# EDGAR Filing Document

**Accession Number:** 0001401097
**File Stem:** 0000035402-25-002218
**Filing Date:** 2025-11
**Character Count:** 2147318
**Document Hash:** 25f7229fc6cbf4ac427d99aaa942aea8
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000035402-25-002218.hdr.sgml**: 20251125

**ACCESSION NUMBER**: 0000035402-25-002218

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250930

**FILED AS OF DATE**: 20251125

**DATE AS OF CHANGE**: 20251125

**PERIOD START**: 20250930

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Fidelity Central Investment Portfolios II LLC
- **CENTRAL INDEX KEY:** 0001401097

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0930

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22083
- **FILM NUMBER:** 251519662

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

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

## Series and Classes Contracts Data

### Fidelity Investment Grade Bond Central Fund (Series ID: S000018830)

| Class ID   | Class Name                                  | Ticker Symbol   |
|:---|:---|:---|
| C000052072 | Fidelity Investment Grade Bond Central Fund |  |

## 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 Central Investment Portfolios II LLC

- **b. Investment Company Act file number:** 811-22083

- **c. CIK number of Registrant:** 0001401097

- **d. LEI of Registrant:** 0VPAEPVECBYQ0ULYZJ60

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

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

  - **City:** Boston

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02210

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

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

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

- **b. EDGAR series identifier (if any):** S000018830

- **c. LEI of Series:** FS2SIS7AHLZIR07EXE40

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

- **a. Date of fiscal year-end:** 2025-09-30

- **b. Date as of which information is reported:** 2025-09-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $49324025441.73

**Total Liabilities:** $7406569314.88

**Net Assets:** $41917456126.85

**Delayed Delivery Securities:** $4245490653.90

**Cash Not Reported:** $222089.60

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 469618.70506274 | **1-Year:** 2683933.26414402 | **5-Year:** 9480082.66091598 | **10-Year:** 9019377.48919043 | **30-Year:** 4714074.43443241

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

- **3-Month:** 12494.97981676 | **1-Year:** 53515.58041729 | **5-Year:** 33070.74844917 | **10-Year:** 1861.27823366 | **30-Year:** 5.58649349

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000052072 | -0.25%               | 1.22%                | 1.04%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-88638661.60            | $-165274201.98                             |
| Month 2  | $3931243.07              | $346654907.20                              |
| Month 3  | $4250376.34              | $282153881.78                              |

