04/25/2052                                                          | CUSIP: 3136BL7H7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    1785234 | PA      | $1603449.41   | 0.02%             | 2052-04-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNMA 2017-H06 FA T1Y+35 08/66                                                                           | CUSIP: 38376RV60<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     104637 | PA      | $104119.19    | 0.00%             | 2066-08-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| WEBER-STEPHEN PRODUCTS LLC                                                         | WEBER-STEPHEN PRODUCTS TERM B 1LN 10/30/2027                                                            | CUSIP: 94767KAP6<br>LEI: 549300XU8TJBBGLK8V26 | Long             | LON              | CORP              | US        |     269000 | PA      | $267431.73    | 0.00%             | 2027-10-30      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                                                           | VISTRA OPERATIONS CO LLC 5% 07/31/2027 144A                                                             | CUSIP: 92840VAF9<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    2885000 | PA      | $2876591.38   | 0.04%             | 2027-07-31      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NAVIENT CORP                                                                       | NAVIENT CORP 5.625% 08/01/2033                                                                          | CUSIP: 78442FAZ1<br>LEI: 54930067J0ZNOEBRW338 | Long             | DBT              | CORP              | US        |      80000 | PA      | $70371.54     | 0.00%             | 2033-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/01/2040#AE8603                                                                          | CUSIP: 31419KRZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4983 | PA      | $4754.60      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GUATEMALA, REP OF                                                                  | GUATEMALA REP OF 6.125% 06/01/2050 144A                                                                 | CUSIP: 401494AR0<br>LEI: 529900QKDFFU9UWW5315 | Long             | DBT              | NUSS              | GT        |     230000 | PA      | $204240.00    | 0.00%             | 2050-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 10/01/2050#CA7531                                                                          | CUSIP: 3140QFLM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16282 | PA      | $14124.67     | 0.00%             | 2050-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AT and T INC                                                                       | AT and T INC 5.15% 11/15/2046                                                                           | CUSIP: 00206RHA3<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $906085.52    | 0.01%             | 2046-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| XPO INC                                                                            | XPO INC 6.25% 06/01/2028 144A                                                                           | CUSIP: 98379KAA0<br>LEI: 54930096DB9LCLPN7H13 | Long             | DBT              | CORP              | US        |     280000 | PA      | $282797.48    | 0.00%             | 2028-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                         | FANNIEMAE 20YR 3.5% 12/01/2036#BM3680                                                                   | CUSIP: 3140J8CS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16443 | PA      | $15689.72     | 0.00%             | 2036-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 2.5% 05/25/2049                                                          | CUSIP: 3137H5UF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     113977 | PA      | $97686.27     | 0.00%             | 2049-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 7/35 #787578                                                                                 | CUSIP: 31405E6P5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        493 | PA      | $513.85       | 0.00%             | 2035-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BAPCO ENERGIES BSC                                                                 | BAPCO ENERGIES BSC 8.375% 11/07/2028 144A                                                               | CUSIP: 67778M2D1<br>LEI: 549300OBH16L6TS6IW50 | Long             | DBT              | CORP              | BH        |      80000 | PA      | $84460.00     | 0.00%             | 2028-11-07      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| CHEMOURS CO                                                                        | CHEMOURS CO 5.375% 05/15/2027                                                                           | CUSIP: 163851AE8<br>LEI: 549300M1BOLNXL8DOV14 | Long             | DBT              | CORP              | US        |    1910000 | PA      | $1869716.95   | 0.03%             | 2027-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2% 06/01/2041#MA4364                                                                          | CUSIP: 31418DZ62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17786 | PA      | $15064.61     | 0.00%             | 2041-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| PRIMO WATER HOLDINGS INC / TRITON WATER HOLDINGS INC                               | PRIMO WATER HOLDINGS INC / TRITON WATER HOLDINGS INC 6.25% 04/01/2029 144A                              | CUSIP: 74168RAC7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     210000 | PA      | $210284.76    | 0.00%             | 2029-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ANGOLA REPUBLIC                                                                    | ANGOLA REPUBLIC 9.375% 05/08/2048 144A                                                                  | CUSIP: 035198AC4<br>LEI: 549300QHR2R3J8JSGK83 | Long             | DBT              | NUSS              | AO        |     270000 | PA      | $198045.00    | 0.00%             | 2048-05-08      | Fixed         | 0.09%                 | 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        |  188900000 | PA      | $176326343.75 | 2.57%             | 2054-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                                     | FX Forward: USD/EUR settle 2025-07-08                                                                   | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |          1 | NC      | $-916.04      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WP CAREY INC                                                                       | WP CAREY INC 3.85% 07/15/2029                                                                           | CUSIP: 92936UAF6<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              | CORP              | US        |     246000 | PA      | $236614.98    | 0.00%             | 2029-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 2/28 #331338                                                                                 | CUSIP: 31375DBF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         32 | PA      | $33.13        | 0.00%             | 2028-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION LLC                                                       | SABINE PASS LIQUEFACTION LLC 4.5% 05/15/2030                                                            | CUSIP: 785592AX4<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |    1622000 | PA      | $1598070.34   | 0.02%             | 2030-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 02/01/2052#FS8908                                                                        | CUSIP: 3140XQ3S4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4430131 | PA      | $3697052.42   | 0.05%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SUZANO AUSTRIA GMBH                                                                | SUZANO AUSTRIA GMBH 3.75% 01/15/2031                                                                    | CUSIP: 86964WAJ1<br>LEI: 254900287ZNSGVP1R341 | Long             | DBT              | CORP              | AT        |      95000 | PA      | $85934.63     | 0.00%             | 2031-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CORECIVIC INC                                                                      | CORECIVIC INC 8.25% 04/15/2029                                                                          | CUSIP: 21871NAC5<br>LEI: 529900JFA3K6PTLT8B15 | Long             | DBT              | CORP              | US        |     245000 | PA      | $258948.79    | 0.00%             | 2029-04-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| TURKEY REPUBLIC OF                                                                 | TURKEY REPUBLIC OF 4.75% 01/26/2026                                                                     | CUSIP: 900123DB3<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |     435000 | PA      | $433716.75    | 0.01%             | 2026-01-26      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| RR 7 LTD                                                                           | RR 7 LTD A1AB TSFR3M+134 01/15/2037 144A                                                                | CUSIP: 74980EAQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1862000 | PA      | $1863808.00   | 0.03%             | 2037-01-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 11/01/2052#SD1863                                                                          | CUSIP: 3132DPB80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     755685 | PA      | $740009.81    | 0.01%             | 2052-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DBJPM 2020-C9                                                                      | DBJPM 2020-C9 2.567% 08/15/2053                                                                         | CUSIP: 233063BC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     275000 | PA      | $228892.35    | 0.00%             | 2053-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/40#AE7364                                                                               | CUSIP: 31419JFE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3880 | PA      | $3695.71      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AASET 2021-1 TR                                                                    | AASET 2021-1 TR 2.95% 11/16/2041 144A                                                                   | CUSIP: 00038PAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4745025 | PA      | $4464286.44   | 0.06%             | 2041-11-16      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UPGRADE RECEIVABLES TRUST 2024-1A                                                  | UPGRADE RECEIVABLES TRUST 2024-1A 5.37% 02/18/2031 144A                                                 | CUSIP: 91533NAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     642891 | PA      | $643230.04    | 0.01%             | 2031-02-18      | Fixed         | 0.05%                 | 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        |    1721000 | PA      | $1720982.79   | 0.03%             | 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        |     735000 | PA      | $742380.87    | 0.01%             | 2028-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| EXELON CORP                                                                        | EXELON CORP 4.05% 04/15/2030                                                                            | CUSIP: 30161NAX9<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |    7865000 | PA      | $7664270.73   | 0.11%             | 2030-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHILE REPUBLIC OF                                                                  | CHILE REPUBLIC OF 3.1% 01/22/2061                                                                       | CUSIP: 168863DQ8<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |     575000 | PA      | $336375.00    | 0.00%             | 2061-01-22      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+120 02/25/2055                                                   | CUSIP: 3137HJZC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    1801086 | PA      | $1785627.91   | 0.03%             | 2055-02-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 08/01/2043#AU2854                                                                          | CUSIP: 3138X2E42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4738 | PA      | $4480.59      | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CIM TRUST 2025-R1                                                                  | CIM TRUST 2025-R1 5% 02/25/2099 144A                                                                    | CUSIP: 12575LAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3309666 | PA      | $3248514.29   | 0.05%             | 2099-02-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMBB COML MTG SECS TR 2014-C18                                                    | JPMBB COML MTG SECS TR 2014-C18 VAR 02/15/2047                                                          | CUSIP: 46641JBC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     372000 | PA      | $356197.44    | 0.01%             | 2047-02-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| PLANET FITNESS MASTER ISSUER LLC 18-1A                                             | PLANET FITNESS MASTER ISSUER LLC 18-1A 4.008% 12/05/2051 144A                                           | CUSIP: 72703PAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1458880 | PA      | $1329431.54   | 0.02%             | 2051-12-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 6% 07/01/2039#SB1215                                                                          | CUSIP: 3132CXK43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3550069 | PA      | $3636874.28   | 0.05%             | 2039-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                      | GOLDMAN SACHS GROUP INC (THE) 4.017%/VAR 10/31/2038                                                     | CUSIP: 38148YAA6<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $851597.33    | 0.01%             | 2038-10-31      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| SRI LANKA GOVT DEMOCRATIC SOCIALIST REP                                            | SRI LANKA GOVT DEMOC SOCIA REP STEP 06/15/2035 144A                                                     | CUSIP: N/A<br>LEI: 254900HXCCIOHM74FA02       | Long             | DBT              | NUSS              | LK        |      48374 | PA      | $32709.89     | 0.00%             | 2035-06-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 0.0% 01/01/2042#AJ8357                                                                         | CUSIP: 3138E1JB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21771 | PA      | $22661.28     | 0.00%             | 2042-01-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| ALLEGRO CLO XV LTD / ALLEGRO CLO VX LLC                                            | ALLEGRO CLO XV LTD / ALLEGRO CLO VX LLC A1R TSFR3M+118 04/20/2038 144A                                  | CUSIP: 01749WAL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | XX        |    1188000 | PA      | $1184687.86   | 0.02%             | 2038-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 06/01/2031#                                                                                | CUSIP: 31292HJ70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         46 | PA      | $47.33        | 0.00%             | 2031-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                                                               | EDISON INTERNATIONAL 7.875%/VAR 06/15/2054                                                              | CUSIP: 281020AZ0<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |     355000 | PA      | $341553.63    | 0.00%             | 2054-06-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: —       |
| HIGHTOWER HOLDING LLC                                                              | HIGHTOWER HOLDING LLC 9.125% 01/31/2030 144A                                                            | CUSIP: 43118DAB6<br>LEI: 254900MKOSB7RTMA9K12 | Long             | DBT              | CORP              | US        |     495000 | PA      | $515246.83    | 0.01%             | 2030-01-31      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| VISTAJET MALTA FINANCE PLC / VISTA MANAGEMENT HOLDING INC                          | VISTAJET MALTA FINANCE PLC / VISTA MANAGEMENT HOLDING INC 6.375% 02/01/2030 144A                        | CUSIP: 92840JAB5<br>LEI: N/A                  | Long             | DBT              | CORP              | MT        |    1515000 | PA      | $1360326.38   | 0.02%             | 2030-02-01      | Fixed         | 0.06%                 | 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        |    1564595 | PA      | $1583562.82   | 0.02%             | 2054-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                                 | ALLY FINL INC 6.646%/VAR 01/17/2040                                                                     | CUSIP: 02005NBY5<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |     726000 | PA      | $697198.53    | 0.01%             | 2040-01-17      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| BANK 2019-BNK21                                                                    | BANK 2019-BN21 A5 2.851% 10/17/2052                                                                     | CUSIP: 06540BBD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     962049 | PA      | $877713.19    | 0.01%             | 2052-10-17      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2% 04/51#MA7311                                                                                 | CUSIP: 36179WDQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      89068 | PA      | $71590.93     | 0.00%             | 2051-04-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 08/01/2032#MA3090                                                                          | CUSIP: 31418CNG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     118888 | PA      | $114825.00    | 0.00%             | 2032-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| KOSMOS ENERGY LTD                                                                  | KOSMOS ENERGY LTD 7.75% 05/01/2027 144A                                                                 | CUSIP: 500688AF3<br>LEI: 213800YDFJ3OT9B5P157 | Long             | DBT              | CORP              | US        |     130000 | PA      | $112915.40    | 0.00%             | 2027-05-01      | Fixed         | 0.08%                 | 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        |    3344966 | PA      | $3345253.67   | 0.05%             | 2037-07-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 02/01/2051#CA8955                                                                        | CUSIP: 3140QG5R4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20527 | PA      | $16905.82     | 0.00%             | 2051-02-01      | Fixed         | 0.03%                 | 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        |    1246801 | PA      | $1250282.88   | 0.02%             | 2053-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 2.25% 04/25/2037                                                         | CUSIP: 3137H6X26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     422070 | PA      | $394881.90    | 0.01%             | 2037-04-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 1.125% 08/15/2040                                                           | CUSIP: 912810SQ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     578000 | PA      | $347387.03    | 0.01%             | 2040-08-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GEOPARK LTD                                                                        | GEOPARK LTD 8.75% 01/31/2030 144A                                                                       | CUSIP: 37255BAC3<br>LEI: 529900ZR5QI19AH4KZ07 | Long             | DBT              | CORP              | BM        |     235000 | PA      | $187118.75    | 0.00%             | 2030-01-31      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| MURPHY OIL CORP                                                                    | MURPHY OIL CORP 6% 10/01/2032                                                                           | CUSIP: 626717AP7<br>LEI: QBKYQD0ODE7DC7PDIN91 | Long             | DBT              | CORP              | US        |     465000 | PA      | $433546.28    | 0.01%             | 2032-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: —       |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 6.25% 05/15/2030                                                            | CUSIP: 912810FM5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2216000 | PA      | $2440543.11   | 0.04%             | 2030-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 8/34 #725703                                                                                 | CUSIP: 31402DGL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14658 | PA      | $15231.74     | 0.00%             | 2034-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ARIS WATER HOLDINGS LLC                                                            | ARIS WATER HOLDINGS LLC 7.25% 04/01/2030 144A                                                           | CUSIP: 04041NAA0<br>LEI: 5493007AWQW8ZKCHVV46 | Long             | DBT              | CORP              | US        |     565000 | PA      | $568055.52    | 0.01%             | 2030-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MAJORDRIVE HOLDINGS IV LLC                                                         | MAJORDRIVE HOLDINGS IV LLC 6.375% 06/01/2029 144A                                                       | CUSIP: 56085RAA8<br>LEI: 25490044R1FR5N8FIT62 | Long             | DBT              | CORP              | US        |     690000 | PA      | $519780.66    | 0.01%             | 2029-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 3007 EW 5.5 7/25                                                                                    | CUSIP: 31395WEK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |         33 | PA      | $32.87        | 0.00%             | 2025-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 10/01/2051#SD3302                                                                          | CUSIP: 3132DQU38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24008 | PA      | $18748.47     | 0.00%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 4.5% 10/25/2044                                                          | CUSIP: 3137H9AA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     465606 | PA      | $459944.03    | 0.01%             | 2044-10-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 07/01/2043#Q19597                                                                        | CUSIP: 3132JBDB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10951 | PA      | $10367.61     | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2018-B4 MTG TR                                                           | BENCHMARK MTG TR 2018-B4 A5 4.121% 07/15/2051                                                           | CUSIP: 08161HAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4151000 | PA      | $4057755.26   | 0.06%             | 2051-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ABU DHABI NATL ENERGY CO PJSC                                                      | ABU DHABI NATL ENERGY CO PJSC 4.75% 03/09/2037 144A                                                     | CUSIP: 00388WAP6<br>LEI: 213800UNJSVQFNUYYW03 | Long             | DBT              | CORP              | AE        |     280000 | PA      | $264163.20    | 0.00%             | 2037-03-09      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 03/01/2051#FM6270                                                                          | CUSIP: 3140X96G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     194134 | PA      | $153425.47    | 0.00%             | 2051-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 03/01/2032#SB0878                                                                        | CUSIP: 3132CW6P4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1328904 | PA      | $1271091.16   | 0.02%             | 2032-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIA KINGDOM OF                                                            | SAUDI ARABIA KINGDOM OF 4.5% 10/26/2046 144A                                                            | CUSIP: 80413TAC3<br>LEI: 54930044PULMORCKB765 | Long             | DBT              | NUSS              | SA        |     410000 | PA      | $328410.00    | 0.00%             | 2046-10-26      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 10/42 #AQ1181                                                                                | CUSIP: 3138MGJ30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6074 | PA      | $5619.60      | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PG and E CORP                                                                      | PG and E CORP CONV 4.25% 12/01/2027                                                                     | CUSIP: 69331CAL2<br>LEI: 8YQ2GSDWYZXO2EDN3511 | Long             | DBT              | CORP              | US        |     389000 | PA      | $403587.50    | 0.01%             | 2027-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6.5% 06/01/2054#SD7571                                                                        | CUSIP: 3132DVMU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7325713 | PA      | $7614327.97   | 0.11%             | 2054-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR                                 | AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 4.45% 04/03/2026                                     | CUSIP: 00774MAL9<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |     561000 | PA      | $559210.76    | 0.01%             | 2026-04-03      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CZ030008 12/17/57 B                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     400000 | NC      | $30574.16     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 04/01/2051#CB0290                                                                          | CUSIP: 3140QKKC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4266660 | PA      | $3339976.83   | 0.05%             | 2051-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 08/01/2043#AS0205                                                                        | CUSIP: 3138W9GP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12389 | PA      | $11113.00     | 0.00%             | 2043-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 10/01/2044#AS3651                                                                        | CUSIP: 3138WDBV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      60802 | PA      | $58955.62     | 0.00%             | 2044-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TECPETROL SA                                                                       | TECPETROL SA 7.625% 01/22/2033 144A                                                                     | CUSIP: 87876TAG9<br>LEI: 529900C0GOV3UC7ZMZ16 | Long             | DBT              | CORP              | AR        |     140000 | PA      | $139300.00    | 0.00%             | 2033-01-22      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CZ030008 12/17/57 B                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     400000 | NC      | $30574.16     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2% 03/01/2036#CA9437                                                                          | CUSIP: 3140QHPX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42739 | PA      | $38608.23     | 0.00%             | 2036-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| COHERENT CORP                                                                      | COHERENT CORP 5% 12/15/2029 144A                                                                        | CUSIP: 902104AC2<br>LEI: 549300O5C25A0MMHHU33 | Long             | DBT              | CORP              | US        |     485000 | PA      | $469947.35    | 0.01%             | 2029-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/32 #569328                                                                                 | CUSIP: 36200QPM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         17 | PA      | $17.95        | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 04/01/2052#CB3234                                                                          | CUSIP: 3140QNSY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4337343 | PA      | $3726142.39   | 0.05%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BRAZIL, FEDERATIVE REPUBLIC OF                                                     | BRAZIL FEDERATIVE REPUBLIC OF 8.25% 01/20/2034                                                          | CUSIP: 105756BB5<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |     605000 | PA      | $679415.00    | 0.01%             | 2034-01-20      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| AUTONATION INC DEL                                                                 | AUTONATION INC DEL 4.75% 06/01/2030                                                                     | CUSIP: 05329WAQ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     156000 | PA      | $153138.93    | 0.00%             | 2030-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2022-IND                                                                  | BX 2022-IND E TSFR1M+398.7 04/15/2037 144A                                                              | CUSIP: 05609WAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     402500 | PA      | $402500.00    | 0.01%             | 2037-04-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6.5% 10/01/2053#RJ0002                                                                        | CUSIP: 3142GQAC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     320185 | PA      | $331798.93    | 0.00%             | 2053-10-01      | Fixed         | 0.07%                 | 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        |    1954563 | PA      | $1968032.01   | 0.03%             | 2049-05-16      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP DEL                                                                   | CENTENE CORP 3.375% 02/15/2030                                                                          | CUSIP: 15135BAV3<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    3815000 | PA      | $3476989.86   | 0.05%             | 2030-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CONSTANT CONTACT INC                                                               | CONSTANT CONTACT INC TERM B 2LN 02/12/2029                                                              | CUSIP: 21031HAE1<br>LEI: 2549000JW50H0AI5B946 | Long             | LON              | CORP              | US        |      50000 | PA      | $40312.50     | 0.00%             | 2029-02-12      | Variable      | 0.12%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CY885799 12/15/56 S                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     100000 | NC      | $-1750.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BOSCH (ROBERT) GMBH                                                                | BOSCH (ROBERT) GMBH 4.375% 06/02/2043 REGS                                                              | CUSIP: N/A<br>LEI: 529900F0LT5OP4SV6122       | Long             | DBT              | CORP              | DE        |     300000 | PA      | $347429.99    | 0.01%             | 2043-06-02      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MDGH GMTN RSC LTD                                                                  | MDGH GMTN RSC LTD 5.084% 05/22/2053 144A                                                                | CUSIP: 55285GAC8<br>LEI: 213800WRY6FRL9IXLT77 | Long             | DBT              | CORP              | AE        |     390000 | PA      | $350270.70    | 0.01%             | 2053-05-22      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 07/01/2032#G18651                                                                        | CUSIP: 3128MMWM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     423189 | PA      | $404126.47    | 0.01%             | 2032-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CY885802 12/15/56 B                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     100000 | NC      | $13019.13     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ELANCO ANIMAL HEALTH INC                                                           | ELANCO ANIMAL HEALTH INC VAR 08/28/2028                                                                 | CUSIP: 28414HAG8<br>LEI: 549300SHPNDCE059M934 | Long             | DBT              | CORP              | US        |     194000 | PA      | $199344.89    | 0.00%             | 2028-08-28      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 11/01/2051#RA6347                                                                          | CUSIP: 3133KNBQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     337722 | PA      | $290184.44    | 0.00%             | 2051-11-01      | Fixed         | 0.03%                 | 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        |  -52350000 | PA      | $-51990962.76 | -0.76%            | 2055-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| VIRGIN MONEY UK PLC                                                                | VIRGIN MONEY UK PLC 7.625%/VAR 08/23/2029 REGS                                                          | CUSIP: N/A<br>LEI: 213800ZK9VGCYYR6O495       | Long             | DBT              | CORP              | GB        |     586000 | PA      | $846469.14    | 0.01%             | 2029-08-23      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                                                       | ING GROEP NV 3%/VAR 08/17/2031 REGS                                                                     | CUSIP: N/A<br>LEI: 549300NYKK9MWM7GGW15       | Long             | DBT              | CORP              | NL        |    1100000 | PA      | $1234346.79   | 0.02%             | 2031-08-17      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.0% 08/20/2043#MA1225                                                                          | CUSIP: 36179NLE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10149 | PA      | $9656.57      | 0.00%             | 2043-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNIVISION COMMUNICATIONS INC                                                       | UNIVISION COMMUNICATIONS INC 8.5% 07/31/2031 144A                                                       | CUSIP: 914906AZ5<br>LEI: 549300YQDE2JSGTL8V47 | Long             | DBT              | CORP              | US        |    1025000 | PA      | $984166.15    | 0.01%             | 2031-07-31      | Fixed         | 0.09%                 | No            |                  2 | On Loan: —       |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 04/01/2052#SD7554                                                                        | CUSIP: 3132DVMB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     900126 | PA      | $746395.57    | 0.01%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                        | BNPI SWAP CDS 06/20/30 DB B                                                                             | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DCR              | CORP              | FR        |     550000 | NC      | $11562.89     | 0.00%             |  |  |  | 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        |    1978558 | PA      | $2022485.08   | 0.03%             | 2055-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 5/29 #494945                                                                                 | CUSIP: 31382WZJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        268 | PA      | $279.69       | 0.00%             | 2029-05-01      | Fixed         | 0.07%                 | 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        |    4206000 | PA      | $4206374.33   | 0.06%             | 2038-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 12/38 #970918                                                                                | CUSIP: 31414NDX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2428 | PA      | $2546.50      | 0.00%             | 2038-12-01      | Fixed         | 0.06%                 | 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        |     951000 | PA      | $922306.00    | 0.01%             | 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        |    2003000 | PA      | $2011751.11   | 0.03%             | 2039-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 10/01/44#Q28991                                                                          | CUSIP: 3132M9UQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7838 | PA      | $7387.09      | 0.00%             | 2044-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 03/01/2052#FS7871                                                                          | CUSIP: 3140XPW96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3556629 | PA      | $2809722.27   | 0.04%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| NEWELL BRANDS INC                                                                  | NEWELL BRANDS INC 8.5% 06/01/2028 144A                                                                  | CUSIP: 651229BG0<br>LEI: 549300LWGYFM1TVO1Z12 | Long             | DBT              | CORP              | US        |     880000 | PA      | $910402.98    | 0.01%             | 2028-06-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| ALDAR PROPERTIES PJSC                                                              | ALDAR PROPERTIES PJSC T5Y+NA 04/15/2055 REGS                                                            | CUSIP: N/A<br>LEI: 98450048CD8AEF13B480       | Long             | DBT              | CORP              | AE        |     200000 | PA      | $200668.74    | 0.00%             | 2055-04-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| LEVIATHAN BOND LTD                                                                 | LEVIATHAN BOND LTD 6.5% 06/30/2027 144A REGS                                                            | CUSIP: N/A<br>LEI: 254900D9T8VKYVQNZ220       | Long             | DBT              | CORP              | IL        |     200000 | PA      | $197496.60    | 0.00%             | 2027-06-30      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2024-AIR2                                                           | BX COML MTG TR 2024-AIR2 D TSFR1M+308.89 10/15/2041 144A                                                | CUSIP: 05613QAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     359693 | PA      | $359692.55    | 0.01%             | 2041-10-15      | Variable      | 0.07%                 | 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        |   13705614 | PA      | $10754566.04  | 0.16%             | 2050-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 09/01/2046#AS7844                                                                          | CUSIP: 3138WHWE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     154193 | PA      | $135500.85    | 0.00%             | 2046-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                | MSCS SWAP CY885799 12/15/56 S                                                                           | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |     500000 | NC      | $-8753.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 12M+1.75 9/1/41 #1B8787                                                                        | CUSIP: 3128UHEK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      30888 | PA      | $31996.37     | 0.00%             | 2041-09-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 03/01/2052#CB3038                                                                          | CUSIP: 3140QNLU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      89868 | PA      | $70574.48     | 0.00%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 7/29 #505740                                                                                 | CUSIP: 31383KZD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         56 | PA      | $57.93        | 0.00%             | 2029-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 2% 04/01/2041#                                                                                | CUSIP: 3133KYU98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17105 | PA      | $14504.08     | 0.00%             | 2041-04-01      | 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        |  140900000 | PA      | $125995421.88 | 1.83%             | 2054-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.50% 7/30 #781205                                                                                 | CUSIP: 36225BKS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         14 | PA      | $14.71        | 0.00%             | 2030-07-15      | Fixed         | 0.09%                 | 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        |    4584960 | PA      | $4502621.91   | 0.07%             | 2054-07-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.50% 3/41 #004978                                                                              | CUSIP: 36202FQ74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2241 | PA      | $2203.71      | 0.00%             | 2041-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVERNMENT OF                                                                | JAPAN GOVERNMENT OF 0.9% 09/20/2034                                                                     | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |   65000000 | PA      | $430528.16    | 0.01%             | 2034-09-20      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BROWN BROTHERS HARRIMAN and CO.                                                    | FX Forward: USD/AUD settle 2025-07-08                                                                   | CUSIP: N/A<br>LEI: 5493006KMX1VFTPYPW14       | N/A              | DFE              | CORP              | US        |          1 | NC      | $-306.57      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                         | FANNIEMAE 30YR 2% 11/01/2051#FA0376                                                                     | CUSIP: 3140W0M28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3293302 | PA      | $2580082.14   | 0.04%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SEPLAT ENERGY PLC                                                                  | SEPLAT ENERGY PLC 9.125% 03/21/2030 144A                                                                | CUSIP: 81733MAA3<br>LEI: 029200711C4S4CB2E982 | Long             | DBT              | CORP              | NG        |     200000 | PA      | $189650.00    | 0.00%             | 2030-03-21      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 5.5% 07/25/2034                                                          | CUSIP: 31394AEQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      52738 | PA      | $53212.50     | 0.00%             | 2034-07-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 09/42#G07184                                                                               | CUSIP: 3128M9J52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      34897 | PA      | $33194.32     | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OAK HILL CREDIT PARTNERS                                                           | OAK HILL CREDIT PARTNERS A2 TSFR3M+165 04/20/2037 144A                                                  | CUSIP: 67706JAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $250541.75    | 0.00%             | 2037-04-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 11/01/2050#SD7527                                                                          | CUSIP: 3132DVLG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7554570 | PA      | $5998769.07   | 0.09%             | 2050-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.50% 10/32 #G01766                                                                                | CUSIP: 31283H6B6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1004 | PA      | $1047.34      | 0.00%             | 2032-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.5% 05/01/2053#FS4662                                                                        | CUSIP: 3140XLFC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     964951 | PA      | $1002138.50   | 0.01%             | 2053-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOLDENTREE LN MGMT US CLO 21 LTD                                                   | GOLDENTREE LN MGMT US CLO 21 LTD E TSFR3M+570 07/20/2037 144A                                           | CUSIP: 38139DAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     250000 | PA      | $251209.50    | 0.00%             | 2037-07-20      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 2% 11/01/2041#RB5135                                                                          | CUSIP: 3133KYV48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     158373 | PA      | $133567.72    | 0.00%             | 2041-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GRUPO KUO SAB DE CV                                                                | GRUPO KUO SAB DE CV 5.75% 07/07/2027 144A                                                               | CUSIP: 40052CAC0<br>LEI: 549300WIYIAVCFZI6Z04 | Long             | DBT              | CORP              | MX        |     310000 | PA      | $303180.00    | 0.00%             | 2027-07-07      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 01/01/2033#ZS8682                                                                          | CUSIP: 3132A9UF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24254 | PA      | $23391.19     | 0.00%             | 2033-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 1.5% 01/37#MA4515                                                                             | CUSIP: 31418EAR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     392433 | PA      | $344652.11    | 0.01%             | 2037-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                                | PETROLEOS MEXICANOS 6.35% 02/12/2048                                                                    | CUSIP: 71654QCL4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    3548000 | PA      | $2309748.00   | 0.03%             | 2048-02-12      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GNR 2010-31 BP 5% 3/20/40                                                                               | CUSIP: 38376XL68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     207366 | PA      | $209697.36    | 0.00%             | 2040-03-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 1.5% 01/01/2051#MA4236                                                                        | CUSIP: 31418DV66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1392033 | PA      | $1029621.59   | 0.01%             | 2051-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHLMC MULTIFAM STRUCTURED PASS THROUGH 2018-K072 A2 3.444% 12/25/2027                                   | CUSIP: 3137FEBQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     900000 | PA      | $882272.79    | 0.01%             | 2027-12-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TRANSOCEAN INC                                                                     | TRANSOCEAN INC 8% 02/01/2027 144A                                                                       | CUSIP: 893830BL2<br>LEI: DOL4HJ22ADYSIWES4H94 | Long             | DBT              | CORP              | KY        |     650000 | PA      | $635455.21    | 0.01%             | 2027-02-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 11/47#Q52377                                                                               | CUSIP: 3132XUUB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      60199 | PA      | $56236.37     | 0.00%             | 2047-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                         | FANNIE MAE 3% 05/25/2048                                                                                | CUSIP: 3136BMAC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     199625 | PA      | $181285.05    | 0.00%             | 2048-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 7.00% 11/34 #A45143                                                                                | CUSIP: 3128K5WC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        862 | PA      | $907.56       | 0.00%             | 2034-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 03/01/2051#CA9381                                                                          | CUSIP: 3140QHM77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     309615 | PA      | $242175.50    | 0.00%             | 2051-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 12/01/2040#AE9804                                                                          | CUSIP: 31419L3N1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19540 | PA      | $18621.04     | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WHEELS FLEET LEASE FUNDING 1 LLC                                                   | WHEELS FLEET LEASE FUNDING 1 LLC 2023-1A A 5.8% 04/18/2038 144A                                         | CUSIP: 96328GAS6<br>LEI: 549300BSFY0E0XXREF43 | Long             | ABS-CBDO         | CORP              | US        |     910093 | PA      | $915505.56    | 0.01%             | 2038-04-18      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DHL GROUP                                                                          | DHL GROUP 3.125% 06/05/2032 REGS                                                                        | CUSIP: N/A<br>LEI: 8ER8GIG7CSMVD8VUFE78       | Long             | DBT              | CORP              | DE        |     550000 | PA      | $624572.44    | 0.01%             | 2032-06-05      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| IVORY COAST (COTE D'IVOIRE)                                                        | IVORY COAST (COTE D'IVOIRE) 8.075% 04/01/2036 144A                                                      | CUSIP: 221625AV8<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |     200000 | PA      | $188511.00    | 0.00%             | 2036-04-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2218 ZB 6% 3/30                                                                                     | CUSIP: 3133TNM84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |        848 | PA      | $864.40       | 0.00%             | 2030-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GOVERNMENT NAT MTG ASSN HECM TSFR1M+71.448 01/20/2064                                                   | CUSIP: 38375UEJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |       4780 | PA      | $4806.10      | 0.00%             | 2064-01-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| COINBASE GLOBAL INC                                                                | COINBASE GLOBAL INC 3.625% 10/01/2031 144A                                                              | CUSIP: 19260QAD9<br>LEI: 5493004G3J2SC154DU06 | Long             | DBT              | CORP              | US        |     245000 | PA      | $213228.67    | 0.00%             | 2031-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EL SALVADOR REPUBLIC OF                                                            | EL SALVADOR REPUBLIC OF 0.25% 04/17/2030 144A                                                           | CUSIP: 283875CD2<br>LEI: 529900AKDMUSFSDOM949 | Long             | DBT              | NUSS              | SV        |     150000 | PA      | $2700.00      | 0.00%             | 2030-04-17      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                | MSCS SWAP CY873248 04/17/65 B                                                                           | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |     140000 | NC      | $23869.89     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PERU, REPUBLIC OF                                                                  | PERU REPUBLIC OF 2.783% 01/23/2031                                                                      | CUSIP: 715638DF6<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     330000 | PA      | $291225.00    | 0.00%             | 2031-01-23      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PATRICK INDUSTRIES INC                                                             | PATRICK INDUSTRIES INC 6.375% 11/01/2032 144A                                                           | CUSIP: 703343AH6<br>LEI: 549300FZ5ZTCCJ3Z5W14 | Long             | DBT              | CORP              | US        |     197000 | PA      | $194173.50    | 0.00%             | 2032-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CACI INTERNATIONAL INC                                                             | CACI INTERNATIONAL INC 6.375% 06/15/2033 144A                                                           | CUSIP: 127190AE6<br>LEI: SYRPI2D1O9WRTS2WX210 | Long             | DBT              | CORP              | US        |     745000 | PA      | $759482.80    | 0.01%             | 2033-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5% 09/01/2052#BW7430                                                                          | CUSIP: 3140N0HG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29650 | PA      | $29284.91     | 0.00%             | 2052-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 08/01/2045#AZ8288                                                                        | CUSIP: 3140E1F65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12354 | PA      | $10890.97     | 0.00%             | 2045-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                                   | BAT CAPITAL CORP 5.282% 04/02/2050                                                                      | CUSIP: 05526DBQ7<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1291731.75   | 0.02%             | 2050-04-02      | 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        |    2047276 | PA      | $1890503.47   | 0.03%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL    | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 6.484% 10/23/2045       | CUSIP: 161175BA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2039000 | PA      | $1962168.48   | 0.03%             | 2045-10-23      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HTA GROUP LTD/MAURITIUS                                                            | HTA GROUP LTD/MAURITIUS 7.5% 06/04/2029 144A                                                            | CUSIP: 40435WAC4<br>LEI: 213800WEFU8O8X6EPU13 | Long             | DBT              | CORP              | MU        |    1885000 | PA      | $1916159.05   | 0.03%             | 2029-06-04      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 1.5% 08/01/2036#SB8114                                                                        | CUSIP: 3132D6AP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16049 | PA      | $14110.16     | 0.00%             | 2036-08-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                                                   | ALTICE USA TERM B6 1LN 01/18/2028                                                                       | CUSIP: 64072UAM4<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | LON              | CORP              | US        |     214477 | PA      | $211527.98    | 0.00%             | 2028-01-18      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 2.5% 05/25/2049                                                          | CUSIP: 3137H5VK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     288242 | PA      | $247007.42    | 0.00%             | 2049-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ADNOC MURBAN RSC LTD                                                               | ADNOC MURBAN RSC LTD 5.125% 09/11/2054 144A                                                             | CUSIP: 00723L2C2<br>LEI: 213800OWGH7RAYG61M70 | Long             | DBT              | CORP              | AE        |     230000 | PA      | $204067.50    | 0.00%             | 2054-09-11      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GREAT PORTLAND ESTATES PLC                                                         | GREAT PORTLAND ESTATES PLC 5.375% 09/25/2031 REGS                                                       | CUSIP: N/A<br>LEI: 213800JMEDD2Q4N1MC42       | Long             | DBT              | CORP              | GB        |     200000 | PA      | $265233.67    | 0.00%             | 2031-09-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 9/39 #710869                                                                                 | CUSIP: 36297FW65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5608 | PA      | $5720.96      | 0.00%             | 2039-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TESLA 2024-A A3                                                                    | TESLA 2024-A A3 5.37% 06/22/2026 144A                                                                   | CUSIP: 88166VAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     123929 | PA      | $124025.69    | 0.00%             | 2026-06-22      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CROWN AMERICAS LLC                                                                 | CROWN AMERICAS LLC 5.875% 06/01/2033 144A                                                               | CUSIP: 228180AC9<br>LEI: RPPGGRL1J75WGF2DFO04 | Long             | DBT              | CORP              | US        |     605000 | PA      | $600881.21    | 0.01%             | 2033-06-01      | Fixed         | 0.06%                 | 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        |     418000 | PA      | $442739.98    | 0.01%             | 2030-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MOODYS CORP                                                                        | MOODYS CORP 3.25% 01/15/2028                                                                            | CUSIP: 615369AM7<br>LEI: 549300GCEDD8YCF5WU84 | Long             | DBT              | CORP              | US        |      10000 | PA      | $9752.30      | 0.00%             | 2028-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BPR COML MTG TR 2024-PK                                                            | BPR COML MTG TR 2024-PARK D VAR 11/05/2039 144A                                                         | CUSIP: 05593UAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1125000 | PA      | $1141318.24   | 0.02%             | 2039-11-05      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 02/01/2055#CB9989                                                                          | CUSIP: 3140QWC34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5376109 | PA      | $5490425.74   | 0.08%             | 2055-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 2.5% 06/01/2040#QK0306                                                                        | CUSIP: 3133D3KT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      44968 | PA      | $39922.61     | 0.00%             | 2040-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2024-FNX                                                                  | BX TRUST 2024-FNX TSFR1M+294.018 11/15/2026 144A                                                        | CUSIP: 05593TAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     120556 | PA      | $120630.89    | 0.00%             | 2041-11-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 3% 10/25/2040                                                            | CUSIP: 3137FXBN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     119362 | PA      | $106367.45    | 0.00%             | 2040-10-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 03/01/2051#FM6343                                                                          | CUSIP: 3140XABM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     227803 | PA      | $179963.30    | 0.00%             | 2051-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| KENYA REPUBLIC OF                                                                  | KENYA REPUBLIC OF 9.75% 02/16/2031 144A                                                                 | CUSIP: 491798AM6<br>LEI: 549300VVURQQYU45PR87 | Long             | DBT              | NUSS              | KE        |     260000 | PA      | $259430.60    | 0.00%             | 2031-02-16      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 12/01/2050#MA4211                                                                          | CUSIP: 31418DVD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     724613 | PA      | $623635.46    | 0.01%             | 2050-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR                                 | AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 3.3% 01/30/2032                                      | CUSIP: 00774MAX3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    5872000 | PA      | $5214089.85   | 0.08%             | 2032-01-30      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 11/36 #995606                                                                                  | CUSIP: 31416CAF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1463 | PA      | $1502.96      | 0.00%             | 2036-11-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 5191 CA 2.5% 04/25/2050                                                  | CUSIP: 3137H5MS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     148450 | PA      | $125175.84    | 0.00%             | 2050-04-25      | 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        |    9796497 | PA      | $7687147.78   | 0.11%             | 2050-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 04/01/2048#FM8096                                                                          | CUSIP: 3140XB7J3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     266545 | PA      | $239149.41    | 0.00%             | 2048-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG2012-9 SH SOFR30A+643.552 06/25/2041                                                     | CUSIP: 3136A3M81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        183 | PA      | $0.39         | 0.00%             | 2041-06-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 08/01/2031#V61273                                                                        | CUSIP: 3132KFMW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      41542 | PA      | $39868.46     | 0.00%             | 2031-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GTC AURORA LUXEMBOURG SA                                                           | GTC AURORA LUXEMBOURG SA 2.25% 06/23/2026 REGS                                                          | CUSIP: N/A<br>LEI: 549300UAWIR6P1PVC062       | Long             | DBT              | CORP              | LU        |     568000 | PA      | $585685.37    | 0.01%             | 2026-06-23      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MOLSON COORS BEVERAGE CO                                                           | MOLSON COORS BEVERAGE CO 5% 05/01/2042                                                                  | CUSIP: 60871RAD2<br>LEI: 54930073LBBH6ZCBE225 | Long             | DBT              | CORP              | US        |    2945000 | PA      | $2630816.30   | 0.04%             | 2042-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                       | BARCLAYS PLC 5.2% 05/12/2026                                                                            | CUSIP: 06738EAP0<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    1318000 | PA      | $1321335.05   | 0.02%             | 2026-05-12      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                                                 | DOMINICAN REPUBLIC 6.6% 06/01/2036 144A                                                                 | CUSIP: 25714PEZ7<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |     135000 | PA      | $134325.00    | 0.00%             | 2036-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| LEVEL 3 FINANCING INC                                                              | LEVEL 3 FINANCING INC 3.625% 01/15/2029 144A                                                            | CUSIP: 527298BS1<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |     269000 | PA      | $223269.99    | 0.00%             | 2029-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.00% 5/42 #Q08167                                                                                 | CUSIP: 3132GTMQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7114 | PA      | $6789.62      | 0.00%             | 2042-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ICAHN ENTERPRISES LP / ICAHN ENTERPRISES FIN CORP                                  | ICAHN ENTERPRISES LP/FIN CORP 9% 06/15/2030                                                             | CUSIP: 451102CJ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     120000 | PA      | $108774.68    | 0.00%             | 2030-06-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 8/40 #G05969                                                                                 | CUSIP: 3128M76E1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3657 | PA      | $3680.59      | 0.00%             | 2040-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                       | UBS GROUP AG 6.537%/VAR 08/12/2033 144A                                                                 | CUSIP: 225401AZ1<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   10000000 | PA      | $10735452.80  | 0.16%             | 2033-08-12      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5% 11/01/2052#FS3248                                                                          | CUSIP: 3140XJTE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     354275 | PA      | $347037.34    | 0.01%             | 2052-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FDG TR 2023-RPL1                                                 | BRAVO RESIDENTIAL FDG TR 2023-RPL1 A1 5% 05/25/2063 144A                                                | CUSIP: 10569GAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     951893 | PA      | $940324.82    | 0.01%             | 2063-05-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HILTON GRAND VACATIONS BORROWER LLC / HILTON GRAND VACATIONS BORROWER INC          | HILTON GRAND VACATIONS BORROWER LLC / HILTON GRAND VACATIONS BORROWER INC 6.625% 01/15/2032 144A        | CUSIP: 43283QAC4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      50000 | PA      | $49936.49     | 0.00%             | 2032-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 3.753% 10/33 #746320                                                                           | CUSIP: 31403EDZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        679 | PA      | $693.63       | 0.00%             | 2033-10-01      | Variable      | 0.07%                 | 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        |    9172325 | PA      | $7906062.60   | 0.12%             | 2051-11-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MARKS and SPENCER PLC                                                              | MARKS and SPENCER PLC STEP 07/10/2027 REGS                                                              | CUSIP: N/A<br>LEI: 213800CN1RI3UCIZWB95       | Long             | DBT              | CORP              | GB        |     339000 | PA      | $440730.63    | 0.01%             | 2027-07-10      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FORD CREDIT AUTO LEASE TRUST 2024-B                                                | FORD CREDIT AUTO LEASE TRUST 2024-B A3 4.99% 12/15/2027                                                 | CUSIP: 345279AD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3500000 | PA      | $3518997.30   | 0.05%             | 2027-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BX TR 2025-VLT6                                                                    | BX TR 2025-VLT6 F TSFR1M+393.966 03/15/2030 144A                                                        | CUSIP: 12433KAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     379000 | PA      | $370893.83    | 0.01%             | 2042-03-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 4% 01/01/2036#G30933                                                                          | CUSIP: 3132J4HK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      80589 | PA      | $78151.21     | 0.00%             | 2036-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 04/01/2047#FM9305                                                                          | CUSIP: 3140XDKT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      58181 | PA      | $51910.23     | 0.00%             | 2047-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| QATAR ST                                                                           | QATAR ST 5.103% 04/23/2048 144A                                                                         | CUSIP: 74727PAY7<br>LEI: 52990074F6OJOAXK4P65 | Long             | DBT              | NUSS              | QA        |     555000 | PA      | $515595.00    | 0.01%             | 2048-04-23      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WH BORROWER LLC                                                                    | WHP TERM B 1LN 02/20/2032                                                                               | CUSIP: 92942LAG6<br>LEI: 2549009H920CQUE3R944 | Long             | LON              | CORP              | US        |     505000 | PA      | $500106.55    | 0.01%             | 2032-02-20      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| DRYDEN SENIOR LOAN FUND                                                            | DRYDEN SENIOR LOAN FUND A1A TSFR3M+139.161 02/20/2035 144A                                              | CUSIP: 262484AC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1503000 | PA      | $1503907.81   | 0.02%             | 2035-02-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| SUN CMNTYS OPER LTD PRTNRSHP                                                       | SUN CMNTYS OPER LTD PRTNRSHP 4.2% 04/15/2032                                                            | CUSIP: 866677AH0<br>LEI: 549300PUNBPJCGT6X741 | Long             | DBT              | CORP              | US        |    6100000 | PA      | $5703914.92   | 0.08%             | 2032-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.75% 02/15/2045                                                                              | CUSIP: 912810UJ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4900000 | PA      | $4782859.38   | 0.07%             | 2045-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHR 2095 PE 6% 11/28                                                                                    | CUSIP: 3133TGWC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       1583 | PA      | $1611.96      | 0.00%             | 2028-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 01/20/2043#MA0852                                                                          | CUSIP: 36179M5M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14207 | PA      | $13104.88     | 0.00%             | 2043-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                           | FORD MTR CR CO LLC 4.445% 02/14/2030                                                                    | CUSIP: 345397E41<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     212000 | PA      | $245933.14    | 0.00%             | 2030-02-14      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIA KINGDOM OF                                                            | SAUDI ARABIA KINGDOM OF 4.5% 04/22/2060 144A                                                            | CUSIP: 80413TAU3<br>LEI: 54930044PULMORCKB765 | Long             | DBT              | NUSS              | SA        |     590000 | PA      | $445821.70    | 0.01%             | 2060-04-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 5.0% 05/15/2039#783724                                                                        | CUSIP: 3622A2D58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3924 | PA      | $3942.96      | 0.00%             | 2039-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 6/40 #745083                                                                                 | CUSIP: 3620C0XL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6154 | PA      | $6047.17      | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CROTON PK CLO LTD                                                                  | CROTON PK CLO LTD E TSFR3M+555 10/15/2036 144A                                                          | CUSIP: 22779DAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     150000 | PA      | $151118.70    | 0.00%             | 2036-10-15      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| TEVA PHARMACEUTICAL FINANCE NETHERLANDS IV BV                                      | TEVA PHARMACEUTICAL FINANCE NETHERLANDS IV BV 5.75% 12/01/2030                                          | CUSIP: 881937AA4<br>LEI: 549300GKSD1RG56QRY33 | Long             | DBT              | CORP              | NL        |     620000 | PA      | $626167.51    | 0.01%             | 2030-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 10/26 #313182                                                                                | CUSIP: 31374F2P3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          2 | PA      | $1.66         | 0.00%             | 2026-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 4.89% 3/33 #725130                                                                             | CUSIP: 31402CST0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2248 | PA      | $2307.33      | 0.00%             | 2033-03-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 09/01/2046#BC2817                                                                          | CUSIP: 3140EXDX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     441297 | PA      | $387523.15    | 0.01%             | 2046-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                                | GSCOFI SWAP CY873248 04/17/65 B                                                                         | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |     200000 | NC      | $34099.84     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BRAZIL, FEDERATIVE REPUBLIC OF                                                     | BRAZIL FEDERATIVE REPUBLIC OF 7.125% 01/20/2037                                                         | CUSIP: 105756BK5<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |     340000 | PA      | $351135.00    | 0.01%             | 2037-01-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BANK 2017-BNK6                                                                     | BANK 2017-BNK6 ASB 3.289% 07/60                                                                         | CUSIP: 060352AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     124543 | PA      | $123252.57    | 0.00%             | 2060-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                                | GSCOFI SWAP CY873248 04/17/65 B                                                                         | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |     600000 | NC      | $102299.52    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ANTOFAGASTA PLC                                                                    | ANTOFAGASTA PLC 5.625% 05/13/2032 144A                                                                  | CUSIP: 03718NAB2<br>LEI: 213800MY6QVH4FVLD628 | Long             | DBT              | CORP              | GB        |     110000 | PA      | $110412.50    | 0.00%             | 2032-05-13      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 1.5% 12/01/2035#MA4205                                                                        | CUSIP: 31418DU75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     234374 | PA      | $206716.87    | 0.00%             | 2035-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 12/20/2049#BR8985                                                                          | CUSIP: 3617M76W3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10168 | PA      | $9068.04      | 0.00%             | 2049-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-PAC                                              | BX COMMERCIAL MORTGAGE TRUST 2021-PAC TSFR1M+141.278 21 10/15/2036 144A                                 | CUSIP: 05609PAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     349000 | PA      | $345946.25    | 0.01%             | 2036-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                       | BROADCOM INC 2.45% 02/15/2031 144A                                                                      | CUSIP: 11135FBH3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    8421000 | PA      | $7445287.19   | 0.11%             | 2031-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.00% 9/41 #Q03295                                                                                 | CUSIP: 3132GJKG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2182 | PA      | $2080.59      | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ABU DHABI NATL ENERGY CO PJSC                                                      | ABU DHABI NATL ENERGY CO PJSC 4.875% 04/23/2030 144A                                                    | CUSIP: 00388WAG6<br>LEI: 213800UNJSVQFNUYYW03 | Long             | DBT              | CORP              | AE        |      85000 | PA      | $85818.55     | 0.00%             | 2030-04-23      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 02/52#RA6820                                                                               | CUSIP: 3133KNSH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1453482 | PA      | $1141431.51   | 0.02%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 3% 02/01/2037#C91917                                                                          | CUSIP: 3128P8DW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      26840 | PA      | $25067.44     | 0.00%             | 2037-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EGYPT, (ARAB) REPUBLIC OF                                                          | EGYPT (ARAB) REPUBLIC OF 8.5% 01/31/2047 144A                                                           | CUSIP: 038461AM1<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |     360000 | PA      | $275317.20    | 0.00%             | 2047-01-31      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 07/47#BE3749                                                                             | CUSIP: 3140FPEX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      78444 | PA      | $75302.10     | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TRANSOCEAN INC                                                                     | TRANSOCEAN INC 8.25% 05/15/2029 144A                                                                    | CUSIP: 893830BY4<br>LEI: DOL4HJ22ADYSIWES4H94 | Long             | DBT              | CORP              | KY        |     795000 | PA      | $716904.48    | 0.01%             | 2029-05-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| HILTON USA TR 2016-HHV                                                             | HILT 2016-HHV F CSTR 11/38 144A                                                                         | CUSIP: 43300LAQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2000000 | PA      | $1917500.40   | 0.03%             | 2038-11-05      | Variable      | 0.04%                 | 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        |     387000 | PA      | $340520.22    | 0.00%             | 2030-09-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TEVA PHARMACEUTICAL FIN NETH III B V                                               | TEVA PHARMACEUTICAL FIN NETH III B V 4.75% 05/09/2027                                                   | CUSIP: 88167AAP6<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |     120000 | PA      | $118882.69    | 0.00%             | 2027-05-09      | Fixed         | 0.05%                 | 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        |     823431 | PA      | $719326.01    | 0.01%             | 2050-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CORPORACION NACIONAL DEL COBRE DE CHILE                                            | CORPORACION NACIONAL DEL COBRE DE CHILE 6.3% 09/08/2053 144A                                            | CUSIP: 21987BBH0<br>LEI: 549300UVMBCBCIPSUI70 | Long             | DBT              | CORP              | CL        |     140000 | PA      | $134019.20    | 0.00%             | 2053-09-08      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 10/01/2048#Q58998                                                                        | CUSIP: 3132Y27L4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11776 | PA      | $11282.32     | 0.00%             | 2048-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PACIFICORP                                                                         | PACIFICORP 7.375%/VAR 09/15/2055                                                                        | CUSIP: 695114DF2<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |     616000 | PA      | $626736.53    | 0.01%             | 2055-09-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                            | MPLX LP 5.5% 02/15/2049                                                                                 | CUSIP: 55336VAT7<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |     525000 | PA      | $461206.98    | 0.01%             | 2049-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MSWF COMMERCIAL MORTGAGE TRUST 23-2                                                | MSWF COMMERCIAL MORTGAGE TRUST 23-2 C VAR 12/15/2056                                                    | CUSIP: 55361AAZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     647000 | PA      | $656525.98    | 0.01%             | 2056-12-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| OCP SA                                                                             | OCP SA 6.1% 04/30/2030 144A                                                                             | CUSIP: 67091TAH8<br>LEI: 213800D26TAPVTCVWG40 | Long             | DBT              | CORP              | MA        |     200000 | PA      | $199960.00    | 0.00%             | 2030-04-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                         | CAPITAL ONE FINANCIAL CORP 4.5% 01/30/2026                                                              | CUSIP: 254709AP3<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |     803000 | PA      | $801885.48    | 0.01%             | 2026-01-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 3/34 #725228                                                                                 | CUSIP: 31402CVV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3152 | PA      | $3270.62      | 0.00%             | 2034-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 01/15/2047#AX5815                                                                          | CUSIP: 36196HN89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4321 | PA      | $4003.21      | 0.00%             | 2047-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 02/01/2045#AL7147                                                                        | CUSIP: 3138EP5H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13973 | PA      | $13575.32     | 0.00%             | 2045-02-01      | Fixed         | 0.04%                 | 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        |    8606000 | PA      | $8649084.22   | 0.13%             | 2039-11-05      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 04/15/2046#784232                                                                          | CUSIP: 3622A2VZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      52277 | PA      | $49678.75     | 0.00%             | 2046-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 03/01/2050#                                                                                | CUSIP: 31418DMJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     381388 | PA      | $328359.07    | 0.00%             | 2050-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FDG TR 2025-NQM5                                                 | BRAVO RESIDENTIAL FDG TR 2025-NQM5 STEP 02/25/2065 144A                                                 | CUSIP: 10569RAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1100000 | PA      | $1100554.62   | 0.02%             | 2065-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| NABORS INDUSTRIES LTD                                                              | NABORS INDUSTRIES LTD 7.5% 01/15/2028 144A                                                              | CUSIP: 629571AB6<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     615000 | PA      | $513772.78    | 0.01%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| POST ROAD EQUIPMENT FINANCE 2025-1 LLC                                             | POST ROAD EQUIPMENT FINANCE 2025-1 LLC 4.9% 05/15/2031 144A                                             | CUSIP: 73747LAB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1200000 | PA      | $1203632.52   | 0.02%             | 2031-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CHEMOURS CO                                                                        | CHEMOURS CO 5.75% 11/15/2028 144A                                                                       | CUSIP: 163851AF5<br>LEI: 549300M1BOLNXL8DOV14 | Long             | DBT              | CORP              | US        |      90000 | PA      | $80586.52     | 0.00%             | 2028-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 02/01/2052#FS0631                                                                          | CUSIP: 3140XFVZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     471338 | PA      | $404845.11    | 0.01%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 05/51#QC1514                                                                               | CUSIP: 3133AKVF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      78274 | PA      | $61835.96     | 0.00%             | 2051-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| KNDR TR 2021-KIND                                                                  | KNDR TR 2021-KIND E TSFR1M+336.448 08/15/2038 144A                                                      | CUSIP: 482606AQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     372937 | PA      | $364237.81    | 0.01%             | 2038-08-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| AUSNET SERVICES HOLDINGS PTY LTD                                                   | AUSNET SERVICES HOLDINGS PTY LTD 6.134% 05/31/2033                                                      | CUSIP: N/A<br>LEI: TTMIG9TE1S0X3ZPDHD61       | Long             | DBT              | CORP              | AU        |     410000 | PA      | $278657.87    | 0.00%             | 2033-05-31      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| KINETIK HOLDINGS LP                                                                | KINETIK HOLDINGS LP 6.625% 12/15/2028 144A                                                              | CUSIP: 49461MAB6<br>LEI: 549300RD6AJIMYC0HY12 | Long             | DBT              | CORP              | US        |     640000 | PA      | $652705.71    | 0.01%             | 2028-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BX TR 2021-ACNT                                                                    | BX TR 2021-ACNT TSFR1M+340.948 3 11/15/2026 144A                                                        | CUSIP: 05609QAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     514379 | PA      | $508270.83    | 0.01%             | 2038-11-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| MERCHANTS FLEET FUNDING LLC                                                        | MERCHANTS FLEET FUNDING LLC 5.82% 04/20/2037 144A                                                       | CUSIP: 588926AF2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1499399 | PA      | $1508555.41   | 0.02%             | 2037-04-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DPL INC                                                                            | DPL INC 4.35% 04/15/2029                                                                                | CUSIP: 233293AQ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     400000 | PA      | $384980.94    | 0.01%             | 2029-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 09/01/2054#SD7574                                                                          | CUSIP: 3132DVMX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     281599 | PA      | $287125.22    | 0.00%             | 2054-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| COSAN OVERSEAS LTD                                                                 | COSAN OVERSEAS LTD 8.25% PERP REGS                                                                      | CUSIP: N/A<br>LEI: 222100V5GTJGKUH55655       | Long             | EP               | CORP              | KY        |     360000 | PA      | $359100.00    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                       | BARCLAYS PLC 5.088%/VAR 06/20/2030                                                                      | CUSIP: 06738EBK0<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    1421000 | PA      | $1415521.35   | 0.02%             | 2030-06-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| METHANEX US OPERATIONS INC                                                         | METHANEX US OPERATIONS INC 6.25% 03/15/2032 144A                                                        | CUSIP: 59151LAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     925000 | PA      | $895141.74    | 0.01%             | 2032-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ENDEAVOUR MINING PLC                                                               | ENDEAVOUR MINING PLC 7% 05/28/2030 144A                                                                 | CUSIP: 29261HAB1<br>LEI: 529900NI5MXQ91GHXR07 | Long             | DBT              | CORP              | GB        |     250000 | PA      | $248630.00    | 0.00%             | 2030-05-28      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 01/01/2051#FM5510                                                                          | CUSIP: 3140X9DQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18013 | PA      | $14100.90     | 0.00%             | 2051-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BBCMS MTG TR 2020-C7                                                               | BBCMS MTG TR 2020-C7 B 3.152% 04/15/2053                                                                | CUSIP: 05492VAK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     950000 | PA      | $825227.00    | 0.01%             | 2053-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 09/01/2043#AU6807                                                                        | CUSIP: 3138X6R56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4475 | PA      | $4396.43      | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMCC 2021-MHC                                                                     | JPMCC 2021-MHC F TSFR1M+306.448 04/15/2038 144A                                                         | CUSIP: 466330AQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     495000 | PA      | $494535.94    | 0.01%             | 2038-04-15      | Variable      | 0.08%                 | 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        |    1448000 | PA      | $1447988.66   | 0.02%             | 2026-07-24      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ALCOA NEDERLAND HOLDING BV                                                         | ALCOA NEDERLAND HOLDING BV 7.125% 03/15/2031 144A                                                       | CUSIP: 013822AH4<br>LEI: 5493000UL1QLQLT1VQ42 | Long             | DBT              | CORP              | NL        |    1040000 | PA      | $1079680.16   | 0.02%             | 2031-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MFRA TRST                                                                          | MFRA TRUST VAR 02/25/2066 144A                                                                          | CUSIP: 55287AAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     551349 | PA      | $510333.73    | 0.01%             | 2066-02-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| HESS MIDSTREAM PARTNERS LP                                                         | HESS MIDSTREAM PARTNERS LP 5.875% 03/01/2028 144A                                                       | CUSIP: 428102AH0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     415000 | PA      | $419085.26    | 0.01%             | 2028-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 08/01/2051#MA4399                                                                        | CUSIP: 31418D3H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      84744 | PA      | $69370.15     | 0.00%             | 2051-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 08/01/2041#CB1342                                                                        | CUSIP: 3140QLP42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     529166 | PA      | $465331.49    | 0.01%             | 2041-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 10/28 #434034                                                                                | CUSIP: 36207KEF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         72 | PA      | $72.84        | 0.00%             | 2028-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PARAGUAY REPUBLIC OF                                                               | PARAGUAY REPUBLIC OF 6.65% 03/04/2055 144A                                                              | CUSIP: 699149BY5<br>LEI: 529900UXKJTJPCU0HK83 | Long             | DBT              | NUSS              | PY        |     200000 | PA      | $194900.00    | 0.00%             | 2055-03-04      | Fixed         | 0.07%                 | 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        |    3022155 | PA      | $2999428.37   | 0.04%             | 2054-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 3.01% 07/25/2025                                                         | CUSIP: 3137BLMZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      76381 | PA      | $76147.75     | 0.00%             | 2025-07-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITI GROUP LP / UNITI GROUP FINANCE INC / CSL CAPITAL LLC                         | UNITI GROUP LP / UNITI GROUP FINANCE INC / CSL CAPITAL LLC 6.5% 02/15/2029 144A                         | CUSIP: 91327BAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1545000 | PA      | $1456686.10   | 0.02%             | 2029-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AL3181                                                                        | CUSIP: 3138EKRB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      71863 | PA      | $64816.03     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BBVA BANCOMER SA TEXAS BRANCH                                                      | BBVA BANCOMER SA TEXAS BRH 5.125%/VAR 01/18/2033 144A                                                   | CUSIP: 05533UAF5<br>LEI: 549300WIWQK5Q9MCUN92 | Long             | EP               | CORP              | US        |     110000 | PA      | $104362.50    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CY562349 11/18/64 B                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     200000 | NC      | $33092.04     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HUDBAY MINERALS INC                                                                | HUDBAY MINERALS INC 4.5% 04/01/2026 144A                                                                | CUSIP: 443628AJ1<br>LEI: 549300WI524AL577IX21 | Long             | DBT              | CORP              | CA        |      65000 | PA      | $64422.53     | 0.00%             | 2026-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 07/01/2051#CB1157                                                                        | CUSIP: 3140QLJB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     606149 | PA      | $545604.39    | 0.01%             | 2051-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 5.349% 12/34 #843013                                                                           | CUSIP: 31407WSA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        331 | PA      | $335.93       | 0.00%             | 2034-12-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 11/01/2051#RA6308                                                                          | CUSIP: 3133KNAH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      69640 | PA      | $54993.41     | 0.00%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BUILDING SOCIETY                                                        | NATIONWIDE BUILDING SOC(UNGTD) 4%/VAR 07/30/2035 REGS                                                   | CUSIP: N/A<br>LEI: 549300XFX12G42QIKN82       | Long             | DBT              | CORP              | GB        |     200000 | PA      | $229044.80    | 0.00%             | 2035-07-30      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/01/2040#AE8186                                                                          | CUSIP: 31419KCY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7361 | PA      | $7034.67      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OMEGA HEALTHCARE INVESTORS INC                                                     | OMEGA HEALTHCARE INVESTORS INC 3.375% 02/01/2031                                                        | CUSIP: 681936BM1<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |    4892000 | PA      | $4413686.66   | 0.06%             | 2031-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| QATAR ST                                                                           | QATAR ST 4.625% 06/02/2046 144A                                                                         | CUSIP: 74727PAV3<br>LEI: 52990074F6OJOAXK4P65 | Long             | DBT              | NUSS              | QA        |     480000 | PA      | $423492.00    | 0.01%             | 2046-06-02      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| OCP SA                                                                             | OCP SA 3.75% 06/23/2031 144A                                                                            | CUSIP: 67091TAD7<br>LEI: 213800D26TAPVTCVWG40 | Long             | DBT              | CORP              | MA        |     230000 | PA      | $202853.10    | 0.00%             | 2031-06-23      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AROUNDTOWN SA                                                                      | AROUNDTOWN SA 3.375%/VAR PERP REGS                                                                      | CUSIP: N/A<br>LEI: 529900H4DWG3KWMBMQ39       | Long             | EP               | CORP              | LU        |    1200000 | PA      | $1243999.02   | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 5.37% 6/36 #916726                                                                             | CUSIP: 31411WPK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        871 | PA      | $890.19       | 0.00%             | 2036-06-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2% 04/01/2041#CB0113                                                                          | CUSIP: 3140QKDT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     438765 | PA      | $372267.47    | 0.01%             | 2041-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| DELL EQUIP FIN TR 2025-1                                                           | DELL EQUIP FIN TR 2025-1 4.61% 02/24/2031 144A                                                          | CUSIP: 24703UAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     800000 | PA      | $803904.88    | 0.01%             | 2031-02-24      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| OCWEN LN INVT TR 2024-HB1                                                          | OCWEN LN INVT TR 2024-HB1 3% 02/25/2037 144A                                                            | CUSIP: 675952AA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     127493 | PA      | $123999.35    | 0.00%             | 2037-02-25      | Fixed         | 0.03%                 | 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        |    3479000 | PA      | $3487669.67   | 0.05%             | 2037-04-17      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 07/01/2046#BC1216                                                                        | CUSIP: 3140EVK63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     118797 | PA      | $107822.29    | 0.00%             | 2046-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 4.5% 03/01/2039#FM1774                                                                        | CUSIP: 3140X46L5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20994 | PA      | $20572.78     | 0.00%             | 2039-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                                              | LCH OIS SOFRV3.5% MAC 06/18/45                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |  -22760000 | NC      | $440343.54    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 12/01/2051#BT9493                                                                          | CUSIP: 3140LYRP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     145523 | PA      | $114916.78    | 0.00%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 05/01/2047#Q47935                                                                        | CUSIP: 3132WMY99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      39725 | PA      | $38195.61     | 0.00%             | 2047-05-01      | Fixed         | 0.04%                 | 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        |    1098905 | PA      | $1099591.47   | 0.02%             | 2041-03-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 1.5% 04/25/2051                                                          | CUSIP: 3137H22J2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     137826 | PA      | $114152.51    | 0.00%             | 2051-04-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 11/01/2051#BU5836                                                                          | CUSIP: 3140M7PW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     206644 | PA      | $163183.13    | 0.00%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| WESTERN DIGITAL CORP                                                               | WESTERN DIGITAL CORP 3.1% 02/01/2032                                                                    | CUSIP: 958102AR6<br>LEI: 549300QQXOOYEF89IC56 | Long             | DBT              | CORP              | US        |     400000 | PA      | $345308.20    | 0.01%             | 2032-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 5/46#Q40310                                                                                | CUSIP: 3132WDKY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23119 | PA      | $20393.79     | 0.00%             | 2046-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| IHS NETHERLANDS HOLDCO BV                                                          | IHS NETHERLANDS HOLDCO BV 8% 09/18/2027 144A                                                            | CUSIP: 44963LAC0<br>LEI: 5493006Z6YQYCCN2XI74 | Long             | DBT              | CORP              | NL        |     158119 | PA      | $158514.60    | 0.00%             | 2027-09-18      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                                | GSCOFI SWAP CY885799 12/15/56 S                                                                         | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |     900000 | NC      | $-15756.57    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 02/01/2045#G07949                                                                          | CUSIP: 3128MAEW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      68142 | PA      | $64419.83     | 0.00%             | 2045-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 05/01/2031#BC0919                                                                        | CUSIP: 3140EVAV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17993 | PA      | $17280.16     | 0.00%             | 2031-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WHITBREAD GROUP PLC                                                                | WHITBREAD GROUP PLC 3.375% 10/16/2025 REGS                                                              | CUSIP: N/A<br>LEI: 2138006LIAYQKUCYBB20       | Long             | DBT              | CORP              | GB        |    1045000 | PA      | $1398179.80   | 0.02%             | 2025-10-16      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                                   | BAT CAPITAL CORP 4.906% 04/02/2030                                                                      | CUSIP: 05526DBN4<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1508169.30   | 0.02%             | 2030-04-02      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 3% 04/25/2050                                                            | CUSIP: 3137H6K38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     191044 | PA      | $168575.85    | 0.00%             | 2050-04-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 4/34 #A19922                                                                                 | CUSIP: 31296VAX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        423 | PA      | $426.24       | 0.00%             | 2034-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CPI PROPERTY GROUP SA                                                              | CPI PROPERTY GROUP SA 3.75%/VAR PERP REGS                                                               | CUSIP: N/A<br>LEI: 222100CO2ZOTEPGJO223       | Long             | EP               | CORP              | LU        |     501000 | PA      | $490172.83    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| PANAMA REPUBLIC OF                                                                 | PANAMA REPUBLIC OF 3.87% 07/23/2060                                                                     | CUSIP: 698299BL7<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |     255000 | PA      | $137002.58    | 0.00%             | 2060-07-23      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 05/01/2051#MA4347                                                                        | CUSIP: 31418DZM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     207153 | PA      | $185102.75    | 0.00%             | 2051-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2% 03/01/2036#QN5744                                                                          | CUSIP: 3133GCLZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      22199 | PA      | $20206.25     | 0.00%             | 2036-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| WERFENLIFE SA                                                                      | WERFENLIFE SA 4.625% 06/06/2028 REGS                                                                    | CUSIP: N/A<br>LEI: 9598003BHZ02SG7LKD16       | Long             | DBT              | CORP              | ES        |     600000 | PA      | $712333.19    | 0.01%             | 2028-06-06      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 05/01/2046#AS7241                                                                        | CUSIP: 3138WHBK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     210249 | PA      | $191219.59    | 0.00%             | 2046-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2023-VLT3                                                           | BX COML MTG TR 2023-VLT3 TSFR1M+ 11/15/2028 144A                                                        | CUSIP: 05611GAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $1000000.00   | 0.01%             | 2028-11-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2002-60 FV SOFR30A+111.448 4/32                                                                     | CUSIP: 31392EVD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        664 | PA      | $668.05       | 0.00%             | 2032-04-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GRIFOLS SA                                                                         | GRIFOLS SA 4.75% 10/15/2028 144A                                                                        | CUSIP: 39843UAA0<br>LEI: 959800HSSNXWRKBK4N60 | Long             | DBT              | CORP              | ES        |     215000 | PA      | $204520.92    | 0.00%             | 2028-10-15      | Fixed         | 0.05%                 | 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        |   32404263 | PA      | $26045726.74  | 0.38%             | 2051-01-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GUARA NORTE SARL                                                                   | GUARA NORTE SARL 5.198% 06/15/2034 144A                                                                 | CUSIP: 400666AA1<br>LEI: 549300U2I4L03BBA3485 | Long             | DBT              | CORP              | LU        |     179696 | PA      | $167611.68    | 0.00%             | 2034-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 03/01/2053#SD2518                                                                          | CUSIP: 3132DPYP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1133973 | PA      | $1162249.13   | 0.02%             | 2053-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2020-VIVA                                             | BX COMMERCIAL MORTGAGE TRUST 2020-VIVA E 3.54875% 03/09/2044 144A                                       | CUSIP: 12433XAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     481000 | PA      | $421512.85    | 0.01%             | 2044-03-11      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 12/41 #AJ8098                                                                                | CUSIP: 3138E07L7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7569 | PA      | $7196.98      | 0.00%             | 2041-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MCDONALDS CORP                                                                     | MCDONALDS CORP 3.5% 05/21/2032 REGS                                                                     | CUSIP: N/A<br>LEI: UE2136O97NLB5BYP9H04       | Long             | DBT              | CORP              | US        |     425000 | PA      | $488865.19    | 0.01%             | 2032-05-21      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ASURION LLC                                                                        | ASURION TERM B3 2LN 01/31/2028                                                                          | CUSIP: 04649VAZ3<br>LEI: 549300KNQVXGIOXWK278 | Long             | LON              | CORP              | US        |     480000 | PA      | $462600.00    | 0.01%             | 2028-01-31      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                 | ENERGY TRANSFER LP 6.25% 04/15/2049                                                                     | CUSIP: 29279FAA7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     241000 | PA      | $229467.66    | 0.00%             | 2049-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2005-117 JN 4.5% 1/36                                                                               | CUSIP: 31394VDE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       9715 | PA      | $9501.04      | 0.00%             | 2036-01-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 09/01/2051#BT0253                                                                          | CUSIP: 3140LNH75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14521 | PA      | $13561.95     | 0.00%             | 2051-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BAHAMAS COMWLTH                                                                    | BAHAMAS COMWLTH 6% 11/21/2028 144A                                                                      | CUSIP: 056732AJ9<br>LEI: 549300W13SXC7EKNJC20 | Long             | DBT              | NUSS              | BS        |     200000 | PA      | $193400.00    | 0.00%             | 2028-11-21      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII 15YR 3% 03/20/2031#MA3496                                                                          | CUSIP: 36179R3D9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      36260 | PA      | $35194.24     | 0.00%             | 2031-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AB7755                                                                        | CUSIP: 31417ETM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14993 | PA      | $13501.56     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 05/01/2035#SB0836                                                                          | CUSIP: 3132CW4V3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     481634 | PA      | $458363.76    | 0.01%             | 2035-05-01      | Fixed         | 0.03%                 | 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        |    3615000 | PA      | $3602347.50   | 0.05%             | 2038-02-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 05/01/2052#FS7943                                                                        | CUSIP: 3140XPZH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     206156 | PA      | $170367.28    | 0.00%             | 2052-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CANADA, GOVERNMENT OF                                                              | CANADA GOVERNMENT OF 2% 06/01/2032                                                                      | CUSIP: 135087N59<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    1335000 | PA      | $909555.10    | 0.01%             | 2032-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FREEPORT INDONESIA PT                                                              | FREEPORT INDONESIA PT 4.763% 04/14/2027 144A                                                            | CUSIP: 69377FAA4<br>LEI: 549300T4HTQHRKLNE619 | Long             | DBT              | CORP              | ID        |     125000 | PA      | $124516.25    | 0.00%             | 2027-04-14      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 04/01/2050#BK2255                                                                          | CUSIP: 3140HFQH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     225849 | PA      | $195576.31    | 0.00%             | 2050-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SW FINANCE I PLC                                                                   | SW FINANCE I PLC 7.375% 12/12/2041 REGS                                                                 | CUSIP: N/A<br>LEI: 549300BHN1HB5BNG2R96       | Long             | DBT              | CORP              | GB        |     246000 | PA      | $318364.17    | 0.00%             | 2041-12-12      | Fixed         | 0.07%                 | 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        |    3000000 | PA      | $2964405.90   | 0.04%             | 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        |    1423558 | PA      | $1423558.21   | 0.02%             | 2037-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA REPUBLIC OF                                                           | SOUTH AFRICA REPUBLIC OF 7.1% 11/19/2036 144A                                                           | CUSIP: 836205BF0<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |     335000 | PA      | $324290.05    | 0.00%             | 2036-11-19      | Fixed         | 0.07%                 | 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        |    1775000 | PA      | $1786258.31   | 0.03%             | 2025-09-29      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 10/01/2050#BQ1905                                                                          | CUSIP: 3140KMDK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40741 | PA      | $32210.32     | 0.00%             | 2050-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                                                    | DANSKE BANK AS (UNGTD) 3.875%/VAR 01/09/2032 REGS                                                       | CUSIP: N/A<br>LEI: MAES062Z21O4RZ2U7M96       | Long             | DBT              | CORP              | DK        |    1015000 | PA      | $1187517.19   | 0.02%             | 2032-01-09      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 06/01/2031#G18604                                                                        | CUSIP: 3128MMU68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14200 | PA      | $13634.10     | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 08/01/2054#CB9059                                                                        | CUSIP: 3140QVB52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4856199 | PA      | $4821197.39   | 0.07%             | 2054-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 21-85 L 2.5% 08/25/2048                                                  | CUSIP: 3136BKJA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     108372 | PA      | $93829.44     | 0.00%             | 2048-08-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                                                               | EDISON INTERNATIONAL 8.125%/VAR 06/15/2053                                                              | CUSIP: 281020AX5<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |     350000 | PA      | $345774.14    | 0.01%             | 2053-06-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                                                   | CSC HOLDINGS LLC 4.5% 11/15/2031 144A                                                                   | CUSIP: 126307BH9<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |     365000 | PA      | $246788.11    | 0.00%             | 2031-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 03/01/2041#                                                                              | CUSIP: 312946BR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2256 | PA      | $2220.53      | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 01/01/2051#CA8440                                                                          | CUSIP: 3140QGLW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     107070 | PA      | $84618.45     | 0.00%             | 2051-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 4.428% 7/36 #555923                                                                            | CUSIP: 31385XSL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        840 | PA      | $853.55       | 0.00%             | 2036-07-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 08/01/2051#CB1281                                                                        | CUSIP: 3140QLM78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2109752 | PA      | $1736905.10   | 0.03%             | 2051-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AASET 2022-1 LTD                                                                   | AASET 2022-1 LTD 6% 05/16/2047 144A                                                                     | CUSIP: 00255EAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     948636 | PA      | $949589.41    | 0.01%             | 2047-05-16      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 05/15/2045#AN1263                                                                        | CUSIP: 36185GML6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7270 | PA      | $6902.81      | 0.00%             | 2045-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                           | FORD MTR CR CO LLC 7.122% 11/07/2033                                                                    | CUSIP: 345397D67<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    4000000 | PA      | $4063457.60   | 0.06%             | 2033-11-07      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 05/01/2051#SD2001                                                                          | CUSIP: 3132DPGJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     440223 | PA      | $344610.07    | 0.01%             | 2051-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SEVERN TRENT WATER UTIL FIN                                                        | SEVERN TRENT WATER UTIL FIN 3.875% 08/04/2035 REGS                                                      | CUSIP: N/A<br>LEI: 213800KY9PT6WBH33232       | Long             | DBT              | CORP              | GB        |     375000 | PA      | $427337.30    | 0.01%             | 2035-08-04      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                       | BARCLAYS PLC 6.224%/VAR 05/09/2034                                                                      | CUSIP: 06738ECG8<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    8576000 | PA      | $8953374.53   | 0.13%             | 2034-05-09      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CHS/CMNTY HEALTH SYSTEMS INC                                                       | CHS/CMNTY HEALTH SYSTEMS INC 6.125% 04/01/2030 144A                                                     | CUSIP: 12543DBL3<br>LEI: 5493007X5NC5XI1BB106 | Long             | DBT              | CORP              | US        |    1025000 | PA      | $791821.62    | 0.01%             | 2030-04-01      | Fixed         | 0.06%                 | 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        |     223824 | PA      | $203705.55    | 0.00%             | 2047-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MAGNETITE IX LTD / MAGNETITE IX LLC                                                | MAGNETITE IX LTD /LLC AR TSFR3M+135 10/25/2037 144A                                                     | CUSIP: 55953UAL8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1565000 | PA      | $1568935.98   | 0.02%             | 2037-10-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CITYCON OYJ                                                                        | CITYCON OYJ 7.875%/VAR PERP REGS                                                                        | CUSIP: N/A<br>LEI: 549300P8N0P6KDGTJ206       | Long             | EP               | CORP              | FI        |     318000 | PA      | $356016.92    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 09/32#MA3125                                                                               | CUSIP: 31418CPK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11004 | PA      | $10624.81     | 0.00%             | 2032-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SRI LANKA GOVT DEMOCRATIC SOCIALIST REP                                            | SRI LANKA GOVT DEMOC SOCIA REP STEP 03/15/2033 144A                                                     | CUSIP: N/A<br>LEI: 254900HXCCIOHM74FA02       | Long             | DBT              | NUSS              | LK        |     262332 | PA      | $203635.22    | 0.00%             | 2033-03-15      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 05/01/2043#AT3989                                                                        | CUSIP: 3138WRNF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26659 | PA      | $24578.80     | 0.00%             | 2043-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                                     | NRG ENERGY INC 5.75% 01/15/2028                                                                         | CUSIP: 629377CE0<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    1010000 | PA      | $1013611.76   | 0.01%             | 2028-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                                                     | AIR LEASE CORP 3.375% 07/01/2025                                                                        | CUSIP: 00914AAH5<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    1294000 | PA      | $1292342.90   | 0.02%             | 2025-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 1.5% 04/01/2036#SB8097                                                                        | CUSIP: 3132D57J5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18675 | PA      | $16447.77     | 0.00%             | 2036-04-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FLUXYS SA                                                                          | FLUXYS SA 4% 11/28/2030 REGS                                                                            | CUSIP: N/A<br>LEI: 529900UEWUHSPPJQ1R79       | Long             | DBT              | CORP              | BE        |     400000 | PA      | $458809.46    | 0.01%             | 2030-11-28      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 9/29 #793986                                                                                 | CUSIP: 31405NCX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        346 | PA      | $354.19       | 0.00%             | 2029-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| OMAN SULTANATE                                                                     | OMAN SULTANATE 6.25% 01/25/2031 144A                                                                    | CUSIP: 68205LAS2<br>LEI: 549300SZ20F0QTKNQC75 | Long             | DBT              | NUSS              | OM        |     270000 | PA      | $282185.10    | 0.00%             | 2031-01-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ELECTRICITE DE FRANCE                                                              | ELECTRICITE DE FRANCE 5.5% 01/25/2035 REGS                                                              | CUSIP: N/A<br>LEI: 549300X3UK4GG3FNMO06       | Long             | DBT              | CORP              | FR        |     400000 | PA      | $516204.81    | 0.01%             | 2035-01-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH COS INC                                                              | BAUSCH HEALTH COS INC 5.25% 01/30/2030 144A                                                             | CUSIP: 071734AJ6<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | CA        |     180000 | PA      | $102168.16    | 0.00%             | 2030-01-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 3949 MK 4.5% 10/34                                                                                  | CUSIP: 3137AFZS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       5403 | PA      | $5329.61      | 0.00%             | 2034-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AMPRION GMBH                                                                       | AMPRION GMBH 3.875% 06/05/2036 REGS                                                                     | CUSIP: N/A<br>LEI: 529900ZIV0ETYHYZM863       | Long             | DBT              | CORP              | DE        |     300000 | PA      | $341401.43    | 0.00%             | 2036-06-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ON SEMICONDUCTOR CORP                                                              | ON SEMICONDUCTOR CORP 3.875% 09/01/2028 144A                                                            | CUSIP: 682189AQ8<br>LEI: ZV20P4CNJVT8V1ZGJ064 | Long             | DBT              | CORP              | US        |     460000 | PA      | $439340.76    | 0.01%             | 2028-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BAMLL COML MTG SECS TR 2019                                                        | BAMLL COML MTG SECS TR 2019 3.465% 11/05/2032 144A                                                      | CUSIP: 05492PAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     132000 | PA      | $122250.44    | 0.00%             | 2032-11-05      | Fixed         | 0.03%                 | 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        |    5699822 | PA      | $5284583.02   | 0.08%             | 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        |     353000 | PA      | $317338.53    | 0.00%             | 2032-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AT and T INC                                                                       | AT and T INC 3.8% 12/01/2057                                                                            | CUSIP: 00206RMN9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    4105000 | PA      | $2810437.35   | 0.04%             | 2057-12-01      | 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        |    2803000 | PA      | $2811212.79   | 0.04%             | 2037-04-16      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 01/01/2052#RA6620                                                                        | CUSIP: 3133KNK93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     741093 | PA      | $609428.19    | 0.01%             | 2052-01-01      | Fixed         | 0.03%                 | 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        |     877000 | PA      | $859771.13    | 0.01%             | 2028-01-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY BANK                                                                     | SYNCHRONY BANK 5.4% 08/22/2025                                                                          | CUSIP: 87166FAD5<br>LEI: 549300UATVPGSLE43Z27 | Long             | DBT              | CORP              | US        |    1384000 | PA      | $1385556.11   | 0.02%             | 2025-08-22      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                                     | NRG ENERGY INC 6.25% 11/01/2034 144A                                                                    | CUSIP: 629377CX8<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |     325000 | PA      | $325110.13    | 0.00%             | 2034-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| RCI BANQUE S A                                                                     | RCI BANQUE S A 5.5%/VAR 10/09/2034 REGS                                                                 | CUSIP: N/A<br>LEI: 96950001WI712W7PQG45       | Long             | DBT              | CORP              | FR        |     200000 | PA      | $238541.67    | 0.00%             | 2034-10-09      | Variable      | 0.06%                 | 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        |     223000 | PA      | $234296.75    | 0.00%             | 2034-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MHP 2022-MHIL F                                                                    | MHP 2022-MHIL F TSFR1M+325.92 01/15/2027 144A                                                           | CUSIP: 55293DAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     785600 | PA      | $779708.00    | 0.01%             | 2039-01-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| HESS CORP                                                                          | HESS CORP 7.125% 03/15/2033                                                                             | CUSIP: 023551AM6<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |     201000 | PA      | $224014.12    | 0.00%             | 2033-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 06/01/2051#MA4355                                                                          | CUSIP: 31418DZV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     156909 | PA      | $122615.91    | 0.00%             | 2051-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GLP CAP LP / GLP FING II INC                                                       | GLP CAP LP / GLP FING II INC 5.625% 09/15/2034                                                          | CUSIP: 361841AT6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     411000 | PA      | $400912.13    | 0.01%             | 2034-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MOSS CREEK RES HLDGS INC                                                           | MOSS CREEK RES HLDGS INC 8.25% 09/01/2031 144A                                                          | CUSIP: 61965RAC9<br>LEI: 54930037SLMSPWKYIX36 | Long             | DBT              | CORP              | US        |     565000 | PA      | $544775.99    | 0.01%             | 2031-09-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: —       |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 03/01/2046#G60440                                                                        | CUSIP: 31335APZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     187003 | PA      | $170768.52    | 0.00%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OVINTIV INC                                                                        | OVINTIV INC 8.125% 09/15/2030                                                                           | CUSIP: 012873AH8<br>LEI: 2549003MEX7YMKLGI239 | Long             | DBT              | CORP              | US        |    1083000 | PA      | $1208044.34   | 0.02%             | 2030-09-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 09/01/2035#AB8198                                                                        | CUSIP: 31417FDC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4225 | PA      | $4182.40      | 0.00%             | 2035-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VIRIDIEN                                                                           | VIRIDIEN 10% 10/15/2030 144A                                                                            | CUSIP: 12531QAA3<br>LEI: 969500FCVQ5SLAAUJV59 | Long             | DBT              | CORP              | FR        |     425000 | PA      | $401060.26    | 0.01%             | 2030-10-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.50% 1/41 #004946                                                                              | CUSIP: 36202FP75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      34083 | PA      | $33518.95     | 0.00%             | 2041-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PANAMA REPUBLIC OF                                                                 | PANAMA REPUBLIC OF 8% 03/01/2038                                                                        | CUSIP: 698299BY9<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |     200000 | PA      | $207100.00    | 0.00%             | 2038-03-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII 30YR 4.5% 12/20/2040#004880                                                                        | CUSIP: 36202FM52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4255 | PA      | $4125.11      | 0.00%             | 2040-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BPR COML MTG TR 2024-PK                                                            | BPR COML MTG TR 2024-PARK C VAR 11/05/2039 144A                                                         | CUSIP: 05593UAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     264000 | PA      | $266395.30    | 0.00%             | 2039-11-05      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 12/01/2046#AL9489                                                                        | CUSIP: 3138ERRK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34048 | PA      | $30870.30     | 0.00%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MARS INC                                                                           | MARS INC 5.2% 03/01/2035 144A                                                                           | CUSIP: 571676BA2<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    2527000 | PA      | $2517521.12   | 0.04%             | 2035-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DC COML MTG TR 2023-DC                                                             | DC COML MTG TR 2023-DC D VAR 09/12/2040 144A                                                            | CUSIP: 24023AAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     438000 | PA      | $438029.87    | 0.01%             | 2040-09-12      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| TURKEY REPUBLIC OF                                                                 | TURKEY REPUBLIC OF 5.75% 05/11/2047                                                                     | CUSIP: 900123CM0<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |     200000 | PA      | $143100.00    | 0.00%             | 2047-05-11      | Fixed         | 0.06%                 | 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        |    4523790 | PA      | $3885608.78   | 0.06%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LTD                                                        | AVOLON HOLDINGS FUNDING LTD 5.75% 03/01/2029 144A                                                       | CUSIP: 05401AAU5<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    3000000 | PA      | $3054495.81   | 0.04%             | 2029-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                             | FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD 3.5% 11/15/2031                                  | CUSIP: 3137BAMN9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     122549 | PA      | $118969.78    | 0.00%             | 2031-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 03/01/2051#BR5487                                                                          | CUSIP: 3140L4CZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30472 | PA      | $24072.86     | 0.00%             | 2051-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| VALE OVERSEAS LTD                                                                  | VALE OVERSEAS LTD 6.4% 06/28/2054                                                                       | CUSIP: 91911TAS2<br>LEI: 254900BA3U6G5DNV5V04 | Long             | DBT              | CORP              | KY        |     305000 | PA      | $290445.40    | 0.00%             | 2054-06-28      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 11/45#BM1415                                                                             | CUSIP: 3140J5SD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14918 | PA      | $14655.50     | 0.00%             | 2045-11-01      | 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        |    8410735 | PA      | $8538000.35   | 0.12%             | 2054-07-30      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 02/01/2051#SD8128                                                                          | CUSIP: 3132DWA52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2155555 | PA      | $1687386.27   | 0.02%             | 2051-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 07/01/2042#Q09230                                                                          | CUSIP: 3132GUST2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      85406 | PA      | $81089.43     | 0.00%             | 2042-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| QBE INS GROUP LTD                                                                  | QBE INS GROUP LTD 2.5%/VAR 09/13/2038 REGS                                                              | CUSIP: N/A<br>LEI: 549300D2FBW76FPUSG65       | Long             | DBT              | CORP              | AU        |     318000 | PA      | $390186.63    | 0.01%             | 2038-09-13      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| BERMUDA GOVERNMENT OF                                                              | BERMUDA GOVERNMENT OF 4.75% 02/15/2029 144A                                                             | CUSIP: 085209AF1<br>LEI: 549300FP5PUZXX9FVJ40 | Long             | DBT              | NUSS              | BM        |     280000 | PA      | $278600.00    | 0.00%             | 2029-02-15      | Fixed         | 0.05%                 | 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        |    5092238 | PA      | $5130627.88   | 0.07%             | 2055-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SA GLOBAL SUKUK LTD                                                                | SA GLOBAL SUKUK LTD 1.602% 06/17/2026 144A                                                              | CUSIP: 78397PAB7<br>LEI: 5493007DFAVKU7UOGR47 | Long             | DBT              | CORP              | KY        |     340000 | PA      | $329050.30    | 0.00%             | 2026-06-17      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| PAYCHEX INC                                                                        | PAYCHEX INC 5.1% 04/15/2030                                                                             | CUSIP: 704326AA5<br>LEI: 529900K900DW6SUBM174 | Long             | DBT              | CORP              | US        |     525000 | PA      | $531806.80    | 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        |   13225028 | PA      | $11788909.86  | 0.17%             | 2051-04-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP I TR 2015-MS1                                                   | MSC 2015-MS1 C VAR/CSTR 5/48                                                                            | CUSIP: 61765DAZ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     561000 | PA      | $508082.27    | 0.01%             | 2048-05-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                       | UBS GROUP AG 4.194%/VAR 04/01/2031 144A                                                                 | CUSIP: 225401AP3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    2010000 | PA      | $1947883.00   | 0.03%             | 2031-04-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                           | LLOYDS BANKING GROUP PLC 4.75%/VAR 09/21/2031 REGS                                                      | CUSIP: N/A<br>LEI: 549300PPXHEU2JF0AM85       | Long             | DBT              | CORP              | GB        |     925000 | PA      | $1124838.54   | 0.02%             | 2031-09-21      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 4% 12/25/2048                                                            | CUSIP: 3136BNE69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     130213 | PA      | $126390.56    | 0.00%             | 2048-12-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PG and E CORP                                                                      | PG and E CORP 5% 07/01/2028                                                                             | CUSIP: 69331CAH1<br>LEI: 8YQ2GSDWYZXO2EDN3511 | Long             | DBT              | CORP              | US        |     610000 | PA      | $595181.27    | 0.01%             | 2028-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| E.ON SE                                                                            | E.ON SE 3.5% 04/16/2033 REGS                                                                            | CUSIP: N/A<br>LEI: Q9MAIUP40P25UFBFG033       | Long             | DBT              | CORP              | DE        |     550000 | PA      | $629570.89    | 0.01%             | 2033-04-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH AMERICAS INC                                                         | BAUSCH HEALTH AMERICAS INC 9.25% 04/01/2026 144A                                                        | CUSIP: 91911XAV6<br>LEI: KOO0397YRO83WY5MGD97 | Long             | DBT              | CORP              | US        |     640000 | PA      | $630528.00    | 0.01%             | 2026-04-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                         | VERIZON COMMUNICATIONS INC 5.012% 04/15/2049                                                            | CUSIP: 92343VDS0<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      16000 | PA      | $14397.32     | 0.00%             | 2049-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                                   | SOCIETE GENERALE FRANCE 1.488%/VAR 12/14/2026 144A                                                      | CUSIP: 83368RAZ5<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    1953000 | PA      | $1916355.26   | 0.03%             | 2026-12-14      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                                | GSCOFI SWAP CY885802 12/15/56 B                                                                         | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |     100000 | NC      | $13019.13     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BUFFALO ENERGY MEXICO HOLDINGS                                                     | BUFFALO ENERGY MEXICO HOLDINGS 7.875% 02/15/2039 144A                                                   | CUSIP: 11952AAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |     245000 | PA      | $246225.00    | 0.00%             | 2039-02-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| SRI LANKA GOVT DEMOCRATIC SOCIALIST REP                                            | SRI LANKA GOVT DEMOC SOCIA REP STEP 05/15/2036 144A                                                     | CUSIP: N/A<br>LEI: 254900HXCCIOHM74FA02       | Long             | DBT              | NUSS              | LK        |      99504 | PA      | $77239.98     | 0.00%             | 2036-05-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK 2018-BNK10                                                                    | BANK 2018-BNK10 3.641% 02/15/2061                                                                       | CUSIP: 065404AZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     259984 | PA      | $256852.78    | 0.00%             | 2061-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 4% 09/01/2039#CA4213                                                                          | CUSIP: 3140QBVF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      44977 | PA      | $42902.75     | 0.00%             | 2039-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 10/01/2051#CB1784                                                                        | CUSIP: 3140QL6W1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4024415 | PA      | $3313197.64   | 0.05%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 10/42 #AP9735                                                                                | CUSIP: 3138MDY97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      68557 | PA      | $63446.28     | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                                                                      | CARNIVAL CORP 6.125% 02/15/2033 144A                                                                    | CUSIP: 143658BX9<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |    1950000 | PA      | $1955249.40   | 0.03%             | 2033-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| RAILWORKS HOLDINGS LP/R                                                            | RAILWORKS HOLDINGS LP/R 8.25% 11/15/2028 144A                                                           | CUSIP: 75079MAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1020000 | PA      | $1035657.06   | 0.02%             | 2028-11-15      | Fixed         | 0.08%                 | 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        |    3534136 | PA      | $3004789.83   | 0.04%             | 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        |    2880400 | PA      | $2842262.06   | 0.04%             | 2048-07-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VISTAJET MALTA FINANCE PLC / VISTA MANAGEMENT HOLDING INC                          | VISTAJET MALTA FINANCE PLC / VISTA MANAGEMENT HOLDING INC 7.875% 05/01/2027 144A                        | CUSIP: 92840JAD1<br>LEI: N/A                  | Long             | DBT              | CORP              | MT        |     519000 | PA      | $508032.86    | 0.01%             | 2027-05-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 04/01/2048#BM3700                                                                          | CUSIP: 3140J8DE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      75253 | PA      | $70395.36     | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2519 ZD 5.50% 11/32                                                                                 | CUSIP: 31393FCL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       1773 | PA      | $1791.35      | 0.00%             | 2032-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                           | LLOYDS BANKING GROUP PLC 4.5%/VAR 01/11/2029 REGS                                                       | CUSIP: N/A<br>LEI: 549300PPXHEU2JF0AM85       | Long             | DBT              | CORP              | GB        |     260000 | PA      | $308834.20    | 0.00%             | 2029-01-11      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 10/01/2041#CB1842                                                                        | CUSIP: 3140QMBL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     307331 | PA      | $270244.56    | 0.00%             | 2041-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SCANDINAVIAN TOBACCO GROUP                                                         | SCANDINAVIAN TOBACCO GROUP 4.875% 09/12/2029 REGS                                                       | CUSIP: N/A<br>LEI: 5299003KG4JS99TRML67       | Long             | DBT              | CORP              | DK        |     150000 | PA      | $175848.56    | 0.00%             | 2029-09-12      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2% 11/01/2041#CB2110                                                                          | CUSIP: 3140QMKY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     385483 | PA      | $325214.17    | 0.00%             | 2041-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                              | JPMORGAN CHASE and CO 5.336%/VAR 01/23/2035                                                             | CUSIP: 46647PEC6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $5030899.95   | 0.07%             | 2035-01-23      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2019-B12 MTG TR                                                          | BENCHMARK 2019-B12 MTG TR VAR/1.207 08/15/2052 144A                                                     | CUSIP: 08162FAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7284050 | PA      | $208173.77    | 0.00%             | 2052-08-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 01/01/2042#AJ6217                                                                          | CUSIP: 3138AX4B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5430 | PA      | $5166.84      | 0.00%             | 2042-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 11/34 #735061                                                                                | CUSIP: 31402QTS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11019 | PA      | $11464.66     | 0.00%             | 2034-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                          | BOEING CO 6.298% 05/01/2029                                                                             | CUSIP: 097023DQ5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     983000 | PA      | $1033909.76   | 0.02%             | 2029-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 09/01/2042#AL5881                                                                        | CUSIP: 3138ENRB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34600 | PA      | $34014.75     | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FLUTTER TREASURY DESIGNATED ACTIVITY CO                                            | FLUTTER TREASURY DESIGNATED ACTIVITY CO 5.875% 06/04/2031 144A                                          | CUSIP: 344045AB5<br>LEI: 635400JE8VLL9UFVIC38 | Long             | DBT              | CORP              | IE        |     900000 | PA      | $904500.00    | 0.01%             | 2031-06-04      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                         | FANNIEMAE 30YR 2% 03/01/2052#                                                                           | CUSIP: 3140W04U6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3244003 | PA      | $2537405.11   | 0.04%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.625% 09/30/2028                                                                             | CUSIP: 91282CJA0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     168000 | PA      | $171865.31    | 0.00%             | 2028-09-30      | Fixed         | 0.05%                 | 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        |    1012792 | PA      | $921758.32    | 0.01%             | 2047-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 05/01/2045#Q33138                                                                        | CUSIP: 3132QPPY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8287 | PA      | $7795.23      | 0.00%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 02/01/2048#CA1713                                                                        | CUSIP: 3140Q83X1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13411 | PA      | $12849.06     | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ELP COMMERCIAL MORTGAGE TRUST 2021-ELP                                             | ELP COMMERCIAL MORTGAGE TRUST 2021-ELP TSFR1M+372.938 49 11/15/2036 144A                                | CUSIP: 26863LAS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1498256 | PA      | $1481729.55   | 0.02%             | 2038-11-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-SOAR                                             | BX TRUST 2021-SOAR D TSFR1M+151.448 06/15/2026 144A                                                     | CUSIP: 05608WAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5327936 | PA      | $5322940.73   | 0.08%             | 2038-06-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 01/01/2052#SD4401                                                                        | CUSIP: 3132E03J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     109961 | PA      | $90562.46     | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MARS INC                                                                           | MARS INC 4.8% 03/01/2030 144A                                                                           | CUSIP: 571676AY1<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    4050000 | PA      | $4074993.89   | 0.06%             | 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        |    3031800 | PA      | $2983772.65   | 0.04%             | 2047-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 1.5% 11/01/2041#MA4473                                                                        | CUSIP: 31418D6K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1183831 | PA      | $967815.22    | 0.01%             | 2041-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FORESTAR GROUP INC                                                                 | FORESTAR GROUP INC 6.5% 03/15/2033 144A                                                                 | CUSIP: 346232AG6<br>LEI: 549300BC2UB0GHV60V70 | Long             | DBT              | CORP              | US        |     820000 | PA      | $813108.39    | 0.01%             | 2033-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| Connect Holding II LLC                                                             | BRIGHTSPEED TERM B-DD 1LN 04/03/2031                                                                    | CUSIP: 20752KAN3<br>LEI: 254900LCX7S2QHYUOI31 | Long             | LON              | CORP              | US        |     397926 | PA      | $365968.55    | 0.01%             | 2031-04-03      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 1/35 #G06928                                                                                 | CUSIP: 3128M9A51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11528 | PA      | $11605.58     | 0.00%             | 2035-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.375% 01/31/2032                                                                             | CUSIP: 91282CMK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     400000 | PA      | $405187.50    | 0.01%             | 2032-01-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MHP COML MTG TR 2021-STOR                                                          | MERIT 2021-STOR F TSFR1M+231.448 07/15/2038 144A                                                        | CUSIP: 55293BAM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     800000 | PA      | $798000.00    | 0.01%             | 2038-07-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| AXON ENTERPRISE INC                                                                | AXON ENTERPRISE INC 6.125% 03/15/2030 144A                                                              | CUSIP: 05464CAC5<br>LEI: 549300QP2IEEGFE16681 | Long             | DBT              | CORP              | US        |     655000 | PA      | $668034.61    | 0.01%             | 2030-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 06/01/2045#Q34311                                                                        | CUSIP: 3132QQYH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     176886 | PA      | $161253.33    | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.5% 09/01/2053#SD7565                                                                        | CUSIP: 3132DVMN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3927684 | PA      | $3933742.33   | 0.06%             | 2053-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2% 06/01/2036#BT0154                                                                          | CUSIP: 3140LNE45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36559 | PA      | $33322.72     | 0.00%             | 2036-06-01      | Fixed         | 0.02%                 | 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        |     333859 | PA      | $332607.02    | 0.00%             | 2038-11-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 10/01/2051#FM9210                                                                          | CUSIP: 3140XDGU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2655859 | PA      | $2284511.09   | 0.03%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 8% 07/01/2030#                                                                                | CUSIP: 31297XWP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         38 | PA      | $39.05        | 0.00%             | 2030-07-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| VTR COMUNICACIONES SPA                                                             | VTR COMUNICACIONES SPA 4.375% 04/15/2029 144A                                                           | CUSIP: 918367AC7<br>LEI: 213800XDZJKMC1AEUV94 | Long             | DBT              | CORP              | CL        |      70000 | PA      | $61950.00     | 0.00%             | 2029-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 09/01/2046#AL9058                                                                        | CUSIP: 3138ERB41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     253560 | PA      | $230610.49    | 0.00%             | 2046-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| INDONESIA REPUBLIC OF                                                              | INDONESIA REPUBLIC OF 4.35% 01/11/2048                                                                  | CUSIP: 455780CE4<br>LEI: 254900G208H6Q0L5B953 | Long             | DBT              | NUSS              | ID        |     200000 | PA      | $163800.00    | 0.00%             | 2048-01-11      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 08/01/2031#AS7695                                                                        | CUSIP: 3138WHRR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43223 | PA      | $41455.20     | 0.00%             | 2031-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 05/01/2051#BT0330                                                                        | CUSIP: 3140LNLL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     489243 | PA      | $403239.80    | 0.01%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 11/01/2042#AL6997                                                                        | CUSIP: 3138EPX33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     162062 | PA      | $159280.62    | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4% 11/20/2054#MB0023                                                                            | CUSIP: 3618N5AZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     532470 | PA      | $488695.67    | 0.01%             | 2054-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SIGMA HOLDCO BV                                                                    | SIGMA HOLDCO BV 7.875% 05/15/2026 144A                                                                  | CUSIP: 82660CAA0<br>LEI: 254900RAPCKVT00GAO59 | Long             | DBT              | CORP              | NL        |     420000 | PA      | $417469.16    | 0.01%             | 2026-05-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| PRA GROUP INC                                                                      | PRA GROUP INC 8.875% 01/31/2030 144A                                                                    | CUSIP: 69354NAF3<br>LEI: 549300Q5HW3JSSB86K27 | Long             | DBT              | CORP              | US        |     420000 | PA      | $430515.36    | 0.01%             | 2030-01-31      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| SERBIA REPUBLIC OF                                                                 | SERBIA REPUBLIC OF 2.125% 12/01/2030 144A                                                               | CUSIP: 817477AF9<br>LEI: 254900W94OCY91V32O78 | Long             | DBT              | NUSS              | RS        |     365000 | PA      | $303497.50    | 0.00%             | 2030-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ENTERGY CORP NEW                                                                   | ENTERGY CORP NEW 2.8% 06/15/2030                                                                        | CUSIP: 29364GAL7<br>LEI: 4XM3TW50JULSLG8BNC79 | Long             | DBT              | CORP              | US        |     580000 | PA      | $527406.67    | 0.01%             | 2030-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 3/41 #783295                                                                                 | CUSIP: 36241LUU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25791 | PA      | $25303.77     | 0.00%             | 2041-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 11/01/2051#FM9501                                                                        | CUSIP: 3140XDRX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1102826 | PA      | $912063.72    | 0.01%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PBF HLDG CO LLC / PBF FIN CORP                                                     | PBF HLDG CO LLC / PBF FIN CORP 6% 02/15/2028                                                            | CUSIP: 69318FAJ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     235000 | PA      | $218195.29    | 0.00%             | 2028-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 02/01/2052#FS1015                                                                          | CUSIP: 3140XGDV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     642960 | PA      | $507734.84    | 0.01%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 03/01/2051#QB9961                                                                          | CUSIP: 3133AHB63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     438637 | PA      | $346521.10    | 0.01%             | 2051-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 4/35 #A32122                                                                                 | CUSIP: 31297MLB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1058 | PA      | $1065.81      | 0.00%             | 2035-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MURPHY OIL USA INC                                                                 | MURPHY OIL USA INC 3.75% 02/15/2031 144A                                                                | CUSIP: 626738AF5<br>LEI: N32S6DTR2ZZ5222WHV58 | Long             | DBT              | CORP              | US        |     205000 | PA      | $185694.86    | 0.00%             | 2031-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                                | GSCOFI SWAP CY885802 12/15/56 B                                                                         | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |     200000 | NC      | $26038.26     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                                                 | DOMINICAN REPUBLIC 6% 07/19/2028 144A                                                                   | CUSIP: 25714PDZ8<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |     715000 | PA      | $722150.00    | 0.01%             | 2028-07-19      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 06/01/2053#CB6538                                                                          | CUSIP: 3140QSHQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     663194 | PA      | $677037.26    | 0.01%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 01/01/2033#MA3246                                                                        | CUSIP: 31418CTC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7132 | PA      | $6792.31      | 0.00%             | 2033-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CIA DE MINAS BUENAVENTURA SAA                                                      | CIA DE MINAS BUENAVENTURA SAA 6.8% 02/04/2032 144A                                                      | CUSIP: 204448AB0<br>LEI: 529900WQB1ZU9KB6EL71 | Long             | DBT              | CORP              | PE        |     200000 | PA      | $201446.00    | 0.00%             | 2032-02-04      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ZAMBIA REPUBLIC                                                                    | ZAMBIA REPUBLIC 0.5% 12/31/2053 144A                                                                    | CUSIP: 988895AR9<br>LEI: 213800DMLAZ6LGMMD849 | Long             | DBT              | NUSS              | ZM        |     465000 | PA      | $282487.50    | 0.00%             | 2053-12-31      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 8.5% 08/01/2027#                                                                              | CUSIP: 31283G3U9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         39 | PA      | $39.78        | 0.00%             | 2027-08-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| ALLIED UNIVERSAL HOLDCO LLC / ALLIED UNIVERSAL FINANCE CORP                        | ALLIED UNVL HOLDCO LLC / ALLIED UNVL FIN CORP 9.75% 07/15/2027 144A                                     | CUSIP: 019576AB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1100000 | PA      | $1109039.66   | 0.02%             | 2027-07-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| CLEVELAND-CLIFFS INC                                                               | CLEVELAND-CLIFFS INC 7.5% 09/15/2031 144A                                                               | CUSIP: 185899AS0<br>LEI: 549300TM2WLI2BJMDD86 | Long             | DBT              | CORP              | US        |     455000 | PA      | $409152.20    | 0.01%             | 2031-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: —       |
| NCB TIER 1 SUKUK LTD                                                               | NCB TIER 1 SUKUK LTD 3.5%/VAR PERP REGS                                                                 | CUSIP: N/A<br>LEI: 549300DJLY2JZABDD193       | Long             | EP               | CORP              | KY        |     200000 | PA      | $193062.00    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                | MSCS SWAP CZ030007 12/17/57 B                                                                           | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |     500000 | NC      | $63761.30     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| KNDR TR 2021-KIND                                                                  | KNDR 2021-KIND F TSFR1M+186.448 08/15/2026 144A                                                         | CUSIP: 482606AL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      99185 | PA      | $97573.71     | 0.00%             | 2038-08-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                             | US 10YR ULTRA FUT SEP25 UXYU5                                                                           | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |          9 | NC      | $16586.37     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| LEG IMMOBILIEN GMBH                                                                | LEG IMMOBILIEN GMBH 3.875% 01/20/2035 REGS                                                              | CUSIP: N/A<br>LEI: 391200SO40AKONBO0Z96       | Long             | DBT              | CORP              | DE        |     400000 | PA      | $444410.59    | 0.01%             | 2035-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 3/41 #AH6075                                                                                 | CUSIP: 3138A7XD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1333 | PA      | $1270.38      | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 2.25% 09/25/2046                                                         | CUSIP: 3136BMBT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    2667254 | PA      | $2400827.74   | 0.03%             | 2046-09-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CHEMOURS CO                                                                        | CHEMOURS CO 4.625% 11/15/2029 144A                                                                      | CUSIP: 163851AH1<br>LEI: 549300M1BOLNXL8DOV14 | Long             | DBT              | CORP              | US        |     700000 | PA      | $572609.94    | 0.01%             | 2029-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 7.00% 4/32 #781432                                                                              | CUSIP: 36225BSV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1841 | PA      | $1908.49      | 0.00%             | 2032-04-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 11/27 #313835                                                                                | CUSIP: 31374GSY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         22 | PA      | $22.90        | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 02/01/2047#FM8484                                                                          | CUSIP: 3140XCNA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     200820 | PA      | $179539.55    | 0.00%             | 2047-02-01      | Fixed         | 0.03%                 | 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        |    8220340 | PA      | $6984623.60   | 0.10%             | 2042-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| LIFE TIME INC                                                                      | LIFE TIME INC 6% 11/15/2031 144A                                                                        | CUSIP: 53190FAE5<br>LEI: 549300PALKE96VYH4X17 | Long             | DBT              | CORP              | US        |    1305000 | PA      | $1307915.37   | 0.02%             | 2031-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BAHRAIN KINGDOM                                                                    | BAHRAIN KINGDOM 7.5% 02/12/2036 144A                                                                    | CUSIP: 05675M2L7<br>LEI: 549300RODM1WN85LFQ95 | Long             | DBT              | NUSS              | BH        |     100000 | PA      | $101750.00    | 0.00%             | 2036-02-12      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                         | CAPITAL ONE FINANCIAL CORP 4.927%/VAR 05/10/2028                                                        | CUSIP: 14040HCS2<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    2786000 | PA      | $2794687.53   | 0.04%             | 2028-05-10      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CY562349 11/18/64 B                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     200000 | NC      | $33092.04     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NAVOI MINING METALLURGIC                                                           | NAVOI MINING METALLURGIC 6.95% 10/17/2031 144A                                                          | CUSIP: 63890CAB0<br>LEI: N/A                  | Long             | DBT              | CORP              | UZ        |     200000 | PA      | $198600.00    | 0.00%             | 2031-10-17      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 11/01/2044#AX6510                                                                        | CUSIP: 3138Y8GU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7913 | PA      | $7672.91      | 0.00%             | 2044-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 2.5% 08/20/2051#785602                                                                          | CUSIP: 3622ABDF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3235502 | PA      | $2688575.04   | 0.04%             | 2051-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 02/01/2051#QB8131                                                                          | CUSIP: 3133AFA84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      72374 | PA      | $56654.58     | 0.00%             | 2051-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| RADIOLOGY PARTNERS INC                                                             | RADIOLOGY PARTNERS INC PIK VAR 01/31/2029 144A                                                          | CUSIP: 75041VAB0<br>LEI: 549300SFTAG2177WUZ08 | Long             | DBT              | CORP              | US        |     721336 | PA      | $724942.68    | 0.01%             | 2029-01-31      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 2% 07/01/2041#SC0162                                                                          | CUSIP: 3132D9FB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1152419 | PA      | $980738.56    | 0.01%             | 2041-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                       | UBS GROUP AG 4.75%/VAR 03/17/2032 REGS                                                                  | CUSIP: N/A<br>LEI: 549300SZJ9VS8SGXAN81       | Long             | DBT              | CORP              | CH        |    1093000 | PA      | $1334556.21   | 0.02%             | 2032-03-17      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 7/35 #357843                                                                                 | CUSIP: 31376KP42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1076 | PA      | $1122.64      | 0.00%             | 2035-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 3% 03/01/2037#AS9292                                                                          | CUSIP: 3138WKKE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      97840 | PA      | $91268.93     | 0.00%             | 2037-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 09/01/2033#AL7521                                                                        | CUSIP: 3138EQLB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      64356 | PA      | $64703.09     | 0.00%             | 2039-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 6/32 #611797                                                                                 | CUSIP: 31388QUW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        352 | PA      | $371.92       | 0.00%             | 2032-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AERCAP GLOBAL AVIATION TR                                                          | AERCAP GLOBAL AVIATION TR 6.5%/VAR 06/15/2045 144A                                                      | CUSIP: 00773HAA5<br>LEI: 635400FBSV8LXXNRV758 | Long             | DBT              | CORP              | US        |     250000 | PA      | $250261.50    | 0.00%             | 2045-06-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| BAMLL COML MTG SECS TR 2019                                                        | BAMLL COML MTG SECS TR 2019-BPR CNM CSTR 11/05/2032 144A                                                | CUSIP: 05492PAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $89140.86     | 0.00%             | 2032-11-05      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| LEBANON REPUBLIC OF                                                                | LEBANON REPUBLIC OF 6.375% 12/31/2049 REGS                                                              | CUSIP: N/A<br>LEI: 529900QPC4K9S1KHL354       | Long             | DBT              | NUSS              | LB        |     365000 | PA      | $63145.00     | 0.00%             | 2049-12-31      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4% 02/29/2028                                                                                 | CUSIP: 91282CGP0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     600000 | PA      | $601968.75    | 0.01%             | 2028-02-29      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES                          | FNS 351 13 6% 3/34                                                                                      | CUSIP: 3136FCJC1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |       1001 | PA      | $169.23       | 0.00%             | 2034-03-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 2.5% 09/20/2051#785616                                                                          | CUSIP: 3622ABDV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1506454 | PA      | $1251804.32   | 0.02%             | 2051-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 5/40 #AL2129                                                                                 | CUSIP: 3138EJLK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7827 | PA      | $8205.36      | 0.00%             | 2040-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 4.50% 7/25 #G13844                                                                            | CUSIP: 3128MCP58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         42 | PA      | $41.70        | 0.00%             | 2025-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNR 2006-45 OP 0 6/36                                                                                   | CUSIP: 31395NEN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       2171 | PA      | $1811.91      | 0.00%             | 2036-06-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 09/01/2052#FS2960                                                                        | CUSIP: 3140XJJE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     738732 | PA      | $738024.38    | 0.01%             | 2052-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2% 10/01/2040#FM4644                                                                          | CUSIP: 3140X8ES2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      80748 | PA      | $68959.42     | 0.00%             | 2040-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| COSTA RICA REPUBLIC OF                                                             | COSTA RICA REPUBLIC OF 7.3% 11/13/2054 144A                                                             | CUSIP: 221597CV7<br>LEI: 549300S1EK2VN6XVJP58 | Long             | DBT              | NUSS              | CR        |     200000 | PA      | $204400.00    | 0.00%             | 2054-11-13      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 07/01/2047#Q49499                                                                        | CUSIP: 3132WPRV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16788 | PA      | $16163.26     | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNR 1997-41 J 7.5% 6/27                                                                                 | CUSIP: 31359PQC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        154 | PA      | $156.74       | 0.00%             | 2027-06-18      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                                                       | NISOURCE INC 3.6% 05/01/2030                                                                            | CUSIP: 65473PAJ4<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |    4000000 | PA      | $3806275.08   | 0.06%             | 2030-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                                                 | DOMINICAN REPUBLIC 4.5% 01/30/2030 144A                                                                 | CUSIP: 25714PED6<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |    1400000 | PA      | $1316000.00   | 0.02%             | 2030-01-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 7/40 #745232                                                                                 | CUSIP: 3620C04R6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4973 | PA      | $4887.53      | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF BENIN                                                                  | REPUBLIC OF BENIN 7.96% 02/13/2038 144A                                                                 | CUSIP: 08205QAA6<br>LEI: 635400Q11P6AE5A5Y230 | Long             | DBT              | NUSS              | BJ        |     250000 | PA      | $227812.50    | 0.00%             | 2038-02-13      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| SAGICOR FINANCIAL CO LTD                                                           | SAGICOR FINANCIAL CO LTD 5.3% 05/13/2028 144A                                                           | CUSIP: 78669QAA8<br>LEI: 984500P7FADAA3A50B04 | Long             | DBT              | CORP              | BM        |     150000 | PA      | $147798.00    | 0.00%             | 2028-05-13      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CSMC 2020-NET                                                                      | CSMC 2020-NET 2.2569% 08/15/2037 144A                                                                   | CUSIP: 126438AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     155955 | PA      | $154176.81    | 0.00%             | 2037-08-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 05/01/2031#AS7110                                                                        | CUSIP: 3138WG3U6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     882621 | PA      | $846888.07    | 0.01%             | 2031-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG                                                                   | DEUTSCHE BANK AG 6.125%/VAR 12/12/2030 REGS                                                             | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | Long             | DBT              | CORP              | DE        |     900000 | PA      | $1244860.85   | 0.02%             | 2030-12-12      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 9/39 #723339                                                                                 | CUSIP: 3620A9S44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1434 | PA      | $1440.41      | 0.00%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                 | ENERGY TRANSFER LP 5.8% 06/15/2038                                                                      | CUSIP: 29278NAD5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     275000 | PA      | $269257.05    | 0.00%             | 2038-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP I TR 2019-L2                                                    | MORGAN STANLEY CAP I TR 2019-L2 A3 3.806% 03/15/2052                                                    | CUSIP: 61768HAV8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     359438 | PA      | $345383.35    | 0.01%             | 2052-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BLOCK INC                                                                          | BLOCK INC 6.5% 05/15/2032                                                                               | CUSIP: 852234AS2<br>LEI: 549300OHIIUWSTIZME52 | Long             | DBT              | CORP              | US        |    2095000 | PA      | $2141062.77   | 0.03%             | 2032-05-15      | Fixed         | 0.07%                 | 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        |    1390000 | PA      | $1390380.86   | 0.02%             | 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        |     110000 | PA      | $111327.04    | 0.00%             | 2030-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.50% 1/36 #G03506                                                                                 | CUSIP: 3128M5GP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10539 | PA      | $10964.30     | 0.00%             | 2036-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ECHOSTAR CORP                                                                      | ECHOSTAR CORP CPIK 3.875% 11/30/2030                                                                    | CUSIP: 278768AB2<br>LEI: 549300EE20907QZ9GT38 | Long             | DBT              | CORP              | US        |    1312460 | PA      | $1259663.53   | 0.02%             | 2030-11-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 07/20/2043#635118                                                                          | CUSIP: 36291QSF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13431 | PA      | $12403.85     | 0.00%             | 2043-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SPIRIT AVIATION HOLDINGS INC                                                       | SPIRIT AVIATION HOLDINGS INC (RESTRICTED)                                                               | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | US        |       2516 | NS      | $15070.84     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BOEING CO                                                                          | BOEING CO 6.528% 05/01/2034                                                                             | CUSIP: 097023DS1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     796000 | PA      | $849627.99    | 0.01%             | 2034-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 09/01/2046#G61420                                                                        | CUSIP: 31335BSH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     447843 | PA      | $408264.46    | 0.01%             | 2046-09-01      | Fixed         | 0.04%                 | 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        |   18700000 | PA      | $19202553.15  | 0.28%             | 2055-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UKRAINE GOVERNMENT                                                                 | UKRAINE GOVERNMENT STEP 02/01/2036 144A                                                                 | CUSIP: 903724CG5<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |     184509 | PA      | $88841.08     | 0.00%             | 2036-02-01      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 1.5% 03/01/2051#SD8133                                                                        | CUSIP: 3132DWBA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1108991 | PA      | $820269.16    | 0.01%             | 2051-03-01      | Fixed         | 0.01%                 | 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        |   18922000 | PA      | $16282784.04  | 0.24%             | 2032-07-21      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| ECHOSTAR CORP                                                                      | ECHOSTAR CORP PIK VAR 11/30/2030                                                                        | CUSIP: 278768AA4<br>LEI: 549300EE20907QZ9GT38 | Long             | DBT              | CORP              | US        |    1263038 | PA      | $1086212.68   | 0.02%             | 2030-11-30      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 02/01/2051#FM5997                                                                          | CUSIP: 3140X9UX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      47593 | PA      | $37612.79     | 0.00%             | 2051-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| TPC GROUP INC                                                                      | TPC GROUP TERM 1LN 12/16/2031                                                                           | CUSIP: 87266EAG0<br>LEI: 549300K276KVW5JD1583 | Long             | LON              | CORP              | US        |     865000 | PA      | $828955.45    | 0.01%             | 2031-12-16      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 01/01/2048#MA3240                                                                        | CUSIP: 31418CS62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20809 | PA      | $19936.48     | 0.00%             | 2048-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 4% 05/01/2038#C91994                                                                          | CUSIP: 3128P8GB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     110220 | PA      | $105611.97    | 0.00%             | 2038-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK 2019                                                                          | BANK 2019 2.846% 12/15/2052                                                                             | CUSIP: 06541RAZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      91426 | PA      | $87708.87     | 0.00%             | 2052-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 7.5% 01/01/2027#                                                                              | CUSIP: 31283GW60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          4 | PA      | $4.12         | 0.00%             | 2027-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| Fidelity Revere Street Trust                                                       | Fidelity Cash Central Fund                                                                              | CUSIP: 31635A105<br>LEI: 549300BDV45LJNXBZC55 | Long             | STIV             | RF                | US        |   78956161 | NS      | $78971952.33  | 1.15%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII 15YR 3% 12/20/2031#MA4102                                                                          | CUSIP: 36179SRX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     220948 | PA      | $213817.70    | 0.00%             | 2031-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BBAM US CLO IV LTD                                                                 | BBAM US CLO IV LTD D TSFR3M+625 07/15/2039 144A                                                         | CUSIP: 05555KAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $253228.00    | 0.00%             | 2039-07-15      | Variable      | 0.11%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2274 ZM 6.5% 1/31                                                                                   | CUSIP: 3133TR4H5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |        469 | PA      | $474.13       | 0.00%             | 2031-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                            | HCA INC 5.625% 09/01/2028                                                                               | CUSIP: 404121AJ4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    1054000 | PA      | $1077416.92   | 0.02%             | 2028-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                              | JPMORGAN CHASE and CO 4.452%/VAR 12/05/2029                                                             | CUSIP: 46647PAX4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    5500000 | PA      | $5463091.54   | 0.08%             | 2029-12-05      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| TRITAX EUROBOX PLC                                                                 | TRITAX EUROBOX PLC 0.95% 06/02/2026 REGS                                                                | CUSIP: N/A<br>LEI: 213800HK59N7H979QU33       | Long             | DBT              | CORP              | GB        |     235000 | PA      | $261635.83    | 0.00%             | 2026-06-02      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.50% 1/32 #C62372                                                                                 | CUSIP: 31287MT59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1743 | PA      | $1814.18      | 0.00%             | 2032-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CY885802 12/15/56 B                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     150000 | NC      | $19528.70     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2001-20 Z 6% 5/31                                                                                   | CUSIP: 31359SXB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       1739 | PA      | $1763.11      | 0.00%             | 2031-05-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 3/42 #AL1521                                                                                 | CUSIP: 3138EHVP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20824 | PA      | $19774.49     | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2.5% 07/20/2051#MA7472                                                                          | CUSIP: 36179WJR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1384721 | PA      | $1161033.74   | 0.02%             | 2051-07-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WEX INC                                                                            | WEX INC 6.5% 03/15/2033 144A                                                                            | CUSIP: 96208TAD6<br>LEI: T9M5IGROL1TL1G5OV478 | Long             | DBT              | CORP              | US        |     635000 | PA      | $628051.14    | 0.01%             | 2033-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ICAHN ENTERPRISES LP / ICAHN ENTERPRISES FIN CORP                                  | ICAHN ENTERPRISES LP/FIN CORP 5.25% 05/15/2027                                                          | CUSIP: 451102BZ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     946000 | PA      | $900197.71    | 0.01%             | 2027-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| LIFE FINANCIAL SERVICES TRUST 2022                                                 | LIFE FINANCIAL SERVICES TRUST 2022 TSFR1M+254.191 05/15/2039 144A                                       | CUSIP: 53218DAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     812000 | PA      | $726674.96    | 0.01%             | 2039-05-15      | Variable      | 0.07%                 | No            |                  2 | 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        |    2316000 | PA      | $2305883.25   | 0.03%             | 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        |    7238000 | PA      | $8072124.56   | 0.12%             | 2031-10-30      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 2% 05/01/2041#RB5111                                                                          | CUSIP: 3133KYVC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     175735 | PA      | $148835.19    | 0.00%             | 2041-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| RFNA LP                                                                            | RFNA LP 7.875% 02/15/2030 144A                                                                          | CUSIP: 74984AAA0<br>LEI: 2549002A4GSOTYKKHR45 | Long             | DBT              | CORP              | US        |     181000 | PA      | $181452.38    | 0.00%             | 2030-02-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                         | FNR 2010-15 FJ SOFR30A+104.448 6/36                                                                     | CUSIP: 31398MRG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     141416 | PA      | $142398.20    | 0.00%             | 2036-06-25      | Variable      | 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 3% 05/15/2032                                     | CUSIP: 46590XAP1<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |    6955000 | PA      | $5978381.68   | 0.09%             | 2032-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AYDEM YENILENEBILIR ENERJI AS                                                      | AYDEM YENILENEBILIR ENERJI AS 7.75% 02/02/2027 144A                                                     | CUSIP: 054644AA7<br>LEI: 9845009C50EDA74OA532 | Long             | DBT              | CORP              | TR        |     139500 | PA      | $138628.13    | 0.00%             | 2027-02-02      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 05/01/2052#RA7375                                                                          | CUSIP: 3133KPFQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3713879 | PA      | $3194015.85   | 0.05%             | 2052-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 10/40 #737559                                                                                | CUSIP: 3620ARMG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8596 | PA      | $8251.18      | 0.00%             | 2040-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.00% 10/40 #004833                                                                             | CUSIP: 36202FLN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8261 | PA      | $7920.45      | 0.00%             | 2040-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NEWELL BRANDS INC                                                                  | NEWELL BRANDS INC STEP 04/01/2036                                                                       | CUSIP: 651229AX4<br>LEI: 549300LWGYFM1TVO1Z12 | Long             | DBT              | CORP              | US        |     335000 | PA      | $307870.86    | 0.00%             | 2036-04-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 02/01/2051#FM6338                                                                          | CUSIP: 3140XABG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17105 | PA      | $13416.73     | 0.00%             | 2051-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+660.552 06/25/2035                                               | CUSIP: 31394D4V9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       8649 | PA      | $639.42       | 0.00%             | 2035-06-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 04/01/2051#QC0423                                                                          | CUSIP: 3133AJPG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     947273 | PA      | $740941.00    | 0.01%             | 2051-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 2.501% 04/01/2044#AV5913                                                                       | CUSIP: 3138XHSB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        714 | PA      | $736.24       | 0.00%             | 2044-04-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 10/42 #AP7882                                                                                | CUSIP: 3138MBXL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22696 | PA      | $20995.79     | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2520 BE 6% 11/32                                                                                    | CUSIP: 31392XV96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       3393 | PA      | $3485.80      | 0.00%             | 2032-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| LUMEN TECHNOLOGIES                                                                 | LUMEN TECHNOLOGIES 4.125% 04/15/2030 144A                                                               | CUSIP: 550241AC7<br>LEI: 8M3THTGWLTYZVE6BBY25 | Long             | DBT              | CORP              | US        |     110000 | PA      | $106837.50    | 0.00%             | 2030-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GOVERNMENT NAT MTG AS REMIC PT 2009-118 XZ 5% 12/39                                                     | CUSIP: 38376PLJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     765166 | PA      | $779491.18    | 0.01%             | 2039-12-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 12/32 #735415                                                                                | CUSIP: 31402RAQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4243 | PA      | $4408.56      | 0.00%             | 2032-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| LEVEL 3 FINANCING INC                                                              | LEVEL 3 FINANCING INC 10.5% 05/15/2030 144A                                                             | CUSIP: 527298BU6<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |     870000 | PA      | $951562.50    | 0.01%             | 2030-05-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| HERENS HOLDCO SARL                                                                 | HERENS HOLDCO SARL 4.75% 05/15/2028 144A                                                                | CUSIP: 427169AA5<br>LEI: 2221002FZ55AMAUX4G64 | Long             | DBT              | CORP              | LU        |     210000 | PA      | $183967.55    | 0.00%             | 2028-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SLAM 2025-1                                                                        | SLAM 2025-1 5.807% 05/15/2050 144A                                                                      | CUSIP: 78450TAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2870000 | PA      | $2927400.00   | 0.04%             | 2050-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 12/01/2051#QD3168                                                                          | CUSIP: 3133B0QV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     110471 | PA      | $87237.30     | 0.00%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 7.00% 3/32 #003216                                                                              | CUSIP: 36202DSD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        280 | PA      | $291.00       | 0.00%             | 2032-03-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 4% 06/01/2038#K94286                                                                          | CUSIP: 3132LQUK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3273 | PA      | $3135.87      | 0.00%             | 2038-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 5.5% 08/25/2035                                                          | CUSIP: 31394E3H9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     151668 | PA      | $153578.91    | 0.00%             | 2035-08-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                                 | WELLS FARGO and CO NEW 5.013%/VAR 04/04/2051                                                            | CUSIP: 95000U2M4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    2194000 | PA      | $1925096.32   | 0.03%             | 2051-04-04      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| SWCH COML MTG TR 2025-DATA                                                         | SWCH COML MTG TR 2025-DATA F TSFR1M+418.9 03/15/2042 144A                                               | CUSIP: 78489CAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1071000 | PA      | $1059098.83   | 0.02%             | 2042-02-15      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| SUNOCO LP / SUNOCO FIN CORP                                                        | SUNOCO LP / SUNOCO FIN CORP 6% 04/15/2027                                                               | CUSIP: 86765LAQ0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1125000 | PA      | $1124399.25   | 0.02%             | 2027-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 4/39 #AB0043                                                                                 | CUSIP: 31416VBM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25012 | PA      | $24763.36     | 0.00%             | 2039-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 1.5% 01/01/2036#SB8083                                                                        | CUSIP: 3132D56U1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     417110 | PA      | $367889.01    | 0.01%             | 2036-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII 30YR 4.5% 10/39#004553                                                                             | CUSIP: 36202FBW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1387 | PA      | $1346.36      | 0.00%             | 2039-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GNR 2011-136 WI 4.5% 5/40                                                                               | CUSIP: 38377YTR1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |       8425 | PA      | $362.56       | 0.00%             | 2040-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL    | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 5.75% 04/01/2048        | CUSIP: 161175BN3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     861000 | PA      | $755542.64    | 0.01%             | 2048-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 02/01/2047#FM4941                                                                          | CUSIP: 3140X8P35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     210187 | PA      | $188069.07    | 0.00%             | 2047-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIA KINGDOM OF                                                            | SAUDI ARABIA KINGDOM OF 5.75% 01/16/2054 144A                                                           | CUSIP: 80413TBH1<br>LEI: 54930044PULMORCKB765 | Long             | DBT              | NUSS              | SA        |     200000 | PA      | $186062.00    | 0.00%             | 2054-01-16      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 12/01/2042#Q15249                                                                        | CUSIP: 3132J6H31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2981 | PA      | $2697.11      | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 10/01/2039#G05645                                                                        | CUSIP: 3128M7TA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1142 | PA      | $1125.79      | 0.00%             | 2039-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 07/01/2054#CB8857                                                                          | CUSIP: 3140QUZX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1327569 | PA      | $1343663.55   | 0.02%             | 2054-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 2.5% 01/01/2041#SC0119                                                                        | CUSIP: 3132D9DY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     493905 | PA      | $434380.57    | 0.01%             | 2041-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 3% 08/25/2046                                                            | CUSIP: 3136BL5X4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     192578 | PA      | $178703.56    | 0.00%             | 2046-08-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2% 05/01/2041#RB0546                                                                          | CUSIP: 3133KTTB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2162180 | PA      | $1831706.06   | 0.03%             | 2041-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| EXELON CORP                                                                        | EXELON CORP 3.35% 03/15/2032                                                                            | CUSIP: 30161NBE0<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |     389000 | PA      | $353187.95    | 0.01%             | 2032-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CITGO PETROLEUM CORP                                                               | CITGO PETROLEUM CORP 6.375% 06/15/2026 144A                                                             | CUSIP: 17302XAM8<br>LEI: YX52P86PXMLYDOTUQ225 | Long             | DBT              | CORP              | US        |    1255000 | PA      | $1254396.72   | 0.02%             | 2026-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5% 02/01/2049#BM5577                                                                          | CUSIP: 3140JAFT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     112320 | PA      | $111104.14    | 0.00%             | 2049-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 4.60% 2/35 #779905                                                                             | CUSIP: 31404VNW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1595 | PA      | $1645.50      | 0.00%             | 2035-02-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| ARDAGH METAL PACKAGING FINANCE USA LLC/ARDAGH METAL PACKAGING FINANCE PLC          | ARDAGH METAL PACKAGING FINANCE USA LLC/ARDAGH METAL PACKAGING FINANCE PLC 4% 09/01/2029 144A            | CUSIP: 03969YAB4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     700000 | PA      | $620996.46    | 0.01%             | 2029-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 2.7% 05/25/2047                                                          | CUSIP: 3136AWLF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    4795933 | PA      | $4320863.61   | 0.06%             | 2047-05-25      | Fixed         | 0.03%                 | 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        |    2000000 | PA      | $2041887.86   | 0.03%             | 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        |    4372000 | PA      | $4354013.85   | 0.06%             | 2027-09-29      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 6/40 #677235                                                                                 | CUSIP: 36295QLQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2532 | PA      | $2488.19      | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 09/01/2042#Q11138                                                                        | CUSIP: 3132HMHP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6283 | PA      | $6006.57      | 0.00%             | 2042-09-01      | 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        |     877529 | PA      | $754008.29    | 0.01%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 08/01/2051#RA5680                                                                          | CUSIP: 3133KMJZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     917233 | PA      | $716298.04    | 0.01%             | 2051-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 3.5% 02/43 #Q15869                                                                                 | CUSIP: 3132J66F6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19061 | PA      | $17698.47     | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SIMON PROPERTY GROUP LP                                                            | SIMON PROPERTY GROUP LP 2.45% 09/13/2029                                                                | CUSIP: 828807DF1<br>LEI: MR92GTD0MJTTTTQDVG45 | Long             | DBT              | CORP              | US        |     333000 | PA      | $306277.17    | 0.00%             | 2029-09-13      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| VENTAS RLTY LTD PARTNERSHIP                                                        | VENTAS RLTY LTD PARTNERSHIP 4% 03/01/2028                                                               | CUSIP: 92277GAM9<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |     218000 | PA      | $214528.18    | 0.00%             | 2028-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                                   | ALTRIA GROUP INC 3.875% 09/16/2046                                                                      | CUSIP: 02209SAV5<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    1521000 | PA      | $1089327.26   | 0.02%             | 2046-09-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMCC 2021-MHC                                                                     | JPMCC 2021-MHC E TSFR1M+256.448 04/15/2038 144A                                                         | CUSIP: 466330AN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     290000 | PA      | $289818.75    | 0.00%             | 2038-04-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                                | GSCOFI SWAP CY873248 04/17/65 B                                                                         | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |     160000 | NC      | $27279.87     | 0.00%             |  |  |  | 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        |     149000 | PA      | $146354.14    | 0.00%             | 2027-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BX 2021-VOLT                                                                       | BX 2021-VOLT D TSFR1M+ 09/15/2036 144A                                                                  | CUSIP: 05609VAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $993750.00    | 0.01%             | 2036-09-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5% 04/01/2053#FS4829                                                                          | CUSIP: 3140XLLK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     438900 | PA      | $433224.64    | 0.01%             | 2053-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BIRCH GROVE CLO 12 LTD                                                             | BIRCH GROVE CLO 12 LTD D1 TSFR3M+275 04/22/2038 144A                                                    | CUSIP: 09090MAJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     150000 | PA      | $150069.15    | 0.00%             | 2038-04-22      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 12/01/2042#Q13899                                                                        | CUSIP: 3132HQKL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2446 | PA      | $2334.42      | 0.00%             | 2042-12-01      | Fixed         | 0.04%                 | 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        |    4104000 | PA      | $4113693.65   | 0.06%             | 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        |   11643959 | PA      | $11629404.04  | 0.17%             | 2038-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 04/01/2048#Q55720                                                                          | CUSIP: 3132XYLA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4009 | PA      | $3737.31      | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CIGNA GROUP (THE)                                                                  | CIGNA GROUP (THE) 3.05% 10/15/2027                                                                      | CUSIP: 125523AZ3<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |     500000 | PA      | $484266.32    | 0.01%             | 2027-10-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 10/26 #256507                                                                                | CUSIP: 31371M3Q8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         42 | PA      | $42.49        | 0.00%             | 2026-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| STARWOOD PROPERTY TRUST INC                                                        | STARWOOD PPTY TR INC 6% 04/15/2030 144A                                                                 | CUSIP: 85571BBC8<br>LEI: BUGSFQZERKRBFWIG5267 | Long             | DBT              | CORP              | US        |    1660000 | PA      | $1655198.78   | 0.02%             | 2030-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA                                                                   | ALTICE FRANCE SA 5.125% 07/15/2029 144A                                                                 | CUSIP: 02156LAF8<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |    2830000 | PA      | $2387991.64   | 0.03%             | 2029-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.00% 10/41 #005280                                                                             | CUSIP: 36202F2M7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7682 | PA      | $7346.09      | 0.00%             | 2042-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SRI LANKA GOVT DEMOCRATIC SOCIALIST REP                                            | SRI LANKA GOVT DEMOC SOCIA REP STEP 02/15/2038 144A                                                     | CUSIP: N/A<br>LEI: 254900HXCCIOHM74FA02       | Long             | DBT              | NUSS              | LK        |     199093 | PA      | $155292.54    | 0.00%             | 2038-02-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                                              | TIME WARNER CABLE LLC 7.3% 07/01/2038                                                                   | CUSIP: 88732JAN8<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    2420000 | PA      | $2578892.38   | 0.04%             | 2038-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 2.299%/VAR 07/21/2032                                                       | CUSIP: 06051GKA6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    1880000 | PA      | $1612999.66   | 0.02%             | 2032-07-21      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| OPEN TEXT CORPORATION                                                              | OPEN TEXT CORPORATION 3.875% 12/01/2029 144A                                                            | CUSIP: 683715AD8<br>LEI: 549300UQROQS42RKHM85 | Long             | DBT              | CORP              | CA        |     700000 | PA      | $651492.31    | 0.01%             | 2029-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.0% 12/20/2042#MA0624                                                                          | CUSIP: 36179MVR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12557 | PA      | $11364.66     | 0.00%             | 2042-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FGLMC 30YR 3.5% 09/46#Q43176                                                                            | CUSIP: 3132WGQ67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      48058 | PA      | $43630.79     | 0.00%             | 2046-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                                                               | ONEMAIN FINANCE CORP 6.75% 03/15/2032                                                                   | CUSIP: 682691AJ9<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |     210000 | PA      | $208730.40    | 0.00%             | 2032-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CONNECT FINCO SARL / CONNECT US FINCO LLC                                          | CONNECT FINCO SARL / CONNECT US FINCO LLC 9% 09/15/2029 144A                                            | CUSIP: 20752TAB0<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |     270000 | PA      | $257308.95    | 0.00%             | 2029-09-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| GPD COS INC                                                                        | GPD COS INC 10.125% 04/01/2026 144A                                                                     | CUSIP: 64051NAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     370000 | PA      | $355776.01    | 0.01%             | 2026-04-01      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 1.5% 12/01/2040#RB5089                                                                        | CUSIP: 3133KYUN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      33012 | PA      | $27257.60     | 0.00%             | 2040-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| DNB BANK ASA                                                                       | DNB BANK ASA 0.25%/VAR 02/23/2029 REGS                                                                  | CUSIP: N/A<br>LEI: 549300GKFG0RYRRQ1414       | Long             | DBT              | CORP              | NO        |     279000 | PA      | $296148.48    | 0.00%             | 2029-02-23      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 3110 OP PO 0% 9/35                                                                                  | CUSIP: 31396HU49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |        401 | PA      | $395.06       | 0.00%             | 2035-09-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| POLAND REPUBLIC OF                                                                 | POLAND REPUBLIC OF 5.5% 04/04/2053                                                                      | CUSIP: 731011AW2<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |     145000 | PA      | $131841.25    | 0.00%             | 2053-04-04      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| COLUMBIA CENT CLO 29 LTD / COLUMBIA CENT CLO 29 CORP                               | COLUMBIA CENT CLO 29 LTD / COLUMBIA CENT CLO 29 CORP AR TSFR3M+143.161 10/20/2034 144A                  | CUSIP: 197363AU8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4015000 | PA      | $4010972.96   | 0.06%             | 2034-10-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                              | BOAM SWAP REC 3.63 10/30/25                                                                             | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   -4100000 | NC      | $-55515.97    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VIRGIN MEDIA FINANCE PLC                                                           | VIRGIN MEDIA FINANCE PLC 5% 07/15/2030 144A                                                             | CUSIP: 92769VAJ8<br>LEI: 2138001LVYC87DDHT482 | Long             | DBT              | CORP              | GB        |      40000 | PA      | $36272.82     | 0.00%             | 2030-07-15      | 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        |    1783008 | PA      | $1646179.20   | 0.02%             | 2052-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EIG PEARL HOLDINGS SARL                                                            | EIG PEARL HOLDINGS SARL 3.545% 08/31/2036 144A                                                          | CUSIP: 28249NAA9<br>LEI: 549300KIMRL45BWA5H76 | Long             | DBT              | CORP              | LU        |     645218 | PA      | $567388.53    | 0.01%             | 2036-08-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2% 06/01/2041#FM7891                                                                          | CUSIP: 3140XBXV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      70506 | PA      | $60148.75     | 0.00%             | 2041-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 01/01/2043#AQ9316                                                                        | CUSIP: 3138MRK67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      48279 | PA      | $42065.06     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 06/01/2041#                                                                              | CUSIP: 3132GET67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2572 | PA      | $2526.67      | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOAT HOLDCO LLC                                                                    | GOAT HOLDCO LLC 6.75% 02/01/2032 144A                                                                   | CUSIP: 38021MAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     520000 | PA      | $517995.40    | 0.01%             | 2032-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2% 02/01/2036#FM6147                                                                          | CUSIP: 3140X9ZM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11086 | PA      | $10156.23     | 0.00%             | 2036-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                                | GSCOFI SWAP CZ030008 12/17/57 B                                                                         | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |     700000 | NC      | $53504.78     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SPGN 2022-TFLM MTG TR                                                              | SPGN 2022-TFLM C TSFR1M+265 02/15/2039 144A                                                             | CUSIP: 78473HAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     237000 | PA      | $229918.70    | 0.00%             | 2039-02-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| AASET 2019-2 TR                                                                    | AASET 2019-2 TR 3.376% 10/16/2039 144A                                                                  | CUSIP: 00038RAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     377747 | PA      | $366418.97    | 0.01%             | 2039-10-16      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CANADA, GOVERNMENT OF                                                              | CANADA GOVERNMENT OF 1.5% 12/01/2031                                                                    | CUSIP: 135087N26<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |     220000 | PA      | $146408.04    | 0.00%             | 2031-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                                                          | PROSUS NV 4.193% 01/19/2032 144A                                                                        | CUSIP: 74365PAH1<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |     140000 | PA      | $127246.87    | 0.00%             | 2032-01-19      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                            | MPLX LP 5% 03/01/2033                                                                                   | CUSIP: 55336VBV1<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1940937.58   | 0.03%             | 2033-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CSN RESOURCES SA                                                                   | CSN RESOURCES SA 8.875% 12/05/2030 144A                                                                 | CUSIP: 12644VAF5<br>LEI: 222100ZEX458NMOXZP08 | Long             | DBT              | CORP              | LU        |     200000 | PA      | $195422.00    | 0.00%             | 2030-12-05      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| SIG COMBIBLOC PURCHASECO SARL                                                      | SIG COMBIBLOC PURCHASECO SARL 3.75% 03/19/2030 REGS                                                     | CUSIP: N/A<br>LEI: 549300Q95MWZB4BXB866       | Long             | DBT              | CORP              | LU        |     125000 | PA      | $143995.08    | 0.00%             | 2030-03-19      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GHANA REPUBLIC OF                                                                  | GHANA REPUBLIC OF STEP 07/03/2035 144A                                                                  | CUSIP: 374422AP8<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |     144200 | PA      | $106347.50    | 0.00%             | 2035-07-03      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 02/01/2035#FM2502                                                                        | CUSIP: 3140X5X81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     122376 | PA      | $114402.28    | 0.00%             | 2035-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ARES XLI CLO LTD / ARES XLI CLO LLC                                                | ARES XLI CLO LTD / ARES XLI CLO LLC AR2 TSFR3M+133.161 04/15/2034 144A                                  | CUSIP: 04016DAS4<br>LEI: 549300X38KZ67Q2FQG11 | Long             | ABS-CBDO         | CORP              | KY        |    3233000 | PA      | $3234490.41   | 0.05%             | 2034-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 2020-5058 BE 3% 11/25/2050                                               | CUSIP: 3137F8AX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     408360 | PA      | $343014.89    | 0.00%             | 2050-11-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 1.5% 01/01/2041#MA4231                                                                        | CUSIP: 31418DVZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     652677 | PA      | $538481.20    | 0.01%             | 2041-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| ALLEGRO CLO LTD                                                                    | ALLEGRO CLO LTD A TSFR3M+140.161 07/20/2034 144A                                                        | CUSIP: 01750WAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     992000 | PA      | $992499.97    | 0.01%             | 2034-07-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.0% 12/20/44#MA2446                                                                            | CUSIP: 36179QWF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4822 | PA      | $4574.79      | 0.00%             | 2044-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GNR 2007-59 FC TSFR1M+61.448 7/37                                                                       | CUSIP: 38375LQB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      33943 | PA      | $33832.01     | 0.00%             | 2037-07-20      | Variable      | 0.05%                 | 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        |     650300 | PA      | $650300.01    | 0.01%             | 2037-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                 | ENERGY TRANSFER LP 7.375% 02/01/2031 144A                                                               | CUSIP: 226373AT5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     185000 | PA      | $193753.76    | 0.00%             | 2031-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GLOBAL PARTNERS LP / GLP FIN CORP                                                  | GLOBAL PARTNERS LP / GLP FIN CORP 7% 08/01/2027                                                         | CUSIP: 37954FAG9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1385000 | PA      | $1388372.48   | 0.02%             | 2027-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PRUDENTIAL FUNDING ASIA PLC                                                        | PRUDENTIAL FUNDING ASIA PLC T5Y+NA 11/03/2033 REGS                                                      | CUSIP: N/A<br>LEI: 2549005TNASWKLR0XC37       | Long             | DBT              | CORP              | GB        |     690000 | PA      | $637357.83    | 0.01%             | 2033-11-03      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-RPL1 LLC                                                                 | PRPM 2024-RPL1 LLC 4.2% 12/25/2064 144A                                                                 | CUSIP: 69380XAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2481028 | PA      | $2409370.86   | 0.04%             | 2064-12-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 11/15/2042#AB9211                                                                        | CUSIP: 36178WGU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      24275 | PA      | $22498.58     | 0.00%             | 2042-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ABU DHABI NATL ENERGY CO PJSC                                                      | ABU DHABI NATL ENERGY CO PJSC 4% 10/03/2049 144A                                                        | CUSIP: 00388WAH4<br>LEI: 213800UNJSVQFNUYYW03 | Long             | DBT              | CORP              | AE        |     235000 | PA      | $176104.30    | 0.00%             | 2049-10-03      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.50% 7/40 #004746                                                                              | CUSIP: 36202FHX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3900 | PA      | $3837.23      | 0.00%             | 2040-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 11/27 #190289                                                                                | CUSIP: 31368HKA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          6 | PA      | $6.37         | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 1.5% 12/01/2040#MA4202                                                                        | CUSIP: 31418DU42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2437775 | PA      | $2012902.16   | 0.03%             | 2040-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 12/01/2034#CA4890                                                                          | CUSIP: 3140QCNG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14921 | PA      | $14236.93     | 0.00%             | 2034-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 12/01/2032#MA3217                                                                        | CUSIP: 31418CSF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3889 | PA      | $3703.99      | 0.00%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 8/33 #C01614                                                                                 | CUSIP: 31292HYK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        497 | PA      | $493.06       | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 2.5% 08/20/2051#785564                                                                          | CUSIP: 3622ABB92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     846861 | PA      | $703708.51    | 0.01%             | 2051-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 04/20/2043#MA0934                                                                          | CUSIP: 36179NBB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15455 | PA      | $14252.74     | 0.00%             | 2043-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 04/15/2043#783836                                                                        | CUSIP: 3622A2HM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      39858 | PA      | $37051.67     | 0.00%             | 2043-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GOVERNMENT NAT MTG ASSN HECM 2018-H12 HA 3.25% 08/20/2068                                               | CUSIP: 38380LGR8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     341882 | PA      | $331643.86    | 0.00%             | 2068-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 12/46#BC9077                                                                             | CUSIP: 3140F5CP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      74084 | PA      | $67170.51     | 0.00%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MASTERBRAND INC                                                                    | MASTERBRAND INC 7% 07/15/2032 144A                                                                      | CUSIP: 57638PAA2<br>LEI: 549300E0Y4BR5Z9RDZ64 | Long             | DBT              | CORP              | US        |     150000 | PA      | $149155.73    | 0.00%             | 2032-07-15      | Fixed         | 0.07%                 | 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        |    1458500 | PA      | $1459412.01   | 0.02%             | 2041-03-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 07/01/2033#                                                                                | CUSIP: 31283HYM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        457 | PA      | $474.57       | 0.00%             | 2033-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SENEGAL REPUBLIC OF                                                                | SENEGAL REPUBLIC OF 6.25% 05/23/2033 144A                                                               | CUSIP: 81720TAC9<br>LEI: 549300NP14ZLQGWIUZ97 | Long             | DBT              | NUSS              | SN        |     675000 | PA      | $483894.00    | 0.01%             | 2033-05-23      | Fixed         | 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        |     193828 | PA      | $179926.35    | 0.00%             | 2036-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 09/01/2033#727139                                                                        | CUSIP: 31402EZC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3742 | PA      | $3707.29      | 0.00%             | 2033-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HEXION INC                                                                         | HEXION TERM 2LN 03/15/2030                                                                              | CUSIP: 42829JAB5<br>LEI: 54930030FZF8HYAEHM46 | Long             | LON              | CORP              | US        |      49412 | PA      | $47450.61     | 0.00%             | 2030-03-15      | Variable      | 0.12%                 | No            |                  2 | On Loan: No      |
| CMG MEDIA CORP                                                                     | COX MEDIA GROUP TERM B2 1LN 06/18/2029                                                                  | CUSIP: 88145LAF1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     657046 | PA      | $622551.52    | 0.01%             | 2029-06-18      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 10/28 #457547                                                                                | CUSIP: 31381DHY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          6 | PA      | $5.60         | 0.00%             | 2028-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 11/01/2046#AL9547                                                                          | CUSIP: 3138ERTD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     776921 | PA      | $684920.82    | 0.01%             | 2046-11-01      | 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        |    1249000 | PA      | $1240821.52   | 0.02%             | 2027-09-24      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 07/46#AS7533                                                                               | CUSIP: 3138WHLP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     425983 | PA      | $375273.95    | 0.01%             | 2046-07-01      | Fixed         | 0.03%                 | 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        |    9241000 | PA      | $8506115.30   | 0.12%             | 2032-04-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CSAIL 2017-C8 COML MTG TR                                                          | CSAIL 2017-C8 C COML MTG TR 4.264798% 06/15/2050                                                        | CUSIP: 12595BAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     490000 | PA      | $420886.14    | 0.01%             | 2050-06-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BBCMS MTG TR 2020-C7                                                               | BBCMS MTG TR 2020-C7 CSTR 04/15/2053                                                                    | CUSIP: 05492VAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     134000 | PA      | $112917.53    | 0.00%             | 2053-04-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 03/01/2039#AB0051                                                                        | CUSIP: 31416VBV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4817 | PA      | $4768.62      | 0.00%             | 2039-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2% 10/01/2035#BK5705                                                                          | CUSIP: 3140HKKT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     411101 | PA      | $374065.39    | 0.01%             | 2035-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII 15YR 3% 09/20/2031#MA3913                                                                          | CUSIP: 36179SK22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17497 | PA      | $16948.93     | 0.00%             | 2031-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 22-15 GC 3% 01/25/2047                                                   | CUSIP: 3136BMHY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     173464 | PA      | $160600.72    | 0.00%             | 2047-01-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 08/01/2031#BC2778                                                                        | CUSIP: 3140EXCQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24490 | PA      | $23508.79     | 0.00%             | 2031-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 01/01/2051#MA4237                                                                          | CUSIP: 31418DV74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3746839 | PA      | $2933056.82   | 0.04%             | 2051-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.5% 03/43 #AR8173                                                                                 | CUSIP: 3138W6CK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13491 | PA      | $12457.68     | 0.00%             | 2043-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| YINSON BORONIA PRODUCTION B.V.                                                     | YINSON BORONIA PRODUCTION B.V. 8.947% 07/31/2042 144A                                                   | CUSIP: 98584XAA3<br>LEI: 5493007X12FTT746N678 | Long             | DBT              | CORP              | NL        |     545149 | PA      | $567511.01    | 0.01%             | 2042-07-31      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| HOLDING D'INFRASTRUCTURES ET DES METIERS DE L'ENVIRONNEMENT                        | HOLDING D'INFRASTRUCTURES ET DES METIERS DE L'ENVIRONNEMENT 0.625% 09/16/2028 REGS                      | CUSIP: N/A<br>LEI: 969500I3QVK40XEORU25       | Long             | DBT              | CORP              | FR        |     249000 | PA      | $256948.85    | 0.00%             | 2028-09-16      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| CMG MEDIA CORP                                                                     | CMG MEDIA CORP 8.875% 06/18/2029 144A                                                                   | CUSIP: 125773AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     345000 | PA      | $317400.00    | 0.00%             | 2029-06-18      | Fixed         | 0.09%                 | 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        |    3040000 | PA      | $3057965.49   | 0.04%             | 2029-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WILLIS ENGINE STRUCTURED TR VII                                                    | WILLIS ENGINE STRUCTURED TR VII 23-A A 8% 10/15/2048 144A                                               | CUSIP: 97064YAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     747869 | PA      | $763639.07    | 0.01%             | 2048-10-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| BBCMS MTG TR 2025-5C33                                                             | BBCMS MTG TR 2025-5C33 D 6.8473% 03/15/2058 144A                                                        | CUSIP: 072924AN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     213000 | PA      | $202450.39    | 0.00%             | 2058-03-15      | Variable      | 0.07%                 | 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        |    1078321 | PA      | $980386.26    | 0.01%             | 2048-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 2.5% 08/01/2041#QK0985                                                                        | CUSIP: 3133D4CW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      56316 | PA      | $49582.25     | 0.00%             | 2041-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 12/01/2051#RA6510                                                                          | CUSIP: 3133KNGT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     249938 | PA      | $197371.72    | 0.00%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 12/01/2051#CB2350                                                                          | CUSIP: 3140QMTG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     257836 | PA      | $202722.51    | 0.00%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| HUNGARY REPUBLIC OF                                                                | HUNGARY REPUBLIC OF 5.5% 06/16/2034 144A                                                                | CUSIP: 445545AQ9<br>LEI: 5299008DH62LEB10JK83 | Long             | DBT              | NUSS              | HU        |     280000 | PA      | $271163.20    | 0.00%             | 2034-06-16      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 06/47#Q48876                                                                             | CUSIP: 3132WN2J0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21235 | PA      | $20450.51     | 0.00%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 03/01/2051#BR4722                                                                          | CUSIP: 3140L3G88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35938 | PA      | $28391.00     | 0.00%             | 2051-03-01      | Fixed         | 0.02%                 | 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        |    2155000 | PA      | $2027633.79   | 0.03%             | 2029-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CENOVUS ENERGY INC                                                                 | CENOVUS ENERGY INC 6.75% 11/15/2039                                                                     | CUSIP: 15135UAF6<br>LEI: 549300F4XPHJ7NOSP309 | Long             | DBT              | CORP              | CA        |      58000 | PA      | $61091.28     | 0.00%             | 2039-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP NEW                                                               | DUKE ENERGY CORP NEW 2.45% 06/01/2030                                                                   | CUSIP: 26441CBH7<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |     565000 | PA      | $507576.51    | 0.01%             | 2030-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 02/01/2043#AR5858                                                                        | CUSIP: 3138W3QL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9034 | PA      | $8110.61      | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 01/01/2052#FS0191                                                                        | CUSIP: 3140XFF97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     274711 | PA      | $227793.23    | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | 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        |    6897790 | PA      | $5403958.52   | 0.08%             | 2050-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BRASKEM NETHERLANDS FINANCE BV                                                     | BRASKEM NETHERLANDS FIN BV 8.5% 01/12/2031 144A                                                         | CUSIP: 10554TAH8<br>LEI: 2549000TLMHFQ74DS330 | Long             | DBT              | CORP              | NL        |     235000 | PA      | $225036.00    | 0.00%             | 2031-01-12      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM 30YR 5.5% 07/01/2053#RA9373                                                                        | CUSIP: 3133KRMW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3397051 | PA      | $3393797.52   | 0.05%             | 2053-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 11/01/2032#G18665                                                                        | CUSIP: 3128MMW33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5206 | PA      | $4965.60      | 0.00%             | 2032-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| LEVEL 3 FINANCING INC                                                              | LEVEL 3 FINANCING INC 3.875% 10/15/2030 144A                                                            | CUSIP: 527298CF8<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |     240000 | PA      | $202200.00    | 0.00%             | 2030-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 7/40 #745228                                                                                 | CUSIP: 3620C04M7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9943 | PA      | $9771.88      | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | 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        |   42800000 | PA      | $43215707.84  | 0.63%             | 2055-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                                                               | ONEMAIN FINANCE CORP 7.5% 05/15/2031                                                                    | CUSIP: 682691AF7<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |     265000 | PA      | $272184.15    | 0.00%             | 2031-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 05/01/2041#FM7587                                                                        | CUSIP: 3140XBND8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     101844 | PA      | $89858.29     | 0.00%             | 2041-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIAN OIL COMPANY                                                          | SAUDI ARABIAN OIL COMPANY 3.5% 04/16/2029 144A                                                          | CUSIP: 80414L2D6<br>LEI: 5586006WD91QHB7J4X50 | Long             | DBT              | CORP              | SA        |     710000 | PA      | $678369.50    | 0.01%             | 2029-04-16      | Fixed         | 0.04%                 | 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        |    3618000 | PA      | $3621375.59   | 0.05%             | 2037-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 2% 11/15/2041                                                               | CUSIP: 912810TC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   11400000 | PA      | $7682976.53   | 0.11%             | 2041-11-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | USTN TII 2.375% 02/15/2055                                                                              | CUSIP: 912810UH9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5250000 | PA      | $5062406.66   | 0.07%             | 2055-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 1.5% 12/01/2036#FS9575                                                                        | CUSIP: 3140XRT96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     374541 | PA      | $330343.58    | 0.00%             | 2036-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 1.5% 04/01/2041#QK0705                                                                        | CUSIP: 3133D3YA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     853558 | PA      | $703226.77    | 0.01%             | 2041-04-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 09/01/2051#QC7496                                                                          | CUSIP: 3133ASKH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     165747 | PA      | $142416.48    | 0.00%             | 2051-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 11/01/2051#FS0965                                                                          | CUSIP: 3140XGCB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     579800 | PA      | $452241.75    | 0.01%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| TRANSCONTINENTAL GAS PIPE LINE CO LLC                                              | TRANSCONTINENTAL GAS LINE LLC 3.25% 05/15/2030                                                          | CUSIP: 893574AP8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     207000 | PA      | $192878.81    | 0.00%             | 2030-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 01/01/2052#CB2695                                                                          | CUSIP: 3140QM7H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     130639 | PA      | $121931.17    | 0.00%             | 2052-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BOSTON PPTY LTD PARTNERSHIP                                                        | BOSTON PPTYS LTD PARTNERSHIP 4.5% 12/01/2028                                                            | CUSIP: 10112RBA1<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |     605000 | PA      | $596348.36    | 0.01%             | 2028-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CY873248 04/17/65 B                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     140000 | NC      | $23869.89     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EQT TR 2024-EXTR                                                                   | EQT TR 2024-EXTR VAR 07/05/2041 144A                                                                    | CUSIP: 29439DAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     133000 | PA      | $134280.50    | 0.00%             | 2041-07-05      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| WHEELS FLEET LEASE FUNDING 1 LLC                                                   | WHEELS FLEET LEASE FUNDING 1 LLC 4.87% 06/21/2039 144A                                                  | CUSIP: 96328GBT3<br>LEI: 549300BSFY0E0XXREF43 | Long             | ABS-CBDO         | CORP              | US        |    3132000 | PA      | $3140467.05   | 0.05%             | 2039-06-21      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 09/01/2043#Q21605                                                                        | CUSIP: 3132JNYA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7224 | PA      | $6852.57      | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 2.947% 07/01/2043#AL5652                                                                       | CUSIP: 3138ENH69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8551 | PA      | $8877.63      | 0.00%             | 2043-07-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 3/38 #889219                                                                                 | CUSIP: 31410G4C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2252 | PA      | $2362.52      | 0.00%             | 2038-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                      | CITIGROUP INC 4.91%/VAR 05/24/2033                                                                      | CUSIP: 172967NU1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   16224000 | PA      | $15949149.70  | 0.23%             | 2033-05-24      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                         | CAPITAL ONE FINANCIAL CORP 4.1% 02/09/2027                                                              | CUSIP: 254709AM0<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |     284000 | PA      | $281760.89    | 0.00%             | 2027-02-09      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 6% 03/01/2039#FS7558                                                                          | CUSIP: 3140XPMG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2402814 | PA      | $2470577.47   | 0.04%             | 2039-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AMERICAN ROCK SALT CO LLC                                                          | AMERICAN ROCK SALT TERM 1ST OUT DD TL 1LN 6/9/2028                                                      | CUSIP: 02932JAU1<br>LEI: 549300FBKBNV4GSVVR46 | Long             | LON              | CORP              | US        |      45153 | PA      | $45153.35     | 0.00%             | 2028-06-09      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 12/01/2047#G61305                                                                          | CUSIP: 31335BNW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      98736 | PA      | $92236.02     | 0.00%             | 2047-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 06/20/2046#AS4297                                                                          | CUSIP: 36193NX21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15451 | PA      | $13915.46     | 0.00%             | 2046-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| POLARIS NEWCO LLC                                                                  | SOLERA TERM PIK TERM 2LN 06/04/2029                                                                     | CUSIP: N/A<br>LEI: 254900LEPDAG7EDOA064       | Long             | LON              | CORP              | US        |     335000 | PA      | $321914.90    | 0.00%             | 2029-06-04      | Variable      | 0.13%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                  | HSBC HOLDINGS PLC 4.787%/VAR 03/10/2032 REGS                                                            | CUSIP: N/A<br>LEI: MLU0ZO3ML4LN2LL2TL39       | Long             | DBT              | CORP              | GB        |     547000 | PA      | $666240.60    | 0.01%             | 2032-03-10      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 12/01/2050#SD8115                                                                          | CUSIP: 3132DWAQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     426229 | PA      | $366832.86    | 0.01%             | 2050-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GRAPHIC PACKAGING INTL INC                                                         | GRAPHIC PACKAGING INTL INC 3.75% 02/01/2030 144A                                                        | CUSIP: 38869AAD9<br>LEI: SO75N4VY5NXGQSK8YQ65 | Long             | DBT              | CORP              | US        |     585000 | PA      | $539193.14    | 0.01%             | 2030-02-01      | 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        |    4203000 | PA      | $4207783.01   | 0.06%             | 2038-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4% 06/30/2028                                                                                 | CUSIP: 91282CHK0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7000000 | PA      | $7027343.75   | 0.10%             | 2028-06-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 8/39 #698474                                                                                 | CUSIP: 36296Q6K0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25717 | PA      | $25295.71     | 0.00%             | 2039-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 5.5% 08/01/2025#AL0517                                                                        | CUSIP: 3138EGSF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          3 | PA      | $3.05         | 0.00%             | 2025-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 8/41 #Q02511                                                                                 | CUSIP: 3132GFYG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1126 | PA      | $1108.33      | 0.00%             | 2041-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 5/39 #G05457                                                                                 | CUSIP: 3128M7ME3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7951 | PA      | $7842.46      | 0.00%             | 2039-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BRANDYWINE OPER PARTNERSHIP LP                                                     | BRANDYWINE OPER PARTNERSHIP LP 3.95% 11/15/2027                                                         | CUSIP: 105340AQ6<br>LEI: IXBXSCONLDQ1ZI73YU71 | Long             | DBT              | CORP              | US        |     421000 | PA      | $401803.75    | 0.01%             | 2027-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SERBIA REPUBLIC OF                                                                 | SERBIA REPUBLIC OF 6.5% 09/26/2033 144A                                                                 | CUSIP: 817477AH5<br>LEI: 254900W94OCY91V32O78 | Long             | DBT              | NUSS              | RS        |     200000 | PA      | $206400.00    | 0.00%             | 2033-09-26      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ORBIA ADVANCE CORPORATION SAB DE CV                                                | ORBIA ADVANCE CORPORATION SAB DE CV 2.875% 05/11/2031 144A                                              | CUSIP: 68560EAB4<br>LEI: 549300MVHZ20SBIOEQ79 | Long             | DBT              | CORP              | MX        |     140000 | PA      | $115305.40    | 0.00%             | 2031-05-11      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                     | MORGAN STANLEY 2.699%/VAR 01/22/2031                                                                    | CUSIP: 6174468L6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   12000000 | PA      | $10946994.24  | 0.16%             | 2031-01-22      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 4.5% 06/01/2039#FM1045                                                                        | CUSIP: 3140X4ET9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11206 | PA      | $10981.63     | 0.00%             | 2039-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 2/42 #AK2525                                                                                 | CUSIP: 3138E6YX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1461 | PA      | $1399.29      | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 1.5% 02/01/2036#FM5367                                                                        | CUSIP: 3140X86D4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14072 | PA      | $12411.17     | 0.00%             | 2036-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                      | GOLDMAN SACHS GROUP INC (THE) 3.691%/VAR 06/05/2028                                                     | CUSIP: 38141GWL4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    4660000 | PA      | $4574828.62   | 0.07%             | 2028-06-05      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 11/01/2051#CB2164                                                                          | CUSIP: 3140QMMN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     739592 | PA      | $637105.37    | 0.01%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| INVERSIONES CMPC SA                                                                | INVERSIONES CMPC SA 3% 04/06/2031 144A                                                                  | CUSIP: 46128MAQ4<br>LEI: 549300G475ACIABB4385 | Long             | DBT              | CORP              | CL        |     235000 | PA      | $202264.50    | 0.00%             | 2031-04-06      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                                                               | COLOMBIA REPUBLIC OF 8.75% 11/14/2053                                                                   | CUSIP: 195325EM3<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |    1350000 | PA      | $1316925.00   | 0.02%             | 2053-11-14      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| MEXICO UNITED MEXICAN STATES                                                       | MEXICO UNITED MEXICAN STATES 2.659% 05/24/2031                                                          | CUSIP: 91087BAM2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     160000 | PA      | $136320.00    | 0.00%             | 2031-05-24      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2011-4 PZ 5% 2/41                                                                                   | CUSIP: 31397QKY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      26591 | PA      | $26335.69     | 0.00%             | 2041-02-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.0% 02/15/2045#AK7288                                                                        | CUSIP: 36183RCZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12604 | PA      | $11209.50     | 0.00%             | 2045-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 02/01/2055#CB9985                                                                          | CUSIP: 3140QWCX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1936692 | PA      | $1990583.14   | 0.03%             | 2055-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 2.5% 08/20/2051#785575                                                                          | CUSIP: 3622ABCL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     577237 | PA      | $479661.26    | 0.01%             | 2051-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ACRISURE LLC / ACRISURE FINANCE INC                                                | ACRISURE LLC / ACRISURE FINANCE INC 6% 08/01/2029 144A                                                  | CUSIP: 00489LAH6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     225000 | PA      | $217805.63    | 0.00%             | 2029-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AIRCASTLE LTD                                                                      | AIRCASTLE LTD 5.25%/VAR PERP 144A                                                                       | CUSIP: 00928QAW1<br>LEI: 549300PNK8AKY3OIKP58 | Long             | EP               | CORP              | BM        |     645000 | PA      | $640499.25    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 10/41 #AJ3485                                                                                | CUSIP: 3138AU2T3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2479 | PA      | $2354.04      | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WAYFAIR LLC                                                                        | WAYFAIR LLC 7.25% 10/31/2029 144A                                                                       | CUSIP: 94419NAA5<br>LEI: 549300CTUWTZGOXMYI40 | Long             | DBT              | CORP              | US        |    1120000 | PA      | $1090804.06   | 0.02%             | 2029-10-31      | Fixed         | 0.07%                 | No            |                  2 | On Loan: —       |
| OOREDOO INTERNATIONAL FINANCE LTD                                                  | OOREDOO INTL FIN LTD 2.625% 04/08/2031 144A                                                             | CUSIP: 74735KAA0<br>LEI: 549300BHXCDJ03WU7N77 | Long             | DBT              | CORP              | BM        |     170000 | PA      | $150778.10    | 0.00%             | 2031-04-08      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PARTNERSHIP LP                                                   | BRIXMOR OPERATING PARTNERSHIP LP 5.5% 02/15/2034                                                        | CUSIP: 11120VAM5<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $2991460.20   | 0.04%             | 2034-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 08/01/2054#CB8984                                                                        | CUSIP: 3140QU6W1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1369467 | PA      | $1374147.44   | 0.02%             | 2054-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 03/46#BC0287                                                                             | CUSIP: 3140EUJ91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5486 | PA      | $5292.01      | 0.00%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.0% 07/01/2041#Q02130                                                                        | CUSIP: 3132GFLK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1930 | PA      | $1941.60      | 0.00%             | 2041-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| INTOWN 2025-STAY MTG TR                                                            | INTOWN 2025-STAY E MTG TR TSFR1M+385 03/15/2042 144A                                                    | CUSIP: 46117WAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     176000 | PA      | $175009.56    | 0.00%             | 2042-03-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| ENBW INTERNATIONAL FINANCE BV                                                      | ENBW INTERNATIONAL FINANCE BV 3.75% 11/20/2035 REGS                                                     | CUSIP: N/A<br>LEI: 724500CNCIO1ZTJ0X675       | Long             | DBT              | CORP              | NL        |     850000 | PA      | $967182.67    | 0.01%             | 2035-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GNR 2010-170 B 4% 12/40                                                                                 | CUSIP: 38377NRP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      22700 | PA      | $21955.38     | 0.00%             | 2040-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 07/01/2050#FM3742                                                                        | CUSIP: 3140X7EQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     940310 | PA      | $780891.87    | 0.01%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ARI FLEET LEASE TRUST 2024-B                                                       | ARI FLEET LEASE TRUST 2024-B 5.54% 04/15/2033 144A                                                      | CUSIP: 04033HAB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     644660 | PA      | $648023.20    | 0.01%             | 2033-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 2.5% 11/01/2041#QK1203                                                                        | CUSIP: 3133D4KQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      78053 | PA      | $68449.78     | 0.00%             | 2041-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EGYPT, (ARAB) REPUBLIC OF                                                          | EGYPT (ARAB) REPUBLIC OF 7.5% 02/16/2061 144A                                                           | CUSIP: 03846JAC4<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |     495000 | PA      | $338451.30    | 0.00%             | 2061-02-16      | Fixed         | 0.07%                 | 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        |    3467544 | PA      | $3161660.92   | 0.05%             | 2035-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 3336 LI SOFR30A+646.552 6/37                                                                        | CUSIP: 31397J7J7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       7321 | PA      | $815.98       | 0.00%             | 2037-06-15      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.50% 11/40 #004854                                                                             | CUSIP: 36202FMB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2030 | PA      | $1996.59      | 0.00%             | 2040-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 9/27 #313687                                                                                 | CUSIP: 31374GNC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          9 | PA      | $9.69         | 0.00%             | 2027-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2% 07/01/2041#CB1069                                                                          | CUSIP: 3140QLFK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     313767 | PA      | $266748.03    | 0.00%             | 2041-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 11/01/2039#AC6492                                                                        | CUSIP: 31417TGA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        735 | PA      | $722.93       | 0.00%             | 2039-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.50% 8/32 #C70220                                                                                 | CUSIP: 31287XG59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        257 | PA      | $267.41       | 0.00%             | 2032-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 06/01/2035#                                                                                | CUSIP: 3128MJB82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        244 | PA      | $245.72       | 0.00%             | 2035-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                              | BOAM SWAP REC 3.95 04/29/30                                                                             | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    4560000 | NC      | $160768.64    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PARAGUAY REPUBLIC OF                                                               | PARAGUAY REPUBLIC OF 5.4% 03/30/2050 144A                                                               | CUSIP: 699149AH3<br>LEI: 529900UXKJTJPCU0HK83 | Long             | DBT              | NUSS              | PY        |     150000 | PA      | $126006.75    | 0.00%             | 2050-03-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DISCOVERY COMMUNICATIONS LLC                                                       | DISCOVERY COMMUNICATIONS LLC 5% 09/20/2037                                                              | CUSIP: 25470DAS8<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |    2800000 | PA      | $2204599.18   | 0.03%             | 2037-09-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2432 FE SOFR30A+101.448 6/31                                                                        | CUSIP: 31339NNM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |        293 | PA      | $294.33       | 0.00%             | 2031-06-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+ 12/25/2054                                                      | CUSIP: 3136BTF81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    1212706 | PA      | $1211199.18   | 0.02%             | 2054-12-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 5/39 #713327                                                                                 | CUSIP: 36297JPL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1953 | PA      | $1962.32      | 0.00%             | 2039-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 09/01/2050#QB3199                                                                          | CUSIP: 3133A9RU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15998 | PA      | $12553.58     | 0.00%             | 2050-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GEOPARK LTD                                                                        | GEOPARK LTD 5.5% 01/17/2027 144A                                                                        | CUSIP: 37255BAB5<br>LEI: 529900ZR5QI19AH4KZ07 | Long             | DBT              | CORP              | BM        |     235000 | PA      | $222956.25    | 0.00%             | 2027-01-17      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 7.00% 7/29 #C47273                                                                                 | CUSIP: 31298GCJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1436 | PA      | $1498.36      | 0.00%             | 2029-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CY885799 12/15/56 S                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     200000 | NC      | $-3501.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GNMA 13-149 MA 2.5% 5/20/40                                                                             | CUSIP: 38378UQY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      41902 | PA      | $41080.66     | 0.00%             | 2040-05-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                                     | CITI SWAP PAY 3.694 12/12/2028                                                                          | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |    5500000 | NC      | $219714.11    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 11/01/2046#BC9026                                                                          | CUSIP: 3140F5A45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     807411 | PA      | $711800.96    | 0.01%             | 2046-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2996 MK 5.5% 6/35                                                                                   | CUSIP: 31395UYX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       1573 | PA      | $1595.87      | 0.00%             | 2035-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                  | HSBC HOLDINGS PLC 4.856%/VAR 05/23/2033 REGS                                                            | CUSIP: N/A<br>LEI: MLU0ZO3ML4LN2LL2TL39       | Long             | DBT              | CORP              | GB        |     640000 | PA      | $784198.33    | 0.01%             | 2033-05-23      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 1.75% 08/15/2041                                                            | CUSIP: 912810TA6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   11769000 | PA      | $7644792.98   | 0.11%             | 2041-08-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                         | VERIZON COMMUNICATIONS INC 2.55% 03/21/2031                                                             | CUSIP: 92343VGJ7<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    1065000 | PA      | $943267.38    | 0.01%             | 2031-03-21      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BX 2021-VOLT                                                                       | BX 2021-VOLT G TSFR1M+296.448 09/15/2023 144A                                                           | CUSIP: 05609VAS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     726000 | PA      | $716585.01    | 0.01%             | 2036-09-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 2.5% 11/25/2047                                                          | CUSIP: 3137H5F77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     124182 | PA      | $109390.23    | 0.00%             | 2047-11-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.0% 08/20/2045#MA3035                                                                          | CUSIP: 36179RLQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     262918 | PA      | $246356.48    | 0.00%             | 2045-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PRIMA CAP CRE SECURITIZATION 2019-RK1 LTD/LLC                                      | PRIMA CAP CRE SECURITIZATION 2019-RK1 LTD/LLC BT 4.45% 04/15/2038 144A                                  | CUSIP: 74166GAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |     308000 | PA      | $295398.12    | 0.00%             | 2038-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GLOBAL AIRCRAFT LEASING CO LTD                                                     | GLOBAL AIRCRAFT LEASING CO LTD 8.75% 09/01/2027 144A                                                    | CUSIP: 37960JAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     665000 | PA      | $672471.39    | 0.01%             | 2027-09-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| CPT MORTGAGE TRUST 2019                                                            | CPT MORTGAGE TRUST 2019 CSTR 11/13/2039 144A                                                            | CUSIP: 12654YAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $80708.95     | 0.00%             | 2039-11-13      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/40#AE6588                                                                               | CUSIP: 31419HKA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3259 | PA      | $3120.01      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WRANGLER HOLDCO CORP                                                               | WRANGLER HOLDCO CORP 6.625% 04/01/2032 144A                                                             | CUSIP: 37441QAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1740000 | PA      | $1794601.20   | 0.03%             | 2032-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.00% 8/37 #G06089                                                                                 | CUSIP: 3128M8C28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3334 | PA      | $3492.50      | 0.00%             | 2037-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                                | PETROLEOS MEXICANOS 6.7% 02/16/2032                                                                     | CUSIP: 71643VAB1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    5045000 | PA      | $4504680.50   | 0.07%             | 2032-02-16      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CA MAGNUM HOLDINGS                                                                 | CA MAGNUM HOLDINGS 5.375% 10/31/2026 144A                                                               | CUSIP: 12674CAA1<br>LEI: 549300ZRDHFR078MFZ78 | Long             | DBT              | CORP              | MU        |     265000 | PA      | $261687.50    | 0.00%             | 2026-10-31      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5% 07/01/2033#709470                                                                          | CUSIP: 31401JFK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4021 | PA      | $4041.70      | 0.00%             | 2033-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 04/01/2043#G07345                                                                        | CUSIP: 3128M9P63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      81874 | PA      | $77811.70     | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                              | BOAM SWAP PAY 3.805 11/05/29                                                                            | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    5300000 | NC      | $228273.81    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CIMIC FINANCE LTD                                                                  | CIMIC FINANCE LTD 1.5% 05/28/2029 REGS                                                                  | CUSIP: N/A<br>LEI: 213800SWJBM5VMCQJW54       | Long             | DBT              | CORP              | AU        |     328000 | PA      | $344899.99    | 0.01%             | 2029-05-28      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| CALUMET SPECIALTY PRODS PARTNERS LP / CALUMET FIN CORP                             | CALUMET SPEC PROD PRT/FIN CORP 9.75% 07/15/2028 144A                                                    | CUSIP: 131477AW1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     596000 | PA      | $574514.74    | 0.01%             | 2028-07-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 5.80% 5/37 #1N1474                                                                             | CUSIP: 3128QHT75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1542 | PA      | $1584.14      | 0.00%             | 2037-05-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 10/46#AL9397                                                                               | CUSIP: 3138ERNP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28124 | PA      | $24697.04     | 0.00%             | 2046-10-01      | Fixed         | 0.03%                 | 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        |    1100000 | PA      | $1094290.00   | 0.02%             | 2026-01-13      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 12/01/2046#Q45028                                                                        | CUSIP: 3132WJSS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5843 | PA      | $5623.36      | 0.00%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                                                                      | CARNIVAL CORP 5.75% 03/15/2030 144A                                                                     | CUSIP: 143658BY7<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |     895000 | PA      | $897099.44    | 0.01%             | 2030-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 11/41 #489862                                                                                | CUSIP: 36210EFB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16204 | PA      | $15526.85     | 0.00%             | 2041-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                           | FORD MTR CR CO LLC 6.86% 06/05/2026                                                                     | CUSIP: 345397C84<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     304000 | PA      | $415192.57    | 0.01%             | 2026-06-05      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 06/47#Q48877                                                                               | CUSIP: 3132WN2K7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      26874 | PA      | $25222.60     | 0.00%             | 2047-06-01      | 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        |  167261000 | PA      | $149391513.84 | 2.17%             | 2054-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 3% 07/01/2040#FM7867                                                                          | CUSIP: 3140XBW55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      56407 | PA      | $51260.89     | 0.00%             | 2040-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ADIENT GLOBAL HOLDINGS LTD                                                         | ADIENT GLOBAL HOLDINGS LTD 7.5% 02/15/2033 144A                                                         | CUSIP: 00687YAD7<br>LEI: 213800VA38VCKE6M8790 | Long             | DBT              | CORP              | JE        |     365000 | PA      | $362353.53    | 0.01%             | 2033-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SEAGATE DATA STORAGE TECHNOLOGY PTE LTD                                            | SEAGATE DATA STORAGE TECHNOLOGY PTE LTD 5.875% 07/15/2030 144A                                          | CUSIP: 81180LAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | SG        |     370000 | PA      | $370703.09    | 0.01%             | 2030-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2020-B18 MORTGAGE TRUST                                                  | BENCHMARK 2020-B18 MORTGAGE TRUST 4.534% 07/15/2053 144A                                                | CUSIP: 08163ABT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     600000 | PA      | $586567.08    | 0.01%             | 2053-07-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BANKERS HEALTHCARE GROUP SECURITIZATION TRUST                                      | BANKERS HEALTHCARE GROUP SECURITIZATION TRUST 4.82% 04/17/2036 144A                                     | CUSIP: 08860AAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1489351 | PA      | $1486153.33   | 0.02%             | 2036-04-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                                                 | DOMINICAN REPUBLIC 5.95% 01/25/2027 144A                                                                | CUSIP: 25714PDT2<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |    3260000 | PA      | $3277930.00   | 0.05%             | 2027-01-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 04/01/2052#SD6932                                                                          | CUSIP: 3132DUVZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4156848 | PA      | $3267005.17   | 0.05%             | 2052-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 5/40 #736729                                                                                 | CUSIP: 3620AQPN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5872 | PA      | $5771.75      | 0.00%             | 2040-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 4/26 #313275                                                                                 | CUSIP: 31374F6L8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          3 | PA      | $3.18         | 0.00%             | 2026-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CY451600 12/16/72 B                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |      40000 | NC      | $-72.83       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 03/01/2050#FM2629                                                                        | CUSIP: 3140X54P5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     768328 | PA      | $636866.73    | 0.01%             | 2050-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| LEVEL 3 FINANCING INC                                                              | LEVEL 3 FINANCING INC 10% 10/15/2032 144A                                                               | CUSIP: 527298CK7<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |      65000 | PA      | $65331.67     | 0.00%             | 2032-10-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 7/40 #745196                                                                                 | CUSIP: 3620C03D8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3995 | PA      | $3924.29      | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                                                               | ONEMAIN FINANCE CORP 6.625% 05/15/2029                                                                  | CUSIP: 682691AH3<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |     565000 | PA      | $571298.03    | 0.01%             | 2029-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                              | JPMORGAN CHASE and CO 3.761%/VAR 03/21/2034 REGS                                                        | CUSIP: N/A<br>LEI: 8I5DZWZKVSZI1NUHU748       | Long             | DBT              | CORP              | US        |     251000 | PA      | $290662.57    | 0.00%             | 2034-03-21      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                            | HCA INC 3.5% 09/01/2030                                                                                 | CUSIP: 404119CA5<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    8709000 | PA      | $8123236.75   | 0.12%             | 2030-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                | MSCS SWAP CY873248 04/17/65 B                                                                           | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |     190000 | NC      | $32394.85     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TRINET GROUP INC                                                                   | TRINET GROUP INC 3.5% 03/01/2029 144A                                                                   | CUSIP: 896288AA5<br>LEI: 5299003FJVBETSFKE990 | Long             | DBT              | CORP              | US        |     300000 | PA      | $277260.48    | 0.00%             | 2029-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 02/01/2043#AR2626                                                                        | CUSIP: 3138NY4L6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27832 | PA      | $24203.89     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CITYCON TREASURY BV                                                                | CITYCON TREASURY BV 5.375% 07/08/2031 REGS                                                              | CUSIP: N/A<br>LEI: 549300WAE0CGQ0IE1H63       | Long             | DBT              | CORP              | NL        |     100000 | PA      | $115617.20    | 0.00%             | 2031-07-08      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CLYDESDALE ACQUISITION HOLDINGS INC                                                | CLYDESDALE ACQUISITION HOLDINGS INC 6.875% 01/15/2030 144A                                              | CUSIP: 18972EAC9<br>LEI: 254900QKSDYFR3K5YD98 | Long             | DBT              | CORP              | US        |     335000 | PA      | $339706.75    | 0.00%             | 2030-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 12/01/2054#CB9668                                                                        | CUSIP: 3140QVW67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2365724 | PA      | $2347193.74   | 0.03%             | 2054-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TENCENT HLDGS LTD                                                                  | TENCENT HLDGS LTD 2.39% 06/03/2030 144A                                                                 | CUSIP: 88032WAU0<br>LEI: 254900N4SLUMW4XUYY11 | Long             | DBT              | CORP              | KY        |     225000 | PA      | $204160.50    | 0.00%             | 2030-06-03      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 03/01/2033#G18683                                                                        | CUSIP: 3128MMXM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15137 | PA      | $14403.29     | 0.00%             | 2033-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 01/01/2052#SD0856                                                                          | CUSIP: 3132DM5R2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     202724 | PA      | $158123.73    | 0.00%             | 2052-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| OMAN SULTANATE                                                                     | OMAN SULTANATE 6% 08/01/2029 144A                                                                       | CUSIP: 68205LAB9<br>LEI: 549300SZ20F0QTKNQC75 | Long             | DBT              | NUSS              | OM        |     490000 | PA      | $504915.60    | 0.01%             | 2029-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                      | GOLDMAN SACHS GROUP INC (THE) 3.814%/VAR 04/23/2029                                                     | CUSIP: 38141GWV2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    6025000 | PA      | $5893555.71   | 0.09%             | 2029-04-23      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 04/01/2048#FM9750                                                                          | CUSIP: 3140XDZQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     286300 | PA      | $256399.95    | 0.00%             | 2048-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNUM GROUP                                                                         | UNUM GROUP 4% 06/15/2029                                                                                | CUSIP: 91529YAN6<br>LEI: 549300E32YFDO6TZ8R31 | Long             | DBT              | CORP              | US        |     852000 | PA      | $827405.37    | 0.01%             | 2029-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 1/29 #323500                                                                                 | CUSIP: 31374TKM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          7 | PA      | $7.59         | 0.00%             | 2029-01-01      | Fixed         | 0.07%                 | 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        |     851700 | PA      | $703844.46    | 0.01%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| LBA TR 2024-BOLT                                                                   | LBA TR 2024-BOLT TSFR1M+368.6 06/15/2026 144A                                                           | CUSIP: 50177BAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $998750.00    | 0.01%             | 2039-06-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                              | JPMORGAN CHASE and CO 5.581%/VAR 04/22/2030                                                             | CUSIP: 46647PEG7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   15000000 | PA      | $15483817.80  | 0.23%             | 2030-04-22      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| KKR CLO 41 LTD                                                                     | KKR CLO 41 LTD A1 TSFR3M+133 04/15/2035 144A                                                            | CUSIP: 48255PAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1897000 | PA      | $1898758.52   | 0.03%             | 2035-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| KEHE DIST/FIN / NEXTWAVE                                                           | KEHE DIST/FIN / NEXTWAVE 9% 02/15/2029 144A                                                             | CUSIP: 487526AC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1170000 | PA      | $1219721.64   | 0.02%             | 2029-02-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                                                               | COLOMBIA REPUBLIC OF 7.375% 04/25/2030                                                                  | CUSIP: 195325ER2<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |     200000 | PA      | $205980.00    | 0.00%             | 2030-04-25      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ROMANIA, REPUBLIC OF                                                               | ROMANIA REPUBLIC OF 7.5% 02/10/2037 144A                                                                | CUSIP: 77586RAW0<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     314000 | PA      | $315271.70    | 0.00%             | 2037-02-10      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 12/41 #AJ4198                                                                                | CUSIP: 3138AVUY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6179 | PA      | $5887.46      | 0.00%             | 2041-12-01      | Fixed         | 0.04%                 | 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        |     367518 | PA      | $368537.45    | 0.01%             | 2040-11-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA GTD MTG PASS THRU CTF SOFR30A+120 02/25/2055                                                       | CUSIP: 3136BUVN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    2000058 | PA      | $1994043.75   | 0.03%             | 2055-02-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| SCIL IV LLC / SCIL USA HOLDINGS LLC                                                | SCIL IV LLC / SCIL USA HOLDINGS LLC 5.375% 11/01/2026 144A                                              | CUSIP: 78397UAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     345000 | PA      | $343252.88    | 0.00%             | 2026-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SPA HOLDINGS 3 OY                                                                  | AHLSTROM TERM B 1LN 05/23/2030                                                                          | CUSIP: 78475BAB3<br>LEI: 743700UEY0YM039XN974 | Long             | LON              | CORP              | FI        |     545000 | PA      | $538187.50    | 0.01%             | 2030-05-22      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FONTAINEBLEAU MIAMI BEACH BEACH MTG TR 2024-FBLU                                   | FONTAINEBLEAU MIAMI BEACH BEACH MTG TR 2024-FBLU F TSFR1M+425 12/15/2039 144A                           | CUSIP: 34461WAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     274000 | PA      | $273573.90    | 0.00%             | 2039-12-15      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.625% 04/30/2031                                                                             | CUSIP: 91282CKN0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  147000000 | PA      | $151214766.36 | 2.20%             | 2031-04-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| EMIRATE OF ABU DHABI                                                               | EMIRATE OF ABU DHABI 3.875% 04/16/2050 144A                                                             | CUSIP: 29135LAJ9<br>LEI: 213800FER4348CINTA77 | Long             | DBT              | NUSS              | AE        |     285000 | PA      | $214428.30    | 0.00%             | 2050-04-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 03/01/2047#BE5550                                                                        | CUSIP: 3140FREY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6197 | PA      | $5950.77      | 0.00%             | 2047-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COREWEAVE INC                                                                      | COREWEAVE INC 9.25% 06/01/2030 144A                                                                     | CUSIP: 21873SAB4<br>LEI: 984500511DP2B6186053 | Long             | DBT              | CORP              | US        |     730000 | PA      | $729181.01    | 0.01%             | 2030-06-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 04/01/2052#FS7948                                                                        | CUSIP: 3140XPZN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1908773 | PA      | $1583970.31   | 0.02%             | 2052-04-01      | Fixed         | 0.03%                 | 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        |    3692000 | PA      | $3736647.73   | 0.05%             | 2029-04-13      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 03/01/2033#ZS8690                                                                          | CUSIP: 3132A9UP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      30029 | PA      | $28952.21     | 0.00%             | 2033-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                    | CVS HEALTH CORP 3.625% 04/01/2027                                                                       | CUSIP: 126650DH0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     375000 | PA      | $368506.04    | 0.01%             | 2027-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 8/33 #A12833                                                                                 | CUSIP: 31296MEE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        348 | PA      | $349.95       | 0.00%             | 2033-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CITYCON TREASURY BV                                                                | CITYCON TREASURY BV 5% 03/11/2030 REGS                                                                  | CUSIP: N/A<br>LEI: 549300WAE0CGQ0IE1H63       | Long             | DBT              | CORP              | NL        |     100000 | PA      | $115324.25    | 0.00%             | 2030-03-11      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                      | CITIGROUP INC 3.07%/VAR 02/24/2028                                                                      | CUSIP: 172967NG2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1946114.52   | 0.03%             | 2028-02-24      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 1.5% 12/01/2035#FM4701                                                                        | CUSIP: 3140X8GK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13364 | PA      | $11786.68     | 0.00%             | 2035-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 01/01/2052#RA6622                                                                        | CUSIP: 3133KNLB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     694065 | PA      | $573574.96    | 0.01%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII 30YR 4.5% 02/20/2041#004948                                                                        | CUSIP: 36202FP91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        416 | PA      | $403.28       | 0.00%             | 2041-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.25% 05/15/2035                                                                              | CUSIP: 91282CNC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   27430000 | PA      | $27121412.50  | 0.39%             | 2035-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GOVERNMENT NAT MTG AS REMIC PT 2014-5 A 3% 01/20/2044                                                   | CUSIP: 38376MAY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     102915 | PA      | $92393.49     | 0.00%             | 2044-01-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 11/01/2051#QD0399                                                                          | CUSIP: 3133AWNQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      42400 | PA      | $33482.29     | 0.00%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA GTD MTG PASS THRU CTF SOFR30A+115 02/25/2055                                                       | CUSIP: 3136BUWD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    1931653 | PA      | $1926416.63   | 0.03%             | 2055-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 01/01/2051#QB7708                                                                          | CUSIP: 3133AER55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      36085 | PA      | $28247.67     | 0.00%             | 2051-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 12/01/2052#RA8291                                                                          | CUSIP: 3133KQF84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     428650 | PA      | $419758.32    | 0.01%             | 2052-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                                                   | WILLIAMS COS INC 5.4% 03/02/2026                                                                        | CUSIP: 969457CH1<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |     823000 | PA      | $827101.17    | 0.01%             | 2026-03-02      | Fixed         | 0.05%                 | 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        |    4396905 | PA      | $4291623.31   | 0.06%             | 2054-07-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GUATEMALA, REP OF                                                                  | GUATEMALA REP OF 6.6% 06/13/2036 144A                                                                   | CUSIP: 401494AW9<br>LEI: 529900QKDFFU9UWW5315 | Long             | DBT              | NUSS              | GT        |     230000 | PA      | $230460.00    | 0.00%             | 2036-06-13      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| JANE STREET GRP/JSG FIN                                                            | JANE STREET GRP/JSG FIN 6.125% 11/01/2032 144A                                                          | CUSIP: 47077WAD0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     885000 | PA      | $886464.68    | 0.01%             | 2032-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/01/2040#AE8135                                                                          | CUSIP: 31419KBD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2524 | PA      | $2398.52      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | 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        |   18850000 | PA      | $15142382.19  | 0.22%             | 2055-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BMP 2024-MF23                                                                      | BROOKFIELD 2024-MF23 A TSFR1M+149.177 06/15/2041 144A                                                   | CUSIP: 05593JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2072000 | PA      | $2073295.00   | 0.03%             | 2041-06-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| PROLOGIS INTERNATIONAL FUNDING II SA                                               | PROLOGIS INTL FDG II SA 4.375% 07/01/2036 REGS                                                          | CUSIP: N/A<br>LEI: 213800JNRWW2C9DWI388       | Long             | DBT              | CORP              | LU        |     100000 | PA      | $117287.74    | 0.00%             | 2036-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 01/01/2052#MA4512                                                                        | CUSIP: 31418EAN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     212702 | PA      | $174115.37    | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 03/01/2051#RA4749                                                                        | CUSIP: 3133KLH26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2319119 | PA      | $1909995.82   | 0.03%             | 2051-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2016-H13 FB T1Y+50 05/20/2066                                                                       | CUSIP: 38376RUU8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      81108 | PA      | $80838.38     | 0.00%             | 2066-05-20      | Variable      | 0.05%                 | 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        |     169000 | PA      | $138550.41    | 0.00%             | 2042-04-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 1/27 #368817                                                                                 | CUSIP: 31376XVJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         46 | PA      | $46.66        | 0.00%             | 2027-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2016-C37                                                   | WELLS FARGO COML MTG TR 2016-C37 3.525% 12/15/2049                                                      | CUSIP: 95000PAD6<br>LEI: 549300TRQQDPEF728F16 | Long             | ABS-MBS          | CORP              | US        |     901646 | PA      | $887519.74    | 0.01%             | 2049-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OT MIDCO INC                                                                       | OT MIDCO INC 10% 02/15/2030 144A                                                                        | CUSIP: 68877AAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     830000 | PA      | $691490.43    | 0.01%             | 2030-02-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| SELECT MEDICAL CORP                                                                | SELECT MEDICAL CORP 6.25% 12/01/2032 144A                                                               | CUSIP: 816196AV1<br>LEI: 549300X05KS0JKR8CB50 | Long             | DBT              | CORP              | US        |    1845000 | PA      | $1828488.15   | 0.03%             | 2032-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: —       |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 04/48#CA1564                                                                             | CUSIP: 3140Q8W27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8342 | PA      | $7989.69      | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MDGH GMTN RSC LTD                                                                  | MDGH GMTN RSC LTD 4.375% 11/22/2033 144A                                                                | CUSIP: 55285GAD6<br>LEI: 213800WRY6FRL9IXLT77 | Long             | DBT              | CORP              | AE        |     120000 | PA      | $113376.00    | 0.00%             | 2033-11-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NOVELIS CORP                                                                       | NOVELIS CORP 3.875% 08/15/2031 144A                                                                     | CUSIP: 670001AH9<br>LEI: 549300G5F3W3B52WYL23 | Long             | DBT              | CORP              | US        |    2885000 | PA      | $2564860.78   | 0.04%             | 2031-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: —       |
| ANTERO MIDSTREAM PARTNERS LP / ANTERO MIDSTREAM FINANCE CORP                       | ANTERO MIDSTREAM PARTNERS LP / ANTERO MIDSTREAM FIN CORP 5.75% 03/01/2027 144A                          | CUSIP: 03690AAD8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2885000 | PA      | $2882488.90   | 0.04%             | 2027-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMER TR 2021-ESH                                                     | EXTENDED STAY AMER TR 2021-ESH A TSFR1M+119.448 07/15/2038 144A                                         | CUSIP: 30227FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5661861 | PA      | $5661860.83   | 0.08%             | 2038-07-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 9/37 #942981                                                                                 | CUSIP: 31413ECS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        568 | PA      | $595.19       | 0.00%             | 2037-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 06/01/2031#AS7347                                                                        | CUSIP: 3138WHEV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1230121 | PA      | $1179248.29   | 0.02%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TOUCAN FINCO LTD/TOUCAN FINCO CAN INC/TOUCAN FINCO US LLC                          | TOUCAN FINCO LTD/TOUCAN FINCO CAN INC/TOUCAN FINCO US LLC 9.5% 05/15/2030 144A                          | CUSIP: 89157UAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | JE        |     835000 | PA      | $830271.01    | 0.01%             | 2030-05-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                                | PETROLEOS MEXICANOS 6.5% 03/13/2027                                                                     | CUSIP: 71654QCG5<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |     790000 | PA      | $775440.30    | 0.01%             | 2027-03-13      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| VENEZUELA, REPUBLIC OF                                                             | VENEZUELA REPUBLIC OF 12.75% 12/31/2049 REGS                                                            | CUSIP: N/A<br>LEI: 529900XM8PJTJK5OJI77       | Long             | DBT              | NUSS              | VE        |     105000 | PA      | $18423.30     | 0.00%             | 2049-12-31      | Fixed         | 0.13%                 | 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        |   17483889 | PA      | $16024696.23  | 0.23%             | 2054-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2002-18 FD SOFR30A+91.448 2/32                                                                      | CUSIP: 31392CHM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        180 | PA      | $180.35       | 0.00%             | 2032-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 05/01/2029#                                                                                | CUSIP: 31293PXU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         29 | PA      | $29.23        | 0.00%             | 2029-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TOYOTA AUTO RECEIVABLES 2025-B OWNER TR                                            | TOYOTA AUTO RECEIVABLES 2025-B OWNER TR 4.34% 11/15/2029                                                | CUSIP: 89231HAD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3800000 | PA      | $3802351.44   | 0.06%             | 2029-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 4/41 #A97942                                                                                 | CUSIP: 312946ZF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      29619 | PA      | $29145.20     | 0.00%             | 2041-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 04/01/2048#Q55141                                                                          | CUSIP: 3132XXWB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1095 | PA      | $1020.91      | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EXETER SELECT AUTOMOBILE RECEIVABLES TR 2025-1                                     | EXETER SELECT AUTOMOBILE RECEIVABLES TR 2025-1 4.69% 04/15/2030                                         | CUSIP: 30185AAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     540000 | PA      | $539236.33    | 0.01%             | 2030-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+150 11/25/2053                                                   | CUSIP: 3136BQVT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    1379271 | PA      | $1388490.94   | 0.02%             | 2053-11-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GGAM FINANCE LTD                                                                   | GGAM FINANCE LTD 6.875% 04/15/2029 144A                                                                 | CUSIP: 36170JAD8<br>LEI: 254900X2QXEN0FVXRF65 | Long             | DBT              | CORP              | KY        |    1935000 | PA      | $1971165.15   | 0.03%             | 2029-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                | MSCS SWAP CZ030007 12/17/57 B                                                                           | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |     300000 | NC      | $38256.78     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BRASKEM NETHERLANDS FINANCE BV                                                     | BRASKEM NETHERLANDS FIN BV 5.875% 01/31/2050 144A                                                       | CUSIP: 10554TAE5<br>LEI: 2549000TLMHFQ74DS330 | Long             | DBT              | CORP              | NL        |     150000 | PA      | $99000.00     | 0.00%             | 2050-01-31      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| KAZMUAIGAZ NATIONAL CO JSC                                                         | KAZMUNAYGAS NATIONAL CO JSC 5.375% 04/24/2030 144A                                                      | CUSIP: 48667QAQ8<br>LEI: 2138001H1M69RFJCSH88 | Long             | DBT              | CORP              | KZ        |      30000 | PA      | $29605.31     | 0.00%             | 2030-04-24      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII 15YR 3% 05/20/2031#MA3639                                                                          | CUSIP: 36179SBG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     283277 | PA      | $274760.74    | 0.00%             | 2031-05-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 09/01/2033#727060                                                                        | CUSIP: 31402EWV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1743 | PA      | $1726.95      | 0.00%             | 2033-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 2.5% 02/01/2042#SC0248                                                                        | CUSIP: 3132D9HZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     272209 | PA      | $238950.79    | 0.00%             | 2042-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                                   | BAT CAPITAL CORP 6% 02/20/2034                                                                          | CUSIP: 05526DBZ7<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |   10000000 | PA      | $10403267.40  | 0.15%             | 2034-02-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 04/01/2046#Q39717                                                                          | CUSIP: 3132QWYP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7999 | PA      | $7055.86      | 0.00%             | 2046-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CSMC 2019-UVIL                                                                     | CSMC 2019-UVIL E CSTR 12/15/2041 144A                                                                   | CUSIP: 12656DAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     153000 | PA      | $127606.80    | 0.00%             | 2041-12-15      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 12/01/2051#SD8183                                                                        | CUSIP: 3132DWCU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     211807 | PA      | $173382.10    | 0.00%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA STRIPPED MTG BKD SECS                                                         | FNS 384 6 5% 7/37                                                                                       | CUSIP: 3136FER61<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |       6827 | PA      | $1097.82      | 0.00%             | 2037-07-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.5% 10/01/2053#CB7348                                                                        | CUSIP: 3140QTEW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1084628 | PA      | $1115072.62   | 0.02%             | 2053-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 11/01/2051#FM9633                                                                          | CUSIP: 3140XDV37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     284649 | PA      | $244848.84    | 0.00%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 05/01/2051#BR6340                                                                          | CUSIP: 3140L5BJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     103308 | PA      | $81612.77     | 0.00%             | 2051-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CARLYLE US CLO 2024-6 LTD                                                          | CARLYLE US CLO 2024-6 LTD E TSFR3M+575 10/25/2037 144A                                                  | CUSIP: 14319QAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     150000 | PA      | $151815.15    | 0.00%             | 2037-10-25      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GOVERNMENT NAT MTG ASSN HECM TSFR1M+61.448 06/20/2064                                                   | CUSIP: 38375UKG4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      19556 | PA      | $19624.09     | 0.00%             | 2064-06-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 0.0% 10/01/2041#AI6819                                                                         | CUSIP: 3138ALSH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        814 | PA      | $838.41       | 0.00%             | 2041-10-01      | Variable      | 0.07%                 | 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        |     580002 | PA      | $477501.17    | 0.01%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2% 08/01/2041#FM8410                                                                          | CUSIP: 3140XCKY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      65803 | PA      | $55573.39     | 0.00%             | 2041-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 2.5% 11/25/2047                                                          | CUSIP: 3137H5KC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     382252 | PA      | $339378.47    | 0.00%             | 2047-11-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PETROLEOS DE VENEZUELA SA                                                          | PETROLEOS DE VENEZUELA SA 6% 11/15/2026 144A                                                            | CUSIP: 716558AF8<br>LEI: 549300YWR8TN1OFD4P06 | Long             | DBT              | CORP              | VE        |     480000 | PA      | $56940.00     | 0.00%             | 2026-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 01/01/2043#AL7626                                                                          | CUSIP: 3138EQPL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11033 | PA      | $10491.61     | 0.00%             | 2043-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| KOHLS CORP                                                                         | KOHLS CORP 4.25% 07/17/2025                                                                             | CUSIP: 500255AU8<br>LEI: 549300JF6LPRTRJ0FH50 | Long             | DBT              | CORP              | US        |     295000 | PA      | $292791.98    | 0.00%             | 2025-07-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PIKE CORP                                                                          | PIKE CORP 8.625% 01/31/2031 144A                                                                        | CUSIP: 721283AB5<br>LEI: 549300P4EKEP6HK0NC58 | Long             | DBT              | CORP              | US        |     600000 | PA      | $646248.00    | 0.01%             | 2031-01-31      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2016-C35                                                   | WELLS FARGO COML MTG TR 2016-C35 TSFR1M+116.448 07/15/2048 144A                                         | CUSIP: 95000FBA3<br>LEI: 549300MZIB10PDVAE312 | Long             | ABS-MBS          | CORP              | US        |    2800000 | PA      | $2800398.16   | 0.04%             | 2048-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 08/01/2045#AZ3728                                                                        | CUSIP: 3138YVEA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4535 | PA      | $3997.84      | 0.00%             | 2045-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                              | BOAM SWAP PAY 3.63 10/30/25                                                                             | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   -4100000 | NC      | $-129641.92   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 7.00% 1/36 #A54473                                                                                 | CUSIP: 3128KG6J2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        532 | PA      | $560.06       | 0.00%             | 2036-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 11/01/2050#SD8108                                                                          | CUSIP: 3132DWAH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      51937 | PA      | $44699.01     | 0.00%             | 2050-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ARES LN FDG V LTD / ARES LN FDG V LLC                                              | ARES LN FDG V LTD / ARES LN FDG V LLC A1 TSFR3M+150 07/27/2037 144A                                     | CUSIP: 04020QAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    2845000 | PA      | $2846647.26   | 0.04%             | 2037-07-27      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| HILTON DOMESTIC OPERATING CO INC                                                   | HILTON DOMESTIC OPERATING CO INC 5.875% 04/01/2029 144A                                                 | CUSIP: 432833AP6<br>LEI: 5493003EG7H0N1E4XV50 | Long             | DBT              | CORP              | US        |    1275000 | PA      | $1287560.03   | 0.02%             | 2029-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 08/01/2051#CB1331                                                                        | CUSIP: 3140QLPR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1705206 | PA      | $1403852.34   | 0.02%             | 2051-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GOVERNMENT NAT MTG AS REMIC PT 2014-2 BA 3% 01/20/2044                                                  | CUSIP: 38378YG78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     201206 | PA      | $180293.46    | 0.00%             | 2044-01-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GOVERNMENT NAT MTG AS REMIC 2010-116 QB 4% 09/16/2040                                                   | CUSIP: 38377LAL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |       7673 | PA      | $7267.84      | 0.00%             | 2040-09-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM 30YR 5.5% 08/01/2053#RA9619                                                                        | CUSIP: 3133KRVL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1478965 | PA      | $1480321.37   | 0.02%             | 2053-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PRMI SECURITIZATION TR 2024-CMG1                                                   | PRMI SECURITIZATION TR 2024-CMG1 SOFR30A+130 07/25/2054 144A                                            | CUSIP: 74275VAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1019277 | PA      | $1013125.81   | 0.01%             | 2054-07-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| ILIAD HOLDING SAS                                                                  | ILIAD HOLDING SAS 8.5% 04/15/2031 144A                                                                  | CUSIP: 449691AF1<br>LEI: 9695009PXA7OI9NXN582 | Long             | DBT              | CORP              | FR        |     310000 | PA      | $326527.34    | 0.00%             | 2031-04-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| J P MORGAN CHASE COML MTG SECS TR 2024-OMNI                                        | J P MORGAN CHASE COML MTG SECS TR 2024-OMNI D VAR 10/05/2039 144A                                       | CUSIP: 46593JAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     354000 | PA      | $348532.19    | 0.01%             | 2039-10-05      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| YUM BRANDS INC                                                                     | YUM BRANDS INC 4.625% 01/31/2032                                                                        | CUSIP: 988498AP6<br>LEI: 549300JE8XHZZ7OHN517 | Long             | DBT              | CORP              | US        |     219000 | PA      | $207674.46    | 0.00%             | 2032-01-31      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 6/40 #745094                                                                                 | CUSIP: 3620C0XX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12543 | PA      | $12328.71     | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALBERTSONS COS LLC / SAFEWAY INC / NEW ALBERTSONS INC / ALBERTSONS LLC             | ALBERTSONS COS LLC / SAFEWAY INC / NEW ALBERTSONS INC / ALBERTSONS LLC 6.25% 03/15/2033 144A            | CUSIP: 01309QAB4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     495000 | PA      | $502512.62    | 0.01%             | 2033-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 11/01/2053#FS6498                                                                          | CUSIP: 3140XNGG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1815860 | PA      | $1845909.89   | 0.03%             | 2053-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CVR ENERGY INC                                                                     | CVR ENERGY INC 5.75% 02/15/2028 144A                                                                    | CUSIP: 12662PAD0<br>LEI: 529900SOYZIXZBTXB558 | Long             | DBT              | CORP              | US        |     420000 | PA      | $399846.47    | 0.01%             | 2028-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 11/01/2031#MA2803                                                                        | CUSIP: 31418CDH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      77156 | PA      | $73898.86     | 0.00%             | 2031-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COML MTG TR 2020-420K                                                    | CITIGROUP COMMERCIAL MORTGAGE TRUST 2020- 420K E CSTR 11/10/2042 144A                                   | CUSIP: 17328QAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     600000 | PA      | $502002.48    | 0.01%             | 2042-11-10      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 01/01/2041#                                                                              | CUSIP: 3129444V0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1255 | PA      | $1237.37      | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 02/01/2051#SD2068                                                                          | CUSIP: 3132DPJM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      22771 | PA      | $17839.24     | 0.00%             | 2051-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| LIBERTY COSTA RICA SR SF                                                           | LIBERTY COSTA RICA SR SF 10.875% 01/15/2031 144A                                                        | CUSIP: 530371AA1<br>LEI: 549300W6O2PHTPCYQ751 | Long             | DBT              | CORP              | KY        |     195000 | PA      | $207025.65    | 0.00%             | 2031-01-15      | Fixed         | 0.11%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                                              | LCH OIS SOFRV3.25% MAC 06/18/27                                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |  -67599000 | NC      | $78161.30     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 11/01/2051#RA6334                                                                          | CUSIP: 3133KNBB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     372777 | PA      | $292045.71    | 0.00%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CHARLES RIVER LABORATORIES INTERNATIONAL INC                                       | CHARLES RIVER LABS INTL INC 4.25% 05/01/2028 144A                                                       | CUSIP: 159864AE7<br>LEI: 549300BSQ0R4UZ5KX287 | Long             | DBT              | CORP              | US        |     375000 | PA      | $360188.40    | 0.01%             | 2028-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 6.36% 7/36 #1B7105                                                                             | CUSIP: 3128QPH96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4740 | PA      | $4892.28      | 0.00%             | 2036-07-01      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| TURKEY REPUBLIC OF                                                                 | TURKEY REPUBLIC OF 7.625% 05/15/2034                                                                    | CUSIP: 900123DK3<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |     200000 | PA      | $199750.00    | 0.00%             | 2034-05-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR                                 | AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 2.45% 10/29/2026                                     | CUSIP: 00774MAV7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |     868000 | PA      | $841260.77    | 0.01%             | 2026-10-29      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                | MSCS SWAP CY885802 12/15/56 B                                                                           | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |     200000 | NC      | $26038.26     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CENTENE CORP DEL                                                                   | CENTENE CORP 2.625% 08/01/2031                                                                          | CUSIP: 15135BAZ4<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    4800000 | PA      | $4065678.24   | 0.06%             | 2031-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA                                                           | COOPERATIEVE RABOBANK UA 4.375% 08/04/2025                                                              | CUSIP: 21684AAC0<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |     500000 | PA      | $499350.88    | 0.01%             | 2025-08-04      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OLIN CORP                                                                          | OLIN CORP 6.625% 04/01/2033 144A                                                                        | CUSIP: 680665AN6<br>LEI: 549300GKK294V7W57P06 | Long             | DBT              | CORP              | US        |     805000 | PA      | $770518.79    | 0.01%             | 2033-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GCM MINING CORP                                                                    | GCM MINING CORP 8% 10/31/2029 144A                                                                      | CUSIP: 04040YAB5<br>LEI: 5493001GJ5TILX6L1F82 | Long             | DBT              | CORP              | CA        |     265000 | PA      | $268463.45    | 0.00%             | 2029-10-31      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| ROCKIES EXPRESS PIPELINE LLC                                                       | ROCKIES EXPRESS PIPELINE LLC 4.95% 07/15/2029 144A                                                      | CUSIP: 77340RAR8<br>LEI: W2ZGZGZKY5GGNY6F3V51 | Long             | DBT              | CORP              | US        |     260000 | PA      | $251098.43    | 0.00%             | 2029-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2004-91 Z 5 12/34                                                                                   | CUSIP: 31394BZJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     121242 | PA      | $120976.87    | 0.00%             | 2034-12-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GOVERNMENT NAT MTG AS REMIC PT 2004-22 AZ 5.5% 04/20/2034                                               | CUSIP: 38374GDS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      92591 | PA      | $93499.01     | 0.00%             | 2034-04-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SPIN HOLDCO INC                                                                    | CSC SERVICEWORKS TERM B 1LN 03/04/2028                                                                  | CUSIP: 84850XAK8<br>LEI: 549300QAS44U2GUXGK45 | Long             | LON              | CORP              | US        |    1903817 | PA      | $1621024.17   | 0.02%             | 2028-03-04      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COML MTG TR 2023-PRM3                                                    | CITIGROUP COML MTG TR 2023-PRM3 C 6.35973% 07/10/2028 144A                                              | CUSIP: 17331LAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     732000 | PA      | $747145.89    | 0.01%             | 2028-07-10      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES                          | FNS 348 14 6.5% 8/34                                                                                    | CUSIP: 3136FCEU6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |       1077 | PA      | $193.33       | 0.00%             | 2034-08-25      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM 30YR 6% 06/01/2053#RA9276                                                                          | CUSIP: 3133KRJV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     360873 | PA      | $368405.19    | 0.01%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                              | JPMORGAN CHASE and CO 3.882%/VAR 07/24/2038                                                             | CUSIP: 46647PAJ5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $861252.60    | 0.01%             | 2038-07-24      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 08/01/2033#729380                                                                        | CUSIP: 31402HJZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1613 | PA      | $1597.36      | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK 2019-BNK20                                                                    | BANK 2019-BNK20 2.933% 09/15/2062                                                                       | CUSIP: 06540AAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      86819 | PA      | $83535.75     | 0.00%             | 2062-09-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| IVANHOE MINE LTD                                                                   | IVANHOE MINE LTD 7.875% 01/23/2030 144A                                                                 | CUSIP: 46579RAE4<br>LEI: 5299006XZISURYIA4G32 | Long             | DBT              | CORP              | CA        |     735000 | PA      | $715615.85    | 0.01%             | 2030-01-23      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2% 12/01/2035#MA4206                                                                          | CUSIP: 31418DU83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     444803 | PA      | $404731.70    | 0.01%             | 2035-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 10/34 #357634                                                                                | CUSIP: 31376KHK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2454 | PA      | $2554.14      | 0.00%             | 2034-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TKC HOLDINGS INC                                                                   | TKC HOLDINGS TERM 1LN 2/15/2027                                                                         | CUSIP: 87256KAB9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     607670 | PA      | $558296.39    | 0.01%             | 2027-02-15      | Variable      | 0.14%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 01/01/2052#SD8190                                                                          | CUSIP: 3132DWC35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      30017 | PA      | $25707.23     | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 1.5% 08/01/2035#SB8066                                                                        | CUSIP: 3132D56B3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     282600 | PA      | $250311.99    | 0.00%             | 2035-08-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| SUNOCO LP / SUNOCO FIN CORP                                                        | SUNOCO LP / SUNOCO FIN CORP 5.875% 03/15/2028                                                           | CUSIP: 86765LAN7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     150000 | PA      | $149651.07    | 0.00%             | 2028-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 05/01/2045#Q33468                                                                        | CUSIP: 3132QP2A1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4162 | PA      | $3692.55      | 0.00%             | 2045-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 4.87% 10/35 #1M1052                                                                            | CUSIP: 3128QFEZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7811 | PA      | $7985.24      | 0.00%             | 2035-10-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| OCP CLO 2017-14 LTD                                                                | OCP CLO 2017-14 LTD ER TSFR3M+655 07/20/2037 144A                                                       | CUSIP: 67097TAG4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     200000 | PA      | $198873.80    | 0.00%             | 2037-07-20      | Variable      | 0.11%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 4/42 #AK6572                                                                                 | CUSIP: 3138EBJS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4867 | PA      | $4507.36      | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 10/41 #Q03643                                                                                | CUSIP: 3132GJWC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14933 | PA      | $14670.41     | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 11/42#AB6934                                                                             | CUSIP: 31417DV42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7299 | PA      | $6744.32      | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2003-70 BJ 5% 7/33                                                                                  | CUSIP: 31393DAN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      11571 | PA      | $11537.78     | 0.00%             | 2033-07-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TRINET GROUP INC                                                                   | TRINET GROUP INC 7.125% 08/15/2031 144A                                                                 | CUSIP: 896288AC1<br>LEI: 5299003FJVBETSFKE990 | Long             | DBT              | CORP              | US        |     145000 | PA      | $149495.44    | 0.00%             | 2031-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MEXICO UNITED MEXICAN STATES                                                       | MEXICO UNITED MEXICAN STATES 6% 05/07/2036                                                              | CUSIP: 91087BAZ3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     340000 | PA      | $325550.00    | 0.00%             | 2036-05-07      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2154 PT 6% 5/29                                                                                     | CUSIP: 3133TKW97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       1367 | PA      | $1393.72      | 0.00%             | 2029-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 2.5% 10/25/2047                                                          | CUSIP: 3137H62Q7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     100998 | PA      | $89196.32     | 0.00%             | 2047-10-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 10/41 #AB3687                                                                                | CUSIP: 31417ACZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42622 | PA      | $40580.41     | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COMMSCOPE INC                                                                      | COMMSCOPE TERM 1LN 12/17/2029                                                                           | CUSIP: N/A<br>LEI: 549300Z6K4JXMFE8QY54       | Long             | LON              | CORP              | US        |     152000 | PA      | $153308.72    | 0.00%             | 2029-12-17      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 12/01/2045#G61796                                                                        | CUSIP: 31335B7H3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11135 | PA      | $10977.70     | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 4/35 #A54855                                                                                 | CUSIP: 3128KHMC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3000 | PA      | $3020.53      | 0.00%             | 2035-04-01      | 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        |    2790000 | PA      | $2796782.49   | 0.04%             | 2037-07-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| NAVIENT CORP                                                                       | NAVIENT CORP 7.875% 06/15/2032                                                                          | CUSIP: 63938CAQ1<br>LEI: 54930067J0ZNOEBRW338 | Long             | DBT              | CORP              | US        |     490000 | PA      | $494189.47    | 0.01%             | 2032-06-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 2.75% 04/30/2027                                                                              | CUSIP: 91282CEN7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     700000 | PA      | $684988.28    | 0.01%             | 2027-04-30      | Fixed         | 0.03%                 | 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        |     559000 | PA      | $553109.72    | 0.01%             | 2030-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 7/40#V81831                                                                              | CUSIP: 3132L7A82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4388 | PA      | $4018.45      | 0.00%             | 2040-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 11/01/2051#CB2852                                                                          | CUSIP: 3140QNE24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     121551 | PA      | $94809.18     | 0.00%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4% 02/28/2030                                                                                 | CUSIP: 91282CGQ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   30326000 | PA      | $30391153.59  | 0.44%             | 2030-02-28      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 04/01/2048#Q55504                                                                          | CUSIP: 3132XYDJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10010 | PA      | $9332.47      | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 3.5% 06/01/2032#C91456                                                                        | CUSIP: 3128P7TM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     108970 | PA      | $106375.25    | 0.00%             | 2032-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 2005-79 ZC 5.9% 09/25/2035                                               | CUSIP: 31394FGT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      17032 | PA      | $16723.65     | 0.00%             | 2035-09-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM 30YR 6% 06/01/2054#RJ1709                                                                          | CUSIP: 3142GR3T5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3076815 | PA      | $3141038.03   | 0.05%             | 2054-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MATIV INC                                                                          | MATIV INC 8% 10/01/2029 144A                                                                            | CUSIP: 808541AC0<br>LEI: 549300Z1FU4IDULG1R21 | Long             | DBT              | CORP              | US        |     425000 | PA      | $362579.87    | 0.01%             | 2029-10-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| ELP COMMERCIAL MORTGAGE TRUST 2021-ELP                                             | ELP COMMERCIAL MORTGAGE TRUST 2021-ELP TSFR1M+123.468 02 11/15/2036 144A                                | CUSIP: 26863LAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1134679 | PA      | $1130778.80   | 0.02%             | 2038-11-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| INVITATION HOMES OPERATING PARTNERSHIP LP                                          | INVITATION HOMES OPERATING PARTNERSHIP LP 2.3% 11/15/2028                                               | CUSIP: 46188BAB8<br>LEI: 549300147YMUQB3GW319 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $928127.57    | 0.01%             | 2028-11-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 4.5% 11/01/2025#AL8242                                                                        | CUSIP: 3138ETEQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         91 | PA      | $90.47        | 0.00%             | 2025-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 07/01/2051#CB1110                                                                          | CUSIP: 3140QLGU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33992 | PA      | $26630.85     | 0.00%             | 2051-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH BANK AUSTRALIA                                                        | COMMONWEALTH BANK AUSTRALIA 3.61%/VAR 09/12/2034 144A                                                   | CUSIP: 202712BK0<br>LEI: MSFSBD3QN1GSN7Q6C537 | Long             | DBT              | CORP              | AU        |     517000 | PA      | $484812.59    | 0.01%             | 2034-09-12      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 03/01/2052#FA0995                                                                          | CUSIP: 3140W1C92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1847093 | PA      | $1452846.33   | 0.02%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SREIT TR 2021-FLWR                                                                 | SREIT TR 2021-FLWR F TSFR1M+278.702 07/15/2036 144A                                                     | CUSIP: 78485GAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     800000 | PA      | $796000.00    | 0.01%             | 2036-07-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| MOBICO GROUP PLC                                                                   | MOBICO GROUP PLC 4.25%/VAR PERP REGS                                                                    | CUSIP: N/A<br>LEI: 213800A8IQEMY8PA5X34       | Long             | EP               | CORP              | GB        |     202000 | PA      | $216749.24    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM 30YR 6.5% 01/01/2055#RJ3341                                                                        | CUSIP: 3142GTWB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     229378 | PA      | $239669.56    | 0.00%             | 2055-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                              | BOAM SWAP REC 4.065 05/02/30                                                                            | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    4330000 | NC      | $162796.61    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FERTITTA ENTERTAINMENT LLC / FERTITTA ENTERTAINMENT FINANCE CO INC                 | FERTITTA ENTERTAINMENT LLC / FERTITTA ENTERTAINMENT FINANCE CO INC 6.75% 01/15/2030 144A                | CUSIP: 31556TAC3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1560000 | PA      | $1416760.18   | 0.02%             | 2030-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 04/01/2035#                                                                                | CUSIP: 3128MJBV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        776 | PA      | $781.87       | 0.00%             | 2035-04-01      | Fixed         | 0.05%                 | 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        |     428000 | PA      | $426473.11    | 0.01%             | 2030-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 07/01/2050#SD7521                                                                        | CUSIP: 3132DVLA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      88465 | PA      | $73604.71     | 0.00%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| LV TR 2024-SHOW                                                                    | LV TR 2024-SHOW C VAR 10/10/2029                                                                        | CUSIP: 50245XAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     128000 | PA      | $127842.38    | 0.00%             | 2041-10-10      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 07/01/2051#RA5574                                                                        | CUSIP: 3133KMFP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     547937 | PA      | $453156.88    | 0.01%             | 2051-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AES CORP                                                                           | AES CORP 2.45% 01/15/2031                                                                               | CUSIP: 00130HCG8<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |    7504000 | PA      | $6416581.55   | 0.09%             | 2031-01-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ANYWHERE REAL ESTATE GROUP LLC / ANYWHERE CO-ISSUER CORP                           | ANYWHERE REAL ESTATE GROUP LLC / ANYWHERE CO-ISSUER CORP 7% 04/15/2030 144A                             | CUSIP: 75606DAS0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     230000 | PA      | $210109.07    | 0.00%             | 2030-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                       | BROADCOM INC 3.187% 11/15/2036 144A                                                                     | CUSIP: 11135FBQ3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     813000 | PA      | $661265.98    | 0.01%             | 2036-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| COPT DEFENSE PROPERTIES LP                                                         | COPT DEFENSE PROPERTIES LP 2% 01/15/2029                                                                | CUSIP: 22003BAN6<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $895881.99    | 0.01%             | 2029-01-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| AMERICAN INTERNATIONAL GROUP INC                                                   | AMERICAN INTERNATIONAL GRP INC 5.125% 03/27/2033                                                        | CUSIP: 026874DS3<br>LEI: ODVCVCQG2BP6VHV36M30 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1500763.20   | 0.02%             | 2033-03-27      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GEO GROUP INC/THE                                                                  | GEO GROUP INC/THE 10.25% 04/15/2031                                                                     | CUSIP: 36162JAH9<br>LEI: 5493003VOR6NTY465495 | Long             | DBT              | CORP              | US        |     595000 | PA      | $652207.35    | 0.01%             | 2031-04-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| LIFE FINANCIAL SERVICES TRUST 2022                                                 | LIFE FINANCIAL SERVICES TRUST 2022 TSFR1M+179.391 05/15/2039 144A                                       | CUSIP: 53218DAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1630000 | PA      | $1483300.00   | 0.02%             | 2039-05-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                                                       | ING GROEP NV 4.5%/VAR 05/23/2029 REGS                                                                   | CUSIP: N/A<br>LEI: 549300NYKK9MWM7GGW15       | Long             | DBT              | CORP              | NL        |     400000 | PA      | $475862.55    | 0.01%             | 2029-05-23      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GNR 2007-37 TS TSFR1M+657.552 6/37                                                                      | CUSIP: 38375KNC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |       4455 | PA      | $436.14       | 0.00%             | 2037-06-16      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| LIFE FINANCIAL SERVICES TRUST 2022                                                 | LIFE FINANCIAL SERVICES TRUST 2022 TSFR1M+129.524 05/15/2039 144A                                       | CUSIP: 53218DAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2726000 | PA      | $2644220.00   | 0.04%             | 2039-05-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BX 2021-SDMF                                                                       | BX 2021-SDMF TSFR1M+205.148 7 09/15/2023 144A                                                           | CUSIP: 12434CAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     613190 | PA      | $605525.40    | 0.01%             | 2034-09-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I                                                           | MORGAN STANLEY CAPITAL I 2.782% 08/15/2049                                                              | CUSIP: 61767FBA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $973667.30    | 0.01%             | 2049-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| QATAR PETROLEUM                                                                    | QATAR PETROLEUM 2.25% 07/12/2031 144A                                                                   | CUSIP: 74730DAC7<br>LEI: 254900QTESJKJ3P87J26 | Long             | DBT              | CORP              | QA        |     925000 | PA      | $806128.25    | 0.01%             | 2031-07-12      | 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        |    2451000 | PA      | $2254727.11   | 0.03%             | 2044-03-09      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 12/45#AZ9583                                                                               | CUSIP: 3140E2UH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9706 | PA      | $9079.92      | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                         | FANNIEMAE 30YR 5.5% 02/01/2055#FA0629                                                                   | CUSIP: 3140W0VX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2693996 | PA      | $2689143.28   | 0.04%             | 2055-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SAMHALLSBYGGNADSBOLAGET I NORDEN HOLDING AB                                        | SAMHALLSBYGGNADSBOLAGET I NORDEN HOLDING AB 2.25% 07/12/2027 REGS                                       | CUSIP: N/A<br>LEI: 636700JPED0N9T4ET363       | Long             | DBT              | CORP              | SE        |     135000 | PA      | $136807.53    | 0.00%             | 2027-07-12      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 11/01/2044#AX6493                                                                        | CUSIP: 3138Y8GB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1303 | PA      | $1263.81      | 0.00%             | 2044-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LEVIATHAN BOND LTD                                                                 | LEVIATHAN BOND LTD 6.125% 06/30/2025 144A REGS                                                          | CUSIP: N/A<br>LEI: 254900D9T8VKYVQNZ220       | Long             | DBT              | CORP              | IL        |     215000 | PA      | $214634.50    | 0.00%             | 2025-06-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PETRORIO LUXEMBOURG HOLDING SARL                                                   | PETRORIO LUXEMBOURG HOLDING SARL 6.125% 06/09/2026 144A                                                 | CUSIP: 71677WAA0<br>LEI: 2221003VQP4JY7T31H94 | Long             | DBT              | CORP              | LU        |     190000 | PA      | $190902.50    | 0.00%             | 2026-06-09      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| APIDOS CLO LIII                                                                    | APIDOS CLO LIII E TSFR3M+643 07/20/2038 144A                                                            | CUSIP: 03771GAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $246686.25    | 0.00%             | 2038-07-20      | Variable      | 0.11%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 10/40 #AE3832                                                                                | CUSIP: 31419EHJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1496 | PA      | $1471.21      | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENTEGRIS INC                                                                       | ENTEGRIS INC 4.375% 04/15/2028 144A                                                                     | CUSIP: 29362UAC8<br>LEI: IYX6OWO7BT5DKO3BYG52 | Long             | DBT              | CORP              | US        |      55000 | PA      | $53100.70     | 0.00%             | 2028-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                    | CVS HEALTH CORP 3% 08/15/2026                                                                           | CUSIP: 126650DF4<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     125000 | PA      | $122592.97    | 0.00%             | 2026-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HILTON GRAND VACATIONS BORROWER LLC / HILTON GRAND VACATIONS BORROWER INC          | HILTON GRAND VACATIONS BORROWER LLC / HILTON GRAND VACATIONS BORROWER INC 5% 06/01/2029 144A            | CUSIP: 43284MAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     500000 | PA      | $469085.40    | 0.01%             | 2029-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 11/47#V84700                                                                             | CUSIP: 3132LAGH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      27365 | PA      | $24903.98     | 0.00%             | 2047-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2024-VLT5                                                           | BX COML MTG TR 2024-VLT5 C CSTR 11/13/2046 144A                                                         | CUSIP: 05614JAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     239000 | PA      | $238352.74    | 0.00%             | 2046-11-13      | Variable      | 0.06%                 | 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        |     322024 | PA      | $320420.33    | 0.00%             | 2038-09-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 09/01/2041#G60405                                                                        | CUSIP: 31335ANW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      26193 | PA      | $25806.29     | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIA KINGDOM OF                                                            | SAUDI ARABIA KINGDOM OF 3.75% 01/21/2055 144A                                                           | CUSIP: 80413TAR0<br>LEI: 54930044PULMORCKB765 | Long             | DBT              | NUSS              | SA        |     315000 | PA      | $208687.50    | 0.00%             | 2055-01-21      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALUMINA LTD                                                                        | ALUMINA LTD 6.375% 09/15/2032 144A                                                                      | CUSIP: 02220AAB3<br>LEI: 2138002VD9MW2WT8HR38 | Long             | DBT              | CORP              | AU        |     890000 | PA      | $880237.15    | 0.01%             | 2032-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| EQUITABLE HOLDINGS INC                                                             | EQUITABLE HOLDINGS INC 4.572% 02/15/2029 144A                                                           | CUSIP: 054561AN5<br>LEI: 549300FIBAKMNHPZ4009 | Long             | DBT              | CORP              | US        |     265000 | PA      | $261216.71    | 0.00%             | 2029-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA RESOURCES CORPORATION                                                   | CALIFORNIA RES CORP 7.125% 02/01/2026 144A                                                              | CUSIP: 13057QAH0<br>LEI: 5493003Q8F0T4F4YMR48 | Long             | DBT              | CORP              | US        |     122000 | PA      | $121895.46    | 0.00%             | 2026-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 11/01/2051#                                                                              | CUSIP: 3140QMKN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41628 | PA      | $37171.21     | 0.00%             | 2051-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 2/28 #190294                                                                                 | CUSIP: 31368HKF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         18 | PA      | $19.15        | 0.00%             | 2028-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| EMIRATE OF ABU DHABI                                                               | EMIRATE OF ABU DHABI 3% 09/15/2051 144A                                                                 | CUSIP: 29135LAR1<br>LEI: 213800FER4348CINTA77 | Long             | DBT              | NUSS              | AE        |     400000 | PA      | $253828.00    | 0.00%             | 2051-09-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 0.0% 07/01/2041#1B8505                                                                         | CUSIP: 3128UGZV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3286 | PA      | $3400.03      | 0.00%             | 2041-07-01      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| SERVICE CORP INTERNATIONAL INC                                                     | SERVICE CORP INTERNATIONAL INC 5.125% 06/01/2029                                                        | CUSIP: 817565CE2<br>LEI: 549300RKVM2ME20JHZ15 | Long             | DBT              | CORP              | US        |    1310000 | PA      | $1293940.58   | 0.02%             | 2029-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 3% 02/01/2037#MA2897                                                                          | CUSIP: 31418CGF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      72391 | PA      | $67529.14     | 0.00%             | 2037-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SNAM SPA                                                                           | SNAM SPA 5.75% 05/28/2035 144A                                                                          | CUSIP: 83304JAB3<br>LEI: 8156002278562044AF79 | Long             | DBT              | CORP              | IT        |     345000 | PA      | $345343.75    | 0.01%             | 2035-05-28      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 3% 01/25/2049                                                            | CUSIP: 3137H5ZA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     124322 | PA      | $112338.46    | 0.00%             | 2049-01-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 8% 08/01/2030#                                                                                | CUSIP: 31297YK84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         87 | PA      | $90.20        | 0.00%             | 2030-08-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 3/40 #711223                                                                                 | CUSIP: 36297GD49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11187 | PA      | $10998.06     | 0.00%             | 2040-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CORPORACION NACIONAL DEL COBRE DE CHILE                                            | CORPORACION NACIONAL DEL COBRE DE CHILE 3% 09/30/2029 144A                                              | CUSIP: 21987BAZ1<br>LEI: 549300UVMBCBCIPSUI70 | Long             | DBT              | CORP              | CL        |      50000 | PA      | $45625.00     | 0.00%             | 2029-09-30      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NAK NAFTOGAZ UKRAINE VIA KONDOR FINANCE PLC                                        | NAK NAFTOGAZ UKRAINE VIA KONDOR FINANCE PLC PIK 7.625% 11/08/2028 144A                                  | CUSIP: 50050MAB1<br>LEI: 213800PUC1T9GI6EIO63 | Long             | DBT              | CORP              | GB        |     116756 | PA      | $91945.34     | 0.00%             | 2028-11-08      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.25% 11/15/2034                                                                              | CUSIP: 91282CLW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  131100000 | PA      | $129809484.38 | 1.89%             | 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        |     761216 | PA      | $601119.59    | 0.01%             | 2052-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2.5% 12/20/2050#MA7052                                                                          | CUSIP: 36179VZR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     160446 | PA      | $134627.92    | 0.00%             | 2050-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 6/28 #432548                                                                                 | CUSIP: 31379XP90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        117 | PA      | $122.09       | 0.00%             | 2028-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 4% 05/20/2049#BN2615                                                                            | CUSIP: 3617K53Y8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13259 | PA      | $12225.03     | 0.00%             | 2049-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2.5% 12/20/2051#MA7767                                                                          | CUSIP: 36179WTY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      26296 | PA      | $22048.21     | 0.00%             | 2051-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 09/01/2051#CB1703                                                                          | CUSIP: 3140QL3M6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     138608 | PA      | $129411.84    | 0.00%             | 2051-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 8/37 #AE0265                                                                                 | CUSIP: 31419AJK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17536 | PA      | $18202.52     | 0.00%             | 2037-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 7/39 #931504                                                                                 | CUSIP: 31412P3M1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16341 | PA      | $16087.17     | 0.00%             | 2039-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WOLVERINE WORLD WIDE INC                                                           | WOLVERINE WORLD WIDE INC 4% 08/15/2029 144A                                                             | CUSIP: 978097AG8<br>LEI: 549300OVC7PK14LQ8D87 | Long             | DBT              | CORP              | US        |     350000 | PA      | $306299.38    | 0.00%             | 2029-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FLATIRON RR CLO 27 LTD                                                             | FLATIRON RR CLO 27 LTD A2 TSFR3M+150 10/18/2037 144A                                                    | CUSIP: 33882JAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1680000 | PA      | $1683897.60   | 0.02%             | 2037-10-18      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                                     | CITI SWAP REC 3.694 12/12/2028                                                                          | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |    5500000 | NC      | $161341.02    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 04/01/2051#FM6944                                                                          | CUSIP: 3140XAWE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     368571 | PA      | $291169.47    | 0.00%             | 2051-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2019-B14 MTG TR                                                          | BENCHMARK 2019-B14 MTG TR CSTR 12/15/2062                                                               | CUSIP: 08162YAK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4165159 | PA      | $88915.32     | 0.00%             | 2062-12-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/32 #579242                                                                                 | CUSIP: 36201CP32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        173 | PA      | $178.43       | 0.00%             | 2032-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 05/01/2031#BC8289                                                                        | CUSIP: 3140F4F76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     695771 | PA      | $667568.85    | 0.01%             | 2031-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 2.5% 09/01/2041#SC0185                                                                        | CUSIP: 3132D9F25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     124523 | PA      | $109509.58    | 0.00%             | 2041-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| STARWOOD PROPERTY TRUST INC                                                        | STARWOOD PPTY TR INC 3.625% 07/15/2026 144A                                                             | CUSIP: 85571BAU9<br>LEI: BUGSFQZERKRBFWIG5267 | Long             | DBT              | CORP              | US        |      65000 | PA      | $63462.63     | 0.00%             | 2026-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 2.5% 12/20/2051#785792                                                                          | CUSIP: 3622ABKD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     684827 | PA      | $569064.28    | 0.01%             | 2051-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BBCMS MTG TR 2025-5C34                                                             | BBCMS MTG TR 2025-5C34 5.659% 05/15/2058                                                                | CUSIP: 07337BAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2000000 | PA      | $2065256.60   | 0.03%             | 2058-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 12/01/2051#CB2349                                                                          | CUSIP: 3140QMTF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     610035 | PA      | $481734.07    | 0.01%             | 2051-12-01      | Fixed         | 0.02%                 | 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        |    4027251 | PA      | $3473590.50   | 0.05%             | 2050-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JPMORGAN SECURITIES LLC                                                            | MNGT SWAP CZ030008 12/17/57 B                                                                           | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |     200000 | NC      | $15287.08     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ALLIED UNIVERSAL HOLDCO LLC                                                        | ALLIED UNIVERSAL HOLDCO LLC 7.875% 02/15/2031 144A                                                      | CUSIP: 019576AD9<br>LEI: 98450038B4549046D794 | Long             | DBT              | CORP              | US        |    1820000 | PA      | $1886191.58   | 0.03%             | 2031-02-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| BANCO DE CREDITO DEL PERU                                                          | BANCO DE CREDITO DEL PERU T5Y+NA 03/10/2035 144A                                                        | CUSIP: 05971U2H9<br>LEI: 549300EQYQ8SCQZ4BY14 | Long             | DBT              | CORP              | PE        |     235000 | PA      | $230828.75    | 0.00%             | 2035-03-10      | 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        |     880000 | PA      | $766587.94    | 0.01%             | 2031-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 1999-33 PK 6% 7/29                                                                                  | CUSIP: 31359WKN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       1276 | PA      | $1296.57      | 0.00%             | 2029-07-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| Connect Holding II LLC                                                             | BRIGHTSPEED TERM B 1LN 10/03/2031                                                                       | CUSIP: 20752KAR4<br>LEI: 254900LCX7S2QHYUOI31 | Long             | LON              | CORP              | US        |      95743 | PA      | $72525.67     | 0.00%             | 2031-10-03      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 07/01/2047#AS9968                                                                          | CUSIP: 3138WLCE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42584 | PA      | $39835.17     | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COML MTG TR 2020-GC46                                                    | CITIGROUP COML MTG TR 2020-GC46 2.614% 02/15/2053                                                       | CUSIP: 17328RBA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     475007 | PA      | $453649.66    | 0.01%             | 2053-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIAN OIL COMPANY                                                          | SAUDI ARABIAN OIL COMPANY 3.25% 11/24/2050 144A                                                         | CUSIP: 80414L2L8<br>LEI: 5586006WD91QHB7J4X50 | Long             | DBT              | CORP              | SA        |     345000 | PA      | $212865.00    | 0.00%             | 2050-11-24      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 10/01/2051#QD0109                                                                          | CUSIP: 3133AWDN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      48095 | PA      | $37980.19     | 0.00%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 05/01/2051#RA5287                                                                          | CUSIP: 3133KL2U0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      81723 | PA      | $64101.04     | 0.00%             | 2051-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| PHILIPPINES REPUBLIC OF                                                            | PHILIPPINES REPUBLIC OF 2.65% 12/10/2045                                                                | CUSIP: 718286CL9<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |     200000 | PA      | $126620.00    | 0.00%             | 2045-12-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 04/01/2034#G16829                                                                          | CUSIP: 3128MFY28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      36662 | PA      | $35114.05     | 0.00%             | 2034-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EMRLD BORROWER LP / EMERALD CO-ISSUER INC                                          | EMRLD BORROWER LP / EMERALD CO-ISSUER INC 6.75% 07/15/2031 144A                                         | CUSIP: 26873CAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     925000 | PA      | $946553.43    | 0.01%             | 2031-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 06/01/2045#Q33791                                                                        | CUSIP: 3132QQF98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16076 | PA      | $14776.39     | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.0% 07/20/2043#MA1374                                                                          | CUSIP: 36179NQ35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11576 | PA      | $10439.53     | 0.00%             | 2043-10-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ADAPTHEALTH LLC                                                                    | ADAPTHEALTH LLC 5.125% 03/01/2030 144A                                                                  | CUSIP: 00653VAE1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     400000 | PA      | $369650.44    | 0.01%             | 2030-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NATGASOLINE LLC                                                                    | NATGASOLINE TERM B 1LN 03/29/2030                                                                       | CUSIP: 63232EAD9<br>LEI: 549300OHXDYMQYZOWC24 | Long             | LON              | CORP              | US        |    1099004 | PA      | $1085266.22   | 0.02%             | 2030-03-29      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 8/34 #G02758                                                                                 | CUSIP: 3128M4MF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4641 | PA      | $4673.13      | 0.00%             | 2034-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 21-66 DA 2% 01/25/2048                                                   | CUSIP: 3136BG6S5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     125604 | PA      | $102723.75    | 0.00%             | 2048-01-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                                                       | NISOURCE INC 2.95% 09/01/2029                                                                           | CUSIP: 65473PAH8<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |    1708000 | PA      | $1599110.71   | 0.02%             | 2029-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 12/01/2040#                                                                              | CUSIP: 312944LX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2055 | PA      | $2019.19      | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 11/01/2029#AS7270                                                                        | CUSIP: 3138WHCG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      68609 | PA      | $66608.96     | 0.00%             | 2029-11-01      | 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                  | Long             | ABS-MBS          | USGA              | US        |    8800000 | PA      | $8520528.72   | 0.12%             | 2055-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CELANESE US HLDGS LLC                                                              | CELANESE US HLDGS LLC VAR 07/15/2032                                                                    | CUSIP: 15089QAP9<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |    6000000 | PA      | $6140430.00   | 0.09%             | 2032-07-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 05/01/2040#MA4016                                                                        | CUSIP: 31418DPA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36452 | PA      | $32285.89     | 0.00%             | 2040-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR                                 | AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 6.45% 04/15/2027                                     | CUSIP: 00774MBG9<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    4752000 | PA      | $4890102.72   | 0.07%             | 2027-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AXON ENTERPRISE INC                                                                | AXON ENTERPRISE INC 6.25% 03/15/2033 144A                                                               | CUSIP: 05464CAD3<br>LEI: 549300QP2IEEGFE16681 | Long             | DBT              | CORP              | US        |     580000 | PA      | $588455.24    | 0.01%             | 2033-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BX 2021-LBA                                                                        | BX 2021-LBA TSFR1M+211.45 02/15/2036 144A                                                               | CUSIP: 05609BBH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     304462 | PA      | $301607.43    | 0.00%             | 2036-02-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 08/01/2035#                                                                                | CUSIP: 31297SPM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        382 | PA      | $384.55       | 0.00%             | 2035-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GRAPHIC PACKAGING INTL INC                                                         | GRAPHIC PACKAGING INTL INC 6.375% 07/15/2032 144A                                                       | CUSIP: 38869AAE7<br>LEI: SO75N4VY5NXGQSK8YQ65 | Long             | DBT              | CORP              | US        |     280000 | PA      | $280413.56    | 0.00%             | 2032-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 04/01/2033#ZS8087                                                                        | CUSIP: 3132A86Y0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      29696 | PA      | $28279.81     | 0.00%             | 2033-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 1999-32 PL 6% 7/29                                                                                  | CUSIP: 31359WHX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       1763 | PA      | $1793.33      | 0.00%             | 2029-07-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| METRO AG                                                                           | METRO AG 4% 03/05/2030 REGS                                                                             | CUSIP: N/A<br>LEI: 5299006EQ03K3SSUYS12       | Long             | DBT              | CORP              | DE        |     225000 | PA      | $258490.87    | 0.00%             | 2030-03-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VENTAS RLTY LTD PARTNERSHIP                                                        | VENTAS RLTY LTD PARTNERSHIP 4.75% 11/15/2030                                                            | CUSIP: 92277GAV9<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |    2100000 | PA      | $2088153.44   | 0.03%             | 2030-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                             | US 2YR NOTE (CBT) FUT SEP25 TUU5                                                                        | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |        487 | NC      | $190631.22    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2% 02/01/2036#BR1356                                                                          | CUSIP: 3140KYQJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      30182 | PA      | $27500.45     | 0.00%             | 2036-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BERMUDA GOVERNMENT OF                                                              | BERMUDA GOVERNMENT OF 3.375% 08/20/2050 144A                                                            | CUSIP: 085209AH7<br>LEI: 549300FP5PUZXX9FVJ40 | Long             | DBT              | NUSS              | BM        |     140000 | PA      | $89381.25     | 0.00%             | 2050-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CCO HLDGS CAP CORP                                                   | CCO HLDGS LLC/CAP CORP 4.5% 05/01/2032                                                                  | CUSIP: 1248EPCN1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2240000 | PA      | $2038721.66   | 0.03%             | 2032-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: —       |
| ARGENTUM NETHERLANDS BV                                                            | ARGENTUM NETHERLANDS BV 5.625%/VAR 08/15/2052 REGS                                                      | CUSIP: N/A<br>LEI: 724500RPEZI5VVQQWE89       | Long             | DBT              | CORP              | NL        |     393000 | PA      | $391526.25    | 0.01%             | 2052-08-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| OWENS and MINOR INC                                                                | OWENS and MINOR INC 4.5% 03/31/2029 144A                                                                | CUSIP: 690732AF9<br>LEI: 549300LMT5KQQXCEZ733 | Long             | DBT              | CORP              | US        |     255000 | PA      | $208421.39    | 0.00%             | 2029-03-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COMM 2015-DC1 MTG TR                                                               | COMM 2015-DC1 B MTG TR VAR 02/10/2048                                                                   | CUSIP: 12629NAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     875000 | PA      | $845416.25    | 0.01%             | 2048-02-10      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 2/41 #A97151                                                                                 | CUSIP: 3129455L8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1443 | PA      | $1421.82      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CALPINE CORPORATION                                                                | CALPINE CORPORATION 4.625% 02/01/2029 144A                                                              | CUSIP: 131347CP9<br>LEI: 43R4VPJBXTU2O15HEF41 | Long             | DBT              | CORP              | US        |     170000 | PA      | $165681.46    | 0.00%             | 2029-02-01      | 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        |    1705272 | PA      | $1710562.33   | 0.02%             | 2037-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DEXT ABS 2025-1 LLC                                                                | DEXT ABS 2025-1 LLC 4.77% 08/15/2035 144A                                                               | CUSIP: 252154AC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    5650000 | PA      | $5633925.19   | 0.08%             | 2035-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| KNDR TR 2021-KIND                                                                  | KNDR 2021-KIND F TSFR1M+241.448 08/15/2038 144A                                                         | CUSIP: 482606AN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     693306 | PA      | $680306.99    | 0.01%             | 2038-08-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                                              | LCH OIS SOFRV3.25% MAC 06/18/29                                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |  -35110000 | NC      | $123701.97    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                                | GSCOFI SWAP CZ030008 12/17/57 B                                                                         | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |     700000 | NC      | $53504.78     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 2% 11/01/2041#QK1180                                                                          | CUSIP: 3133D4JZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     403279 | PA      | $339894.61    | 0.00%             | 2041-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 5% 04/25/2048                                                            | CUSIP: 3137H8BP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     218222 | PA      | $218020.04    | 0.00%             | 2048-04-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2% 12/01/2035#FM5278                                                                          | CUSIP: 3140X82L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23689 | PA      | $21503.14     | 0.00%             | 2035-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 07/01/2047#MA3058                                                                          | CUSIP: 31418CMG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     480731 | PA      | $448498.67    | 0.01%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ADT SECURITY CORP/THE                                                              | ADT SECURITY CORP/THE 4.875% 07/15/2032 144A                                                            | CUSIP: 74166NAA2<br>LEI: 5493009JEEDYLVRA0J13 | Long             | DBT              | CORP              | US        |     180000 | PA      | $170853.70    | 0.00%             | 2032-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PUGET ENERGY INC                                                                   | PUGET ENERGY INC 4.224% 03/15/2032                                                                      | CUSIP: 745310AN2<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |    1329000 | PA      | $1224609.63   | 0.02%             | 2032-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MOLINA HEALTHCARE INC                                                              | MOLINA HEALTHCARE INC 6.25% 01/15/2033 144A                                                             | CUSIP: 60855RAM2<br>LEI: 549300NQQCEQ46YHZ591 | Long             | DBT              | CORP              | US        |    1250000 | PA      | $1247984.63   | 0.02%             | 2033-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: —       |
| P3 GROUP SARL                                                                      | P3 GROUP SARL 4% 04/19/2032 REGS                                                                        | CUSIP: N/A<br>LEI: 529900GR62MT0O5VW110       | Long             | DBT              | CORP              | LU        |     300000 | PA      | $342240.75    | 0.00%             | 2032-04-19      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 10/01/2033#                                                                                | CUSIP: 31296PKS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1300 | PA      | $1308.60      | 0.00%             | 2033-10-01      | 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        |    7500000 | PA      | $7694527.50   | 0.11%             | 2055-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 10/01/2040#V81966                                                                        | CUSIP: 3132L7FF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6875 | PA      | $6295.71      | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 11/27 #251298                                                                                | CUSIP: 31371GDB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         14 | PA      | $13.95        | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SAMHALLSBYGGNADSBOLAGET I NORDEN AB                                                | SAMHALLSBYGGNADSBOLAGET I NORDEN AB 2.624%/VAR PERP REGS                                                | CUSIP: N/A<br>LEI: 549300HX9MRFY47AH564       | Long             | EP               | CORP              | SE        |     310000 | PA      | $242397.57    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 11/40 #749953                                                                                | CUSIP: 3620C6E27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2393 | PA      | $2295.35      | 0.00%             | 2040-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 04/01/2046#Q40165                                                                          | CUSIP: 3132WDFF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9619 | PA      | $8484.84      | 0.00%             | 2046-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CLEVELAND-CLIFFS INC                                                               | CLEVELAND-CLIFFS INC 4.875% 03/01/2031 144A                                                             | CUSIP: 185899AL5<br>LEI: 549300TM2WLI2BJMDD86 | Long             | DBT              | CORP              | US        |    1510000 | PA      | $1233832.93   | 0.02%             | 2031-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 11/01/2042#G07368                                                                          | CUSIP: 3128M9QV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      90499 | PA      | $86170.34     | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII 30YR 4.5% 04/20/2040#004673                                                                        | CUSIP: 36202FFN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3664 | PA      | $3554.73      | 0.00%             | 2040-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BAMLL COML MTG SECS TR 2022-DKLX                                                   | BAMLL COML MTG SECS TR 2022-DKLX TSFR1M+155 01/15/2039 144A                                             | CUSIP: 05530SAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     172312 | PA      | $170912.11    | 0.00%             | 2039-01-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| MPT OPER PARTNERSHIP LP / MPT FIN CORP                                             | MPT OPER PARTNERSHIP LP/CORP 3.5% 03/15/2031                                                            | CUSIP: 55342UAM6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     705000 | PA      | $462471.47    | 0.01%             | 2031-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TITANIUM 2L BONDCO SARL                                                            | TITANIUM 2L BONDCO SARL PIK 6.25% 01/14/2031                                                            | CUSIP: N/A<br>LEI: 636700S4QMU2DWYOSF67       | Long             | DBT              | CORP              | LU        |    1929600 | PA      | $644691.25    | 0.01%             | 2031-01-14      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2021-CIP                                                            | BX COML MTG TR 2021-CIP TSFR1M+293.448 12/15/2028 144A                                                  | CUSIP: 12434FAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     517231 | PA      | $515614.96    | 0.01%             | 2038-12-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| EL SALVADOR REPUBLIC OF                                                            | EL SALVADOR REPUBLIC OF 7.65% 06/15/2035 144A                                                           | CUSIP: 283875AN2<br>LEI: 529900AKDMUSFSDOM949 | Long             | DBT              | NUSS              | SV        |      80000 | PA      | $75680.00     | 0.00%             | 2035-06-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2% 10/01/2041#                                                                                | CUSIP: 31418D5G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     433639 | PA      | $365892.33    | 0.01%             | 2041-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                     | MORGAN STANLEY 4.889%/VAR 07/20/2033                                                                    | CUSIP: 61747YEU5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   10947000 | PA      | $10783246.34  | 0.16%             | 2033-07-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                                           | WARNERMEDIA HOLDINGS INC 4.693% 05/17/2033                                                              | CUSIP: 55903VBH5<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |     350000 | PA      | $370290.00    | 0.01%             | 2033-05-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 07/01/2035#843431                                                                        | CUSIP: 31407XA84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27221 | PA      | $27375.36     | 0.00%             | 2035-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| QATAR ST                                                                           | QATAR ST 4.4% 04/16/2050 144A                                                                           | CUSIP: 74727PBE0<br>LEI: 52990074F6OJOAXK4P65 | Long             | DBT              | NUSS              | QA        |     455000 | PA      | $379697.50    | 0.01%             | 2050-04-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MORTAGE TR 2024-MGP                                               | WELLS FARGO COML MORTAGE TR 2024-MGP TSFR1M+199.073 08/15/2041 144A                                     | CUSIP: 95003TAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     700000 | PA      | $698291.58    | 0.01%             | 2041-08-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| UBS COML MTG TR 2017-C7                                                            | UBS COML MTG TR 2017-C7 3.586% 12/15/2050                                                               | CUSIP: 90276WAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1113225 | PA      | $1099592.40   | 0.02%             | 2050-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HOWARD HUGHES CORP                                                                 | HOWARD HUGHES CORP 4.375% 02/01/2031 144A                                                               | CUSIP: 44267DAF4<br>LEI: 549300BVHY25JZC1KI49 | Long             | DBT              | CORP              | US        |     700000 | PA      | $635667.34    | 0.01%             | 2031-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HILTON USA TR 2016-HHV                                                             | HILTON USA TR 2016-HHV VAR 11/05/2038 144A                                                              | CUSIP: 43300LAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $966504.90    | 0.01%             | 2038-11-05      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| OMEGA HEALTHCARE INVESTORS INC                                                     | OMEGA HEALTHCARE INVESTORS INC 3.25% 04/15/2033                                                         | CUSIP: 681936BN9<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |    9853000 | PA      | $8329721.17   | 0.12%             | 2033-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.50% 3/36 #003828                                                                              | CUSIP: 36202EHD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        704 | PA      | $695.19       | 0.00%             | 2036-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 2/29 #323542                                                                                 | CUSIP: 31374TLX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         74 | PA      | $77.61        | 0.00%             | 2029-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CAPSTONE COPPER CORP                                                               | CAPSTONE COPPER CORP 6.75% 03/31/2033 144A                                                              | CUSIP: 14071LAA6<br>LEI: 549300III6KGKKC42W63 | Long             | DBT              | CORP              | CA        |     445000 | PA      | $444918.30    | 0.01%             | 2033-03-31      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| VOYA CLO 2020-2 LTD / VOYA CLO 2020-2 LLC                                          | VOYA CLO 2020-2 LTD/LLC A1RR TSFR3M+131 01/20/2038 144A                                                 | CUSIP: 92918HAT7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1595000 | PA      | $1595063.80   | 0.02%             | 2038-01-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| MEDLINE BORROWER LP/MEDLINE CO-ISSUER INC                                          | MEDLINE BORROWER LP/MEDLINE CO-ISSUER INC 6.25% 04/01/2029 144A                                         | CUSIP: 58506DAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1645000 | PA      | $1673892.52   | 0.02%             | 2029-04-01      | Fixed         | 0.06%                 | 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        |     194000 | PA      | $168457.05    | 0.00%             | 2031-11-23      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MILLICOM INTL CELLULAR SA                                                          | MILLICOM INTL CELLULAR SA 6.25% 03/25/2029 144A                                                         | CUSIP: 600814AQ0<br>LEI: 549300CTHC1CP86P2G96 | Long             | DBT              | CORP              | LU        |    1440000 | PA      | $1428552.00   | 0.02%             | 2029-03-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 2.5% 05/01/2041#SC0237                                                                        | CUSIP: 3132D9HN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     582617 | PA      | $514882.97    | 0.01%             | 2041-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                                                         | HUMANA INC 3.7% 03/23/2029                                                                              | CUSIP: 444859BT8<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |     585000 | PA      | $561945.95    | 0.01%             | 2029-03-23      | Fixed         | 0.04%                 | 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        |    5694000 | PA      | $4693600.36   | 0.07%             | 2032-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ABN AMRO BANK NV                                                                   | ABN AMRO BANK NV 3.875% 01/15/2032 REGS                                                                 | CUSIP: N/A<br>LEI: BFXS5XCH7N0Y05NIXW11       | Long             | DBT              | CORP              | NL        |     500000 | PA      | $583320.41    | 0.01%             | 2032-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 1.5% 10/01/2035#SB8068                                                                        | CUSIP: 3132D56D9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1326290 | PA      | $1174755.28   | 0.02%             | 2035-10-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| SECURITIZED TERM AUTO RECEIVABLES TRUST 2025-A                                     | SECURITIZED TERM AUTO RECEIVABLES TRUST 2025-A 5.67% 07/25/2031 144A                                    | CUSIP: 81378RAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | CA        |    1289521 | PA      | $1295053.98   | 0.02%             | 2031-07-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 6/38 #G05299                                                                                 | CUSIP: 3128M7GG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1226 | PA      | $1214.24      | 0.00%             | 2038-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3% 03/20/2043#AD8812                                                                            | CUSIP: 36180MYH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7296 | PA      | $6623.92      | 0.00%             | 2043-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| APOLLO AVIATION SECURITIZATION EQUITY TRUST                                        | APOLLO AVIATION SECURITIZATION EQUITY TRUST 4.335% 01/16/2040 144A                                      | CUSIP: 00255UAB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      66409 | PA      | $61097.85     | 0.00%             | 2040-01-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 5/34 #A21977                                                                                 | CUSIP: 31296YFS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        512 | PA      | $515.60       | 0.00%             | 2034-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 10/01/2045#AZ4750                                                                        | CUSIP: 3138YWH42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29381 | PA      | $26694.27     | 0.00%             | 2045-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AEGEA FINANCE SARL                                                                 | AEGEA FINANCE SARL 9% 01/20/2031 144A                                                                   | CUSIP: 00775CAC0<br>LEI: 213800V6WTKUT1XWIZ47 | Long             | DBT              | CORP              | LU        |      80000 | PA      | $84100.00     | 0.00%             | 2031-01-20      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| GM FINANCIAL LEASING TRUST 2023-3                                                  | GM FINANCIAL LEASING TRUST 2023-3 5.38% 11/20/2026                                                      | CUSIP: 379929AD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     293846 | PA      | $294430.53    | 0.00%             | 2026-11-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                                  | NATWEST GROUP PLC 2.105%/VAR 11/28/2031 REGS                                                            | CUSIP: N/A<br>LEI: 2138005O9XJIJN4JPN90       | Long             | DBT              | CORP              | GB        |     638000 | PA      | $823609.06    | 0.01%             | 2031-11-28      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.00% 9/41 #Q03210                                                                                 | CUSIP: 3132GJGT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1983 | PA      | $1887.33      | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | 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        |   37100000 | PA      | $32332520.15  | 0.47%             | 2055-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 04/01/2046#BC0824                                                                        | CUSIP: 3140EU4J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      51784 | PA      | $47096.82     | 0.00%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/01/2040#AE4058                                                                          | CUSIP: 31419EQL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5834 | PA      | $5563.56      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BAPCO ENERGIES BSC                                                                 | BAPCO ENERGIES BSC 7.5% 10/25/2027 144A                                                                 | CUSIP: 67778M2A7<br>LEI: 549300OBH16L6TS6IW50 | Long             | DBT              | CORP              | BH        |     290000 | PA      | $295823.20    | 0.00%             | 2027-10-25      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/01/2040#AE7386                                                                          | CUSIP: 31419JF45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5353 | PA      | $5092.01      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SERVICE CORP INTERNATIONAL INC                                                     | SERVICE CORP INTERNATIONAL INC 5.75% 10/15/2032                                                         | CUSIP: 817565CH5<br>LEI: 549300RKVM2ME20JHZ15 | Long             | DBT              | CORP              | US        |     160000 | PA      | $158998.18    | 0.00%             | 2032-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 21-96 HA 2.5% 02/25/2050                                                 | CUSIP: 3136BKWX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     173713 | PA      | $148018.31    | 0.00%             | 2050-02-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/40#AE8996                                                                               | CUSIP: 31419K7J8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7626 | PA      | $7268.83      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 03/01/2051#QB9482                                                                          | CUSIP: 3133AGRB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     368460 | PA      | $291081.77    | 0.00%             | 2051-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| TRUENOORD CAPITAL DAC                                                              | TRUENOORD CAPITAL DAC 8.75% 03/01/2030 144A                                                             | CUSIP: 89785GAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |     485000 | PA      | $502963.43    | 0.01%             | 2030-03-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 11/32#BJ6650                                                                               | CUSIP: 3140H8L86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5490 | PA      | $5297.64      | 0.00%             | 2032-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/31 #564650                                                                                 | CUSIP: 36213UH37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        127 | PA      | $130.89       | 0.00%             | 2031-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                                              | LCH OIS SOFRV3.25% MAC 06/18/32                                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |  -13186000 | NC      | $-65645.44    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TURKEY REPUBLIC OF                                                                 | TURKEY REPUBLIC OF 9.375% 01/19/2033                                                                    | CUSIP: 900123DG2<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |     335000 | PA      | $369233.65    | 0.01%             | 2033-01-19      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| NYMT LOAN TRUST 2024-CP1                                                           | NYMT LOAN TRUST 2024-CP1 3.75% 02/25/2068 144A                                                          | CUSIP: 67118PAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     439197 | PA      | $404435.39    | 0.01%             | 2068-02-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANCO MERCANTIL DEL NORTE SA CAYMAN ISLANDS BRANCH                                 | BANCO MERCANTIL DEL NORTE CAYMAN ISLAND BRH 8.375%/VAR PERP 144A                                        | CUSIP: 05971PAD0<br>LEI: 549300QTVYRPFHS0J362 | Long             | EP               | CORP              | KY        |     200000 | PA      | $197750.00    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PRIME HEALTHCARE SERVICES                                                          | PRIME HEALTHCARE SERVICES 9.375% 09/01/2029 144A                                                        | CUSIP: 74165HAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     420000 | PA      | $426715.38    | 0.01%             | 2029-09-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 6.54% 4/37 #918912                                                                             | CUSIP: 31411Y3V3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        599 | PA      | $616.10       | 0.00%             | 2037-04-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                      | CITIGROUP INC 4.4% 06/10/2025                                                                           | CUSIP: 172967JT9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     933000 | PA      | $932782.94    | 0.01%             | 2025-06-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EQT TR 2024-EXTR                                                                   | EQT TR 2024-EXTR D VAR 07/05/2041 144A                                                                  | CUSIP: 29439DAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $100948.83    | 0.00%             | 2041-07-05      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| BX 2024 VLT4                                                                       | BX 2024 VLT4 E TSFR1M+288.94 07/15/2029 144A                                                            | CUSIP: 05612TAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     947000 | PA      | $933978.75    | 0.01%             | 2029-07-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                                | PETROLEOS MEXICANOS 6.49% 01/23/2027                                                                    | CUSIP: 71654QDB5<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |     570000 | PA      | $560025.00    | 0.01%             | 2027-01-23      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 4/40 #737177                                                                                 | CUSIP: 3620AQ6N8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12146 | PA      | $12202.51     | 0.00%             | 2040-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 01/01/2051#FM5651                                                                        | CUSIP: 3140X9H57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     313467 | PA      | $258166.97    | 0.00%             | 2051-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 02/01/2043#Q15992                                                                        | CUSIP: 3132J7C67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8021 | PA      | $7605.51      | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DP WORLD SALAAM                                                                    | DP WORLD SALAAM 6%/VAR PERP REGS                                                                        | CUSIP: N/A<br>LEI: 549300SUYBT9X88E9435       | Long             | EP               | CORP              | KY        |     450000 | PA      | $449015.63    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| VALARIS LTD                                                                        | VALARIS LTD 8.375% 04/30/2030 144A                                                                      | CUSIP: 91889FAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     280000 | PA      | $281088.36    | 0.00%             | 2030-04-30      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                         | FANNIEMAE 30YR 2.5% 05/01/2052#FA0096                                                                   | CUSIP: 3140W0DA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2195790 | PA      | $1807051.56   | 0.03%             | 2052-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| COMSTOCK RESOURCES INC                                                             | COMSTOCK RESOURCES INC 5.875% 01/15/2030 144A                                                           | CUSIP: 205768AT1<br>LEI: I03QQGEA4SS774AURI46 | Long             | DBT              | CORP              | US        |     430000 | PA      | $406601.21    | 0.01%             | 2030-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ALPHA TRAINS FINANCE SA                                                            | ALPHA TRAINS FINANCE SA 2.064% 06/30/2030 REGS                                                          | CUSIP: N/A<br>LEI: 529900FR0E130P05IY43       | Long             | DBT              | CORP              | LU        |     233000 | PA      | $264305.61    | 0.00%             | 2030-06-30      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MILLICOM INTL CELLULAR SA                                                          | MILLICOM INTL CELLULAR SA 5.125% 01/15/2028 144A                                                        | CUSIP: 600814AN7<br>LEI: 549300CTHC1CP86P2G96 | Long             | DBT              | CORP              | LU        |    1017000 | PA      | $995388.75    | 0.01%             | 2028-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FISERV FUNDING UNLTD CO                                                            | FISERV FUNDING UNLTD CO 3.5% 06/15/2032                                                                 | CUSIP: 337735AB0<br>LEI: 254900RNWK5SE9A0I712 | Long             | DBT              | CORP              | IE        |     100000 | PA      | $112712.49    | 0.00%             | 2032-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 08/01/2051#SD2230                                                                          | CUSIP: 3132DPPP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     464981 | PA      | $364281.47    | 0.01%             | 2051-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2021-SAVE                                                  | WELLS FARGO COML MTG TR 2021-SAVE D TSFR1M+261.448 02/15/2040 144A                                      | CUSIP: 95003LAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     460800 | PA      | $460528.17    | 0.01%             | 2040-02-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| ALLIANT HLDGS INTERMEDIATE LLC/ALLIANT HLDGS CO-ISSUER                             | ALLIANT HLDGS INTERMEDIATE LLC/ALLIANT HLDGS CO-ISSUER 7.375% 10/01/2032 144A                           | CUSIP: 01883LAH6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     295000 | PA      | $303226.08    | 0.00%             | 2032-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 6/46#V82414                                                                                | CUSIP: 3132L7VF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     146455 | PA      | $129189.23    | 0.00%             | 2046-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DRYDEN 86 CLO LTD / DRYDEN 86 CLO LLC                                              | DRYDEN 86 CLO LTD / DRYDEN 86 CLO LLC A1R TSFR3M+136.161 07/17/2034 144A                                | CUSIP: 26245XAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    9421000 | PA      | $9424919.14   | 0.14%             | 2034-07-17      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 11/20/2047#784391                                                                          | CUSIP: 3622A22Y7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     137338 | PA      | $123731.12    | 0.00%             | 2046-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CLEAR CHANNEL OUTDOOR HOLDINGS INC                                                 | CLEAR CHANNEL OUTDOOR HOLDINGS INC 5.125% 08/15/2027 144A                                               | CUSIP: 18453HAA4<br>LEI: 254900XBEE6V1ENYS150 | Long             | DBT              | CORP              | US        |      79000 | PA      | $77279.96     | 0.00%             | 2027-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIA KINGDOM OF                                                            | SAUDI ARABIA KINGDOM OF 5% 01/18/2053 144A                                                              | CUSIP: 80413TBE8<br>LEI: 54930044PULMORCKB765 | Long             | DBT              | NUSS              | SA        |     200000 | PA      | $166312.00    | 0.00%             | 2053-01-18      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 10/01/2039#A89270                                                                        | CUSIP: 312936JP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2786 | PA      | $2743.98      | 0.00%             | 2039-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GNR 2009-116 KF TSFR1M+64.448 12/39                                                                     | CUSIP: 38376PA42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      27830 | PA      | $27735.27     | 0.00%             | 2039-12-16      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ARES LIX CLO LTD                                                                   | ARES LIX CLO LTD A TSFR3M+129.161 04/25/2034 144A                                                       | CUSIP: 04018EAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     657000 | PA      | $657378.43    | 0.01%             | 2034-04-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 10/01/2051#FM9080                                                                          | CUSIP: 3140XDCS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     224528 | PA      | $177305.70    | 0.00%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.00% 9/40 #004800                                                                              | CUSIP: 36202FKM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      37420 | PA      | $35876.73     | 0.00%             | 2040-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 05/01/2045#Q33547                                                                        | CUSIP: 3132QP5H3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      83392 | PA      | $76317.37     | 0.00%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| Connect Holding II LLC                                                             | BRIGHTSPEED TERM B-DD 1LN 04/03/2031                                                                    | CUSIP: 20752KAP8<br>LEI: 254900LCX7S2QHYUOI31 | Long             | LON              | CORP              | US        |     507074 | PA      | $466350.90    | 0.01%             | 2031-04-03      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CY885799 12/15/56 S                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     100000 | NC      | $-1750.73     | -0.00%            |  |  |  | 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        |    5677001 | PA      | $5684097.31   | 0.08%             | 2041-05-15      | Floating      | 0.06%                 | No            |                  2 | On Loan: No      |