**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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 3145 GO 4/36                                                                                  | CUSIP: 31396NCS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      116127 | PA      | $97974.80      | 0.00%             | 2036-04-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 9/39 #AC4396                                                                           | CUSIP: 31417N3E9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5125 | PA      | $5142.17       | 0.00%             | 2039-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 01/01/2032#AS8602                                                                  | CUSIP: 3138WJRY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2099726 | PA      | $2026998.21    | 0.00%             | 2032-01-01      | Fixed         | 0.03%                 | 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        |      859860 | PA      | $768118.16     | 0.00%             | 2050-02-20      | Fixed         | 0.03%                 | 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        |      838457 | PA      | $781738.84     | 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        |       35417 | PA      | $31845.64      | 0.00%             | 2035-11-01      | Fixed         | 0.01%                 | 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        |     6889001 | PA      | $6908583.52    | 0.02%             | 2054-10-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 05/20/2046#AS9175                                                                    | CUSIP: 36193VFQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      222373 | PA      | $206317.82     | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 6/40 #745127                                                                           | CUSIP: 3620C0YY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       63730 | PA      | $63589.03      | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 12/41 #748314                                                                          | CUSIP: 3620C4K33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       10352 | PA      | $10021.91      | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 12/39 #711029                                                                          | CUSIP: 36297F4N9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       19153 | PA      | $19472.23      | 0.00%             | 2039-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 1/38 #889371                                                                           | CUSIP: 31410KCG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      366262 | PA      | $386042.29     | 0.00%             | 2038-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 4/33 #577996                                                                           | CUSIP: 36201BC95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3908 | PA      | $3959.23       | 0.00%             | 2033-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 12/01/2042#AR1289                                                                  | CUSIP: 3138NXNF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       15158 | PA      | $14107.88      | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | 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        |       51302 | PA      | $53663.72      | 0.00%             | 2035-06-01      | 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        |      502970 | PA      | $494871.90     | 0.00%             | 2042-08-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 8/33 #604578                                                                           | CUSIP: 36200MUB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        5900 | PA      | $6039.96       | 0.00%             | 2033-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 04/01/2032#J36710                                                                    | CUSIP: 31307TN31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       19126 | PA      | $18714.49      | 0.00%             | 2032-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 09/01/2040#AE4424                                                                  | CUSIP: 31419E4J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       13529 | PA      | $13765.71      | 0.00%             | 2040-09-01      | 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        |       75682 | PA      | $67651.16      | 0.00%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 06/01/2043#AT9786                                                                  | CUSIP: 3138WX2U0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       15322 | PA      | $14102.18      | 0.00%             | 2043-06-01      | Fixed         | 0.03%                 | 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        |    36536745 | PA      | $36570998.42   | 0.09%             | 2039-02-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 4% 03/20/2047#784299                                                                      | CUSIP: 3622A2X49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2019045 | PA      | $1942995.18    | 0.00%             | 2047-03-20      | Fixed         | 0.04%                 | 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        |         456 | PA      | $463.10        | 0.00%             | 2027-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.00% 11/39 #719736                                                                          | CUSIP: 3620A5SZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1505 | PA      | $1572.44       | 0.00%             | 2039-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 7/27 #347263                                                                           | CUSIP: 36203EWY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         957 | PA      | $973.11        | 0.00%             | 2027-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                    | CVS HEALTH CORP 5.45% 09/15/2035                                                                  | CUSIP: 126650EK2<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    20000000 | PA      | $20352046.60   | 0.05%             | 2035-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AQ5772                                                                  | CUSIP: 3138MMMW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       34594 | PA      | $31887.74      | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | 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        |        1168 | PA      | $1215.83       | 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        |      710253 | PA      | $656788.06     | 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        |      319791 | PA      | $312096.57     | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | 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        |    34414812 | PA      | $32434081.54   | 0.08%             | 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        |    24731000 | PA      | $24148369.54   | 0.06%             | 2027-08-10      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.0% 07/01/2041#Q01985                                                                  | CUSIP: 3132GFF28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       73302 | PA      | $74732.93      | 0.00%             | 2041-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.50% 8/36 #657024                                                                           | CUSIP: 36294Q4H1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3536 | PA      | $3701.32       | 0.00%             | 2036-08-15      | Fixed         | 0.07%                 | 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        |     1759470 | PA      | $1699176.58    | 0.00%             | 2031-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 6/28 #430194                                                                           | CUSIP: 31379U3B5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          14 | PA      | $14.17         | 0.00%             | 2028-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2006-15 OP 0% 3/36                                                                            | CUSIP: 31395BTU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      152207 | PA      | $131062.76     | 0.00%             | 2036-03-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                      | GOLDMAN SACHS GROUP INC (THE) 5.15% 05/22/2045                                                    | CUSIP: 38148LAF3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     9000000 | PA      | $8493367.32    | 0.02%             | 2045-05-22      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 11/27 #437435                                                                          | CUSIP: 36207N4U5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          78 | PA      | $79.63         | 0.00%             | 2027-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 05/01/2045#Q33578                                                                  | CUSIP: 3132QP6Q2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      152306 | PA      | $143287.58     | 0.00%             | 2045-05-01      | Fixed         | 0.04%                 | 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        |      200948 | PA      | $198556.83     | 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        |      213124 | PA      | $206822.94     | 0.00%             | 2041-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3.5% 05/01/2030#J31652                                                                  | CUSIP: 31307MZR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       27790 | PA      | $27542.91      | 0.00%             | 2030-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 04/20/2043#AD9075                                                                    | CUSIP: 36180NCL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      303982 | PA      | $286832.81     | 0.00%             | 2043-04-20      | 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        |      184151 | PA      | $170235.34     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 6/32 #644164                                                                           | CUSIP: 31390ETV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1732 | PA      | $1817.93       | 0.00%             | 2032-06-01      | Fixed         | 0.07%                 | 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        |    41000000 | PA      | $43030506.55   | 0.10%             | 2033-01-13      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BMP 2024-MF23                                                                      | BMP 2024-MF23 TSFR1M+174.142 06/15/2041 144A                                                      | CUSIP: 05593JAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    11045000 | PA      | $11069160.94   | 0.03%             | 2041-06-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 9/41 #773113                                                                           | CUSIP: 36176QVE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        5737 | PA      | $5584.84       | 0.00%             | 2041-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.5% 10/01/2055 #TBA                                                                      | CUSIP: 21H0426A2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     4375000 | PA      | $4242535.94    | 0.01%             | 2055-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 11/01/2041#FS1573                                                                  | CUSIP: 3140XGXB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4015050 | PA      | $3598361.62    | 0.01%             | 2041-11-01      | 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        |     6400000 | PA      | $6448081.92    | 0.02%             | 2031-10-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 5/37 #621244                                                                           | CUSIP: 36290YER5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         195 | PA      | $199.95        | 0.00%             | 2037-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                          | BOEING CO 7.008% 05/01/2064                                                                       | CUSIP: 097023DU6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    12768000 | PA      | $14780917.97   | 0.04%             | 2064-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3% 10/01/2055 #TBA                                                                        | CUSIP: 21H0306A7<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |   -60400000 | PA      | $-53948259.24  | -0.13%            | 2055-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 1/26 #420658                                                                           | CUSIP: 36206TJB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |           4 | PA      | $3.66          | 0.00%             | 2026-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/31 #549552                                                                           | CUSIP: 36213BQD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         300 | PA      | $309.27        | 0.00%             | 2031-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA VAR 04/25/2033                                                     | CUSIP: 3136BQCX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1500000 | PA      | $1510230.90    | 0.00%             | 2033-04-25      | Variable      | 0.05%                 | 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        |      260854 | PA      | $253105.70     | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FLATIRON CLO 32 LTD                                                                | FLATIRON CLO 32 LTD 32A A1 TSFR3M+129 10/22/2038 144A                                             | CUSIP: 33882RAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    28157000 | PA      | $28278750.87   | 0.07%             | 2038-10-22      | Variable      | 0.06%                 | 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        |      136260 | PA      | $131127.32     | 0.00%             | 2047-03-20      | Fixed         | 0.04%                 | 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        |       12032 | PA      | $12377.43      | 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        |    13318182 | PA      | $12627290.40   | 0.03%             | 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        |     1137316 | PA      | $1032986.92    | 0.00%             | 2046-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA VAR 03/25/2033                                                     | CUSIP: 3136BQSN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2000000 | PA      | $2013979.20    | 0.00%             | 2033-03-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 10/39 #726394                                                                          | CUSIP: 3620AC7F5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       16141 | PA      | $16112.67      | 0.00%             | 2039-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/28 #462816                                                                           | CUSIP: 36208WDV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         233 | PA      | $236.45        | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BLACKBIRD AIRCRAFT SECURITIZATION 2016-1A AA                                       | BLACKBIRD AIRCRAF 2016-1A A STEP 12/16/2041 144A                                                  | CUSIP: 09228YAB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     8099493 | PA      | $8102084.60    | 0.02%             | 2041-12-16      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 3/28 #420501                                                                           | CUSIP: 31379JDE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1391 | PA      | $1413.76       | 0.00%             | 2028-03-01      | Fixed         | 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        |     3309586 | PA      | $3219487.73    | 0.01%             | 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        |     8397000 | PA      | $9145297.82    | 0.02%             | 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        |      628840 | PA      | $613988.27     | 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        |     5495045 | PA      | $5099289.16    | 0.01%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 05/01/2043#Q18136                                                                  | CUSIP: 3132J9PW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       12953 | PA      | $12599.65      | 0.00%             | 2043-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 2.5% 11/01/2055 #TBA                                                                    | CUSIP: 01F0226B6<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |    -9650000 | PA      | $-8131256.95   | -0.02%            | 2055-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/28 #474003                                                                           | CUSIP: 36209KRY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         103 | PA      | $104.50        | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | 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        |       55838 | PA      | $54473.81      | 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        |       14430 | PA      | $15054.66      | 0.00%             | 2041-09-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 5/34 #574784                                                                           | CUSIP: 36200WRD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         481 | PA      | $492.60        | 0.00%             | 2034-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 8/40 #A93451                                                                           | CUSIP: 312941ZQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       20909 | PA      | $20967.87      | 0.00%             | 2040-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 7/28 #406815                                                                           | CUSIP: 31378R3Y3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2705 | PA      | $2828.33       | 0.00%             | 2028-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 10/31 #566254                                                                          | CUSIP: 36213WBX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          29 | PA      | $30.18         | 0.00%             | 2031-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/29 #489711                                                                           | CUSIP: 36210EAL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         600 | PA      | $612.79        | 0.00%             | 2029-01-15      | Fixed         | 0.07%                 | 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        |    25540000 | PA      | $25388161.38   | 0.06%             | 2027-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 11/01/2051#RA6333                                                                    | CUSIP: 3133KNBA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      686603 | PA      | $556727.03     | 0.00%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 2.5% 10/01/2055 #TBA                                                                    | CUSIP: 01F0226A8<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -368195000 | PA      | $-310175531.47 | -0.74%            | 2055-10-01      | Fixed         | 0.03%                 | 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        |     6755609 | PA      | $6411371.41    | 0.02%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 2/30 #532153                                                                           | CUSIP: 31384SE21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          61 | PA      | $63.41         | 0.00%             | 2030-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 1/41 #AH4987                                                                           | CUSIP: 3138A6RH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       46570 | PA      | $45486.05      | 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        |     1085954 | PA      | $1051998.63    | 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        |     3062652 | PA      | $2982897.15    | 0.01%             | 2040-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 4.87% 1/35 #735833                                                                       | CUSIP: 31402RPS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3521 | PA      | $3615.69       | 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        |       60917 | PA      | $64333.50      | 0.00%             | 2038-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ARI FLEET LEASE TRUST 2025-A                                                       | ARI FLEET LEASE TRUST 2025-A 4.38% 01/17/2034 144A                                                | CUSIP: 04033CAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     8630000 | PA      | $8660618.38    | 0.02%             | 2034-01-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 11/52#MA4805                                                                       | CUSIP: 31418EKT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    10575487 | PA      | $10304206.67   | 0.02%             | 2052-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 05/01/2049#BN7890                                                                  | CUSIP: 3140JQXU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      364143 | PA      | $375850.73     | 0.00%             | 2049-05-01      | Fixed         | 0.06%                 | 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        |       19814 | PA      | $20723.86      | 0.00%             | 2035-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 12/01/2031#ZS8632                                                                  | CUSIP: 3132A9SV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       35289 | PA      | $34066.13      | 0.00%             | 2031-12-01      | Fixed         | 0.03%                 | 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        |       88133 | PA      | $83660.78      | 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        |      925176 | PA      | $914743.41     | 0.00%             | 2048-12-01      | Fixed         | 0.04%                 | 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        |      993970 | PA      | $916171.44     | 0.00%             | 2051-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FLATIRON CLO 20 LTD / FLATIRON CLO 20 LLC                                          | FLATIRON CLO 20 LTD / LLC 20-1A A1R2 TSFR3M+124 11/20/2038 144A                                   | CUSIP: 33883MAU8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    55130000 | PA      | $55130000.00   | 0.13%             | 2038-11-20      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 12/25 #412531                                                                          | CUSIP: 36206JHG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |           5 | PA      | $4.86          | 0.00%             | 2025-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| JACKSON FINANCIAL INC                                                              | JACKSON FINANCIAL INC 5.17% 06/08/2027                                                            | CUSIP: 46817MAR8<br>LEI: 213800WXW2KG1N4CO374 | Long             | DBT              | CORP              | US        |    14655000 | PA      | $14834005.84   | 0.04%             | 2027-06-08      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 12/01/2044#AS3935                                                                  | CUSIP: 3138WDLR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       20326 | PA      | $19181.31      | 0.00%             | 2044-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 06/20/2046#AR9310                                                                    | CUSIP: 36193GKX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       49627 | PA      | $46043.93      | 0.00%             | 2046-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 9/39 #713866                                                                           | CUSIP: 36297KCB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3773 | PA      | $3835.22       | 0.00%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 01/01/2033#BH9235                                                                    | CUSIP: 3140GYHM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      109349 | PA      | $106417.90     | 0.00%             | 2033-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.0% 04/15/2043#AE1960                                                                  | CUSIP: 36180UE96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        5177 | PA      | $4809.22       | 0.00%             | 2043-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 5/41 #AI1967                                                                           | CUSIP: 3138AFFH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      111378 | PA      | $111534.93     | 0.00%             | 2041-05-01      | Fixed         | 0.04%                 | 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        |     4773870 | PA      | $4328010.94    | 0.01%             | 2046-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| OCP CLO 2020-8R LTD                                                                | OCP CLO 2020-8R LTD AR2 TSFR3M+122 10/17/2038 144A                                                | CUSIP: 670898AW5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    27412000 | PA      | $27412000.00   | 0.07%             | 2038-10-17      | Variable      | 0.00%                 | 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        |      632793 | PA      | $606833.14     | 0.00%             | 2048-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.4% 08/01/2042#AP5087                                                                  | CUSIP: 3138M8UM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      171309 | PA      | $161167.73     | 0.00%             | 2042-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 7/39 #AA9611                                                                           | CUSIP: 31416TVD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1054 | PA      | $1031.63       | 0.00%             | 2039-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 07/15/2042#AB1380                                                                  | CUSIP: 36178LQ97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       94970 | PA      | $91744.32      | 0.00%             | 2042-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 4/41 #738240                                                                           | CUSIP: 3620ASEM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       12365 | PA      | $12576.69      | 0.00%             | 2041-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                              | BOAM SWAP REC 3.565 09/15/26                                                                      | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    15730000 | NC      | $336605.17     | 0.00%             |  |  |  | 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        |      163951 | PA      | $154608.89     | 0.00%             | 2042-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 11/01/2040#                                                                        | CUSIP: 312943UM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        6344 | PA      | $6362.14       | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 11/27 #462363                                                                          | CUSIP: 36208VTU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          49 | PA      | $49.68         | 0.00%             | 2027-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 2.375% 03/31/2029                                                                       | CUSIP: 91282CEE7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   504000000 | PA      | $482934372.48  | 1.15%             | 2029-03-31      | 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 SOFR30A+648.552 02/15/2036                                         | CUSIP: 31396HLM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       53088 | PA      | $4858.93       | 0.00%             | 2036-02-15      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 09/42#AQ3065                                                                       | CUSIP: 3138MJMP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      107547 | PA      | $102353.07     | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 3/41 #AH4121                                                                           | CUSIP: 3138A5SK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       23335 | PA      | $22800.09      | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UBER TECHNOLOGIES INC                                                              | UBER TECHNOLOGIES INC 4.15% 01/15/2031                                                            | CUSIP: 90353TAT7<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |    20008000 | PA      | $19825270.94   | 0.05%             | 2031-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.5% 07/01/2055#FA2138                                                                  | CUSIP: 3140W2LU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4577648 | PA      | $4820181.18    | 0.01%             | 2055-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 2/30 #535336                                                                           | CUSIP: 31384VV58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          45 | PA      | $46.86         | 0.00%             | 2030-02-01      | Fixed         | 0.07%                 | 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        |      148744 | PA      | $137326.08     | 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        |      446258 | PA      | $412122.46     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 2/40 #724597                                                                           | CUSIP: 3620AA7J1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1060 | PA      | $1057.86       | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | 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        |       36781 | PA      | $5257.36       | 0.00%             | 2034-05-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 3/26 #339167                                                                           | CUSIP: 31375MW41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |           1 | PA      | $1.20          | 0.00%             | 2026-03-01      | Fixed         | 0.07%                 | 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        |      371200 | PA      | $302261.23     | 0.00%             | 2051-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 6/41 #757631                                                                           | CUSIP: 36230SPQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       28191 | PA      | $27296.10      | 0.00%             | 2041-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 10/41 #773499                                                                          | CUSIP: 36176RDC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       47519 | PA      | $46107.23      | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/28 #458926                                                                           | CUSIP: 36208RYX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         600 | PA      | $611.14        | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | 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        |      299276 | PA      | $282923.01     | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PRPM 2023-RCF2 LLC                                                                 | PRPM 2023-RCF2 LLC A1 VAR 11/25/2053 144A                                                         | CUSIP: 69380RAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     6238950 | PA      | $6161798.21    | 0.01%             | 2053-11-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 5/37 #917965                                                                           | CUSIP: 31411XZ65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9137 | PA      | $9612.05       | 0.00%             | 2037-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 07/01/2043#AU1978                                                                  | CUSIP: 3138X1FU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       17856 | PA      | $16553.42      | 0.00%             | 2043-07-01      | 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 2.5% 11/25/2047                                                    | CUSIP: 3137H5J57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     1922325 | PA      | $1743138.42    | 0.00%             | 2047-11-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3.5% 11/01/2033#G16677                                                                  | CUSIP: 3128MFUA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     5067038 | PA      | $4964322.32    | 0.01%             | 2033-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 6/36 #745640                                                                           | CUSIP: 31403DLV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      164299 | PA      | $172487.72     | 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        |    30000000 | PA      | $31171820.70   | 0.07%             | 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        |     6300000 | PA      | $5367201.78    | 0.01%             | 2032-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 2/41 #752909                                                                           | CUSIP: 36230MGS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       23913 | PA      | $23832.24      | 0.00%             | 2041-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 7/40 #745236                                                                           | CUSIP: 3620C04V7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      106482 | PA      | $106262.11     | 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        |       66200 | PA      | $66393.62      | 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        |      505631 | PA      | $527355.47     | 0.00%             | 2040-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 10/01/2045#Q36623                                                                  | CUSIP: 3132QTLD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       12138 | PA      | $11087.59      | 0.00%             | 2045-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 08/42#Q10245                                                                       | CUSIP: 3132HLHW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      193472 | PA      | $183837.97     | 0.00%             | 2042-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                                | PETROLEOS MEXICANOS 6.75% 09/21/2047                                                              | CUSIP: 71654QCC4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   102130000 | PA      | $84502362.00   | 0.20%             | 2047-09-21      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 1/41 #AH2978                                                                           | CUSIP: 3138A4JY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       13768 | PA      | $13489.85      | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                     | MORGAN STANLEY 4.431%/VAR 01/23/2030                                                              | CUSIP: 6174468G7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    54318000 | PA      | $54578027.87   | 0.13%             | 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        |    78613647 | PA      | $67509823.10   | 0.16%             | 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        |      113081 | PA      | $113385.40     | 0.00%             | 2062-01-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                                | PETROLEOS MEXICANOS 5.35% 02/12/2028                                                              | CUSIP: 71654QCK6<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |     3500000 | PA      | $3479000.00    | 0.01%             | 2028-02-12      | Fixed         | 0.05%                 | 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        |     1305701 | PA      | $1274338.17    | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CLEVELAND ELECTRIC ILLUM CO                                                        | CLEVELAND ELECTRIC ILLUM CO 5.95% 12/15/2036                                                      | CUSIP: 186108CE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1128000 | PA      | $1199888.82    | 0.00%             | 2036-12-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 07/01/2043#V80169                                                                  | CUSIP: 3132L5FJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      786362 | PA      | $726285.60     | 0.00%             | 2043-07-01      | Fixed         | 0.03%                 | 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        |       12787 | PA      | $13317.16      | 0.00%             | 2032-02-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 7/40 #741215                                                                           | CUSIP: 3620AVN81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       15458 | PA      | $15422.95      | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | 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        |       70448 | PA      | $64958.37      | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 10/29 #485115                                                                          | CUSIP: 31382K3Y2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6674 | PA      | $6977.09       | 0.00%             | 2029-10-01      | Fixed         | 0.07%                 | 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        |      300191 | PA      | $292909.24     | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 10/29 #507061                                                                          | CUSIP: 31383MJE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       10169 | PA      | $10511.02      | 0.00%             | 2029-10-01      | Fixed         | 0.07%                 | 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              | JE        |    27814000 | PA      | $27942389.42   | 0.07%             | 2038-01-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 06/15/2042#799330                                                                    | CUSIP: 36177ULL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       35300 | PA      | $34116.25      | 0.00%             | 2042-06-15      | Fixed         | 0.04%                 | 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        |      184690 | PA      | $184676.76     | 0.00%             | 2061-02-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 06/01/2030#ZS8569                                                                  | CUSIP: 3132A9QW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       26963 | PA      | $26222.86      | 0.00%             | 2030-06-01      | Fixed         | 0.03%                 | 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              | KY        |    22234000 | PA      | $22260903.14   | 0.05%             | 2035-01-15      | Variable      | 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        |      817720 | PA      | $804993.42     | 0.00%             | 2032-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 4/34 #605189                                                                           | CUSIP: 36200NKA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         354 | PA      | $361.90        | 0.00%             | 2034-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 10/40 #751249                                                                          | CUSIP: 36230KL66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        9498 | PA      | $9231.63       | 0.00%             | 2040-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2018-C46                                                   | WELLS FARGO COML MTG TR 2018-C46 XA CSTR 08/15/2051                                               | CUSIP: 95001QAV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    38935474 | PA      | $674576.55     | 0.00%             | 2051-08-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 2/41 #A96783                                                                           | CUSIP: 312945RC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      141627 | PA      | $142017.74     | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK 2020-BNK25                                                                    | BANK 20-BNK25 XB CSTR 01/15/2063                                                                  | CUSIP: 06539WBD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    31293000 | PA      | $556436.48     | 0.00%             | 2063-01-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GOVERNMENT NAT MTG AS REMIC PT 3% 02/20/2044                                                      | CUSIP: 38378Y2R9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     1792996 | PA      | $1672733.20    | 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        |       15723 | PA      | $16234.97      | 0.00%             | 2037-03-01      | Variable      | 0.06%                 | 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        |     3757456 | PA      | $3378610.57    | 0.01%             | 2036-02-01      | Fixed         | 0.01%                 | 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        |       14655 | PA      | $14963.71      | 0.00%             | 2029-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 8/28 #457796                                                                           | CUSIP: 36208QRR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         571 | PA      | $583.74        | 0.00%             | 2028-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2303 ZV 6% 4/31                                                                               | CUSIP: 3133TSTH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       10425 | PA      | $10709.05      | 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        |      176604 | PA      | $179512.63     | 0.00%             | 2039-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 10/01/2051#RA5998                                                                    | CUSIP: 3133KMUX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    14033668 | PA      | $12487571.74   | 0.03%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GNR 2004-32 GS 650-1ML 5/34                                                                       | CUSIP: 38374GZM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |       53823 | PA      | $3097.05       | 0.00%             | 2034-05-16      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.00% 6/29 #C28186                                                                           | CUSIP: 31293SCX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         257 | PA      | $262.38        | 0.00%             | 2029-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 09/01/2043#AT7263                                                                  | CUSIP: 3138WVB91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       43325 | PA      | $39917.64      | 0.00%             | 2043-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2010-H27 FA TSFR1M+38 12/60                                                                   | CUSIP: 38375BJK9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      202407 | PA      | $202073.96     | 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        |       67074 | PA      | $65547.02      | 0.00%             | 2042-12-01      | 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        |     6309898 | PA      | $5659819.71    | 0.01%             | 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        |      443724 | PA      | $444100.24     | 0.00%             | 2061-09-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 6/39 #720055                                                                           | CUSIP: 3620A55Q8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        8299 | PA      | $8286.35       | 0.00%             | 2039-06-15      | Fixed         | 0.04%                 | 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        |     5249330 | PA      | $5373013.64    | 0.01%             | 2039-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 11/39 #710497                                                                          | CUSIP: 36297FKJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       34614 | PA      | $33739.16      | 0.00%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SIXTH STREET CLO XIX LTD                                                           | SIXTH STREET CLO XIX