| Fidelity Revere Street Trust                                                       | Fidelity Securities Lending Cash Central Fund                                                           | CUSIP: 31635A303<br>LEI: 549300BDV45LJNXBZC55 | Long             | STIV             | RF                | US        |   18897900 | NS      | $18899790.02  | 0.27%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 10/01/2051#MA4437                                                                          | CUSIP: 31418D4X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24010 | PA      | $18727.77     | 0.00%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 11/01/2046#FM8703                                                                          | CUSIP: 3140XCU55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37598 | PA      | $33711.14     | 0.00%             | 2046-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SOUTHERN GAS NETWORKS PLC                                                          | SOUTHERN GAS NETWORKS PLC 3.5% 10/16/2030 REGS                                                          | CUSIP: N/A<br>LEI: 549300SPX8573VZ2SK79       | Long             | DBT              | CORP              | GB        |     375000 | PA      | $426792.15    | 0.01%             | 2030-10-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 08/01/2047#CA0181                                                                          | CUSIP: 3140Q7FX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     187670 | PA      | $175087.38    | 0.00%             | 2047-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LIFEPOINT HEALTH INC                                                               | LIFEPOINT HEALTH INC 10% 06/01/2032 144A                                                                | CUSIP: 53219LAX7<br>LEI: 549300G8ZVHRTBBBSZ90 | Long             | DBT              | CORP              | US        |     255000 | PA      | $266750.15    | 0.00%             | 2032-06-01      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 11/01/2051#MA4466                                                                        | CUSIP: 31418D6C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1905312 | PA      | $1559663.70   | 0.02%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JYSKE BANK                                                                         | JYSKE BANK AS 3.625%/VAR 04/29/2031 REGS                                                                | CUSIP: N/A<br>LEI: 3M5E1GQGKL17HI6CPN30       | Long             | DBT              | CORP              | DK        |     265000 | PA      | $304559.45    | 0.00%             | 2031-04-29      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| TGP HOLDINGS III LLC                                                               | TRAEGER GRILLS TERM B 1LN 06/29/2028                                                                    | CUSIP: 87251RAK9<br>LEI: 549300LURVM6CQ1MNO41 | Long             | LON              | CORP              | US        |     814757 | PA      | $716521.66    | 0.01%             | 2028-06-29      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2019-GC38                                                           | GS MTG SECS TR 2019-GC38 B 4.309% 02/10/2052                                                            | CUSIP: 36252SBA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     269000 | PA      | $254632.52    | 0.00%             | 2052-02-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FORTRESS TRANSN and INFRASTRUCTURE INVS LLC                                        | FORTRESS TRANSN and INFRASTRUCTURE INVS LLC 7% 06/15/2032 144A                                          | CUSIP: 34960PAG6<br>LEI: 529900E7PUVK6BC8PE80 | Long             | DBT              | CORP              | US        |     245000 | PA      | $250452.23    | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | 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        |   34816000 | PA      | $29543788.05  | 0.43%             | 2032-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2502 ZC 6 9/32                                                                                      | CUSIP: 31392UTM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       1271 | PA      | $1300.58      | 0.00%             | 2032-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MHC TR 2021-MHC2                                                                   | MHC TR 2021-MHC2 TSFR1M+251.448 05/15/2023 144A                                                         | CUSIP: 55293AAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     112800 | PA      | $112377.00    | 0.00%             | 2038-05-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| EGYPT, (ARAB) REPUBLIC OF                                                          | EGYPT (ARAB) REPUBLIC OF 7.6003% 03/01/2029 144A                                                        | CUSIP: 03846JW71<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |     245000 | PA      | $240243.33    | 0.00%             | 2029-03-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                                                 | DOMINICAN REPUBLIC 4.875% 09/23/2032 144A                                                               | CUSIP: 25714PEF1<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |     705000 | PA      | $642960.00    | 0.01%             | 2032-09-23      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 12/01/2046#BC9079                                                                        | CUSIP: 3140F5CR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8666 | PA      | $8329.35      | 0.00%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VIASAT INC                                                                         | VIASAT INC 7.5% 05/30/2031 144A                                                                         | CUSIP: 92552VAR1<br>LEI: UFC8NYMNFSYIHNSM2I38 | Long             | DBT              | CORP              | US        |     455000 | PA      | $363014.19    | 0.01%             | 2031-05-30      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| TOPBUILD CORP                                                                      | TOPBUILD CORP 4.125% 02/15/2032 144A                                                                    | CUSIP: 89055FAC7<br>LEI: 5493007YSKHOL4RWII46 | Long             | DBT              | CORP              | US        |     385000 | PA      | $349153.77    | 0.01%             | 2032-02-15      | 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        |   28401000 | PA      | $24832015.03  | 0.36%             | 2053-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                              | BOAM SWAP PAY 4.01 05/07/30                                                                             | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    3370000 | NC      | $140903.44    | 0.00%             |  |  |  | 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        |   19116000 | PA      | $15250237.08  | 0.22%             | 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        |    1263910 | PA      | $1226149.93   | 0.02%             | 2051-12-05      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM 30YR 5.5% 8/53 #RA9561                                                                             | CUSIP: 3133KRTS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     414462 | PA      | $414064.88    | 0.01%             | 2053-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 12/01/2051#FM9777                                                                          | CUSIP: 3140XD2K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     168112 | PA      | $144606.31    | 0.00%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2009-59 HB 5% 8/25/39                                                                               | CUSIP: 31396QRH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      67776 | PA      | $67764.75     | 0.00%             | 2039-08-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PRET 2025-RPL2                                                                     | PRET 2025-RPL2 4% 08/25/2064 144A                                                                       | CUSIP: 69392LAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3394660 | PA      | $3249779.15   | 0.05%             | 2064-08-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG NEW YORK BNCH                                                     | DEUTSCHE BANK AG NEW YORK BNCH 6.72%/VAR 01/18/2029                                                     | CUSIP: 251526CS6<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | US        |     980000 | PA      | $1022733.15   | 0.01%             | 2029-01-18      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| PEEBLES PARK CLO LTD                                                               | PEEBLES PARK CLO LTD A TSFR3M+150 04/21/2037 144A                                                       | CUSIP: 70537AAA0<br>LEI: 254900NRUX0E104HOE86 | Long             | ABS-CBDO         | CORP              | JE        |   18000000 | PA      | $18051372.00  | 0.26%             | 2037-04-21      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 12/01/2052#SD1924                                                                          | CUSIP: 3132DPD54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     573238 | PA      | $561347.08    | 0.01%             | 2052-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT 3857 ZP 5% 05/15/2041                                                           | CUSIP: 3137AAL35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     289170 | PA      | $289494.51    | 0.00%             | 2041-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 1.5% 11/01/2035#CA7953                                                                        | CUSIP: 3140QFZT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     116560 | PA      | $102805.23    | 0.00%             | 2035-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 6.34% 9/36 #893580                                                                             | CUSIP: 31410PXH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        144 | PA      | $147.53       | 0.00%             | 2036-09-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 01/52#SD8188                                                                               | CUSIP: 3132DWCZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     167473 | PA      | $130471.47    | 0.00%             | 2052-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 06/01/2048#BM4426                                                                        | CUSIP: 3140J84L4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     289931 | PA      | $262692.70    | 0.00%             | 2048-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                     | MORGAN STANLEY 4.099%/VAR 05/22/2036                                                                    | CUSIP: N/A<br>LEI: IGJSJL3JD5P30I6NJZ34       | Long             | DBT              | CORP              | US        |     400000 | PA      | $464728.78    | 0.01%             | 2036-05-22      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| INVESTMENT ENERGY RESOURCES LTD                                                    | INVESTMENT ENERGY RESOURCES LTD 6.25% 04/26/2029 144A                                                   | CUSIP: 46143NAB6<br>LEI: 254900A71Y7WHN7L5K89 | Long             | DBT              | CORP              | BM        |     255000 | PA      | $244035.00    | 0.00%             | 2029-04-26      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 06/01/2031#J34653                                                                          | CUSIP: 31307RE27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13498 | PA      | $13110.54     | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 1.5% 10/25/2051                                                          | CUSIP: 3136BJHA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     182871 | PA      | $153862.17    | 0.00%             | 2051-10-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 09/01/2033#727221                                                                        | CUSIP: 31402E4E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1372 | PA      | $1359.59      | 0.00%             | 2033-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 2% 02/25/2048                                                            | CUSIP: 3136BLFC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     782258 | PA      | $683920.22    | 0.01%             | 2048-02-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 3.5% 04/25/2052                                                          | CUSIP: 3137H6RW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     249212 | PA      | $234862.72    | 0.00%             | 2052-04-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 02/20/2043#MA0783                                                                          | CUSIP: 36179M2Q2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11525 | PA      | $10634.25     | 0.00%             | 2043-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                                  | NATWEST GROUP PLC 7.416%/VAR 06/06/2033 REGS                                                            | CUSIP: N/A<br>LEI: 2138005O9XJIJN4JPN90       | Long             | DBT              | CORP              | GB        |     341000 | PA      | $481826.46    | 0.01%             | 2033-06-06      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| THE BERKELEY GROUP PLC                                                             | THE BERKELEY GROUP PLC 2.5% 08/11/2031 REGS                                                             | CUSIP: N/A<br>LEI: 2138001V85JLYR7AUB61       | Long             | DBT              | CORP              | GB        |     648000 | PA      | $712770.82    | 0.01%             | 2031-08-11      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NEWELL BRANDS INC                                                                  | NEWELL BRANDS INC 6.625% 05/15/2032                                                                     | CUSIP: 651229BE5<br>LEI: 549300LWGYFM1TVO1Z12 | Long             | DBT              | CORP              | US        |     240000 | PA      | $221372.45    | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2024-VLT5                                                           | BX COML MTG TR 2024-VLT5 B CSTR 11/13/2046 144A                                                         | CUSIP: 05614JAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $99344.13     | 0.00%             | 2046-11-13      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 1.5% 05/01/2036#BR1069                                                                        | CUSIP: 3140KYFK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19204 | PA      | $16914.23     | 0.00%             | 2036-05-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| ACURIS FIN US/ACURIS FIN                                                           | ACURIS FIN US/ACURIS FIN 5% 05/01/2028 144A                                                             | CUSIP: 00511BAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     895000 | PA      | $851714.76    | 0.01%             | 2028-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VOYA CLO 2024-1 LTD                                                                | VOYA CLO 2024-1 LTD A1 TSFR3M+152 04/15/2037 144A                                                       | CUSIP: 92920DAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2051000 | PA      | $2057038.14   | 0.03%             | 2037-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| ROMANIA, REPUBLIC OF                                                               | ROMANIA REPUBLIC OF 3.625% 03/27/2032 144A                                                              | CUSIP: 77586RAL4<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     200000 | PA      | $167376.00    | 0.00%             | 2032-03-27      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BRASKEM NETHERLANDS FINANCE BV                                                     | BRASKEM NETHERLANDS FIN BV 7.25% 02/13/2033 144A                                                        | CUSIP: 10554TAG0<br>LEI: 2549000TLMHFQ74DS330 | Long             | DBT              | CORP              | NL        |     430000 | PA      | $374315.00    | 0.01%             | 2033-02-13      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2022-IND                                                                  | BX TRUST 2022-IND TSFR1M+219.7 04/15/2024 144A                                                          | CUSIP: 05609WAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     147000 | PA      | $146999.76    | 0.00%             | 2037-04-15      | Variable      | 0.07%                 | 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        |    2987919 | PA      | $2477618.22   | 0.04%             | 2052-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SYSCO CORP                                                                         | SYSCO CORP 6.6% 04/01/2050                                                                              | CUSIP: 871829BN6<br>LEI: 5RGWIFLMGH3YS7KWI652 | Long             | DBT              | CORP              | US        |     710000 | PA      | $750232.43    | 0.01%             | 2050-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ANGOLA REPUBLIC                                                                    | ANGOLA REPUBLIC 9.5% 11/12/2025 144A                                                                    | CUSIP: 035198AA8<br>LEI: 549300QHR2R3J8JSGK83 | Long             | DBT              | NUSS              | AO        |     315000 | PA      | $314704.69    | 0.00%             | 2025-11-12      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 11/01/2051#FS1334                                                                          | CUSIP: 3140XGPU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20003 | PA      | $15646.33     | 0.00%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP DEL                                                                   | CENTENE CORP 4.625% 12/15/2029                                                                          | CUSIP: 15135BAT8<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    3670000 | PA      | $3534213.67   | 0.05%             | 2029-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                                                       | ALPHABET INC 4% 05/06/2054                                                                              | CUSIP: 02079KAT4<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |     100000 | PA      | $112896.18    | 0.00%             | 2054-05-06      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE LN FDG 2024-2 LTD                                                    | PALMER SQUARE LN FDG 2024-2 LTD D TSFR3M+470 01/15/2033 144A                                            | CUSIP: 69703HAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $247645.00    | 0.00%             | 2033-01-15      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| NABORS INDUSTRIES INC                                                              | NABORS INDUSTRIES INC 7.375% 05/15/2027 144A                                                            | CUSIP: 62957HAJ4<br>LEI: 549300VFQWRKICUFNU92 | Long             | DBT              | CORP              | US        |     485000 | PA      | $465623.76    | 0.01%             | 2027-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                | MSCS SWAP CY451600 12/16/72 S                                                                           | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |      40000 | NC      | $72.83        | 0.00%             |  |  |  | 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        |    2603000 | PA      | $2585729.17   | 0.04%             | 2026-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 3.464% 5/1/41#1B8304                                                                           | CUSIP: 3128UGTL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4610 | PA      | $4786.86      | 0.00%             | 2041-05-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 11/35 #843132                                                                                | CUSIP: 31407WVZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2071 | PA      | $2157.21      | 0.00%             | 2035-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 2.5% 12/25/2049                                                          | CUSIP: 3136BLGX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     334058 | PA      | $282096.62    | 0.00%             | 2049-12-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 1.5% 09/01/2036#CB1715                                                                        | CUSIP: 3140QL3Z7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1249573 | PA      | $1101336.42   | 0.02%             | 2036-09-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 07/01/2034#FM8940                                                                          | CUSIP: 3140XC5A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     178171 | PA      | $173389.90    | 0.00%             | 2034-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                          | ONEOK INC 4.4% 10/15/2029                                                                               | CUSIP: 682680CC5<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    1306000 | PA      | $1285110.48   | 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        |   10250000 | PA      | $9090062.85   | 0.13%             | 2055-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2% 10/01/2041#FM9396                                                                          | CUSIP: 3140XDNN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1071069 | PA      | $902346.30    | 0.01%             | 2041-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.0% 04/01/2045#AY7471                                                                             | CUSIP: 3138YMJR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5887 | PA      | $5539.79      | 0.00%             | 2045-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 03/01/2050#BP2187                                                                          | CUSIP: 3140K9ND7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      88262 | PA      | $76430.89     | 0.00%             | 2050-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.25% 02/28/2029                                                                              | CUSIP: 91282CKD2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1602000 | PA      | $1620836.01   | 0.02%             | 2029-02-28      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                                | GSCOFI SWAP CY873248 04/17/65 B                                                                         | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |     400000 | NC      | $68199.68     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EGYPT, (ARAB) REPUBLIC OF                                                          | EGYPT (ARAB) REPUBLIC OF 7.625% 05/29/2032 144A                                                         | CUSIP: 03846JX54<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |     135000 | PA      | $121204.69    | 0.00%             | 2032-05-29      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII 15YR 3% 11/20/2031#MA4044                                                                          | CUSIP: 36179SP50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     143630 | PA      | $138994.52    | 0.00%             | 2031-11-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                        | BNPI SWAP CDS 06/20/30 SOCGEN  B                                                                        | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DCR              | CORP              | FR        |     650000 | NC      | $4938.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CLEARWAY ENERGY OPERATING LLC                                                      | CLEARWAY ENERGY OPER LLC 4.75% 03/15/2028 144A                                                          | CUSIP: 18539UAC9<br>LEI: 549300Z3NFMM54NWBB87 | Long             | DBT              | CORP              | US        |      95000 | PA      | $92828.44     | 0.00%             | 2028-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 9/42 #AP4410                                                                                 | CUSIP: 3138M73U7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14096 | PA      | $13052.96     | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GENESEE and WYOMING INC                                                            | GENESEE and WYOMING INC 6.25% 04/15/2032 144A                                                           | CUSIP: 371559AB1<br>LEI: G617XSG94Z7G0RMW3L02 | Long             | DBT              | CORP              | US        |     545000 | PA      | $553502.55    | 0.01%             | 2032-04-15      | Fixed         | 0.06%                 | 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        |    2280465 | PA      | $2276188.71   | 0.03%             | 2039-02-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| SURGERY CENTER HLDGS INC                                                           | SURGERY CENTER HLDGS INC 7.25% 04/15/2032 144A                                                          | CUSIP: 86881WAF9<br>LEI: 54930054EVI5HWPPW113 | Long             | DBT              | CORP              | US        |     260000 | PA      | $259498.25    | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| TELECOMMUNICATIONS CO TELEKOM SRBIJA AD BELGRADE                                   | TELECOMMUNICATIONS CO TELEKOM SRBIJA AD BELGRADE 7% 10/28/2029 144A                                     | CUSIP: 87945BAA8<br>LEI: 254900OVY0XI1DFYC092 | Long             | DBT              | CORP              | RS        |     335000 | PA      | $331956.53    | 0.00%             | 2029-10-28      | Fixed         | 0.07%                 | 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        |    2168105 | PA      | $2127873.43   | 0.03%             | 2054-07-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2432 FG SOFR30A+101.448 3/32                                                                        | CUSIP: 31339NNN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |        103 | PA      | $103.24       | 0.00%             | 2032-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 02/20/2043#AD1755                                                                          | CUSIP: 36180C5Q8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14638 | PA      | $13592.80     | 0.00%             | 2043-02-20      | Fixed         | 0.04%                 | 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        |    3903000 | PA      | $2530151.44   | 0.04%             | 2052-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                         | CAPITAL ONE FINANCIAL CORP 3.273%/VAR 03/01/2030                                                        | CUSIP: 14040HCN3<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    1358000 | PA      | $1281841.76   | 0.02%             | 2030-03-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| X CORP                                                                             | TWITTER TERM B1 1LN 10/26/2029                                                                          | CUSIP: 90184NAG3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     494056 | PA      | $489046.39    | 0.01%             | 2029-10-26      | Variable      | 0.11%                 | No            |                  2 | On Loan: No      |
| NORTHERN OIL AND GAS INC                                                           | NORTHERN OIL AND GAS INC 8.125% 03/01/2028 144A                                                         | CUSIP: 665531AG4<br>LEI: OKFF0PIZDDMNH4UCYE51 | Long             | DBT              | CORP              | US        |     250000 | PA      | $251018.25    | 0.00%             | 2028-03-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/28 #433685                                                                                 | CUSIP: 36207JXN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         27 | PA      | $27.73        | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 03/15/2042#733816                                                                          | CUSIP: 3620AMGZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8520 | PA      | $8152.48      | 0.00%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 1.5% 04/01/2036#FM6100                                                                        | CUSIP: 3140X9X67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18063 | PA      | $15908.99     | 0.00%             | 2036-04-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII 30YR 4.5% 06/20/2040#004709                                                                        | CUSIP: 36202FGS9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3571 | PA      | $3467.81      | 0.00%             | 2040-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MOHEGAN TRIBAL GAMING AUTHORITY / MS DIGITAL ENTERTAINMENT HOLDINGS LLC            | MOHEGAN TRIBAL GAMING AUTHORITY / MS DIGITAL ENTERTAINMENT HOLDINGS LLC 11.875% 04/15/2031 144A         | CUSIP: 60832QAB6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     370000 | PA      | $384020.04    | 0.01%             | 2031-04-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2017-H1                                             | MORGAN STANLEY CAPITAL I TRUST 2017-H1 B 4.075% 06/15/2050                                              | CUSIP: 61691JAZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     515000 | PA      | $491511.83    | 0.01%             | 2050-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FINANCE PLC                                                        | IMPERIAL BRANDS FINANCE PLC 3.875% 02/12/2034 REGS                                                      | CUSIP: N/A<br>LEI: 2138008L3B3MCG1DFS50       | Long             | DBT              | CORP              | GB        |     125000 | PA      | $139714.28    | 0.00%             | 2034-02-12      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CLEAR CHANNEL OUTDOOR HOLDINGS INC                                                 | CLEAR CHANNEL OUTDOOR HOLDINGS INC 7.75% 04/15/2028 144A                                                | CUSIP: 18453HAC0<br>LEI: 254900XBEE6V1ENYS150 | Long             | DBT              | CORP              | US        |     230000 | PA      | $210162.50    | 0.00%             | 2028-04-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| TURKEY REPUBLIC OF                                                                 | TURKEY REPUBLIC OF 4.875% 10/09/2026                                                                    | CUSIP: 900123CK4<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |     430000 | PA      | $425506.50    | 0.01%             | 2026-10-09      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 1.5% 07/01/2036#SB8110                                                                        | CUSIP: 3132D6AK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17398 | PA      | $15296.41     | 0.00%             | 2036-07-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| SHIFT4 PAYMENTS LLC / SHIFT4 PAYMENTS FINANCE SUB INC                              | SHIFT4 PAYMENTS LLC / SHIFT4 PAYMENTS FINANCE SUB INC 6.75% 08/15/2032 144A                             | CUSIP: 82453AAB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     495000 | PA      | $505046.87    | 0.01%             | 2032-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ALLIANT HLDGS INTERMEDIATE LLC/ALLIANT HLDGS CO-ISSUER                             | ALLIANT HLDGS INTERMEDIATE LLC/ALLIANT HLDGS CO-ISSUER 4.25% 10/15/2027 144A                            | CUSIP: 01883LAB9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     300000 | PA      | $291552.51    | 0.00%             | 2027-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 02/01/2042#AJ5602                                                                        | CUSIP: 3138AXGL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      53747 | PA      | $51085.93     | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WINDFALL MINING GROUP INC/GROUPE MINIER WINDFALL INC                               | WINDFALL MINING GROUP INC/GROUPE MINIER WINDFALL INC 5.854% 05/13/2032 144A                             | CUSIP: 973244AA4<br>LEI: 984500E4L49391BFF948 | Long             | DBT              | CORP              | CA        |     200000 | PA      | $199695.68    | 0.00%             | 2032-05-13      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PRM5 TR 2025-PRM5                                                                  | PRM5 TR 2025-PRM5 E CSTR 03/10/2033 144A                                                                | CUSIP: 693980AJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     600000 | PA      | $597659.88    | 0.01%             | 2033-03-10      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 2/40 #737015                                                                                 | CUSIP: 3620AQYL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4677 | PA      | $4596.94      | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 1.5% 10/25/2051                                                          | CUSIP: 3137H2UC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     181642 | PA      | $152399.06    | 0.00%             | 2051-10-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 1.5% 02/01/2036#MA4260                                                                        | CUSIP: 31418DWW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14952 | PA      | $13187.78     | 0.00%             | 2036-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 11/01/2050#QB5148                                                                          | CUSIP: 3133ABWH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      39304 | PA      | $30792.33     | 0.00%             | 2050-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| AFFIRM ASSET SECURITIZATION TR 2024-X1                                             | AFFIRM ASSET SECURITIZATION TR 2024-X1 6.27% 05/15/2029 144A                                            | CUSIP: 00834XAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     117206 | PA      | $117334.37    | 0.00%             | 2029-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ARES LV CLO LTD                                                                    | ARES LV CLO LTD A1R2 TSFR3M+137 10/15/2037 144A                                                         | CUSIP: 04018BAW7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     923000 | PA      | $923244.60    | 0.01%             | 2037-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2145 MZ 6.5% 4/29                                                                                   | CUSIP: 3133TKE22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       5328 | PA      | $5404.51      | 0.00%             | 2029-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                                                               | COLOMBIA REPUBLIC OF 5.2% 05/15/2049                                                                    | CUSIP: 195325DQ5<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |     365000 | PA      | $240170.00    | 0.00%             | 2049-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2019-GC42                                                           | GS MTG SECS TR 2019-GC42 CSTR 09/01/2052                                                                | CUSIP: 36257UAS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     717551 | PA      | $614097.65    | 0.01%             | 2052-09-10      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA RESOURCES CORPORATION                                                   | CALIFORNIA RES CORP 8.25% 06/15/2029 144A                                                               | CUSIP: 13057QAK3<br>LEI: 5493003Q8F0T4F4YMR48 | Long             | DBT              | CORP              | US        |    1335000 | PA      | $1337420.36   | 0.02%             | 2029-06-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                             | FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD 1.5% 11/25/2051                                  | CUSIP: 3137H3V82<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     230611 | PA      | $193918.67    | 0.00%             | 2051-11-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 02/01/2043#AR0015                                                                        | CUSIP: 3138NWAR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9927 | PA      | $8935.58      | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 09/01/2035#AB8197                                                                        | CUSIP: 31417FDB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8234 | PA      | $8143.28      | 0.00%             | 2035-09-01      | Fixed         | 0.04%                 | 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        |    3208000 | PA      | $3208301.55   | 0.05%             | 2037-07-17      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| MOBICO GROUP PLC                                                                   | MOBICO GROUP PLC 4.875% 09/26/2031 REGS                                                                 | CUSIP: N/A<br>LEI: 213800A8IQEMY8PA5X34       | Long             | DBT              | CORP              | GB        |     736000 | PA      | $764872.22    | 0.01%             | 2031-09-26      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CSMC TR 2017-PFHP                                                                  | CSMC TR 2017-PFHP D TSFR1M+229.7 12/15/2020 144A                                                        | CUSIP: 12595KAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1296000 | PA      | $1205638.47   | 0.02%             | 2030-12-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| MAJORDRIVE HOLDINGS IV LLC                                                         | CLUB CAR TERM 1LN 06/01/2028                                                                            | CUSIP: 56085UAB9<br>LEI: 25490044R1FR5N8FIT62 | Long             | LON              | CORP              | US        |     479041 | PA      | $465570.81    | 0.01%             | 2028-06-01      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 03/20/2043#AA6141                                                                          | CUSIP: 36178DZE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6631 | PA      | $6155.56      | 0.00%             | 2043-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2.5% 04/20/2052#                                                                                | CUSIP: 36179W2U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11998554 | PA      | $10062188.80  | 0.15%             | 2052-04-20      | Fixed         | 0.03%                 | 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        |    3772000 | PA      | $3769472.76   | 0.05%             | 2038-01-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ABU DHABI DEVELOPMENTAL HOLDING CO PJSC                                            | ABU DHABI DEVELOPMENTAL HOLDING CO PJSC 5.5% 05/08/2034 144A                                            | CUSIP: 00402D2B0<br>LEI: 254900G082ZFKTCR2Q75 | Long             | DBT              | CORP              | AE        |     230000 | PA      | $236150.20    | 0.00%             | 2034-05-08      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GNR 2010-160 DY 4% 12/20/2040                                                                           | CUSIP: 38377RLW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     102987 | PA      | $99705.36     | 0.00%             | 2040-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                                                               | ONEMAIN FINANCE CORP 7.875% 03/15/2030                                                                  | CUSIP: 682691AE0<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |     510000 | PA      | $532949.76    | 0.01%             | 2030-03-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| AXIAN TELECOM                                                                      | AXIAN TELECOM 7.375% 02/16/2027 144A                                                                    | CUSIP: 05466AAA1<br>LEI: 984500C6FIA50FZSE337 | Long             | DBT              | CORP              | MU        |     510000 | PA      | $512070.60    | 0.01%             | 2027-02-16      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CFMT 2024-HB13 LLC                                                                 | CFMT 2024-HB13 LLC VAR 05/25/2034 144A                                                                  | CUSIP: 12530VAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     966288 | PA      | $947524.79    | 0.01%             | 2034-05-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK GOSPODARSTWA KRAJOWEGO                                                        | BANK GOSPODARSTWA KRAJOWEGO 5.375% 05/22/2033 144A                                                      | CUSIP: 06237MAA1<br>LEI: 259400BCOV9JJIGLYF05 | Long             | DBT              | NUSS              | PL        |      75000 | PA      | $74406.75     | 0.00%             | 2033-05-22      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| RADIOLOGY PARTNERS INC                                                             | RADIOLOGY PARTNERS INC PIK VAR 02/15/2030 144A                                                          | CUSIP: 75041VAC8<br>LEI: 549300SFTAG2177WUZ08 | Long             | DBT              | CORP              | US        |      41956 | PA      | $40507.06     | 0.00%             | 2030-02-15      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| ASGN INC                                                                           | ASGN INC 4.625% 05/15/2028 144A                                                                         | CUSIP: 00191UAA0<br>LEI: LZBNYYCBUKY537072438 | Long             | DBT              | CORP              | US        |     305000 | PA      | $294234.63    | 0.00%             | 2028-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| RRAM 2022-24A                                                                      | RRAM 2022-24A A1A2 TSFR3M+131 01/15/2037 144A                                                           | CUSIP: 75000HBA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |    7000000 | PA      | $7003500.00   | 0.10%             | 2037-01-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.50% 9/39 #G06670                                                                                 | CUSIP: 3128M8W75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12931 | PA      | $13726.18     | 0.00%             | 2039-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SELF COMMERCIAL MORTGAGE TRUST 2024-STRG                                           | SELF COMMERCIAL MORTGAGE TRUST 2024-STRG F TSFR1M+518.702 11/15/2034 144A                               | CUSIP: 81631WAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     199000 | PA      | $197866.95    | 0.00%             | 2034-11-15      | Variable      | 0.10%                 | 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        |   13375000 | PA      | $11204525.06  | 0.16%             | 2055-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DCERT BUYER INC                                                                    | DIGICERT TERM 1LN 10/16/2026                                                                            | CUSIP: 24022KAB5<br>LEI: 549300EF826JEEUCHZ67 | Long             | LON              | CORP              | US        |    1968509 | PA      | $1940516.99   | 0.03%             | 2026-10-16      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 05/01/2042#RB0710                                                                        | CUSIP: 3133KTYF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45465 | PA      | $39777.68     | 0.00%             | 2042-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 03/01/2033#G18680                                                                        | CUSIP: 3128MMXJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      34900 | PA      | $33256.54     | 0.00%             | 2033-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 4.58% 7/35 #995273                                                                             | CUSIP: 31416BT65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2186 | PA      | $2247.11      | 0.00%             | 2035-07-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| CHILE REPUBLIC OF                                                                  | CHILE REPUBLIC OF 5.33% 01/05/2054                                                                      | CUSIP: 168863EA2<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |     240000 | PA      | $220320.00    | 0.00%             | 2054-01-05      | Fixed         | 0.05%                 | 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        |     788000 | PA      | $786495.86    | 0.01%             | 2031-01-17      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| STARWOOD PROPERTY TRUST INC                                                        | STARWOOD PPTY TR INC 6.5% 07/01/2030 144A                                                               | CUSIP: 85571BBD6<br>LEI: BUGSFQZERKRBFWIG5267 | Long             | DBT              | CORP              | US        |     430000 | PA      | $436102.99    | 0.01%             | 2030-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA                                                                   | ALTICE FRANCE SA 5.5% 01/15/2028 144A                                                                   | CUSIP: 02156LAC5<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |     284000 | PA      | $244470.89    | 0.00%             | 2028-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                | MSCS SWAP CY873248 04/17/65 B                                                                           | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |     130000 | NC      | $22164.90     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 03/01/2052#RA6986                                                                        | CUSIP: 3133KNXP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     108183 | PA      | $96836.17     | 0.00%             | 2052-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 03/01/2032#C91403                                                                        | CUSIP: 3128P7RY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     153295 | PA      | $149742.79    | 0.00%             | 2032-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 02/01/2051#SD7535                                                                        | CUSIP: 3132DVLQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8751951 | PA      | $7270896.47   | 0.11%             | 2051-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 10/35 #612663                                                                                | CUSIP: 36202XTU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1293 | PA      | $1315.91      | 0.00%             | 2035-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS CORP TR 2024-RVR                                                       | GS MTG SECS CORP TR 2024-RVR D CSTR 08/10/2041 144A                                                     | CUSIP: 36272JAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     352000 | PA      | $348736.61    | 0.01%             | 2041-08-10      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 1.5% 11/01/2040#MA4175                                                                        | CUSIP: 31418DT93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      51335 | PA      | $42424.44     | 0.00%             | 2040-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 08/01/2053#CB6911                                                                        | CUSIP: 3140QSVD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1207338 | PA      | $1209200.27   | 0.02%             | 2053-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WALKER and DUNLOP INC                                                              | WALKER and DUNLOP INC 6.625% 04/01/2033 144A                                                            | CUSIP: 93148PAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     275000 | PA      | $278461.76    | 0.00%             | 2033-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                                                           | COREBRIDGE FINANCIAL INC 3.85% 04/05/2029                                                               | CUSIP: 21871XAF6<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |     623000 | PA      | $604507.60    | 0.01%             | 2029-04-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                                                               | COLOMBIA REPUBLIC OF 5% 06/15/2045                                                                      | CUSIP: 195325CU7<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |     750000 | PA      | $498000.00    | 0.01%             | 2045-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5% 12/01/2052#CB5273                                                                          | CUSIP: 3140QQ2F1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     213987 | PA      | $209547.96    | 0.00%             | 2052-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CORECIVIC INC                                                                      | CORECIVIC INC 4.75% 10/15/2027                                                                          | CUSIP: 21871NAA9<br>LEI: 529900JFA3K6PTLT8B15 | Long             | DBT              | CORP              | US        |    1865000 | PA      | $1820247.83   | 0.03%             | 2027-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UNITED PF HOLDINGS LLC                                                             | UNITED PLANET FITNESS TERM 1LN 12/30/2026                                                               | CUSIP: 91132UAG8<br>LEI: 2549002AF6PASVP2G486 | Long             | LON              | CORP              | US        |    1770274 | PA      | $1700348.18   | 0.02%             | 2026-12-30      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2002-74 SV SOFR30A+743.552 11/32                                                                    | CUSIP: 31392FRK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        418 | PA      | $10.94        | 0.00%             | 2032-11-25      | Variable      | 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        |    2116000 | PA      | $1593779.35   | 0.02%             | 2062-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CY885802 12/15/56 B                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     100000 | NC      | $13019.13     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DLLAA 2023-1A                                                                      | DLLAA 2023-1A 5.64% 02/22/2028 144A                                                                     | CUSIP: 23292HAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     421000 | PA      | $425757.76    | 0.01%             | 2028-02-22      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 01/52#SD7552                                                                             | CUSIP: 3132DVL94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      55705 | PA      | $46156.61     | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ESDEC SOLAR GROUP BV                                                               | ESDEC SOLAR TERM B 1LN 8/30/2028                                                                        | CUSIP: N/A<br>LEI: 724500UTJRTIU7878U15       | Long             | LON              | CORP              | NL        |     483703 | PA      | $355521.98    | 0.01%             | 2028-08-30      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 07/01/2033#729327                                                                        | CUSIP: 31402HHC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        232 | PA      | $230.05       | 0.00%             | 2033-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HILTON DOMESTIC OPERATING CO INC                                                   | HILTON DOMESTIC OPERATING CO INC 3.625% 02/15/2032 144A                                                 | CUSIP: 432833AN1<br>LEI: 5493003EG7H0N1E4XV50 | Long             | DBT              | CORP              | US        |    1445000 | PA      | $1286122.34   | 0.02%             | 2032-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CEDAR FDG XII CLO LTD / CEDAR FDG XII CLO LLC                                      | CEDAR FDG XII CLO LTD / CEDAR FDG XII CLO LLC ARR TSFR3M+120 01/25/2038 144A                            | CUSIP: 15033TBA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4672000 | PA      | $4671672.96   | 0.07%             | 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        |    7328000 | PA      | $7343755.20   | 0.11%             | 2037-01-22      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 1929 EZ 7.5 2/2027                                                                                  | CUSIP: 3133T9A39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |         99 | PA      | $98.97        | 0.00%             | 2027-02-17      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| NGG FINANCE PLC                                                                    | NGG FINANCE PLC 2.125%/VAR 09/05/2082 REGS                                                              | CUSIP: N/A<br>LEI: 549300MLDJ2T68G21W86       | Long             | DBT              | CORP              | GB        |     555000 | PA      | $613100.82    | 0.01%             | 2082-09-05      | Variable      | 0.02%                 | 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        |    1870000 | PA      | $1418856.03   | 0.02%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 02/01/2043#Q15400                                                                        | CUSIP: 3132J6NS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6106 | PA      | $5785.19      | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HAT HOLDINGS I LLC / HAT HOLDINGS II LLC                                           | HAT HOLDINGS I LLC / II LLC 3.375% 06/15/2026 144A                                                      | CUSIP: 418751AE3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     425000 | PA      | $413736.27    | 0.01%             | 2026-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 5/43#AT2722                                                                              | CUSIP: 3138WQAY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      94364 | PA      | $84487.32     | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BBCMS MTG TR 2024-C26                                                              | BBCMS MTG TR 2024-C26 C 6% 05/15/2057                                                                   | CUSIP: 05555AAK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     150000 | PA      | $147522.20    | 0.00%             | 2057-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CELANESE US HLDGS LLC                                                              | CELANESE US HLDGS LLC 6.75% 04/15/2033                                                                  | CUSIP: 15089QBA1<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |     690000 | PA      | $671563.27    | 0.01%             | 2033-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: —       |
| MOROCCO KINGDOM OF                                                                 | MOROCCO KINGDOM OF 6.5% 09/08/2033 144A                                                                 | CUSIP: 617726AP9<br>LEI: 529900F3MBW9XY5K1X07 | Long             | DBT              | NUSS              | MA        |     230000 | PA      | $237944.20    | 0.00%             | 2033-09-08      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| OVINTIV INC                                                                        | OVINTIV INC 5.15% 11/15/2041                                                                            | CUSIP: 292505AK0<br>LEI: 2549003MEX7YMKLGI239 | Long             | DBT              | CORP              | US        |    1916000 | PA      | $1543651.19   | 0.02%             | 2041-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PHILIPPINES REPUBLIC OF                                                            | PHILIPPINES REPUBLIC OF 5.95% 10/13/2047                                                                | CUSIP: 718286CU9<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |     250000 | PA      | $252812.50    | 0.00%             | 2047-10-13      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                                                         | HUMANA INC 5.375% 04/15/2031                                                                            | CUSIP: 444859CA8<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |    5071000 | PA      | $5103533.71   | 0.07%             | 2031-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 8/40 #A93505                                                                                 | CUSIP: 3129413N5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1495 | PA      | $1472.48      | 0.00%             | 2040-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 06/01/2042#AO2244                                                                              | CUSIP: 3138LSP61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5491 | PA      | $5701.83      | 0.00%             | 2042-06-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 1.5% 11/01/2035#SB8073                                                                        | CUSIP: 3132D56J6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     345291 | PA      | $304545.37    | 0.00%             | 2035-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| QATAR ST                                                                           | QATAR ST 9.75% 06/15/2030 144A                                                                          | CUSIP: 74727PAE1<br>LEI: 52990074F6OJOAXK4P65 | Long             | DBT              | NUSS              | QA        |     135000 | PA      | $167568.75    | 0.00%             | 2030-06-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 11/01/2054#CB9501                                                                          | CUSIP: 3140QVRX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     215443 | PA      | $220748.28    | 0.00%             | 2054-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 04/01/2043#Q17518                                                                        | CUSIP: 3132J8YQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4270 | PA      | $4056.03      | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ION TRADING TECHNOLOGIES SARL                                                      | ION TRADING TECHNOLOGIES SARL 5.75% 05/15/2028 144A                                                     | CUSIP: 46205YAA9<br>LEI: 5493009ZVXOKZLQ6QJ12 | Long             | DBT              | CORP              | LU        |     245000 | PA      | $236811.07    | 0.00%             | 2028-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MINERAL RESOURCES LTD                                                              | MINERAL RESOURCES LTD 8% 11/01/2027 144A                                                                | CUSIP: 603051AC7<br>LEI: 5299007V1ACKFFX2P066 | Long             | DBT              | CORP              | AU        |    1780000 | PA      | $1778302.59   | 0.03%             | 2027-11-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2% 02/01/2042#MA4540                                                                          | CUSIP: 31418EBJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5713510 | PA      | $4808094.39   | 0.07%             | 2042-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UNITED UTILITIES WATER FINANCE PLC                                                 | UNITED UTILITIES WATER FINANCE PLC 3.5% 02/27/2033 REGS                                                 | CUSIP: N/A<br>LEI: 213800313INX42GDLR44       | Long             | DBT              | CORP              | GB        |     300000 | PA      | $336537.41    | 0.00%             | 2033-02-27      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5% 02/01/2035#AB0067                                                                          | CUSIP: 31416VCD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      76855 | PA      | $77271.79     | 0.00%             | 2035-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| OSCAR ACQUISITIONCO LLC / OSCAR FINANCE INC                                        | OSCAR ACQUISITIONCO LLC / OSCAR FINANCE INC 9.5% 04/15/2030 144A                                        | CUSIP: 687785AB1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     465000 | PA      | $372967.53    | 0.01%             | 2030-04-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: —       |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 02/01/2043#AR7033                                                                        | CUSIP: 3138W4Y70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5674 | PA      | $5134.15      | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PMHC II INC                                                                        | PRINCE TERM 1LN 4/23/2029                                                                               | CUSIP: 69346EAG2<br>LEI: 549300GYZ1T3S8OPH343 | Long             | LON              | CORP              | US        |     460000 | PA      | $403939.80    | 0.01%             | 2029-04-23      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| MC BRAZIL DOWNSTREAM TRADING SARL                                                  | MC BRAZIL DOWNSTREAM TRADING SARL 7.25% 06/30/2031 144A                                                 | CUSIP: 55292WAA8<br>LEI: 213800T2A7R9TYNXZI63 | Long             | DBT              | CORP              | LU        |     566197 | PA      | $444464.89    | 0.01%             | 2031-06-30      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                                          | AMGEN INC 5.6% 03/02/2043                                                                               | CUSIP: 031162DS6<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |     888000 | PA      | $861770.70    | 0.01%             | 2043-03-02      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 9/40#V81958                                                                              | CUSIP: 3132L7E70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15021 | PA      | $13665.61     | 0.00%             | 2040-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 4/40 #739091                                                                                 | CUSIP: 3620ATC47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4702 | PA      | $4624.23      | 0.00%             | 2040-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 04/01/2051#FM9441                                                                          | CUSIP: 3140XDP34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      58429 | PA      | $45739.02     | 0.00%             | 2051-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                                | GSCOFI SWAP CY873248 04/17/65 B                                                                         | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |     160000 | NC      | $27279.87     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CCG RECEIVABLES TRUST.                                                             | CCG RECEIVABLES TRUST. 4.69% 10/14/2032 144A                                                            | CUSIP: 12515XAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     500000 | PA      | $498643.70    | 0.01%             | 2032-10-14      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| COMMERZBANK AG                                                                     | COMMERZBANK AG 3.625%/VAR 01/14/2032 REGS                                                               | CUSIP: N/A<br>LEI: 851WYGNLUQLFZBSYGB56       | Long             | DBT              | CORP              | DE        |     300000 | PA      | $343004.46    | 0.00%             | 2032-01-14      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                                                 | DOMINICAN REPUBLIC 6.85% 01/27/2045 144A                                                                | CUSIP: 25714PCW6<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |     135000 | PA      | $130450.50    | 0.00%             | 2045-01-27      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 09/01/2049#                                                                                | CUSIP: 31418DFQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22202 | PA      | $19177.52     | 0.00%             | 2049-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CSAIL 2017-CX10 COML MTG TR                                                        | CSAIL 2017-CX10 COMMERCIAL MORTGAGE TRUST 3.3269% 08/15/2026                                            | CUSIP: 12595JAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     310071 | PA      | $306643.76    | 0.00%             | 2050-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 04/01/2043#AT2016                                                                        | CUSIP: 3138WPG24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      65683 | PA      | $58778.91     | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CORPORACION NACIONAL DEL COBRE DE CHILE                                            | CORPORACION NACIONAL DEL COBRE DE CHILE 5.125% 02/02/2033 144A                                          | CUSIP: 21987BBF4<br>LEI: 549300UVMBCBCIPSUI70 | Long             | DBT              | CORP              | CL        |     115000 | PA      | $110026.25    | 0.00%             | 2033-02-02      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 03/01/2052#SD8199                                                                          | CUSIP: 3132DWDC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     347348 | PA      | $270604.53    | 0.00%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.00% 12/37 #A69815                                                                                | CUSIP: 3128L13Y4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        990 | PA      | $1039.08      | 0.00%             | 2037-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.00% 5/33 #G01785                                                                                 | CUSIP: 31283H6W0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3439 | PA      | $3541.36      | 0.00%             | 2033-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 11/01/2047#Q52086                                                                        | CUSIP: 3132XUJ89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9005 | PA      | $8150.03      | 0.00%             | 2047-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX 2021-LBA                                                                        | BX 2021-LBA TSFR1M+211.448 02/15/2036 144A                                                              | CUSIP: 05609BAM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1345000 | PA      | $1332390.63   | 0.02%             | 2036-02-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 12/34#FM0045                                                                               | CUSIP: 3140X3BP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31995 | PA      | $30479.18     | 0.00%             | 2034-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2020-VIVA                                             | BX COML MTG TR 2020-VIVA CSTR 03/09/2044 144A                                                           | CUSIP: 12433XAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     520000 | PA      | $468005.56    | 0.01%             | 2044-03-11      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.00% 2/41 #004945                                                                              | CUSIP: 36202FP67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2208 | PA      | $2116.07      | 0.00%             | 2041-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 11/01/2051#                                                                                | CUSIP: 3140XDKE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21200 | PA      | $18348.31     | 0.00%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 11/35 #A47571                                                                                | CUSIP: 3128K8MU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        738 | PA      | $742.90       | 0.00%             | 2035-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 01/01/2031#ZS8593                                                                        | CUSIP: 3132A9RN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4317 | PA      | $4149.71      | 0.00%             | 2031-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SOTERA HEALTH HOLDINGS LLC                                                         | SOTERA HEALTH HOLDINGS LLC 7.375% 06/01/2031 144A                                                       | CUSIP: 83600WAE9<br>LEI: 549300OVT7MBXFLOFU20 | Long             | DBT              | CORP              | US        |     100000 | PA      | $103872.20    | 0.00%             | 2031-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 09/01/2046#FM8575                                                                          | CUSIP: 3140XCQ50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     125092 | PA      | $111983.03    | 0.00%             | 2046-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| 1011778 B C UNLIMITED LIABILITY CO / NEW RED FIN INC                               | 1011778 BC ULC/NEW RED FIN INC 5.625% 09/15/2029 144A                                                   | CUSIP: 68245XAT6<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    1445000 | PA      | $1453339.10   | 0.02%             | 2029-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| EGYPT, (ARAB) REPUBLIC OF                                                          | EGYPT (ARAB) REPUBLIC OF 7.5% 01/31/2027 144A                                                           | CUSIP: 038461AL3<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |     370000 | PA      | $373169.05    | 0.01%             | 2027-01-31      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MPT OPER PARTNERSHIP LP / MPT FIN CORP                                             | MPT OPER PARTNERSHIP LP/CORP 4.625% 08/01/2029                                                          | CUSIP: 55342UAJ3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     275000 | PA      | $208445.27    | 0.00%             | 2029-08-01      | Fixed         | 0.05%                 | 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        |    2057000 | PA      | $2107007.33   | 0.03%             | 2054-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 22-53 FG SOFR30A+80 08/25/2052                                           | CUSIP: 3136BNS31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    1667411 | PA      | $1616772.46   | 0.02%             | 2052-08-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ENCORE CAPITAL GROUP INC                                                           | ENCORE CAP GROUP INC 9.25% 04/01/2029 144A                                                              | CUSIP: 292554AQ5<br>LEI: 5493000UVC6H49CIH830 | Long             | DBT              | CORP              | US        |     240000 | PA      | $255900.00    | 0.00%             | 2029-04-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 10/01/2054#CB9336                                                                          | CUSIP: 3140QVLS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     671614 | PA      | $687941.69    | 0.01%             | 2054-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 03/01/2052#RA6988                                                                          | CUSIP: 3133KNXR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     797325 | PA      | $683225.31    | 0.01%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GREENSAIF PIPELINES BIDCO SARL                                                     | GREENSAIF PIPELINES BIDCO SARL 6.1027% 08/23/2042 144A                                                  | CUSIP: 39541EAE3<br>LEI: 549300YWDGUXPB8GRP47 | Long             | DBT              | CORP              | LU        |     270000 | PA      | $264532.50    | 0.00%             | 2042-08-23      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 1999-25 Z 6% 6/29                                                                                   | CUSIP: 31359VU27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       1397 | PA      | $1403.18      | 0.00%             | 2029-06-25      | Fixed         | 0.06%                 | 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        |    1270294 | PA      | $1091289.13   | 0.02%             | 2052-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 12/01/2052#RA8292                                                                          | CUSIP: 3133KQF92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     399161 | PA      | $390880.91    | 0.01%             | 2052-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ACRISURE LLC / ACRISURE FINANCE INC                                                | ACRISURE LLC / ACRISURE FINANCE INC 8.5% 06/15/2029 144A                                                | CUSIP: 00489LAM5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     120000 | PA      | $125408.40    | 0.00%             | 2029-06-15      | Fixed         | 0.09%                 | 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        |    2460296 | PA      | $2031649.73   | 0.03%             | 2050-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ION TRADING TECHNOLOGIES SARL                                                      | ION TRADING TECHNOLOGIES SARL 9.5% 05/30/2029 144A                                                      | CUSIP: 46205YAB7<br>LEI: 5493009ZVXOKZLQ6QJ12 | Long             | DBT              | CORP              | LU        |     195000 | PA      | $201048.90    | 0.00%             | 2029-05-30      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| AFFIRM ASSET SECURITIZATION TRUST 2024-A                                           | AFFIRM ASSET SECURITIZATION TRUST 2024-A 5.61% 02/15/2029 144A                                          | CUSIP: 00834BAF4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     600000 | PA      | $602476.56    | 0.01%             | 2029-02-15      | Fixed         | 0.06%                 | 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        |    7037937 | PA      | $6522617.67   | 0.09%             | 2053-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 12/20/2041#005258                                                                          | CUSIP: 36202FZX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25500 | PA      | $23626.39     | 0.00%             | 2041-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NAK NAFTOGAZ UKRAINE VIA KONDOR FINANCE PLC                                        | NAK NAFTOGAZ UKRAINE VIA KONDOR FINANCE PLC PIK 7.65% 07/19/2025 REGS                                   | CUSIP: N/A<br>LEI: 213800PUC1T9GI6EIO63       | Long             | DBT              | CORP              | GB        |     133369 | PA      | $128033.98    | 0.00%             | 2025-07-19      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| NEPTUNE BIDCO US INC                                                               | NIELSEN HOLDINGS TERM B 1LN 04/11/2029                                                                  | CUSIP: 64069JAC6<br>LEI: 549300VG15T3VCYZ4531 | Long             | LON              | CORP              | US        |     705981 | PA      | $658990.68    | 0.01%             | 2029-04-11      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4% 05/46#MA3664                                                                                 | CUSIP: 36179SB97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25241 | PA      | $23611.28     | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 02/01/2043#AB8529                                                                        | CUSIP: 31417FPP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39930 | PA      | $35952.81     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 4.375% 08/15/2043                                                           | CUSIP: 912810TU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1251000 | PA      | $1170075.94   | 0.02%             | 2043-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 05/01/2031#AS7140                                                                        | CUSIP: 3138WG5A8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     838362 | PA      | $803696.27    | 0.01%             | 2031-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WORLD OMNI AUTO RECEIVABLES TRUST 2023-C                                           | WORLD OMNI AUTO RECEIVABLES TRUST 2023-C 5.15% 11/15/2028                                               | CUSIP: 98164FAD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     514000 | PA      | $515744.41    | 0.01%             | 2028-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                             | US 5YR NOTE (CBT) FUT SEP25 FVU5                                                                        | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |       2571 | NC      | $2186629.07   | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5% 09/01/2052#BW9350                                                                          | CUSIP: 3140N2L82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      48987 | PA      | $48383.84     | 0.00%             | 2052-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                                 | ALLY FINL INC 4.7%/VAR PERP                                                                             | CUSIP: 02005NBM1<br>LEI: 549300JBN1OSM8YNAI90 | Long             | EP               | CORP              | US        |    1730000 | PA      | $1634463.00   | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 04/01/2045#FM2986                                                                          | CUSIP: 3140X6J85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10765426 | PA      | $10148842.72  | 0.15%             | 2045-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 03/01/2051#BR5633                                                                          | CUSIP: 3140L4HK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     684861 | PA      | $541036.93    | 0.01%             | 2051-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 2% 07/01/2041#                                                                                | CUSIP: 3133KYVK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17656 | PA      | $14928.22     | 0.00%             | 2041-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                                                                | INTESA SANPAOLO SPA 5.71% 01/15/2026 144A                                                               | CUSIP: 46115HAW7<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |    3773000 | PA      | $3781597.12   | 0.06%             | 2026-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 03/41#A97555                                                                             | CUSIP: 312946MC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2649 | PA      | $2608.52      | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GNR 2009-108 CF TSFR1M+71.448 11/39                                                                     | CUSIP: 38376ENU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      48390 | PA      | $48324.77     | 0.00%             | 2039-11-16      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 3.875% 05/15/2043                                                           | CUSIP: 912810TS7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1812000 | PA      | $1586736.87   | 0.02%             | 2043-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 10/01/2051#QC9114                                                                          | CUSIP: 3133AUDT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     177613 | PA      | $140257.93    | 0.00%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 07/01/2052#BW3397                                                                          | CUSIP: 3140MUX39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24060 | PA      | $22455.83     | 0.00%             | 2052-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 05/01/2034#                                                                                | CUSIP: 31296XSH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        257 | PA      | $258.53       | 0.00%             | 2034-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ABU DHABI NATL ENERGY CO PJSC                                                      | ABU DHABI NATL ENERGY CO PJSC 4.375% 01/24/2029 144A                                                    | CUSIP: 00388WAL5<br>LEI: 213800UNJSVQFNUYYW03 | Long             | DBT              | CORP              | AE        |     150000 | PA      | $148620.00    | 0.00%             | 2029-01-24      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HEALTHCARE REALTY HOLDINGS LP                                                      | HEALTHCARE REALTY HOLDINGS LP 3.5% 08/01/2026                                                           | CUSIP: 42225UAD6<br>LEI: 549300IYGAS4GE6VDL07 | Long             | DBT              | CORP              | US        |     270000 | PA      | $265428.41    | 0.00%             | 2026-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK5 2025-5YR14                                                                   | BANK5 2025-5YR14 5.646% 04/15/2058                                                                      | CUSIP: 06604MAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1400000 | PA      | $1445437.14   | 0.02%             | 2058-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 1/34 #255070                                                                                 | CUSIP: 31371LJP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8568 | PA      | $8892.97      | 0.00%             | 2034-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CY885799 12/15/56 S                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     200000 | NC      | $-3501.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                         | CAPITAL ONE FINANCIAL CORP 3.65% 05/11/2027                                                             | CUSIP: 14040HCE3<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    2746000 | PA      | $2701704.11   | 0.04%             | 2027-05-11      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2021-CIP                                                            | BX COML MTG TR 2025-SPOT B TSFR1M+164.309 04/15/2040 144A                                               | CUSIP: 12433FAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3295000 | PA      | $3276542.73   | 0.05%             | 2040-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| AMSTED INDUSTRIES INC                                                              | AMSTED INDUSTRIES INC 6.375% 03/15/2033 144A                                                            | CUSIP: 032177AK3<br>LEI: N2VLGYMEEBIU3PFSUY86 | Long             | DBT              | CORP              | US        |     380000 | PA      | $385697.16    | 0.01%             | 2033-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 1.5% 02/01/2041#RB5099                                                                        | CUSIP: 3133KYUY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2508766 | PA      | $2067842.67   | 0.03%             | 2041-02-01      | Fixed         | 0.01%                 | 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        |   85450000 | PA      | $66457395.94  | 0.97%             | 2055-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 07/01/2050#RA2958                                                                          | CUSIP: 3133KJJB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     181550 | PA      | $143536.95    | 0.00%             | 2050-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MADISON PK FDG LXVII LTD / MADISON PK FDG LXVII LLC                                | MADISON PK FDG LXVII LTD / MADISON PK FDG LXVII LLC A1 TSFR3M+151 04/25/2037 144A                       | CUSIP: 55821YAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2929000 | PA      | $2937743.07   | 0.04%             | 2037-04-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| LCPR SENIOR SECURED FINANCING DAC                                                  | LCPR SENIOR SECURED FINANCING DAC 5.125% 07/15/2029 144A                                                | CUSIP: 50201DAD5<br>LEI: 549300LE5FM8IKMXSP90 | Long             | DBT              | CORP              | IE        |     400000 | PA      | $258281.80    | 0.00%             | 2029-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                                                               | ONEMAIN FINANCE CORP 7.125% 09/15/2032                                                                  | CUSIP: 682691AK6<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |     420000 | PA      | $422613.06    | 0.01%             | 2032-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 03/20/2043 #MA1090                                                                         | CUSIP: 36179NF78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      28866 | PA      | $26604.44     | 0.00%             | 2043-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 05/01/2051#CB0443                                                                        | CUSIP: 3140QKP51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2662232 | PA      | $2207554.18   | 0.03%             | 2051-05-01      | Fixed         | 0.03%                 | 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        |    1330000 | PA      | $1279975.24   | 0.02%             | 2035-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SUNOCO LP                                                                          | SUNOCO LP 6.25% 07/01/2033 144A                                                                         | CUSIP: 86765KAD1<br>LEI: 54930001NJU8E40NQ561 | Long             | DBT              | CORP              | US        |     585000 | PA      | $584995.14    | 0.01%             | 2033-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                                                   | WILLIAMS COS INC 5.65% 03/15/2033                                                                       | CUSIP: 969457CJ7<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    4000000 | PA      | $4095731.92   | 0.06%             | 2033-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 3% 11/15/2036                                                            | CUSIP: 3137BYXF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    1598226 | PA      | $1536520.09   | 0.02%             | 2036-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2010-H19 FG TSFR1M+41.448 8/60                                                                      | CUSIP: 38375BFQ0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     124899 | PA      | $125020.43    | 0.00%             | 2060-08-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ACRISURE HOLDINGS INC                                                              | ACRISURE HOLDINGS INC SER A-2 PC                                                                        | CUSIP: N/A<br>LEI: N/A                        | Long             | EP               | CORP              | US        |      28293 | NS      | $681295.44    | 0.01%             |  |  |  | No            |                  3 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 09/01/2051#QC7439                                                                          | CUSIP: 3133ASHQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     102413 | PA      | $79881.59     | 0.00%             | 2051-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 8/35 #357953                                                                                 | CUSIP: 31376KTJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        646 | PA      | $672.47       | 0.00%             | 2035-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 4.5% 05/01/2039#FM1194                                                                        | CUSIP: 3140X4KG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     457066 | PA      | $449185.68    | 0.01%             | 2039-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GOVERNMENT NAT MTG ASSN HECM TSFR1M+71.448 12/20/2063                                                   | CUSIP: 38375UDY3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |       9529 | PA      | $9581.93      | 0.00%             | 2063-12-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 12/01/2033#                                                                                | CUSIP: 31296RHY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        504 | PA      | $507.41       | 0.00%             | 2033-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2001-31 ZC 6.5% 7/31                                                                                | CUSIP: 313920CW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        725 | PA      | $734.15       | 0.00%             | 2031-07-25      | Fixed         | 0.07%                 | 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        |    1738636 | PA      | $1740266.01   | 0.03%             | 2039-02-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 01/01/2049#BN4472                                                                          | CUSIP: 3140JL6J8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5191 | PA      | $4828.78      | 0.00%             | 2049-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 6/40 #783008                                                                                 | CUSIP: 36241LKV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21336 | PA      | $20920.71     | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TENCENT HLDGS LTD                                                                  | TENCENT HLDGS LTD 3.975% 04/11/2029 144A                                                                | CUSIP: 88032WAN6<br>LEI: 254900N4SLUMW4XUYY11 | Long             | DBT              | CORP              | KY        |      80000 | PA      | $78612.80     | 0.00%             | 2029-04-11      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 07/01/2050#CA6399                                                                        | CUSIP: 3140QEDD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2807140 | PA      | $2326836.60   | 0.03%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 2/42 #AK3455                                                                                 | CUSIP: 3138E7ZV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3297 | PA      | $3143.13      | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| USA COMPRESSION PARTNERS LP / USA COMPRESSION FIN CORP                             | USA COMPRESSION PARTNERS LP / USA COMPRESSION FIN CORP 6.875% 09/01/2027                                | CUSIP: 91740PAF5<br>LEI: 549300ZWL4J1LYMOWK56 | Long             | DBT              | CORP              | US        |     870000 | PA      | $869684.80    | 0.01%             | 2027-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 2.875% 05/15/2032                                                                             | CUSIP: 91282CEP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3200400 | PA      | $2951368.88   | 0.04%             | 2032-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AMENTUM HOLDINGS INC                                                               | AMENTUM HOLDINGS INC 7.25% 08/01/2032 144A                                                              | CUSIP: 02352BAA3<br>LEI: 2549009FJIBLW40CU216 | Long             | DBT              | CORP              | US        |     495000 | PA      | $504941.58    | 0.01%             | 2032-08-01      | Fixed         | 0.07%                 | 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        |    6925634 | PA      | $6401647.50   | 0.09%             | 2050-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MHP COML MTG TR 2021-STOR                                                          | MERIT 2021-STOR A TSFR1M+81.448 07/15/2038 144A                                                         | CUSIP: 55293BAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     200000 | PA      | $199750.00    | 0.00%             | 2038-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ONITY LOAN INVESTMENT TRUST 2024-HB2                                               | ONITY LOAN INVESTMENT TRUST 2024-HB2 A 5% 08/25/2037 144A                                               | CUSIP: 68278DAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     464686 | PA      | $462886.40    | 0.01%             | 2037-08-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PERFORMANCE FOOD GROUP INC                                                         | PERFORMANCE FOOD GROUP INC 6.125% 09/15/2032 144A                                                       | CUSIP: 71376LAF7<br>LEI: 549300OMUOGBYK0FFO76 | Long             | DBT              | CORP              | US        |     940000 | PA      | $947563.24    | 0.01%             | 2032-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| IHS HOLDING LTD                                                                    | IHS HOLDING LTD 8.25% 11/29/2031 144A                                                                   | CUSIP: 44963HAD7<br>LEI: 213800CLGMKL63VKTD94 | Long             | DBT              | CORP              | KY        |     645000 | PA      | $641168.70    | 0.01%             | 2031-11-29      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| CLEAR CHANNEL OUTDOOR HOLDINGS INC                                                 | CLEAR CHANNEL OUTDOOR HOLDINGS INC 7.5% 06/01/2029 144A                                                 | CUSIP: 18453HAD8<br>LEI: 254900XBEE6V1ENYS150 | Long             | DBT              | CORP              | US        |     256000 | PA      | $226316.80    | 0.00%             | 2029-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 8/33 #713686                                                                                 | CUSIP: 31401N2T5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        668 | PA      | $661.67       | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.00% 10/41 #Q04092                                                                                | CUSIP: 3132GKF92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      48481 | PA      | $46198.14     | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WOLFSPEED INC                                                                      | WOLFSPEED INC STEP 06/23/2030 144A                                                                      | CUSIP: 977852AG7<br>LEI: 549300OGU88P3AW3TO93 | Long             | DBT              | CORP              | US        |     541522 | PA      | $521214.93    | 0.01%             | 2030-06-23      | Variable      | 0.08%                 | No            |                  3 | On Loan: No      |
| DUKE ENERGY CORP NEW                                                               | DUKE ENERGY CORP NEW 3.85% 06/15/2034                                                                   | CUSIP: N/A<br>LEI: I1BZKREC126H0VB1BL91       | Long             | DBT              | CORP              | US        |     349000 | PA      | $395325.75    | 0.01%             | 2034-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| STORE CAPITAL LLC                                                                  | STORE CAPITAL LLC 4.625% 03/15/2029                                                                     | CUSIP: 862121AB6<br>LEI: 254900Z9PIEFQ6AYXK50 | Long             | DBT              | CORP              | US        |     315000 | PA      | $306660.09    | 0.00%             | 2029-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PUGET ENERGY INC                                                                   | PUGET ENERGY INC 4.1% 06/15/2030                                                                        | CUSIP: 745310AK8<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |     683000 | PA      | $650404.92    | 0.01%             | 2030-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SCHAEFFLER AG                                                                      | SCHAEFFLER AG 5.375% 04/01/2031 REGS                                                                    | CUSIP: N/A<br>LEI: 549300Q7E782X7GC1P43       | Long             | DBT              | CORP              | DE        |     200000 | PA      | $230496.35    | 0.00%             | 2031-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CLEAR CHANNEL OUTDOOR HOLDINGS INC                                                 | CLEAR CHANNEL OUTDOOR HOLDINGS INC 7.875% 04/01/2030 144A                                               | CUSIP: 18453HAF3<br>LEI: 254900XBEE6V1ENYS150 | Long             | DBT              | CORP              | US        |     500000 | PA      | $506570.50    | 0.01%             | 2030-04-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 5180 KA 2.5% 10/25/2047                                                  | CUSIP: 3137H5BG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     126140 | PA      | $111206.02    | 0.00%             | 2047-10-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                                 | WELLS FARGO and CO NEW 5.499%/VAR 01/23/2035                                                            | CUSIP: 95000U3K7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     686000 | PA      | $689892.50    | 0.01%             | 2035-01-23      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| AEROPUERTOS DOMINICANOS SIGLO XXI S A                                              | AEROPUERTOS DOMINI SIG XXI SA 7% 06/30/2034 144A                                                        | CUSIP: 007866AE6<br>LEI: 254900KJA5MXNPYB4W32 | Long             | DBT              | CORP              | DO        |     230000 | PA      | $232856.60    | 0.00%             | 2034-06-30      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 9/27 #449474                                                                                 | CUSIP: 36208FJT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         47 | PA      | $47.41        | 0.00%             | 2027-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 4.60% 8/35 #735810                                                                             | CUSIP: 31402RN39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4923 | PA      | $5044.79      | 0.00%             | 2035-08-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 4/1/43 #AT1745                                                                           | CUSIP: 3138WN5F2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23726 | PA      | $21859.63     | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 02/01/2051#CA8820                                                                          | CUSIP: 3140QGYS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     519446 | PA      | $407438.39    | 0.01%             | 2051-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                                            | BPCE SA 4.25%/VAR 07/16/2035 REGS                                                                       | CUSIP: N/A<br>LEI: 9695005MSX1OYEMGDF46       | Long             | DBT              | CORP              | FR        |     100000 | PA      | $115828.16    | 0.00%             | 2035-07-16      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-RPL2 LLC                                                                 | PRPM 2024-RPL2 A1 LLC VAR 05/25/2054 144A                                                               | CUSIP: 69381DAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1138904 | PA      | $1097074.18   | 0.02%             | 2054-05-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GNMA 2004-24 ZM 5% 04/34                                                                                | CUSIP: 38374F2L7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      11764 | PA      | $11668.71     | 0.00%             | 2034-04-20      | 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        |    4585000 | PA      | $4559814.60   | 0.07%             | 2035-04-18      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM RFT1Y+190 9 10/42#849255                                                                       | CUSIP: 31300MH89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14204 | PA      | $14725.34     | 0.00%             | 2042-10-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| BIOCON BIOLOGICS GLOBAL PLC                                                        | BIOCON BIOLOGICS GLOBAL PLC 6.67% 10/09/2029 144A                                                       | CUSIP: 090978AA5<br>LEI: 254900PMQN51VACG2D55 | Long             | DBT              | CORP              | GB        |     245000 | PA      | $227820.36    | 0.00%             | 2029-10-09      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 12/41 #711616                                                                                | CUSIP: 36297GSD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9240 | PA      | $8571.83      | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CORPORACION NACIONAL DEL COBRE DE CHILE                                            | CORPORACION NACIONAL DEL COBRE DE CHILE 6.44% 01/26/2036 144A                                           | CUSIP: 21987BBK3<br>LEI: 549300UVMBCBCIPSUI70 | Long             | DBT              | CORP              | CL        |      80000 | PA      | $81750.00     | 0.00%             | 2036-01-26      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SEVERN TRENT WATER UTIL FIN                                                        | SEVERN TRENT WATER UTIL FIN 4.625% 11/30/2034 REGS                                                      | CUSIP: N/A<br>LEI: 213800KY9PT6WBH33232       | Long             | DBT              | CORP              | GB        |     348000 | PA      | $431644.21    | 0.01%             | 2034-11-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| EMPRESA NACIONAL DEL PETROLEO                                                      | EMPRESA NACIONAL DEL PETROLEO 6.15% 05/10/2033 144A                                                     | CUSIP: 29245JAN2<br>LEI: 549300YP3P0JZBLIV197 | Long             | DBT              | CORP              | CL        |      85000 | PA      | $85797.30     | 0.00%             | 2033-05-10      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 02/01/2043#AB7767                                                                        | CUSIP: 31417ETZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52050 | PA      | $46843.13     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2002-16 ZD 6.50% 4/32                                                                               | CUSIP: 31392CVK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        856 | PA      | $880.58       | 0.00%             | 2032-04-25      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 02/01/2048#CA1218                                                                        | CUSIP: 3140Q8K87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10592 | PA      | $10147.66     | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 4.64% 1/35 #813730                                                                             | CUSIP: 31406MA71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        185 | PA      | $188.22       | 0.00%             | 2035-01-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 03/01/2045#Q32008                                                                        | CUSIP: 3132QNGS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      50991 | PA      | $46739.77     | 0.00%             | 2045-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| METHANEX CORP                                                                      | METHANEX CORP 5.65% 12/01/2044                                                                          | CUSIP: 59151KAJ7<br>LEI: 549300TSJHRXT9QXRD13 | Long             | DBT              | CORP              | CA        |     551000 | PA      | $422826.82    | 0.01%             | 2044-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| LXP INDUSTRIAL TRUST                                                               | LXP INDUSTRIAL TRUST 2.375% 10/01/2031                                                                  | CUSIP: 529537AA0<br>LEI: 549300S4MH2ICXDBFV43 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $832770.58    | 0.01%             | 2031-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 09/46#BC2843                                                                               | CUSIP: 3140EXER0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      90543 | PA      | $84981.84     | 0.00%             | 2046-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TURKEY REPUBLIC OF                                                                 | TURKEY REPUBLIC OF 5.875% 06/26/2031                                                                    | CUSIP: 900123DC1<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |     180000 | PA      | $167355.00    | 0.00%             | 2031-06-26      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                          | BOEING CO 6.858% 05/01/2054                                                                             | CUSIP: 097023DT9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    1199000 | PA      | $1278744.15   | 0.02%             | 2054-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| LCCM 2017-LC26 MTG TR                                                              | LCCM 2017-LC26 MTG TR 3.289% 07/12/2050 144A                                                            | CUSIP: 50190DAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1206374 | PA      | $1168874.32   | 0.02%             | 2050-07-12      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                                                 | DOMINICAN REPUBLIC 6.5% 02/15/2048 144A                                                                 | CUSIP: 25714PDW5<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |     150000 | PA      | $139350.00    | 0.00%             | 2048-02-15      | Fixed         | 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                  | Long             | ABS-MBS          | USGA              | US        |   15300000 | PA      | $13571571.24  | 0.20%             | 2055-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 8/41 #Q02592                                                                                 | CUSIP: 3132GF2Z9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10669 | PA      | $10497.74     | 0.00%             | 2041-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CLECO CORPORATE HLDGS LLC                                                          | CLECO CORPORATE HLDGS LLC 3.375% 09/15/2029                                                             | CUSIP: 18551PAE9<br>LEI: 5493002H80P81B3HXL31 | Long             | DBT              | CORP              | US        |    2173000 | PA      | $2006808.07   | 0.03%             | 2029-09-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                | MSCS SWAP REC 4.075 04/24/30                                                                            | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DIR              | CORP              | US        |    6190000 | NC      | $233883.33    | 0.00%             |  |  |  | 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        |     416000 | PA      | $403258.61    | 0.01%             | 2027-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                      | GOLDMAN SACHS GROUP INC (THE) 3.102%/VAR 02/24/2033                                                     | CUSIP: 38141GZM9<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    8272000 | PA      | $7305688.04   | 0.11%             | 2033-02-24      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| JEFFERSON CAPITAL HOLDIN                                                           | JEFFERSON CAPITAL HOLDIN 8.25% 05/15/2030 144A                                                          | CUSIP: 472481AC4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     318000 | PA      | $325495.58    | 0.00%             | 2030-05-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.5% 04/01/2053#SD7562                                                                        | CUSIP: 3132DVMK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     213495 | PA      | $214024.13    | 0.00%             | 2053-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 07/01/2041#CB2014                                                                        | CUSIP: 3140QMGY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     102437 | PA      | $89840.28     | 0.00%             | 2041-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITI GROUP LP / UNITI GROUP FINANCE INC / CSL CAPITAL LLC                         | UNITI GROUP LP / UNITI GROUP FINANCE INC / CSL CAPITAL LLC 10.5% 02/15/2028 144A                        | CUSIP: 91327TAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1679000 | PA      | $1781215.84   | 0.03%             | 2028-02-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 1.5% 01/01/2051#SD8120                                                                        | CUSIP: 3132DWAV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1379868 | PA      | $1020623.81   | 0.01%             | 2051-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIA KINGDOM OF                                                            | SAUDI ARABIA KINGDOM OF 3.25% 10/22/2030 144A                                                           | CUSIP: 80413TAT6<br>LEI: 54930044PULMORCKB765 | Long             | DBT              | NUSS              | SA        |     595000 | PA      | $553909.30    | 0.01%             | 2030-10-22      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 04/01/2048#Q55725                                                                          | CUSIP: 3132XYLF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      22178 | PA      | $20697.52     | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CNX RESOURCES CORP                                                                 | CNX RESOURCES CORP 7.25% 03/01/2032 144A                                                                | CUSIP: 12653CAL2<br>LEI: 549300JK3KH8PWM3B226 | Long             | DBT              | CORP              | US        |     265000 | PA      | $270055.67    | 0.00%             | 2032-03-01      | Fixed         | 0.07%                 | 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        |  -19400000 | PA      | $-19814843.78 | -0.29%            | 2055-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ORGANON and CO / ORGANON FOREIGN DEBT CO-ISSUER BV                                 | ORGANON and CO / ORGANON FOREIGN DEBT CO-ISSUER BV 4.125% 04/30/2028 144A                               | CUSIP: 68622TAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     430000 | PA      | $403909.88    | 0.01%             | 2028-04-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SHR TR 2024-LXRY                                                                   | SHR TR 2024-LXRY E TSFR1M+450 10/15/2041 144A                                                           | CUSIP: 784234AJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $99061.87     | 0.00%             | 2041-10-15      | Variable      | 0.09%                 | 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        |  -73775000 | PA      | $-74515634.60 | -1.08%            | 2055-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-VINO                                             | BX COMMERCIAL MORTGAGE TRUST 22-LP2 TSFR1M+196.27 02/15/2039 144A                                       | CUSIP: 05610HAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     538300 | PA      | $535608.49    | 0.01%             | 2039-02-15      | Variable      | 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        |    4334787 | PA      | $3484192.15   | 0.05%             | 2050-12-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 09/01/2052#CB4669                                                                          | CUSIP: 3140QQFK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     225339 | PA      | $210247.77    | 0.00%             | 2052-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP I TR 2024-BPR2                                                  | MORGAN STANLEY CAP I TR 2024-BPR2 7.291% 05/05/2029 144A                                                | CUSIP: 61776EAA1<br>LEI: 3IFG42XD94UUZ7FL2766 | Long             | ABS-MBS          | CORP              | US        |     950210 | PA      | $985003.98    | 0.01%             | 2029-05-05      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CLEARWAY ENERGY OPERATING LLC                                                      | CLEARWAY ENERGY OPER LLC 3.75% 02/15/2031 144A                                                          | CUSIP: 18539UAD7<br>LEI: 549300Z3NFMM54NWBB87 | Long             | DBT              | CORP              | US        |     830000 | PA      | $749072.70    | 0.01%             | 2031-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HERENS US HOLDCO CORP                                                              | LONZA SPECIALTY INGREDIENTS TERM B 1LN 07/03/2028                                                       | CUSIP: N/A<br>LEI: 549300Y0CIXN5D40L888       | Long             | LON              | CORP              | US        |     553201 | PA      | $524788.95    | 0.01%             | 2028-07-03      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MTG LN TR 2020-1                                                   | NEW RESIDENTIAL MTG LN TR 2020-1 3.5% 10/25/2059 144A                                                   | CUSIP: 64830TAD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     325137 | PA      | $302469.76    | 0.00%             | 2059-10-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BK AMER MERRILL LYNCH TR 2013-C9                                    | MSBAM 2013 - C9 C 4.2117% 5/46                                                                          | CUSIP: 61762DBB6<br>LEI: 549300PFVBG5704L7K74 | Long             | ABS-MBS          | CORP              | US        |     144000 | PA      | $132193.08    | 0.00%             | 2046-05-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| 1261229 BC LTD                                                                     | 1261229 BC LTD 10% 04/15/2032 144A                                                                      | CUSIP: 68288AAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    1710000 | PA      | $1692928.93   | 0.02%             | 2032-04-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 12/39 #AC6795                                                                                | CUSIP: 31417TRR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12249 | PA      | $12057.48     | 0.00%             | 2039-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                                                          | PROSUS NV 3.68% 01/21/2030 144A                                                                         | CUSIP: 74365PAA6<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |     280000 | PA      | $258563.20    | 0.00%             | 2030-01-21      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MEXICO UNITED MEXICAN STATES                                                       | MEXICO UNITED MEXICAN STATES 3.75% 04/19/2071                                                           | CUSIP: 91087BAP5<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     360000 | PA      | $194355.00    | 0.00%             | 2071-04-19      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                       | COMCAST CORP 6.45% 03/15/2037                                                                           | CUSIP: 20030NAM3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     365000 | PA      | $393113.59    | 0.01%             | 2037-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 4683 LM 3% 05/15/2047                                                                               | CUSIP: 3137BYKR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      64763 | PA      | $61742.39     | 0.00%             | 2047-05-15      | Fixed         | 0.03%                 | 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        |     580509 | PA      | $458599.32    | 0.01%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| DP WORLD PLC                                                                       | DP WORLD PLC 5.625% 09/25/2048 144A                                                                     | CUSIP: 23330JAB7<br>LEI: 549300M3U2DNF4QVSS04 | Long             | DBT              | CORP              | AE        |     295000 | PA      | $269187.50    | 0.00%             | 2048-09-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CASTLELAKE AIRCRAFT STRUCTURED TR 2019-1                                           | CASTLELAKE AIRCRAFT STRUCTURED TR 2019-1A B 5.095% 04/15/2039 144A                                      | CUSIP: 14855MAB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     488890 | PA      | $405781.60    | 0.01%             | 2039-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SPIRIT LOYALTY CAYMAN LTD / SPIRIT IP CAYMAN LTD                                   | SPIRIT LOYALTY CAYMAN LTD / SPIRIT IP CAYMAN LTD PIK VAR 03/06/2030 144A                                | CUSIP: 84859BAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |      75676 | PA      | $58648.90     | 0.00%             | 2030-03-06      | Variable      | 0.11%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 6% 06/25/2045                                                            | CUSIP: 3136ANY68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      45519 | PA      | $6619.75      | 0.00%             | 2045-06-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UNITI GROUP LP / UNITI FIBER HOLDINGS INC / CSL CAPITAL LLC                        | UNITI GRP/UNITI HLD/CSL 6% 01/15/2030 144A                                                              | CUSIP: 91327AAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     520000 | PA      | $473725.10    | 0.01%             | 2030-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 11/01/2051#QD1244                                                                          | CUSIP: 3133AXLZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      36271 | PA      | $33852.90     | 0.00%             | 2051-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 08/01/2042#AL2266                                                                        | CUSIP: 3138EJQU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23642 | PA      | $21904.02     | 0.00%             | 2042-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 10/40 #AE4428                                                                                | CUSIP: 31419E4N6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2355 | PA      | $2248.38      | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GNR 2008-2 FD TSFR1M+59.448 1/38                                                                        | CUSIP: 38374DMX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |       8839 | PA      | $8800.30      | 0.00%             | 2038-01-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 08/01/2051#MA4398                                                                          | CUSIP: 31418D3G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19529 | PA      | $15250.62     | 0.00%             | 2051-08-01      | 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        |     607000 | PA      | $633650.34    | 0.01%             | 2033-11-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 2.5% 04/01/2042#SC0270                                                                        | CUSIP: 3132D9JP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      50470 | PA      | $44138.25     | 0.00%             | 2042-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 2/34 #725162                                                                                 | CUSIP: 31402CTT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3257 | PA      | $3379.39      | 0.00%             | 2034-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| RESIDEO FUNDING INC                                                                | RESIDEO FUNDING INC 6.5% 07/15/2032 144A                                                                | CUSIP: 76119LAD3<br>LEI: 5493000IFJ6XJKH66598 | Long             | DBT              | CORP              | US        |     210000 | PA      | $211727.25    | 0.00%             | 2032-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| LEIA FINCO US LLC                                                                  | DARKTRACE TERM 2LN 10/9/2032                                                                            | CUSIP: 52526CAD1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     120000 | PA      | $116940.00    | 0.00%             | 2032-10-09      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 11/42#G60488                                                                               | CUSIP: 31335ARH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     101720 | PA      | $97025.82     | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GOVERNMENT NAT MTG AS REMIC PT 3% 09/20/2047                                                            | CUSIP: 38380HC42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     108321 | PA      | $96588.45     | 0.00%             | 2047-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 02/01/2052#CB2924                                                                          | CUSIP: 3140QNHA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      86364 | PA      | $80607.40     | 0.00%             | 2052-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BAYER AG                                                                           | BAYER AG 4.625% 05/26/2033 REGS                                                                         | CUSIP: N/A<br>LEI: 549300J4U55H3WP1XT59       | Long             | DBT              | CORP              | DE        |     200000 | PA      | $239191.63    | 0.00%             | 2033-05-26      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| INVESCO US CLO 2024-1 LTD                                                          | INVESCO US CLO 2024-1 LTD AR TSFR3M+155 04/15/2037 144A                                                 | CUSIP: 46148JAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2354000 | PA      | $2359268.25   | 0.03%             | 2037-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII 15YR 3% 02/20/2031#MA3428                                                                          | CUSIP: 36179RYZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17731 | PA      | $17215.40     | 0.00%             | 2031-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 7/27 #190284                                                                                 | CUSIP: 31368HJ53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         11 | PA      | $11.45        | 0.00%             | 2027-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 07/01/2040#CA6462                                                                        | CUSIP: 3140QEFC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     285416 | PA      | $252211.47    | 0.00%             | 2040-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MEGLOBAL BV                                                                        | MEGLOBAL BV 2.625% 04/28/2028 144A                                                                      | CUSIP: 29441WAD7<br>LEI: 549300WBVLU2FILR7W19 | Long             | DBT              | CORP              | NL        |     125000 | PA      | $117226.25    | 0.00%             | 2028-04-28      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ZF NORTH AMER CAP INC                                                              | ZF NORTH AMER CAP INC 6.875% 04/14/2028 144A                                                            | CUSIP: 98877DAD7<br>LEI: 529900JYGMS9CW9IQX78 | Long             | DBT              | CORP              | US        |    1020000 | PA      | $1010890.69   | 0.01%             | 2028-04-14      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 11/01/2040#AB1801                                                                        | CUSIP: 31416XAB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      76648 | PA      | $73147.33     | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 5/27 #379801                                                                                 | CUSIP: 31377K3J2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         54 | PA      | $55.42        | 0.00%             | 2027-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 08/01/2032#G18654                                                                        | CUSIP: 3128MMWQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     940822 | PA      | $898455.19    | 0.01%             | 2032-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 2% 10/25/2047                                                            | CUSIP: 3136BLES5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    1963300 | PA      | $1695895.98   | 0.02%             | 2047-10-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 2% 10/01/2041#RB5131                                                                          | CUSIP: 3133KYVY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18423 | PA      | $15545.52     | 0.00%             | 2041-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ARES LXXVI CLO LTD / LLC                                                           | ARES LXXVI CLO LTD / LLC A1 TSFR3M+140 05/27/2038 144A                                                  | CUSIP: 04021HAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    8962000 | PA      | $8964446.63   | 0.13%             | 2038-05-27      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| INDONESIA REPUBLIC OF                                                              | INDONESIA REPUBLIC OF 6.75% 01/15/2044 144A                                                             | CUSIP: 455780BR6<br>LEI: 254900G208H6Q0L5B953 | Long             | DBT              | NUSS              | ID        |     260000 | PA      | $286520.00    | 0.00%             | 2044-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 12/39 #704808                                                                                | CUSIP: 36296YAH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1611 | PA      | $1586.44      | 0.00%             | 2039-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 04/01/2050#MA3991                                                                          | CUSIP: 31418DNH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41331 | PA      | $35584.50     | 0.00%             | 2050-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES LTD                                                        | ROYAL CARIBBEAN CRUISES LTD 5.375% 07/15/2027 144A                                                      | CUSIP: 780153BK7<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |     165000 | PA      | $165149.63    | 0.00%             | 2027-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BONOS PARA LA RECONSTRUCCION DE UNA ARGENTINA LIBRE                                | BONOS PARA LA RECONSTRUCCION DE UNA ARGENTINA LIBRE 0% 06/30/2025                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | AR        |      60120 | PA      | $10075.51     | 0.00%             | 2025-06-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 11/28 #572167                                                                                | CUSIP: 31386STY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          5 | PA      | $5.72         | 0.00%             | 2028-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                       | UBS GROUP AG 2.125%/VAR 11/15/2029 REGS                                                                 | CUSIP: N/A<br>LEI: 549300SZJ9VS8SGXAN81       | Long             | DBT              | CORP              | CH        |     385000 | PA      | $472300.85    | 0.01%             | 2029-11-15      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 06/01/2040#V81792                                                                        | CUSIP: 3132L67D7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      30507 | PA      | $27934.61     | 0.00%             | 2040-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6.5% 09/01/2053#QH0300                                                                        | CUSIP: 3133CCKM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     315550 | PA      | $326996.17    | 0.00%             | 2053-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 3.472% 12/01/2040#AE0653                                                                       | CUSIP: 31419AWP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27020 | PA      | $28126.59     | 0.00%             | 2040-12-01      | 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        |     683900 | PA      | $681762.80    | 0.01%             | 2039-02-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| ZF EUROPE FINANCE BV                                                               | ZF EUROPE FINANCE BV 4.75% 01/31/2029 REGS                                                              | CUSIP: N/A<br>LEI: 549300RI533US2G6G542       | Long             | DBT              | CORP              | NL        |     500000 | PA      | $541720.36    | 0.01%             | 2029-01-31      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 4.56% 6/33 #780605                                                                             | CUSIP: 31342AU64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10214 | PA      | $10346.54     | 0.00%             | 2033-06-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 2022-4 B 2.5% 05/25/2049                                                 | CUSIP: 3136BLYE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     127592 | PA      | $109538.47    | 0.00%             | 2049-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 09/01/2051#QC6303                                                                          | CUSIP: 3133ARAC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     338177 | PA      | $267052.65    | 0.00%             | 2051-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 3.25% 05/15/2042                                                            | CUSIP: 912810TH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    9900000 | PA      | $8030601.61   | 0.12%             | 2042-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AMERICAN ROCK SALT CO LLC                                                          | AMERICAN ROCK SALT TERM 1LN 6/9/2028                                                                    | CUSIP: 02932JAP2<br>LEI: 549300FBKBNV4GSVVR46 | Long             | LON              | CORP              | US        |     257326 | PA      | $210794.13    | 0.00%             | 2028-06-09      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL    | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 4.4% 04/01/2033         | CUSIP: 161175CJ1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    6526000 | PA      | $6019625.01   | 0.09%             | 2033-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 4.801% 2/33 #695019                                                                            | CUSIP: 31400RDY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        160 | PA      | $162.62       | 0.00%             | 2033-02-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| APH SOMERSET INVESTOR 2 LLC / APH2 SOMERSET INVESTOR 2 LLC / APH3 SOMERSET INVES   | APH SOMERSET INVESTOR 2 LLC / APH2 SOMERSET INVESTOR 2 LLC / APH3 SOMERSET INVES 7.875% 11/01/2029 144A | CUSIP: 00188QAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     435000 | PA      | $430393.42    | 0.01%             | 2029-11-01      | Fixed         | 0.08%                 | 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        |    3942166 | PA      | $2913372.20   | 0.04%             | 2051-04-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 7/40 #719216                                                                                 | CUSIP: 3620A5AR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6252 | PA      | $6146.97      | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.5% 07/01/2054#CB8875                                                                        | CUSIP: 3140QU2H8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     984306 | PA      | $1011858.40   | 0.01%             | 2054-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ARI FLEET LEASE TRUST 2023-A                                                       | ARI FLEET LEASE TRUST 2023-A A3 5.33% 02/17/2032 144A                                                   | CUSIP: 00218GAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2500000 | PA      | $2517015.50   | 0.04%             | 2032-02-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CANADIAN NATURAL RESOURCES LTD                                                     | CANADIAN NATL RESOURCES LTD 3.85% 06/01/2027                                                            | CUSIP: 136385AX9<br>LEI: 549300T15RIMIKZC5Q38 | Long             | DBT              | CORP              | CA        |    2700000 | PA      | $2661499.32   | 0.04%             | 2027-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                                                   | CSC HOLDINGS LLC 5.375% 02/01/2028 144A                                                                 | CUSIP: 126307AS6<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |     100000 | PA      | $91201.71     | 0.00%             | 2028-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 01/01/2042#AJ5572                                                                        | CUSIP: 3138AXFN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      74401 | PA      | $70956.68     | 0.00%             | 2042-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 09/01/2054#RJ2406                                                                          | CUSIP: 3142GSU89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6725793 | PA      | $6539516.93   | 0.10%             | 2054-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| INDONESIA REPUBLIC OF                                                              | INDONESIA REPUBLIC OF 8.5% 10/12/2035 144A                                                              | CUSIP: 455780AT3<br>LEI: 254900G208H6Q0L5B953 | Long             | DBT              | NUSS              | ID        |     670000 | PA      | $836160.00    | 0.01%             | 2035-10-12      | Fixed         | 0.09%                 | 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        |    5040000 | PA      | $5144065.11   | 0.07%             | 2029-01-09      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MEDCO MAPLE TREE PTE LTD                                                           | MEDCO MAPLE TREE PTE LTD 8.96% 04/27/2029 144A                                                          | CUSIP: 58407HAA7<br>LEI: 254900T5AQZNR0THA508 | Long             | DBT              | CORP              | SG        |     315000 | PA      | $326025.00    | 0.00%             | 2029-04-27      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/01/2051#BU3339                                                                          | CUSIP: 3140M4V96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22461 | PA      | $20970.76     | 0.00%             | 2051-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PBF HLDG CO LLC / PBF FIN CORP                                                     | PBF HLDG CO LLC / PBF FIN CORP 7.875% 09/15/2030 144A                                                   | CUSIP: 69318FAL2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     795000 | PA      | $691095.65    | 0.01%             | 2030-09-15      | Fixed         | 0.08%                 | 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        |    4963000 | PA      | $4952294.81   | 0.07%             | 2038-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| TURKIYE IHRACAT KREDI BANKASI AS                                                   | TURKIYE IHRACAT KREDI BANKASI AS 9% 01/28/2027 144A                                                     | CUSIP: 90015LAH0<br>LEI: 789000JVRVYLAXGDWR11 | Long             | DBT              | CORP              | TR        |     140000 | PA      | $146168.75    | 0.00%             | 2027-01-28      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHR 2162 PH 6 6/29                                                                                      | CUSIP: 3133TLBA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |        237 | PA      | $240.40       | 0.00%             | 2029-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO XXVI LTD / SYMPHONY CLO XXVI LLC                                      | SYMPHONY CLO XXVI LTD / SYMPHONY CLO XXVI LLC AR TSFR3M+134.161 04/20/2033 144A                         | CUSIP: 87190GAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1570747 | PA      | $1571324.58   | 0.02%             | 2033-04-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIAN OIL COMPANY                                                          | SAUDI ARABIAN OIL COMPANY 2.25% 11/24/2030 144A                                                         | CUSIP: 80414L2K0<br>LEI: 5586006WD91QHB7J4X50 | Long             | DBT              | CORP              | SA        |     445000 | PA      | $391377.50    | 0.01%             | 2030-11-24      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MONGOLIA GOVERNMENT OF                                                             | MONGOLIA GOVERNMENT OF 6.625% 02/25/2030 144A                                                           | CUSIP: 60937LAJ4<br>LEI: N/A                  | Long             | DBT              | NUSS              | MN        |     245000 | PA      | $238262.50    | 0.00%             | 2030-02-25      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.25% 06/30/2031                                                                              | CUSIP: 91282CKW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   46540000 | PA      | $46929045.55  | 0.68%             | 2031-06-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2998 LY 5.5 7/25                                                                                    | CUSIP: 31395VV55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |         20 | PA      | $19.61        | 0.00%             | 2025-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| INDONESIA REPUBLIC OF                                                              | INDONESIA REPUBLIC OF 4.2% 10/15/2050                                                                   | CUSIP: 455780CT1<br>LEI: 254900G208H6Q0L5B953 | Long             | DBT              | NUSS              | ID        |    2100000 | PA      | $1659000.00   | 0.02%             | 2050-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CIA DE MINAS BUENAVENTURA SAA                                                      | CIA DE MINAS BUENAVENTURA SAA 5.5% 07/23/2026 144A                                                      | CUSIP: 204448AA2<br>LEI: 529900WQB1ZU9KB6EL71 | Long             | DBT              | CORP              | PE        |     170000 | PA      | $168776.00    | 0.00%             | 2026-07-23      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                                                   | CSC HOLDINGS LLC 4.125% 12/01/2030 144A                                                                 | CUSIP: 126307BB2<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |       5000 | PA      | $3431.27      | 0.00%             | 2030-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 12/01/2050#FS1103                                                                          | CUSIP: 3140XGGM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20515 | PA      | $16072.14     | 0.00%             | 2050-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 04/01/2046#V82292                                                                          | CUSIP: 3132L7RM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23689 | PA      | $22218.76     | 0.00%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 2% 06/01/2041#RB5114                                                                          | CUSIP: 3133KYVF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     298854 | PA      | $253081.32    | 0.00%             | 2041-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 28YR 6.00% 6/36 #889046                                                                            | CUSIP: 31410GWF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35401 | PA      | $36844.18     | 0.00%             | 2036-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| VOLVO FINANCIAL EQUIPMENT LLC SERIES 2024-1                                        | VOLVO FINANCIAL EQUIPMENT LLC SERIES 2024-1 4.41% 11/15/2027 144A                                       | CUSIP: 92887TAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     800000 | PA      | $798786.80    | 0.01%             | 2027-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 02/01/2052#FS5131                                                                          | CUSIP: 3140XLVZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     304828 | PA      | $238431.60    | 0.00%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.00% 7/27 #451326                                                                                 | CUSIP: 36208HLF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          9 | PA      | $9.48         | 0.00%             | 2027-07-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| ADVANTAGE SALES and MARKETING INC DEL                                              | ADVANTAGE SALES and MARKETING INC DEL 6.5% 11/15/2028 144A                                              | CUSIP: 00775PAA5<br>LEI: 549300T4O24KQDED1182 | Long             | DBT              | CORP              | US        |     590000 | PA      | $450610.20    | 0.01%             | 2028-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 02/15/2045#AL4767                                                                        | CUSIP: 36184BJL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7778 | PA      | $7397.53      | 0.00%             | 2045-02-15      | 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        |    1934000 | PA      | $1951749.98   | 0.03%             | 2033-03-02      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| LUMEN TECHNOLOGIES                                                                 | LUMEN TECHNOLOGIES 4.5% 01/15/2029 144A                                                                 | CUSIP: 156700BD7<br>LEI: 8M3THTGWLTYZVE6BBY25 | Long             | DBT              | CORP              | US        |      70000 | PA      | $61950.00     | 0.00%             | 2029-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES INC                                                              | AMERICAN AIRLINES INC 8.5% 05/15/2029 144A                                                              | CUSIP: 023771T40<br>LEI: IWUQB36BXD6OWD6X4T14 | Long             | DBT              | CORP              | US        |     360000 | PA      | $373001.40    | 0.01%             | 2029-05-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: —       |
| AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR                                 | AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 6.5% 07/15/2025                                      | CUSIP: 00774MAN5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |     731000 | PA      | $731314.48    | 0.01%             | 2025-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ROYAL KPN NV (KONINKLIJKE KPN)                                                     | ROYAL KPN NV (KONINKLIJKE KPN) 3.875% 02/16/2036 REGS                                                   | CUSIP: N/A<br>LEI: 549300YO0JZHAL7FVP81       | Long             | DBT              | CORP              | NL        |     200000 | PA      | $229405.99    | 0.00%             | 2036-02-16      | Fixed         | 0.04%                 | 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        |    2868000 | PA      | $2876606.87   | 0.04%             | 2037-01-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2005-14 ZB 5% 3/35                                                                                  | CUSIP: 31394CXY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      37149 | PA      | $37040.83     | 0.00%             | 2035-03-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                       | BARCLAYS PLC 5.69%/VAR 03/12/2030                                                                       | CUSIP: 06738ECR4<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    3094000 | PA      | $3172115.18   | 0.05%             | 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        |    4267758 | PA      | $3340836.35   | 0.05%             | 2052-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 3258 PM 5.5 12/36                                                                                   | CUSIP: 31397CXF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       2346 | PA      | $2403.63      | 0.00%             | 2036-12-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DRYDEN 98 CLO LTD                                                                  | DRYDEN 98 CLO LTD A TSFR3M+130 04/20/2035 144A                                                          | CUSIP: 26248AAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2199000 | PA      | $2199325.45   | 0.03%             | 2035-04-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| LUMEN TECHNOLOGIES                                                                 | LUMEN TECHNOLOGIES TERM B1 1LN 4/16/2029                                                                | CUSIP: 55024EAF2<br>LEI: 8M3THTGWLTYZVE6BBY25 | Long             | LON              | CORP              | US        |      40000 | PA      | $39572.40     | 0.00%             | 2029-04-16      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| ROMANIA, REPUBLIC OF                                                               | ROMANIA REPUBLIC OF 7.125% 01/17/2033 144A                                                              | CUSIP: 77586RAR1<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      40000 | PA      | $40580.00     | 0.00%             | 2033-01-17      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GOVERNMENT NAT MTG ASSN HECM 2015-H30 HA VAR 11/20/2065                                                 | CUSIP: 38376RLC8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      12525 | PA      | $12215.93     | 0.00%             | 2062-09-20      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| INDONESIA REPUBLIC OF                                                              | INDONESIA REPUBLIC OF 3.85% 10/15/2030                                                                  | CUSIP: 455780CS3<br>LEI: 254900G208H6Q0L5B953 | Long             | DBT              | NUSS              | ID        |     125000 | PA      | $120487.50    | 0.00%             | 2030-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NCL CORP LTD                                                                       | NCL CORP LTD 6.75% 02/01/2032 144A                                                                      | CUSIP: 62886HBR1<br>LEI: UNZWILHE4KMRP9K2L524 | Long             | DBT              | CORP              | BM        |     365000 | PA      | $365441.59    | 0.01%             | 2032-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CLEAN HARBORS INC                                                                  | CLEAN HARBORS INC 6.375% 02/01/2031 144A                                                                | CUSIP: 184496AQ0<br>LEI: 5493000SJVZVZJKHJF48 | Long             | DBT              | CORP              | US        |     200000 | PA      | $203522.20    | 0.00%             | 2031-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: —       |
| ENN ENERGY HLDGS LTD                                                               | ENN ENERGY HLDGS LTD 4.625% 05/17/2027 144A                                                             | CUSIP: 29336EAA1<br>LEI: 549300V7BXPWT6WIPR03 | Long             | DBT              | CORP              | KY        |     270000 | PA      | $269253.45    | 0.00%             | 2027-05-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 10/01/2042#AP3667                                                                        | CUSIP: 3138M7CD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15642 | PA      | $14578.50     | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GRUBHUB HOLDINGS INC                                                               | GRUBHUB HOLDINGS INC 5.5% 07/01/2027 144A                                                               | CUSIP: 40010PAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     470000 | PA      | $433574.72    | 0.01%             | 2027-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: —       |
| AVOLON HOLDINGS FUNDING LTD                                                        | AVOLON HOLDINGS FUNDING LTD 4.95% 01/15/2028 144A                                                       | CUSIP: 05401AAW1<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    4604000 | PA      | $4590807.10   | 0.07%             | 2028-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                     | MORGAN STANLEY 5.164%/VAR 04/20/2029                                                                    | CUSIP: 61747YFD2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    6000000 | PA      | $6083733.54   | 0.09%             | 2029-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 1.5% 02/25/2050                                                          | CUSIP: 3137FRDX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     206021 | PA      | $164612.70    | 0.00%             | 2050-02-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 3.5% 09/30/2029                                                                               | CUSIP: 91282CLN9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  105000000 | PA      | $103195312.50 | 1.50%             | 2029-09-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 11/01/2051#FM9517                                                                        | CUSIP: 3140XDSF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     786427 | PA      | $647199.21    | 0.01%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 01/15/2047#AX5855                                                                          | CUSIP: 36196HQG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2059 | PA      | $1907.23      | 0.00%             | 2047-01-15      | Fixed         | 0.04%                 | 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        |    5000000 | PA      | $4614152.95   | 0.07%             | 2030-10-30      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| UKG INC                                                                            | UKG INC 6.875% 02/01/2031 144A                                                                          | CUSIP: 90279XAA0<br>LEI: 529900FKHWSTQ1GXK240 | Long             | DBT              | CORP              | US        |     200000 | PA      | $206079.00    | 0.00%             | 2031-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| EMPRESA NACIONAL DEL PETROLEO                                                      | EMPRESA NACIONAL DEL PETROLEO 5.95% 07/30/2034 144A                                                     | CUSIP: 29245JAP7<br>LEI: 549300YP3P0JZBLIV197 | Long             | DBT              | CORP              | CL        |     200000 | PA      | $200125.00    | 0.00%             | 2034-07-30      | Fixed         | 0.06%                 | 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        |    1265000 | PA      | $1118708.73   | 0.02%             | 2030-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 12/41 #739352                                                                                | CUSIP: 3620ATL96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8303 | PA      | $7693.52      | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EMERGENT BIOSOLUTIONS INC                                                          | EMERGENT BIOSOLUTIONS INC 3.875% 08/15/2028 144A                                                        | CUSIP: 29089QAC9<br>LEI: 549300YW6TUOX8BE5103 | Long             | DBT              | CORP              | US        |     606000 | PA      | $458996.52    | 0.01%             | 2028-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 07/01/2050#CA6275                                                                          | CUSIP: 3140QD6M1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     197805 | PA      | $155770.61    | 0.00%             | 2050-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                   | T-MOBILE USA INC 5.05% 07/15/2033                                                                       | CUSIP: 87264ACY9<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   13000000 | PA      | $12889187.61  | 0.19%             | 2033-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ANHEUSER BUSCH INBEV WORLDWIDE INC                                                 | ANHEUSER BUSCH INBEV WORLD INC 5.8% 01/23/2059                                                          | CUSIP: 03523TBW7<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |    1933000 | PA      | $1930938.03   | 0.03%             | 2059-01-23      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WAYFAIR LLC                                                                        | WAYFAIR LLC 7.75% 09/15/2030 144A                                                                       | CUSIP: 94419NAB3<br>LEI: 549300CTUWTZGOXMYI40 | Long             | DBT              | CORP              | US        |    1214000 | PA      | $1189418.31   | 0.02%             | 2030-09-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: —       |
| UBS GROUP AG                                                                       | UBS GROUP AG 4.55% 04/17/2026                                                                           | CUSIP: 902613BB3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     388000 | PA      | $387863.44    | 0.01%             | 2026-04-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 11/28 #457257                                                                                | CUSIP: 31381C5S2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         15 | PA      | $15.66        | 0.00%             | 2028-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SPIRIT AVIATION HOLDINGS INC                                                       | SPIRIT AVIATION HOLDINGS INC                                                                            | CUSIP: 84863V101<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       2969 | NS      | $17784.31     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 03/01/2052#SD2219                                                                          | CUSIP: 3132DPPC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     426770 | PA      | $366497.52    | 0.01%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 4/39 #AB0042                                                                                 | CUSIP: 31416VBL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      85564 | PA      | $84690.40     | 0.00%             | 2039-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 5/30 #590851                                                                                 | CUSIP: 31387QL81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        627 | PA      | $654.03       | 0.00%             | 2030-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII 15YR 3% 10/20/2031#MA3979                                                                          | CUSIP: 36179SM46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     136086 | PA      | $131735.33    | 0.00%             | 2031-10-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 1.5% 03/01/2036#SB8092                                                                        | CUSIP: 3132D57D8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14690 | PA      | $12956.74     | 0.00%             | 2036-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6.5% 10/01/2053#RJ0001                                                                        | CUSIP: 3142GQAB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     314894 | PA      | $326512.36    | 0.00%             | 2053-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| JETBLUE AIRWAYS/LOYALTY                                                            | JETBLUE AIRWAYS/LOYALTY 9.875% 09/20/2031 144A                                                          | CUSIP: 476920AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     650000 | PA      | $642957.72    | 0.01%             | 2031-09-20      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                        | BNPI SWAP CDS 06/20/30 ASSGEN B                                                                         | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DCR              | CORP              | FR        |     700000 | NC      | $704.68       | 0.00%             |  |  |  | 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        |    4746825 | PA      | $3998426.17   | 0.06%             | 2049-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| POST HOLDINGS INC                                                                  | POST HLDGS INC 6.25% 10/15/2034 144A                                                                    | CUSIP: 737446AX2<br>LEI: JM1I5YUAURL6DC8N1468 | Long             | DBT              | CORP              | US        |     330000 | PA      | $325967.10    | 0.00%             | 2034-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII 15YR 3% 07/20/2031#MA3778                                                                          | CUSIP: 36179SFT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3704 | PA      | $3589.07      | 0.00%             | 2031-07-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/01/2040#AE4056                                                                          | CUSIP: 31419EQJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8082 | PA      | $7686.83      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALABAMA POWER and LIGHT                                                            | ALABAMA POWER CO 3.05% 03/15/2032                                                                       | CUSIP: 010392FX1<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |    1447000 | PA      | $1299731.66   | 0.02%             | 2032-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3% 03/20/2043#AA6146                                                                            | CUSIP: 36178DZK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17640 | PA      | $16002.59     | 0.00%             | 2043-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                              | BOAM SWAP REC 4.08 04/24/30                                                                             | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    5730000 | NC      | $216961.92    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GNR 2014-25 HC 3% 2/44                                                                                  | CUSIP: 38379AEF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     128728 | PA      | $114508.60    | 0.00%             | 2044-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                     | MORGAN STANLEY 3.955%/VAR 03/21/2035                                                                    | CUSIP: N/A<br>LEI: IGJSJL3JD5P30I6NJZ34       | Long             | DBT              | CORP              | US        |     270000 | PA      | $312382.26    | 0.00%             | 2035-03-21      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 8/33 #726923                                                                                 | CUSIP: 31402ESL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1488 | PA      | $1474.12      | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 2% 01/25/2045                                                            | CUSIP: 3137FU4N1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     402413 | PA      | $366600.06    | 0.01%             | 2045-01-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MISC CAPITAL TWO LABUAN LIMITED                                                    | MISC CAPITAL TWO LABUAN LIMITED 3.75% 04/06/2027 144A                                                   | CUSIP: 60475DAB7<br>LEI: 9845000ED8376T875113 | Long             | DBT              | CORP              | MY        |     450000 | PA      | $442260.00    | 0.01%             | 2027-04-06      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 1/41 #AH1256                                                                                 | CUSIP: 3138A2ME6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5015 | PA      | $4777.28      | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                                                | AMERICAN TOWER CORP 3.625% 05/30/2032                                                                   | CUSIP: 03027XCQ1<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |     400000 | PA      | $458948.44    | 0.01%             | 2032-05-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JEFFERIES FIN LLC/JFIN                                                             | JEFFERIES FIN LLC/JFIN 6.625% 10/15/2031 144A                                                           | CUSIP: 47232MAG7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     465000 | PA      | $460314.01    | 0.01%             | 2031-10-15      | Fixed         | 0.07%                 | 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        |    5208438 | PA      | $4189666.22   | 0.06%             | 2050-09-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GS MTG-BACKED SECS TR 2024-RPL2                                                    | GS MTG-BACKED SECS TR 2024-RPL2 A1 3.75% 07/25/2061 144A                                                | CUSIP: 36269MAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3610422 | PA      | $3498155.45   | 0.05%             | 2061-07-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CENOVUS ENERGY INC                                                                 | CENOVUS ENERGY INC 5.4% 06/15/2047                                                                      | CUSIP: 15135UAR0<br>LEI: 549300F4XPHJ7NOSP309 | Long             | DBT              | CORP              | CA        |     146000 | PA      | $125633.40    | 0.00%             | 2047-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HYUNDAI AUTO LEASE SECURITIZATION TRUST 2024-C                                     | HYUNDAI AUTO LEASE SECURITIZATION TRUST 2024-C 4.62% 04/17/2028 144A                                    | CUSIP: 448984AD6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2300000 | PA      | $2305137.51   | 0.03%             | 2028-04-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 02/01/2046#G60824                                                                          | CUSIP: 31335A4H8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24984 | PA      | $23615.92     | 0.00%             | 2046-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LIFE 2021-BMR MTG TR                                                               | LIFE 2021-BMR MTG TR TSFR1M+121.448 03/15/2036 144A                                                     | CUSIP: 53218CAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      22642 | PA      | $22485.90     | 0.00%             | 2038-03-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 4/35 #735503                                                                                 | CUSIP: 31402RDG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22108 | PA      | $22993.52     | 0.00%             | 2035-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ARES TR 2024-IND2                                                                  | ARES TR 2024-IND2 F TSFR1M+403.9 10/15/2034 144A                                                        | CUSIP: 04021EAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     170000 | PA      | $170093.50    | 0.00%             | 2034-10-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| PRET 2024-RPL1 TR                                                                  | PRET 2024-RPL1 TR 3.9% 10/25/2063 144A                                                                  | CUSIP: 693989AA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     834474 | PA      | $782682.18    | 0.01%             | 2063-10-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MPT OPER PARTNERSHIP LP / MPT FIN CORP                                             | MPT OPER PARTNERSHIP LP/CORP 5% 10/15/2027                                                              | CUSIP: 55342UAH7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1640000 | PA      | $1429424.00   | 0.02%             | 2027-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: —       |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 2.5% 05/25/2049                                                          | CUSIP: 3137H5FF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     241539 | PA      | $206927.30    | 0.00%             | 2049-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 9/33 #727147                                                                                 | CUSIP: 31402EZL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1672 | PA      | $1656.40      | 0.00%             | 2033-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 7/35 #G01838                                                                                 | CUSIP: 3128LXBF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19130 | PA      | $19264.24     | 0.00%             | 2035-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                            | HCA INC 5.45% 09/15/2034                                                                                | CUSIP: 404121AK1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    7000000 | PA      | $6930190.47   | 0.10%             | 2034-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 12/01/2040#AE0675                                                                        | CUSIP: 31419AXD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2378 | PA      | $2336.36      | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                     | MORGAN STANLEY 3.622%/VAR 04/01/2031                                                                    | CUSIP: 6174468P7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    2099000 | PA      | $1990205.28   | 0.03%             | 2031-04-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 09/20/2043#MA1285                                                                          | CUSIP: 36179NNA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     170752 | PA      | $156877.48    | 0.00%             | 2043-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 02/01/2048#G61896                                                                        | CUSIP: 31335CC93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20649 | PA      | $18662.84     | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALBERTSONS COS LLC / SAFEWAY INC / NEW ALBERTSONS INC / ALBERTSONS LLC             | ALBERTSONS COS LLC / SAFEWAY INC / NEW ALBERTSONS INC / ALBERTSONS LLC 6.5% 02/15/2028 144A             | CUSIP: 01309QAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     400000 | PA      | $408072.40    | 0.01%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 08/51#CB1310                                                                               | CUSIP: 3140QLN44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     264464 | PA      | $206528.49    | 0.00%             | 2051-08-01      | Fixed         | 0.02%                 | 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        |    9597902 | PA      | $8449359.90   | 0.12%             | 2048-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EQT TR 2024-EXTR                                                                   | EQT TR 2024-EXTR B 1ML+0 07/05/2041 144A                                                                | CUSIP: 29439DAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     158000 | PA      | $159245.50    | 0.00%             | 2041-07-05      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 07/01/2054#CB8821                                                                          | CUSIP: 3140QUYT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2363935 | PA      | $2405890.76   | 0.04%             | 2054-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH BANK AUSTRALIA                                                        | COMMONWEALTH BANK AUSTRALIA 2.688% 03/11/2031 144A                                                      | CUSIP: 202712BN4<br>LEI: MSFSBD3QN1GSN7Q6C537 | Long             | DBT              | CORP              | AU        |     525000 | PA      | $460139.45    | 0.01%             | 2031-03-11      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP I TR 2024-NSTB                                                  | MORGAN STANLEY CAP I TR 2024-NSTB VAR 09/20/2032 144A                                                   | CUSIP: 61690BAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     140000 | PA      | $130819.32    | 0.00%             | 2057-09-24      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| REALOGY GROUP LLC / REALOGY CO-ISSUER CORP                                         | REALOGY GROUP LLC / REALOGY CO-ISSUER CORP 5.75% 01/15/2029 144A                                        | CUSIP: 75606DAL5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     445000 | PA      | $364904.05    | 0.01%             | 2029-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 3% 09/25/2027                                                            | CUSIP: 3136A8PY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      12350 | PA      | $274.04       | 0.00%             | 2027-09-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SALLY HOLDINGS LLC / SALLY CAP INC                                                 | SALLY HOLDINGS LLC / CAP INC 6.75% 03/01/2032                                                           | CUSIP: 79546VAQ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     150000 | PA      | $152395.65    | 0.00%             | 2032-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: —       |