LTD A1R TSFR3M+128 07/17/2038 144A                                           | CUSIP: 83012KAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    18120000 | PA      | $18166042.92   | 0.04%             | 2038-07-17      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 04/01/2051#CB0436                                                                    | CUSIP: 3140QKPW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     9010603 | PA      | $7325895.41    | 0.02%             | 2051-04-01      | Fixed         | 0.02%                 | 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        |     2203875 | PA      | $2208007.39    | 0.01%             | 2040-12-09      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 03/01/2052#FS1174                                                                  | CUSIP: 3140XGJU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1273296 | PA      | $1164084.62    | 0.00%             | 2052-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| J P MORGAN CHASE COML MTG SECS TR 2018-WPT                                         | J P MORGAN CHASE COML MTG SECS TR 2018-WPT DFX 5.3503% 07/05/2033 144A                            | CUSIP: 46645WBE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5907000 | PA      | $3189780.00    | 0.01%             | 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        |       87065 | PA      | $78286.92      | 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        |      104598 | PA      | $107003.67     | 0.00%             | 2029-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                            | MPLX LP 4.8% 02/15/2029                                                                           | CUSIP: 55336VAS9<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |     5370000 | PA      | $5444724.03    | 0.01%             | 2029-02-15      | Fixed         | 0.05%                 | 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        |      840939 | PA      | $778337.39     | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.00% 2/42 #Q06088                                                                           | CUSIP: 3132GRCZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      198420 | PA      | $194061.37     | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 9/28 #323317                                                                           | CUSIP: 31374TDW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         779 | PA      | $814.21        | 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        |    47424000 | PA      | $49411118.71   | 0.12%             | 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        |      595189 | PA      | $83710.53      | 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        |    13105736 | PA      | $11185724.58   | 0.03%             | 2051-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 10/01/2047#BJ0275                                                                  | CUSIP: 3140H1JV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       10739 | PA      | $10628.41      | 0.00%             | 2047-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 06/01/2043#AT3658                                                                  | CUSIP: 3138WRB41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       21139 | PA      | $19365.94      | 0.00%             | 2043-06-01      | 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        |      335641 | PA      | $320799.23     | 0.00%             | 2046-07-15      | Fixed         | 0.04%                 | 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        |      940234 | PA      | $937756.09     | 0.00%             | 2041-06-15      | Fixed         | 0.04%                 | 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        |       20300 | PA      | $21324.87      | 0.00%             | 2031-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 11/29 #523195                                                                          | CUSIP: 31384GGC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          60 | PA      | $61.79         | 0.00%             | 2029-11-01      | Fixed         | 0.07%                 | 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        |       36881 | PA      | $36819.99      | 0.00%             | 2039-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 4/40 #723745                                                                           | CUSIP: 3620AABN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       41396 | PA      | $41275.40      | 0.00%             | 2040-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 07/01/2043#Q20360                                                                  | CUSIP: 3132JMMH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       23589 | PA      | $22922.05      | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 2019-82 PI 4% 06/25/2049                                           | CUSIP: 3136B7X97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     5231394 | PA      | $868343.90     | 0.00%             | 2049-06-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2024-RPL4                                      | GS MORTGAGE-BACKED SECURITIES TRUST 2024-RPL4 STEP 09/25/2061 144A                                | CUSIP: 362948AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1072272 | PA      | $1055004.53    | 0.00%             | 2061-09-25      | Variable      | 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        |      150034 | PA      | $146303.44     | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 8/27 #449451                                                                           | CUSIP: 36208FH45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          11 | PA      | $11.23         | 0.00%             | 2027-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 01/01/2041#AE9268                                                                  | CUSIP: 31419LJN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       23796 | PA      | $23231.95      | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                        | ORACLE CORP 5.875% 09/26/2045                                                                     | CUSIP: 68389XDP7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    14137000 | PA      | $14175381.81   | 0.03%             | 2045-09-26      | 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        |    10965708 | PA      | $10691657.64   | 0.03%             | 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        |    19688000 | PA      | $19863913.07   | 0.05%             | 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        |     2148799 | PA      | $2055273.35    | 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        |     7294000 | PA      | $6845646.79    | 0.02%             | 2052-08-15      | Fixed         | 0.05%                 | 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        |      736730 | PA      | $712818.79     | 0.00%             | 2042-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 1/28 #420260                                                                           | CUSIP: 31379HZZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          30 | PA      | $30.32         | 0.00%             | 2028-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 01/15/2043#AC9441                                                                    | CUSIP: 36179KP24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       96416 | PA      | $93240.48      | 0.00%             | 2043-01-15      | Fixed         | 0.04%                 | 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        |      450000 | NC      | $70909.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 08/15/43#AF5070                                                                    | CUSIP: 36181LT32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       10557 | PA      | $10211.29      | 0.00%             | 2043-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 10/27 #458395                                                                          | CUSIP: 36208RGC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         520 | PA      | $529.89        | 0.00%             | 2027-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 10/27 #449183                                                                          | CUSIP: 36208E6U2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          42 | PA      | $42.86         | 0.00%             | 2027-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 9/39 #723333                                                                           | CUSIP: 3620A9SW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       20119 | PA      | $20087.05      | 0.00%             | 2039-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 04/01/2048#BK3836                                                                    | CUSIP: 3140HHHN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      610381 | PA      | $585531.23     | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 05/45#AY7636                                                                       | CUSIP: 3138YMPW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       54915 | PA      | $50854.48      | 0.00%             | 2045-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2010-135 ZA 4.5% 12/40                                                                        | CUSIP: 31398SE82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      216676 | PA      | $208712.61     | 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        |      118439 | PA      | $118789.11     | 0.00%             | 2044-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 08/01/2041#AI7563                                                                  | CUSIP: 3138AMMM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       14105 | PA      | $14124.53      | 0.00%             | 2041-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 03/01/2051#RA4919                                                                    | CUSIP: 3133KLPC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       36109 | PA      | $32096.73      | 0.00%             | 2051-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                       | BROADCOM INC 1.95% 02/15/2028 144A                                                                | CUSIP: 11135FBE0<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     7184000 | PA      | $6844288.25    | 0.02%             | 2028-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/28 #464955                                                                           | CUSIP: 36208YQG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         151 | PA      | $153.17        | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 05/01/2045#Q33442                                                                  | CUSIP: 3132QPZG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       99505 | PA      | $90772.97      | 0.00%             | 2045-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                          | ONEOK INC 4.75% 10/15/2031                                                                        | CUSIP: 682680CD3<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    20697000 | PA      | $20703624.28   | 0.05%             | 2031-10-15      | Fixed         | 0.05%                 | 