| 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        |    2979000 | PA      | $2970063.00   | 0.04%             | 2038-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 10/01/2054#RJ2642                                                                          | CUSIP: 3142GS5C8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1389015 | PA      | $1422783.52   | 0.02%             | 2054-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TENCENT HLDGS LTD                                                                  | TENCENT HLDGS LTD 1.81% 01/26/2026 144A                                                                 | CUSIP: 88032WAT3<br>LEI: 254900N4SLUMW4XUYY11 | Long             | DBT              | CORP              | KY        |     110000 | PA      | $107949.60    | 0.00%             | 2026-01-26      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 5.87% 7/36 #1B7380                                                                             | CUSIP: 3128QPSU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8970 | PA      | $9207.78      | 0.00%             | 2036-07-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 03/01/2051#BR4756                                                                          | CUSIP: 3140L3JA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45108 | PA      | $35634.94     | 0.00%             | 2051-03-01      | Fixed         | 0.02%                 | 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        |    2337000 | PA      | $2337420.66   | 0.03%             | 2030-05-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 5/35 #G01818                                                                                 | CUSIP: 3128LXAT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2930 | PA      | $2951.11      | 0.00%             | 2035-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MEXICO UNITED MEXICAN STATES                                                       | MEXICO UNITED MEXICAN STATES 6.35% 02/09/2035                                                           | CUSIP: 91087BAV2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     300000 | PA      | $298950.00    | 0.00%             | 2035-02-09      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BERMUDA GOVERNMENT OF                                                              | BERMUDA GOVERNMENT OF 3.717% 01/25/2027 144A                                                            | CUSIP: 085209AD6<br>LEI: 549300FP5PUZXX9FVJ40 | Long             | DBT              | NUSS              | BM        |     300000 | PA      | $294937.50    | 0.00%             | 2027-01-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMBB COML MTG SECS TR 2014-C26                                                    | JPMBB 2014-C26 D CSTR 01/15/2048 144A                                                                   | CUSIP: 46643TAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     575000 | PA      | $477244.25    | 0.01%             | 2048-01-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM 30YR 6% 11/01/2054#RJ2748                                                                          | CUSIP: 3142GTBS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1148906 | PA      | $1173246.93   | 0.02%             | 2054-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 5% 06/01/2055 #TBA                                                                              | CUSIP: 21H050664<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8600000 | PA      | $8344843.16   | 0.12%             | 2055-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                | MSCS SWAP CY885799 12/15/56 S                                                                           | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |     100000 | NC      | $-1750.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ICAHN ENTERPRISES LP / ICAHN ENTERPRISES FIN CORP                                  | ICAHN ENTERPRISES LP/FIN CORP 10% 11/15/2029 144A                                                       | CUSIP: 451102CK1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     230000 | PA      | $224202.48    | 0.00%             | 2029-11-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| ROMANIA, REPUBLIC OF                                                               | ROMANIA REPUBLIC OF 6.625% 02/17/2028 144A                                                              | CUSIP: 77586RAQ3<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      90000 | PA      | $91926.00     | 0.00%             | 2028-02-17      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 11/01/2051#FM9632                                                                          | CUSIP: 3140XDV29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     478963 | PA      | $412592.29    | 0.01%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BROADSTREET PARTNERS INC                                                           | BROADSTREET PARTNERS INC 5.875% 04/15/2029 144A                                                         | CUSIP: 11135RAA3<br>LEI: 549300BS9N54G8DD0R75 | Long             | DBT              | CORP              | US        |     160000 | PA      | $157546.75    | 0.00%             | 2029-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ENBW ENERGIE BADEN-WUERTTEM AG                                                     | ENBW ENERGIE BADEN-WUERTTEM AG EUSA5+NA 08/31/2081 REGS                                                 | CUSIP: N/A<br>LEI: 529900JSFZ4TS59HKD79       | Long             | DBT              | CORP              | DE        |     600000 | PA      | $632556.34    | 0.01%             | 2081-08-31      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                         | VERIZON COMMUNICATIONS INC 4.862% 08/21/2046                                                            | CUSIP: 92343VCK8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    1250000 | PA      | $1090661.88   | 0.02%             | 2046-08-21      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2021-CIP                                                            | BX COML MTG TR 2021-CIP F TSFR1M+333.348 73 11/15/2036 144A                                             | CUSIP: 12434FAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     699318 | PA      | $694072.95    | 0.01%             | 2038-12-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                                 | FX Forward: USD/CAD settle 2025-07-08                                                                   | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |          1 | NC      | $-6669.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2% 03/01/2036#CA9438                                                                          | CUSIP: 3140QHPY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26959 | PA      | $24353.51     | 0.00%             | 2036-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-SOAR                                             | BX 2021-SOAR 2.45% 06/15/2023 144A                                                                      | CUSIP: 05608WAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     530426 | PA      | $529597.58    | 0.01%             | 2038-06-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| STAPLES INC                                                                        | STAPLES INC 12.75% 01/15/2030 144A                                                                      | CUSIP: 855030AS1<br>LEI: XQM2JINI1UL7642TU573 | Long             | DBT              | CORP              | US        |     438275 | PA      | $282123.32    | 0.00%             | 2030-01-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 4% 06/25/2048                                                            | CUSIP: 3136B2EX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     354658 | PA      | $74860.66     | 0.00%             | 2048-06-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PTT TREASURY CENTER CO LTD                                                         | PTT TREASURY CENTER CO LTD 3.7% 07/16/2070 144A                                                         | CUSIP: 74446T2C6<br>LEI: 254900FBQLIN5XACCX50 | Long             | DBT              | CORP              | TH        |     105000 | PA      | $67039.35     | 0.00%             | 2070-07-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2024-KING                                                           | BX COML MTG TR 2024-KING E TSFR1M+368.795 05/15/2039 144A                                               | CUSIP: 05612RAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2033233 | PA      | $2025608.25   | 0.03%             | 2034-05-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| BFLD 2024-WRHS                                                                     | BFLD 2024-WRHS E TSFR1M+393.8 08/15/2026 144A                                                           | CUSIP: 05555HAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     463499 | PA      | $462986.22    | 0.01%             | 2026-08-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 10/01/2051#RA6076                                                                          | CUSIP: 3133KMXD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     896983 | PA      | $705248.81    | 0.01%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 08/01/2051#FM9973                                                                          | CUSIP: 3140XECK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     287015 | PA      | $247646.31    | 0.00%             | 2051-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LTD                                                        | AVOLON HOLDINGS FUNDING LTD 4.375% 05/01/2026 144A                                                      | CUSIP: 05401AAG6<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |     880000 | PA      | $874070.79    | 0.01%             | 2026-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CNTL AMR BOTTLING CORP                                                             | CNTL AMR BOTTLING CORP 5.25% 04/27/2029 144A                                                            | CUSIP: 15239XAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | VG        |     235000 | PA      | $225835.00    | 0.00%             | 2029-04-27      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 7/40 #745231                                                                                 | CUSIP: 3620C04Q8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8134 | PA      | $7994.35      | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 2.967% 8/41#AI8879                                                                             | CUSIP: 3138AN2M4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2003 | PA      | $2079.09      | 0.00%             | 2041-08-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| PAYCHEX INC                                                                        | PAYCHEX INC 5.6% 04/15/2035                                                                             | CUSIP: 704326AC1<br>LEI: 529900K900DW6SUBM174 | Long             | DBT              | CORP              | US        |     571000 | PA      | $580605.68    | 0.01%             | 2035-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BOMBARDIER INC                                                                     | BOMBARDIER INC 7% 06/01/2032 144A                                                                       | CUSIP: 097751CC3<br>LEI: W7L3VLU8EHQY34Z36697 | Long             | DBT              | CORP              | CA        |    1470000 | PA      | $1503391.05   | 0.02%             | 2032-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ON SEMICONDUCTOR CORP                                                              | ON SEMICONDUCTOR CORP CONV 0% 05/01/2027                                                                | CUSIP: 682189AS4<br>LEI: ZV20P4CNJVT8V1ZGJ064 | Long             | DBT              | CORP              | US        |     390000 | PA      | $420732.00    | 0.01%             | 2027-05-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                          | OCCIDENTAL PETROLEUM CORP 6.625% 09/01/2030                                                             | CUSIP: 674599ED3<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    8000000 | PA      | $8331312.00   | 0.12%             | 2030-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| INDONESIA REPUBLIC OF                                                              | INDONESIA REPUBLIC OF 3.2% 09/23/2061                                                                   | CUSIP: 455780DG8<br>LEI: 254900G208H6Q0L5B953 | Long             | DBT              | NUSS              | ID        |     200000 | PA      | $122500.00    | 0.00%             | 2061-09-23      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 02/01/2046#BC0214                                                                          | CUSIP: 3140EUGY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45180 | PA      | $42263.53     | 0.00%             | 2046-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BBCMS MTG TR 2024-C26                                                              | BBCMS MTG TR 2024-C26 4.5% 05/15/2057 144A                                                              | CUSIP: 05555AAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     290000 | PA      | $223145.02    | 0.00%             | 2057-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                 | ENERGY TRANSFER LP 6% 06/15/2048                                                                        | CUSIP: 29278NAE3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    1279000 | PA      | $1187581.34   | 0.02%             | 2048-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BBCMS MORTGAGE TRUST 2024-C30                                                      | BBCMS MORTGAGE TRUST 2024-C30 C 6.048% 11/15/2057                                                       | CUSIP: 05493YAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     120000 | PA      | $117301.48    | 0.00%             | 2057-11-15      | 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        |    2027000 | PA      | $2014238.41   | 0.03%             | 2039-12-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6.5% 01/01/2054#RJ0706                                                                        | CUSIP: 3142GQYC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1377929 | PA      | $1428771.51   | 0.02%             | 2054-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AVIS BUDGET CAR RENT LLC / AVIS BUDGET FINANCE INC                                 | AVIS BUDG CAR RENT LLC/FIN INC 8.375% 06/15/2032 144A                                                   | CUSIP: 053773BK2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     425000 | PA      | $428201.11    | 0.01%             | 2032-06-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 5.12% 10/36 #1A1201                                                                            | CUSIP: 3128NFKN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6517 | PA      | $6628.62      | 0.00%             | 2036-10-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CARVANA CO                                                                         | CARVANA CO PIK VAR 12/01/2028 144A                                                                      | CUSIP: 146869AL6<br>LEI: 5493003WEAK2PJ5WS063 | Long             | DBT              | CORP              | US        |     204971 | PA      | $210603.81    | 0.00%             | 2028-12-01      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 06/01/2052#CB3994                                                                          | CUSIP: 3140QPNL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21262 | PA      | $16564.29     | 0.00%             | 2052-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 3189 PD 6% 7/36                                                                                     | CUSIP: 31396UAR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       7666 | PA      | $7939.39      | 0.00%             | 2036-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 08/01/2052#SD8238                                                                        | CUSIP: 3132DWEK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3787809 | PA      | $3587562.98   | 0.05%             | 2052-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GLOBAL PARTNERS LP / GLP FIN CORP                                                  | GLOBAL PARTNERS LP / GLP FIN CORP 6.875% 01/15/2029                                                     | CUSIP: 37954FAJ3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     300000 | PA      | $301239.90    | 0.00%             | 2029-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| TENGIZCHEVROIL FINANCE CO INTERNATIONAL LTD                                        | TENGIZCHEVROIL FIN CO IN 3.25% 08/15/2030 144A                                                          | CUSIP: 88034QAC1<br>LEI: 5493001VEV2XTJIBZH31 | Long             | DBT              | CORP              | BM        |     225000 | PA      | $196875.00    | 0.00%             | 2030-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK5 2024-5YR11                                                                   | BANK5 2024-5YR11 C VAR 11/15/2057                                                                       | CUSIP: 06644WBW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     225000 | PA      | $225214.99    | 0.00%             | 2057-11-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+61.448 12/25/2049                                                | CUSIP: 3136B7YP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     698694 | PA      | $682776.79    | 0.01%             | 2049-12-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 10/41 #479430                                                                                | CUSIP: 36209RST1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8940 | PA      | $8568.07      | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                                                               | COLOMBIA REPUBLIC OF 3% 01/30/2030                                                                      | CUSIP: 195325DR3<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |     440000 | PA      | $376860.00    | 0.01%             | 2030-01-30      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CELANESE US HLDGS LLC                                                              | CELANESE US HLDGS LLC 6.5% 04/15/2030                                                                   | CUSIP: 15089QAZ7<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |     345000 | PA      | $347654.78    | 0.01%             | 2030-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: —       |
| METHANEX CORP                                                                      | METHANEX CORP 5.25% 12/15/2029                                                                          | CUSIP: 59151KAL2<br>LEI: 549300TSJHRXT9QXRD13 | Long             | DBT              | CORP              | CA        |     260000 | PA      | $252177.09    | 0.00%             | 2029-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FHLMC MFD HSG COP GTD (FREDMAC                                                     | FHR 2043 ZH 6% 4/28                                                                                     | CUSIP: 3133TDPN0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |        444 | PA      | $450.75       | 0.00%             | 2028-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/40#AE7390                                                                               | CUSIP: 31419JF86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9639 | PA      | $9226.94      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VOLCAN CIA MINERA SAA                                                              | VOLCAN CIA MINERA SAA 8.75% 01/24/2030 144A                                                             | CUSIP: 92863UAC0<br>LEI: 549300XKJ91C4SZLG750 | Long             | DBT              | CORP              | PE        |     836000 | PA      | $811588.80    | 0.01%             | 2030-01-24      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| BANCO DE CREDITO E INVERSIONES                                                     | BANCO DE CREDITO E INVERSIONES 8.75%/VAR PERP 144A                                                      | CUSIP: 05890MAC7<br>LEI: 549300E9E5Y3PKW24142 | Long             | EP               | CORP              | CL        |     115000 | PA      | $119525.25    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                         | FANNIEMAE 20YR 3.5% 05/01/2036#BM3697                                                                   | CUSIP: 3140J8DB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12635 | PA      | $12223.98     | 0.00%             | 2036-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GRUMA SAB DE CV                                                                    | GRUMA SAB DE CV 5.761% 12/09/2054 144A                                                                  | CUSIP: 400131AJ7<br>LEI: 5493000XJLJ6C4T0PG82 | Long             | DBT              | CORP              | MX        |     200000 | PA      | $184128.00    | 0.00%             | 2054-12-09      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SOUTH BOW CANADIAN INFRASTRUCTURE HOLDINGS LTD                                     | SOUTH BOW CANADIAN INFRASTRUCTURE HOLDINGS LTD 7.5%/VAR 03/01/2055 144A                                 | CUSIP: 836720AH5<br>LEI: 2549004FYUSYLPBT1G26 | Long             | DBT              | CORP              | CA        |     477000 | PA      | $475650.76    | 0.01%             | 2055-03-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 1.5% 04/01/2041#RB5107                                                                        | CUSIP: 3133KYU80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1328629 | PA      | $1093371.06   | 0.02%             | 2041-04-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2001-52 YZ 6.5% 10/31                                                                               | CUSIP: 313921MN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        299 | PA      | $307.98       | 0.00%             | 2031-10-25      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SBA TOWER TR                                                                       | SBA TOWER TR 2.328% 07/15/2052 144A                                                                     | CUSIP: 78403DAR1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     381000 | PA      | $354341.01    | 0.01%             | 2052-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| JPMDB COML MTG SECS TR 2016-C4                                                     | JPMDB COML MTG SECS TR 2016-C4 2.8822% 12/15/2049                                                       | CUSIP: 46646RAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     212105 | PA      | $207710.50    | 0.00%             | 2049-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 07/01/2050#CA6312                                                                          | CUSIP: 3140QEAN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     540799 | PA      | $467803.06    | 0.01%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| LIGHTNING POWER LLC                                                                | LIGHTNING POWER LLC 7.25% 08/15/2032 144A                                                               | CUSIP: 53229KAA7<br>LEI: 254900BWCHJ03XRL8K59 | Long             | DBT              | CORP              | US        |     265000 | PA      | $277840.77    | 0.00%             | 2032-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 8/36 #888034                                                                                 | CUSIP: 31410FSX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6826 | PA      | $7110.93      | 0.00%             | 2036-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 5/41 #Q00736                                                                                 | CUSIP: 3132GDY97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3300 | PA      | $3240.18      | 0.00%             | 2041-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.0% 08/20/2044#MA2149                                                                          | CUSIP: 36179QL66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11513 | PA      | $10929.94     | 0.00%             | 2044-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX TR 2022-VAMF                                                                    | BX TR 2022-VAMF E TSFR1M+270 01/15/2039 144A                                                            | CUSIP: 05609TAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     396000 | PA      | $392443.25    | 0.01%             | 2039-01-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                                | GSCOFI SWAP CY873248 04/17/65 B                                                                         | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |     130000 | NC      | $22164.90     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHILE REPUBLIC OF                                                                  | CHILE REPUBLIC OF 2.75% 01/31/2027                                                                      | CUSIP: 168863DX3<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |     200000 | PA      | $194000.00    | 0.00%             | 2027-01-31      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PARAGUAY REPUBLIC OF                                                               | PARAGUAY REPUBLIC OF 4.95% 04/28/2031 144A                                                              | CUSIP: 699149AJ9<br>LEI: 529900UXKJTJPCU0HK83 | Long             | DBT              | NUSS              | PY        |     265000 | PA      | $259948.44    | 0.00%             | 2031-04-28      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                       | BARCLAYS PLC 8.875%/VAR PERP REGS                                                                       | CUSIP: N/A<br>LEI: 213800LBQA1Y9L22JB70       | Long             | EP               | CORP              | GB        |     270000 | PA      | $380609.53    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 02/01/2041#AH3520                                                                        | CUSIP: 3138A44E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6222 | PA      | $5932.42      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | 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        |    1604000 | PA      | $1606163.96   | 0.02%             | 2035-06-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| SAKS GLOBAL ENTERPRISES LLC                                                        | SAKS GLOBAL ENTERPRISES LLC CO-OP 11% 12/15/2029 144A                                                   | CUSIP: 79380IAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     750000 | PA      | $360000.00    | 0.01%             | 2029-12-15      | Fixed         | 0.11%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 7% 04/01/2032#                                                                                | CUSIP: 31287RQL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        148 | PA      | $156.49       | 0.00%             | 2032-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CHS/CMNTY HEALTH SYSTEMS INC                                                       | CHS/CMNTY HEALTH SYSTEMS INC 4.75% 02/15/2031 144A                                                      | CUSIP: 12543DBK5<br>LEI: 5493007X5NC5XI1BB106 | Long             | DBT              | CORP              | US        |    2440000 | PA      | $2088530.37   | 0.03%             | 2031-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 06/01/2047#Q48754                                                                          | CUSIP: 3132WNWQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     379334 | PA      | $355310.05    | 0.01%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL    | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 6.1% 06/01/2029         | CUSIP: 161175CQ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1898000 | PA      | $1975820.14   | 0.03%             | 2029-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 4/42 #AK8237                                                                                 | CUSIP: 3138EDEK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17791 | PA      | $16922.94     | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | 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        |   56625000 | PA      | $45494031.23  | 0.66%             | 2055-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| TURKEY REPUBLIC OF                                                                 | TURKEY REPUBLIC OF 4.25% 04/14/2026                                                                     | CUSIP: 900123CJ7<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |     225000 | PA      | $222138.00    | 0.00%             | 2026-04-14      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 10/01/2040#A94586                                                                        | CUSIP: 312943CX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5648 | PA      | $5559.57      | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GOVERNMENT NAT MTG ASSN HECM 2015-H19 FA TSFR1M+31.448 04/63                                            | CUSIP: 38376RFZ4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |       2728 | PA      | $2702.86      | 0.00%             | 2063-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 7% 04/01/2032#                                                                                | CUSIP: 31283HRL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        341 | PA      | $356.23       | 0.00%             | 2032-04-01      | Fixed         | 0.07%                 | 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        |    2487000 | PA      | $2492774.81   | 0.04%             | 2037-10-19      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.50% 4/41 #005017                                                                              | CUSIP: 36202FSE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20825 | PA      | $20479.09     | 0.00%             | 2041-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                                | GSCOFI SWAP CZ030008 12/17/57 B                                                                         | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |     500000 | NC      | $38217.70     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2017-H1                                             | MORGAN STANLEY CAPITAL I TRUST 2017-H1 A4 3.259% 06/15/2050                                             | CUSIP: 61691JAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     500000 | PA      | $487920.30    | 0.01%             | 2050-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                     | MORGAN STANLEY 5.192%/VAR 04/17/2031                                                                    | CUSIP: 61747YFZ3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    3887000 | PA      | $3943764.39   | 0.06%             | 2031-04-17      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MARB BONDCO PLC                                                                    | MARB BONDCO PLC 3.95% 01/29/2031 144A                                                                   | CUSIP: 566007AC4<br>LEI: 254900PVA1EU6QM1JN57 | Long             | DBT              | CORP              | GB        |     160000 | PA      | $139600.00    | 0.00%             | 2031-01-29      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| STWD TR 2021-LIH                                                                   | STWD TR 2021-LIH TSFR1M+359.8 1 11/15/2036 144A                                                         | CUSIP: 78486EAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1230000 | PA      | $1211902.40   | 0.02%             | 2036-11-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM 30YR 6.5% 01/01/2055#RJ3308                                                                        | CUSIP: 3142GTVA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3678405 | PA      | $3818152.05   | 0.06%             | 2055-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PAKISTAN, ISLAMIC REP OF                                                           | PAKISTAN ISLAMIC REP OF 6.875% 12/05/2027 144A                                                          | CUSIP: 740840AC7<br>LEI: 529900LOP29R5WKHOD86 | Long             | DBT              | NUSS              | PK        |     105000 | PA      | $97422.15     | 0.00%             | 2027-12-05      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/01/2040#AE7374                                                                          | CUSIP: 31419JFQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7392 | PA      | $7055.75      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LBM ACQUISITION LLC                                                                | LBM ACQUISITION LLC 6.25% 01/15/2029 144A                                                               | CUSIP: 05552BAA4<br>LEI: 549300FAEB3VWZL4NI86 | Long             | DBT              | CORP              | US        |     395000 | PA      | $317236.19    | 0.00%             | 2029-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 09/01/2051#                                                                              | CUSIP: 3140XCYJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24473 | PA      | $21868.34     | 0.00%             | 2051-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA                                                                   | ALTICE FRANCE SA 5.5% 10/15/2029 144A                                                                   | CUSIP: 02156LAH4<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |     591000 | PA      | $502108.10    | 0.01%             | 2029-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                                     | CITI SWAP REC 3.753 10/31/29                                                                            | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |    6800000 | NC      | $212640.01    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA REPUBLIC OF                                                           | SOUTH AFRICA REPUBLIC OF 5.75% 09/30/2049                                                               | CUSIP: 836205BB9<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |     250000 | PA      | $180625.00    | 0.00%             | 2049-09-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| IHS HOLDING LTD                                                                    | IHS HOLDING LTD 6.25% 11/29/2028 144A                                                                   | CUSIP: 44963HAB1<br>LEI: 213800CLGMKL63VKTD94 | Long             | DBT              | CORP              | KY        |      55000 | PA      | $53109.38     | 0.00%             | 2028-11-29      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 03/01/2046#AL8321                                                                          | CUSIP: 3138ETG75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      81897 | PA      | $76994.16     | 0.00%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP DEL                                                                   | CENTENE CORP 4.25% 12/15/2027                                                                           | CUSIP: 15135BAR2<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |     880000 | PA      | $859475.14    | 0.01%             | 2027-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 3.54% 12/39 #AC8301                                                                            | CUSIP: 31417VGK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        409 | PA      | $424.34       | 0.00%             | 2039-12-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 05/01/2031#AS7126                                                                        | CUSIP: 3138WG4L5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     997601 | PA      | $957216.73    | 0.01%             | 2031-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                                | GSCOFI SWAP CY873248 04/17/65 B                                                                         | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |      40000 | NC      | $6819.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BRAZIL, FEDERATIVE REPUBLIC OF                                                     | BRAZIL FEDERATIVE REPUBLIC OF 3.875% 06/12/2030                                                         | CUSIP: 105756CC2<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |     345000 | PA      | $321022.50    | 0.00%             | 2030-06-12      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NEW FORTRESS ENERGY INC                                                            | NEW FORTRESS ENERGY TERM B 1LN 10/30/2028                                                               | CUSIP: N/A<br>LEI: 254900EICTYTCHA5X705       | Long             | LON              | CORP              | US        |    2536000 | PA      | $1372254.96   | 0.02%             | 2028-10-30      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 06/01/2043#AB9671                                                                        | CUSIP: 31417GW93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27218 | PA      | $25098.51     | 0.00%             | 2043-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA GTD MTG PASS THRU CTF 2025-7 DF SOFR30A+140 09/25/2054                                             | CUSIP: 3136BUWX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    3595649 | PA      | $3584597.33   | 0.05%             | 2054-09-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                 | ENERGY TRANSFER LP 5.4% 10/01/2047                                                                      | CUSIP: 86765BAV1<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    1023000 | PA      | $882033.89    | 0.01%             | 2047-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 05/01/2035#A38837                                                                        | CUSIP: 31297UZA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        983 | PA      | $972.74       | 0.00%             | 2035-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WAND NEWCO 3 INC                                                                   | WAND NEWCO 3 INC 7.625% 01/30/2032 144A                                                                 | CUSIP: 933940AA6<br>LEI: 549300Y3VZEWMSQW8494 | Long             | DBT              | CORP              | US        |     215000 | PA      | $223664.93    | 0.00%             | 2032-01-30      | Fixed         | 0.08%                 | No            |                  2 | On Loan: —       |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2% 11/01/2040#                                                                                | CUSIP: 31418DUA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2119962 | PA      | $1808106.45   | 0.03%             | 2040-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| OLYMPUS WATER US HOLDING CORPORATION                                               | OLYMPUS WATER US HOLDING CORPORATION 9.75% 11/15/2028 144A                                              | CUSIP: 25259KAA8<br>LEI: 549300YU2GGVCBN3MY89 | Long             | DBT              | CORP              | US        |     300000 | PA      | $314539.80    | 0.00%             | 2028-11-15      | Fixed         | 0.10%                 | 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        |   10000000 | PA      | $9956005.60   | 0.14%             | 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        |    7711000 | PA      | $7578654.95   | 0.11%             | 2033-07-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| VLS COMMERCIAL MORTGAGE TRUST 2020                                                 | VLS COMMERCIAL MORTGAGE TRUST 2020 2.13% 10/10/2042 144A                                                | CUSIP: 92858TAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1382000 | PA      | $1145428.96   | 0.02%             | 2042-10-10      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 2.5% 01/20/2052#785831                                                                          | CUSIP: 3622ABLL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1521395 | PA      | $1264219.61   | 0.02%             | 2052-01-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 3.5% 01/25/2051                                                          | CUSIP: 3137H77F4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     401959 | PA      | $378257.85    | 0.01%             | 2051-01-25      | Fixed         | 0.04%                 | 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        |     132000 | PA      | $131010.00    | 0.00%             | 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        |    4092000 | PA      | $4059849.52   | 0.06%             | 2030-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 11/01/2031#AS8387                                                                        | CUSIP: 3138WJJ90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5411 | PA      | $5182.54      | 0.00%             | 2031-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.00% 11/41 #005233                                                                             | CUSIP: 36202FY67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4571 | PA      | $4372.20      | 0.00%             | 2041-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BIRCH GROVE CLO 5 LLC                                                              | BIRCH GROVE CLO 5 LLC ER TSFR3M+675 10/20/2037 144A                                                     | CUSIP: 090985AE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     100000 | PA      | $100450.20    | 0.00%             | 2037-10-20      | Variable      | 0.11%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.5% 01/01/2055#SL0002                                                                        | CUSIP: 31427MAC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1897931 | PA      | $1896113.18   | 0.03%             | 2055-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 04/01/2048#Q55661                                                                          | CUSIP: 3132XYJF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18543 | PA      | $17287.95     | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 1.5% 08/25/2050                                                          | CUSIP: 3136BJTS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     175844 | PA      | $142276.58    | 0.00%             | 2050-08-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 6/41 #AB3143                                                                                 | CUSIP: 31416YP51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7963 | PA      | $7597.55      | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNUM GROUP                                                                         | UNUM GROUP 3.875% 11/05/2025                                                                            | CUSIP: 91529YAL0<br>LEI: 549300E32YFDO6TZ8R31 | Long             | DBT              | CORP              | US        |      50000 | PA      | $49699.14     | 0.00%             | 2025-11-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 09/01/2051#RA5901                                                                          | CUSIP: 3133KMRW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     297669 | PA      | $256048.55    | 0.00%             | 2051-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 5/1/43 #AT2720                                                                           | CUSIP: 3138WQAW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43768 | PA      | $39418.25     | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DRYDEN 83 CLO LTD                                                                  | DRYDEN 83 CLO LTD AR TSFR3M+153 04/18/2037 144A                                                         | CUSIP: 26246EAL2<br>LEI: 2549001LFFVBUD1OX384 | Long             | ABS-CBDO         | CORP              | KY        |    2761000 | PA      | $2767902.50   | 0.04%             | 2037-04-18      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| STARWOOD PROPERTY TRUST INC                                                        | STARWOOD PPTY TR INC 6.5% 10/15/2030 144A                                                               | CUSIP: 85571BBE4<br>LEI: BUGSFQZERKRBFWIG5267 | Long             | DBT              | CORP              | US        |      35000 | PA      | $35420.00     | 0.00%             | 2030-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| OCP SA                                                                             | OCP SA 6.75% 05/02/2034 144A                                                                            | CUSIP: 67091TAF2<br>LEI: 213800D26TAPVTCVWG40 | Long             | DBT              | CORP              | MA        |     255000 | PA      | $257805.00    | 0.00%             | 2034-05-02      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.5% 01/01/2054#CB7801                                                                        | CUSIP: 3140QTU31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1063118 | PA      | $1101679.99   | 0.02%             | 2054-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.5% 05/20/2055#MB0364                                                                          | CUSIP: 3618N5MN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     100000 | PA      | $94426.77     | 0.00%             | 2055-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 12/01/2051#CB2289                                                                        | CUSIP: 3140QMRK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     750971 | PA      | $618020.35    | 0.01%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 12/01/2046#Q45023                                                                        | CUSIP: 3132WJSM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      33764 | PA      | $30653.47     | 0.00%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OWENS and MINOR INC                                                                | OWENS and MINOR INC 6.625% 04/01/2030 144A                                                              | CUSIP: 690732AG7<br>LEI: 549300LMT5KQQXCEZ733 | Long             | DBT              | CORP              | US        |     245000 | PA      | $207483.00    | 0.00%             | 2030-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2017-C34                        | MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2017-C34 ASB 3.354% 11/15/2052                       | CUSIP: 61767EAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     592609 | PA      | $584239.59    | 0.01%             | 2052-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ZURICH FINANCE (IRELAND) DAC                                                       | ZURICH FINANCE (IRELAND) DAC 3.5%/VAR 05/02/2052 REGS                                                   | CUSIP: N/A<br>LEI: 549300E0FVHYR37EGX65       | Long             | DBT              | CORP              | IE        |     374000 | PA      | $324407.60    | 0.00%             | 2052-05-02      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2024-FNX                                                                  | BX TRUST 2024-FNX TSFR1M+393.874 11/15/2026 144A                                                        | CUSIP: 05593TAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     579771 | PA      | $576691.70    | 0.01%             | 2041-11-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 5.5% 01/20/2055#787767                                                                          | CUSIP: 3622ADQU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1883893 | PA      | $1880989.26   | 0.03%             | 2055-01-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BANCOLOMBIA SA                                                                     | BANCOLOMBIA SA 8.625%/VAR 12/24/2034                                                                    | CUSIP: 05968LAN2<br>LEI: 54930052NWJRPNMP1W58 | Long             | DBT              | CORP              | CO        |     200000 | PA      | $209475.00    | 0.00%             | 2034-12-24      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| SBA TOWER TR                                                                       | SBA TOWER TR 1.884% 07/15/2050 144A                                                                     | CUSIP: 78403DAP5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     498000 | PA      | $487685.03    | 0.01%             | 2050-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| NEWELL BRANDS INC                                                                  | NEWELL BRANDS INC 6.375% 05/15/2030                                                                     | CUSIP: 651229BF2<br>LEI: 549300LWGYFM1TVO1Z12 | Long             | DBT              | CORP              | US        |     395000 | PA      | $370652.99    | 0.01%             | 2030-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                              | BOAM SWAP PAY 4.08 04/24/30                                                                             | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    5730000 | NC      | $231120.93    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MEXICO UNITED MEXICAN STATES                                                       | MEXICO UNITED MEXICAN STATES 3.25% 04/16/2030                                                           | CUSIP: 91087BAH3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     300000 | PA      | $273600.00    | 0.00%             | 2030-04-16      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 6/35 #G01839                                                                                 | CUSIP: 3128LXBG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        549 | PA      | $552.38       | 0.00%             | 2035-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                       | BROADCOM INC 3.5% 02/15/2041 144A                                                                       | CUSIP: 11135FBJ9<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    2410000 | PA      | $1868052.31   | 0.03%             | 2041-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FIRST QUANTUM MINERALS LTD                                                         | FIRST QUANTUM MINERALS LTD 6.875% 10/15/2027 144A                                                       | CUSIP: 335934AT2<br>LEI: 549300I7UVBGWRYMYZ18 | Long             | DBT              | CORP              | CA        |     419000 | PA      | $413846.30    | 0.01%             | 2027-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BBCMS MTG TR 2025-5C33                                                             | BBCMS MTG TR 2025-5C33 C 6.025% 03/15/2058                                                              | CUSIP: 072924AG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     118000 | PA      | $117664.55    | 0.00%             | 2058-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 11/01/2051#FM9505                                                                        | CUSIP: 3140XDR32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     609757 | PA      | $501806.62    | 0.01%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                                     | NRG ENERGY INC 6% 02/01/2033 144A                                                                       | CUSIP: 629377CW0<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |     390000 | PA      | $386469.25    | 0.01%             | 2033-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 11/01/2040#FM9485                                                                        | CUSIP: 3140XDRF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     260730 | PA      | $230392.50    | 0.00%             | 2040-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| LIFE FINANCIAL SERVICES TRUST 2022                                                 | LIFE FINANCIAL SERVICES TRUST 2022-BMR2 C TSFR1M+209.31 05/15/2039 144A                                 | CUSIP: 53218DAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     913000 | PA      | $821700.00    | 0.01%             | 2039-05-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| TOYOTA LEASE OWNER TRUST 2023-A                                                    | TOYOTA LEASE OWNER TRUST 2023-A 4.93% 04/20/2026 144A                                                   | CUSIP: 89239MAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      94459 | PA      | $94478.54     | 0.00%             | 2026-04-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CFMT 2023-HB12 LLC                                                                 | CFMT 2023-HB12 LLC 4.25% 04/25/2033 144A                                                                | CUSIP: 12530QAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     270487 | PA      | $267670.16    | 0.00%             | 2033-04-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                                 | FX Forward: USD/JPY settle 2025-07-08                                                                   | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |          1 | NC      | $4746.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NUMERICABLE US LLC                                                                 | NUMERICABLE / ALTICE FRANCE TERM B-13 1LN 08/14/2026                                                    | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |      74809 | PA      | $66602.91     | 0.00%             | 2026-08-14      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 11/40 #AE3874                                                                                | CUSIP: 31419EJU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6164 | PA      | $6060.68      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PERMIAN RESOURCES OPERATING LLC                                                    | PERMIAN RESOURCES OPERATING LLC 5.875% 07/01/2029 144A                                                  | CUSIP: 19416MAB5<br>LEI: 5493004CTVUMQLRPOE23 | Long             | DBT              | CORP              | US        |     210000 | PA      | $206850.00    | 0.00%             | 2029-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-C1                                        | CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-C1 A4 3.209% 05/10/2049                                        | CUSIP: 17290YAR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     400000 | PA      | $393470.72    | 0.01%             | 2049-05-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UKRAINE GOVERNMENT                                                                 | UKRAINE GOVERNMENT STEP 02/01/2035 144A                                                                 | CUSIP: 903724CF7<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |     304411 | PA      | $146878.31    | 0.00%             | 2035-02-01      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 05/01/2046#G60553                                                                        | CUSIP: 31335ATJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     366755 | PA      | $334916.08    | 0.00%             | 2046-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII 30YR 4.5% 07/20/2040#004737                                                                        | CUSIP: 36202FHN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        314 | PA      | $304.46       | 0.00%             | 2040-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX 2024-CNYN                                                                       | BX 2024-CNYN TSFR1M+194.12 04/15/2029 144A                                                              | CUSIP: 05612HAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     553062 | PA      | $553752.99    | 0.01%             | 2041-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CY873248 04/17/65 B                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     160000 | NC      | $27279.87     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA                                                           | COOPERATIEVE RABOBANK UA 1.125% 05/07/2031 REGS                                                         | CUSIP: N/A<br>LEI: DG3RU1DBUFHT4ZF9WN62       | Long             | DBT              | CORP              | NL        |     600000 | PA      | $607832.50    | 0.01%             | 2031-05-07      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| JPMORGAN SECURITIES LLC                                                            | MNGT SWAP CY885802 12/15/56 B                                                                           | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |     400000 | NC      | $52076.52     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII 30YR 4.5% 11/20/2040#004850                                                                        | CUSIP: 36202FL79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8185 | PA      | $7932.78      | 0.00%             | 2040-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.5% 01/01/2053#CB5494                                                                        | CUSIP: 3140QRC84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2577632 | PA      | $2676969.21   | 0.04%             | 2053-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| RETAINED VANTAGE DATA CTRS ISSUER LLC / VANTAGE DATA CTRS CDA QC4 LTD PARTNERSHIP  | RETAINED VANTAGE DATA CTRS ISSUER LLC / VANTAGE DATA CTRS CDA QC4 LTD PARTNERSHIP 6% 09/15/2049 144A    | CUSIP: 76134KAJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     105000 | PA      | $102399.71    | 0.00%             | 2049-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GENESIS ENERGY LP/ FIN CORP                                                        | GENESIS ENERGY LP/ FIN CORP 8% 05/15/2033                                                               | CUSIP: 37185LAR3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1115000 | PA      | $1131341.44   | 0.02%             | 2033-05-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA GTD MTG PASS THRU CTF SOFR30A+ 09/25/2054                                                          | CUSIP: 3136BUW22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    2195938 | PA      | $2189145.74   | 0.03%             | 2054-09-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                                                 | DOMINICAN REPUBLIC 7.05% 02/03/2031 144A                                                                | CUSIP: 25714PET1<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |     150000 | PA      | $155640.00    | 0.00%             | 2031-02-03      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 1.5% 03/01/2036#                                                                              | CUSIP: 31418DXG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18064 | PA      | $15932.30     | 0.00%             | 2036-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 02/01/2048#Q54334                                                                        | CUSIP: 3132XWY88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     116655 | PA      | $105433.77    | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                              | FX Forward: EUR/USD settle 2025-07-08                                                                   | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |          1 | NC      | $421.69       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GGAM FINANCE LTD                                                                   | GGAM FINANCE LTD 8% 02/15/2027 144A                                                                     | CUSIP: 36170JAC0<br>LEI: 254900X2QXEN0FVXRF65 | Long             | DBT              | CORP              | KY        |     325000 | PA      | $334420.45    | 0.00%             | 2027-02-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 8/33 #726928                                                                                 | CUSIP: 31402ESR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1141 | PA      | $1129.76      | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MINERAL RESOURCES LTD                                                              | MINERAL RESOURCES LTD 8.125% 05/01/2027 144A                                                            | CUSIP: 603051AA1<br>LEI: 5299007V1ACKFFX2P066 | Long             | DBT              | CORP              | AU        |     685000 | PA      | $685524.03    | 0.01%             | 2027-05-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| CANADIAN NATURAL RESOURCES LTD                                                     | CANADIAN NATL RESOURCES LTD 2.05% 07/15/2025                                                            | CUSIP: 136385AZ4<br>LEI: 549300T15RIMIKZC5Q38 | Long             | DBT              | CORP              | CA        |    5400000 | PA      | $5382207.54   | 0.08%             | 2025-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 12/01/2051#QD3434                                                                          | CUSIP: 3133B0Y72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     146710 | PA      | $115304.66    | 0.00%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SEALED AIR CORP                                                                    | SEALED AIR CORP 5% 04/15/2029 144A                                                                      | CUSIP: 81211KBA7<br>LEI: Q0M0CZB4YN6JZ65WXI09 | Long             | DBT              | CORP              | US        |    1850000 | PA      | $1816404.00   | 0.03%             | 2029-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GO DADDY OPERATING CO LLC / GD FINANCE CO INC                                      | GO DADDY OPERATING CO LLC / GD FINANCE CO INC 5.25% 12/01/2027 144A                                     | CUSIP: 38016LAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1120000 | PA      | $1113371.17   | 0.02%             | 2027-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 6/41 #G06596                                                                                 | CUSIP: 3128M8UV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     106403 | PA      | $107081.12    | 0.00%             | 2041-06-01      | Fixed         | 0.05%                 | 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        |    1074000 | PA      | $1069969.71   | 0.02%             | 2039-12-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 5.5% 06/01/2055 #TBA                                                                          | CUSIP: 01F052664<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   11600000 | PA      | $11487633.12  | 0.17%             | 2055-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 4135 AB 1.75% 06/15/2042                                                 | CUSIP: 3137AWAE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      32670 | PA      | $30377.40     | 0.00%             | 2042-06-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                      | CITIGROUP INC 6.27%/VAR 11/17/2033                                                                      | CUSIP: 172967PA3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2121860.48   | 0.03%             | 2033-11-17      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.0% 06/15/2043#AD2454                                                                        | CUSIP: 36180DWP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2911 | PA      | $2623.17      | 0.00%             | 2043-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CEC ENTERTAINMENT LLC                                                              | CEC ENTERTAINMENT LLC 6.75% 05/01/2026 144A                                                             | CUSIP: 125137AC3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     760000 | PA      | $747644.95    | 0.01%             | 2026-05-01      | Fixed         | 0.07%                 | 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        |    5153115 | PA      | $5174083.45   | 0.08%             | 2040-12-09      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 06/01/2031#J34571                                                                          | CUSIP: 31307RCG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4911 | PA      | $4770.28      | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| COMSTOCK RESOURCES INC                                                             | COMSTOCK RESOURCES INC 6.75% 03/01/2029 144A                                                            | CUSIP: 205768AS3<br>LEI: I03QQGEA4SS774AURI46 | Long             | DBT              | CORP              | US        |     625000 | PA      | $616016.31    | 0.01%             | 2029-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 04/01/2052#QE0547                                                                          | CUSIP: 3133B9TC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      26482 | PA      | $24716.53     | 0.00%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 12/28 #323424                                                                                | CUSIP: 31374TG94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         30 | PA      | $30.62        | 0.00%             | 2028-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 8/39 #698479                                                                                 | CUSIP: 36296Q6Q7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1366 | PA      | $1315.37      | 0.00%             | 2039-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| XPO INC                                                                            | XPO INC 7.125% 02/01/2032 144A                                                                          | CUSIP: 983793AK6<br>LEI: 54930096DB9LCLPN7H13 | Long             | DBT              | CORP              | US        |     150000 | PA      | $155691.45    | 0.00%             | 2032-02-01      | 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                  | Short            | ABS-MBS          | USGA              | US        |  -18700000 | PA      | $-19202553.15 | -0.28%            | 2055-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 11/01/2040#V82091                                                                        | CUSIP: 3132L7KC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14376 | PA      | $13154.89     | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 12/01/2040#A95413                                                                        | CUSIP: 312944AN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1772 | PA      | $1741.53      | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 10/01/2052#SD1772                                                                          | CUSIP: 3132DN6H1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     638728 | PA      | $592758.83    | 0.01%             | 2052-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COMM 2015-LC19 MTG TR                                                              | COMM 2015-LC19 C MTG TR CSTR 02/10/2048                                                                 | CUSIP: 200474BH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     355000 | PA      | $342196.39    | 0.00%             | 2048-02-10      | Variable      | 0.04%                 | No            |                  3 | 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        |   52350000 | PA      | $51941884.64  | 0.76%             | 2055-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 2.25% 08/15/2046                                                            | CUSIP: 912810RT7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      73000 | PA      | $46711.45     | 0.00%             | 2046-08-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 3.875% 08/15/2033                                                                             | CUSIP: 91282CHT1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     116000 | PA      | $112837.19    | 0.00%             | 2033-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FIESTA PURCHASER INC                                                               | FIESTA PURCHASER INC 9.625% 09/15/2032 144A                                                             | CUSIP: 31659AAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     175000 | PA      | $183071.53    | 0.00%             | 2032-09-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 8/33 #726949                                                                                 | CUSIP: 31402ETE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3865 | PA      | $3829.29      | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GOVERNMENT NAT MA 2016-H20 FM TSFR1M+51.448 12/20/2062                                                  | CUSIP: 38376RYJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |       1516 | PA      | $1508.05      | 0.00%             | 2062-12-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| DEXT ABS 2025-1 LLC                                                                | DEXT ABS 2025-1 LLC 4.59% 08/16/2027 144A                                                               | CUSIP: 252154AB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4015000 | PA      | $4008086.57   | 0.06%             | 2027-08-16      | Fixed         | 0.05%                 | 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        |     291000 | PA      | $270980.00    | 0.00%             | 2029-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 10/34 #AL2130                                                                                | CUSIP: 3138EJLL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4846 | PA      | $5040.11      | 0.00%             | 2034-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| IHS HOLDING LTD                                                                    | IHS HOLDING LTD 7.875% 05/29/2030 144A                                                                  | CUSIP: 44963HAC9<br>LEI: 213800CLGMKL63VKTD94 | Long             | DBT              | CORP              | KY        |     525000 | PA      | $517781.25    | 0.01%             | 2030-05-29      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2018-GS10                                                           | GS MTG SECS TR 2018-GS10 A5 4.155% 07/10/2051                                                           | CUSIP: 36250SAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     800000 | PA      | $771811.44    | 0.01%             | 2051-07-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WESTERN DIGITAL CORP                                                               | WESTERN DIGITAL CORP 2.85% 02/01/2029                                                                   | CUSIP: 958102AQ8<br>LEI: 549300QQXOOYEF89IC56 | Long             | DBT              | CORP              | US        |     419000 | PA      | $382923.05    | 0.01%             | 2029-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA BUYER/ATLANTI                                                           | CALIFORNIA BUYER/ATLANTI 6.375% 02/15/2032 144A                                                         | CUSIP: 13005HAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |     640000 | PA      | $632816.19    | 0.01%             | 2032-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| KRE COML MTG TR 2025-AIP4                                                          | KRE COML MTG TR 2025-AIP4 E TSFR1M+300 03/15/2030 144A                                                  | CUSIP: 50077KAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     276000 | PA      | $273647.79    | 0.00%             | 2042-03-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| WILLIAMS SCOTSMAN INC                                                              | WILLIAMS SCOTSMAN INC 6.625% 04/15/2030 144A                                                            | CUSIP: 96949VAN3<br>LEI: 549300DAKDS8SCO1OT57 | Long             | DBT              | CORP              | US        |     260000 | PA      | $266483.10    | 0.00%             | 2030-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 01/01/2051#MA4239                                                                          | CUSIP: 31418DV90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     400444 | PA      | $344390.10    | 0.01%             | 2051-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PARKLAND CORP                                                                      | PARKLAND CORP 4.625% 05/01/2030 144A                                                                    | CUSIP: 70137WAL2<br>LEI: 549300UY5C6HUV0XLS53 | Long             | DBT              | CORP              | CA        |     300000 | PA      | $281875.05    | 0.00%             | 2030-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SCHAEFFLER AG                                                                      | SCHAEFFLER AG 4.75% 08/14/2029 REGS                                                                     | CUSIP: N/A<br>LEI: 549300Q7E782X7GC1P43       | Long             | DBT              | CORP              | DE        |     300000 | PA      | $344027.72    | 0.01%             | 2029-08-14      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CSN ISLANDS XI CORP                                                                | CSN ISLANDS XI CORP 6.75% 01/28/2028 144A                                                               | CUSIP: 12642KAB0<br>LEI: 222100R8R68DM7VM3661 | Long             | DBT              | CORP              | KY        |     245000 | PA      | $231647.50    | 0.00%             | 2028-01-28      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                         | FANNIE MAE 2010-95 ZC 5% 09/25/2040                                                                     | CUSIP: 31398NFC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     147261 | PA      | $138848.27    | 0.00%             | 2040-09-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BBCMS MTG TR 2025-5C34                                                             | BBCMS MTG TR 2025-5C34 7.03353% 05/15/2058                                                              | CUSIP: 07337BAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     760000 | PA      | $790339.81    | 0.01%             | 2058-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| COMMERZBANK AG                                                                     | COMMERZBANK AG 4.875%/VAR 10/16/2034 REGS                                                               | CUSIP: N/A<br>LEI: 851WYGNLUQLFZBSYGB56       | Long             | DBT              | CORP              | DE        |     200000 | PA      | $236270.79    | 0.00%             | 2034-10-16      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 1/40 #A90893                                                                                 | CUSIP: 3129387E7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4860 | PA      | $4891.64      | 0.00%             | 2040-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 09/01/2035#FS0112                                                                          | CUSIP: 3140XFDS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     375142 | PA      | $363534.40    | 0.01%             | 2035-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| RWANDA REPUBLIC OF                                                                 | RWANDA REPUBLIC OF 5.5% 08/09/2031 144A                                                                 | CUSIP: 78347YAL7<br>LEI: 213800AKFASSQE52AZ88 | Long             | DBT              | NUSS              | RW        |     275000 | PA      | $231343.75    | 0.00%             | 2031-08-09      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SENSATA TECHNOLOGIES INC                                                           | SENSATA TECHNOLOGIES INC 3.75% 02/15/2031 144A                                                          | CUSIP: 81728UAB0<br>LEI: 5493002MMDDCUNV7NY90 | Long             | DBT              | CORP              | US        |     820000 | PA      | $728108.91    | 0.01%             | 2031-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ACADIA HEALTHCARE CO INC                                                           | ACADIA HEALTHCARE CO INC 7.375% 03/15/2033 144A                                                         | CUSIP: 00404AAQ2<br>LEI: 5493005CW985Y9D0NC11 | Long             | DBT              | CORP              | US        |     280000 | PA      | $285304.60    | 0.00%             | 2033-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 04/01/2043#Q17578                                                                        | CUSIP: 3132J82L3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10166 | PA      | $9412.94      | 0.00%             | 2043-04-01      | 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