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        |    27858134 | PA      | $22893271.63   | 0.05%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 04/01/2041#AH9677                                                                  | CUSIP: 3138ABXF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       32688 | PA      | $33308.40      | 0.00%             | 2041-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 06/01/2055#CC0577                                                                    | CUSIP: 3140Y6UB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5344321 | PA      | $5558623.39    | 0.01%             | 2055-06-01      | Fixed         | 0.06%                 | 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        |     1645000 | PA      | $1785773.08    | 0.00%             | 2040-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 7/31 #596248                                                                           | CUSIP: 31387WL54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         472 | PA      | $496.23        | 0.00%             | 2031-07-01      | 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        |      667839 | PA      | $615314.67     | 0.00%             | 2043-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 8.00% 3/37 #922475                                                                           | CUSIP: 31412D2G2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        8032 | PA      | $8655.80       | 0.00%             | 2037-03-01      | Fixed         | 0.08%                 | 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        |     1430952 | PA      | $1418394.59    | 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        |      147452 | PA      | $136988.54     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 5/35 #812274                                                                           | CUSIP: 31406KMX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1821 | PA      | $1911.06       | 0.00%             | 2035-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.50% 4/30 #479294                                                                           | CUSIP: 36209RNK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         789 | PA      | $810.96        | 0.00%             | 2030-04-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 11/29 #520975                                                                          | CUSIP: 31384DXC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         178 | PA      | $185.96        | 0.00%             | 2029-11-01      | Fixed         | 0.07%                 | 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        |      562967 | PA      | $520291.05     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 08/44#AW6267                                                                       | CUSIP: 3138XV6D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       68920 | PA      | $70245.23      | 0.00%             | 2044-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.50% 10/34 #605529                                                                          | CUSIP: 36200NVW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3670 | PA      | $3803.91       | 0.00%             | 2034-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.50% 10/34 #605731                                                                          | CUSIP: 36200N4Q1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         268 | PA      | $277.89        | 0.00%             | 2034-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH BANK AUSTRALIA                                                        | COMMONWEALTH BANK AUSTRALIA 3.784% 03/14/2032 144A                                                | CUSIP: 202712BS3<br>LEI: MSFSBD3QN1GSN7Q6C537 | Long             | DBT              | CORP              | AU        |    10165000 | PA      | $9620627.15    | 0.02%             | 2032-03-14      | Fixed         | 0.04%                 | 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        |      205502 | PA      | $199342.35     | 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        |     9005000 | PA      | $8929569.08    | 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        |       23167 | PA      | $23977.46      | 0.00%             | 2036-04-01      | Variable      | 0.07%                 | 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        |    17722000 | PA      | $17354741.32   | 0.04%             | 2034-07-24      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 08/01/2049#FS4660                                                                  | CUSIP: 3140XLFA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    10354374 | PA      | $9637768.07    | 0.02%             | 2049-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                       | COMCAST CORP 3.75% 04/01/2040                                                                     | CUSIP: 20030NDH1<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     2448000 | PA      | $2058544.94    | 0.00%             | 2040-04-01      | Fixed         | 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        |     5125734 | PA      | $5150437.68    | 0.01%             | 2028-01-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 06/15/2043#AE4597                                                                  | CUSIP: 36180XDA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       32855 | PA      | $31196.91      | 0.00%             | 2043-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 01/01/2041#                                                                          | CUSIP: 312946FC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       68058 | PA      | $66725.58      | 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        |      471576 | PA      | $462833.18     | 0.00%             | 2040-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HYUNDAI AUTO LEASE SECURITIZATION TRUST 2024-B                                     | HYUNDAI AUTO LEASE SECURITIZATION TRUST 2024-B 5.41% 05/17/2027 144A                              | CUSIP: 44934FAD7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     7900000 | PA      | $7956373.61    | 0.02%             | 2027-05-17      | Fixed         | 0.05%                 | 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        |       12870 | PA      | $13222.72      | 0.00%             | 2036-06-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 11/31 #556007                                                                          | CUSIP: 36213JU86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1859 | PA      | $1921.88       | 0.00%             | 2031-11-15      | Fixed         | 0.07%                 | 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        |        7699 | PA      | $7641.24       | 0.00%             | 2039-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 09/01/2043#Q21524                                                                  | CUSIP: 3132JNVR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       22462 | PA      | $21932.42      | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 3/39 #782604                                                                           | CUSIP: 36241K3M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        5869 | PA      | $6040.07       | 0.00%             | 2039-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ACHV ABS TRUST 2024-3AL                                                            | ACHV ABS TRUST 2024-3AL 5.01% 12/26/2031 144A                                                     | CUSIP: 00092KAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2379245 | PA      | $2400898.26    | 0.01%             | 2031-12-26      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 8/29 #511255                                                                           | CUSIP: 31383R5Q1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         352 | PA      | $360.11        | 0.00%             | 2029-08-01      | 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        |     7113000 | PA      | $7057354.65    | 0.02%             | 2027-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 01/01/2044#Q24349                                                                  | CUSIP: 3132M4QA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       83173 | PA      | $80869.98      | 0.00%             | 2044-01-01      | Fixed         | 0.04%                 | 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        |      110565 | PA      | $103672.77     | 0.00%             | 2047-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 10/42 #AP6486                                                                          | CUSIP: 3138MAF45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       24442 | PA      | $23153.54      | 0.00%             | 2042-10-01      | 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        |     8774149 | PA      | $7788988.71    | 0.02%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AR2880                                                                  | CUSIP: 3138W0FW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       43873 | PA      | $40756.75      | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | 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        |     5537668 | PA      | $5536874.78    | 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        |     4329820 | PA      | $3854493.02    | 0.01%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 6/32 #644809                                                                           | CUSIP: 31390FKW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3648 | PA      | $3814.47       | 0.00%             | 2032-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 7/40 #719237                                                                           | CUSIP: 3620A5BE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       12473 | PA      | $12682.55      | 0.00%             | 2040-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 1.5% 03/01/2051#QC0031                                                                  | CUSIP: 3133AJA86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      181298 | PA      | $141126.08     | 0.00%             | 2051-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/28 #389127                                                                           | CUSIP: 36205FHC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         387 | PA      | $393.23        | 0.00%             | 2028-05-15      | Fixed         | 0.07%                 | 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        |    38098000 | PA      | $38219532.62   | 0.09%             | 2037-07-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 10/01/2052#SD8257                                                                  | CUSIP: 3132DWE66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     4993359 | PA      | $4865270.56    | 0.01%             | 2052-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/31 #781324                                                                           | CUSIP: 36225BPH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4448 | PA      | $4577.15       | 0.00%             | 2031-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 04/01/2039#930922                                                                  | CUSIP: 31412PG70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         688 | PA      | $689.80        | 0.00%             | 2039-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 7/27 #250990                                                                           | CUSIP: 31371FXT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          50 | PA      | $50.68         | 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        |      193803 | PA      | $191678.02     | 0.00%             | 2047-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 06/01/2051#CB0850                                                                    | CUSIP: 3140QK5L8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    12453778 | PA      | $11070063.78   | 0.03%             | 2051-06-01      | Fixed         | 0.03%                 | 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        |     9894009 | PA      | $8856542.84    | 0.02%             | 2050-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 5/42 #AO0693                                                                           | CUSIP: 3138LQXX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       96604 | PA      | $91455.02      | 0.00%             | 2042-05-01      | Fixed         | 0.04%                 | 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        |     2494727 | PA      | $2533487.37    | 0.01%             | 2044-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 03/01/2042#G07492                                                                  | CUSIP: 3128M9UR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        5537 | PA      | $5553.50       | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 03/01/2043#Q16049                                                                  | CUSIP: 3132J7EX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       62612 | PA      | $61180.26      | 0.00%             | 2043-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 04/01/2046#AS7000                                                                    | CUSIP: 3138WGX66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1142788 | PA      | $1042242.31    | 0.00%             | 2046-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 1/41 #737901                                                                           | CUSIP: 3620ARX63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       74364 | PA      | $70543.06      | 0.00%             | 2041-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.00% 4/42 #Q07441                                                                           | CUSIP: 3132GSS67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       61476 | PA      | $60094.49      | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | 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        |      191167 | PA      | $177039.29     | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/28 #449219                                                                           | CUSIP: 36208FAU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          81 | PA      | $81.54         | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 10/29 #323968                                                                          | CUSIP: 31374TZ93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         199 | PA      | $207.77        | 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        |     2253771 | PA      | $2261195.70    | 0.01%             | 2052-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.0% 03/01/2045#AL6554                                                                       | CUSIP: 3138EPH80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      873917 | PA      | $846395.50     | 0.00%             | 2045-03-01      | Fixed         | 0.04%                 | 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        |    27555000 | PA      | $27558058.61   | 0.07%             | 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        |      363284 | PA      | $11009.15      | 0.00%             | 2034-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.50% 9/35 #638082                                                                           | CUSIP: 36291T2P2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         320 | PA      | $328.58        | 0.00%             | 2035-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 10/01/2046#BC4760                                                                  | CUSIP: 3140F0JE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      245457 | PA      | $229542.82     | 0.00%             | 2046-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 9/31 #254058                                                                           | CUSIP: 31371KE72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         111 | PA      | $115.61        | 0.00%             | 2031-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 4% 08/01/2038#K94341                                                                    | CUSIP: 3132LQWA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      236280 | PA      | $232989.51     | 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        |     4065528 | PA      | $4147958.16    | 0.01%             | 2053-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 01/01/2048#BJ7280                                                                  | CUSIP: 3140H9CS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       43293 | PA      | $42831.50      | 0.00%             | 2048-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 02/01/2046#BM5199                                                                  | CUSIP: 3140J9X55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      939415 | PA      | $940772.66     | 0.00%             | 2046-02-01      | Fixed         | 0.04%                 | 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        |        6061 | PA      | $6345.34       | 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        |     9892616 | PA      | $8999282.26    | 0.02%             | 2047-11-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 6.5% 11/01/2055 #TBA                                                                    | CUSIP: 01F0626B2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    30075000 | PA      | $31099429.69   | 0.07%             | 2055-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.5% 07/01/2054#FS8627                                                                  | CUSIP: 3140XQSR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3429169 | PA      | $3589956.78    | 0.01%             | 2054-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 12/01/2042#AQ8934                                                                  | CUSIP: 3138MQ4U4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       21228 | PA      | $19640.59      | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | 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        |     5874143 | PA      | $5870471.97    | 0.01%             | 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        |    18931000 | PA      | $19541202.92   | 0.05%             | 2030-11-15      | Variable      | 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        |     8066096 | PA      | $7220301.50    | 0.02%             | 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        |    21787000 | PA      | $21847437.14   | 0.05%             | 2037-10-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 04/43#AB9891                                                                         | CUSIP: 36178W7C7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      118184 | PA      | $111567.18     | 0.00%             | 2043-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 08/15/2043#AD8363                                                                  | CUSIP: 36180MJG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       19319 | PA      | $18143.26      | 0.00%             | 2043-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/32 #533981                                                                           | CUSIP: 36212HFW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          50 | PA      | $51.45         | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 08/01/2043#AU1687                                                                    | CUSIP: 3138X02V9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       29238 | PA      | $28397.17      | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VERISK ANALYTICS INC                                                               | VERISK ANALYTICS INC 4.5% 08/15/2030                                                              | CUSIP: 92345YAM8<br>LEI: 549300I1YSWNIRKBWP67 | Long             | DBT              | CORP              | US        |     9982000 | PA      | $10011967.06   | 0.02%             | 2030-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/32 #565952                                                                           | CUSIP: 36213VWM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1107 | PA      | $1140.25       | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | 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        |      173469 | PA      | $160350.04     | 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        |       83487 | PA      | $84849.14      | 0.00%             | 2037-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 05/01/2043#AT3345                                                                  | CUSIP: 3138WQWF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       15514 | PA      | $14237.79      | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/28 #481133                                                                           | CUSIP: 36209TPS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         349 | PA      | $350.25        | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| HALLIBURTON CO                                                                     | HALLIBURTON CO 4.85% 11/15/2035                                                                   | CUSIP: 406216BJ9<br>LEI: ENYF8GB5SMQZ25S06U51 | Long             | DBT              | CORP              | US        |     7402000 | PA      | $7290108.48    | 0.02%             | 2035-11-15      | Fixed         | 0.05%                 | 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        |     1277097 | PA      | $1250130.01    | 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        |     1864397 | PA      | $1634991.73    | 0.00%             | 2040-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 9/27 #396096                                                                           | CUSIP: 31378D7H7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         715 | PA      | $732.19        | 0.00%             | 2027-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 11/39 #723418                                                                          | CUSIP: 3620A9VK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4390 | PA      | $4381.83       | 0.00%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 12/36 #901643                                                                          | CUSIP: 31410YWC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1563 | PA      | $1662.14       | 0.00%             | 2036-12-01      | Fixed         | 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        |    31100000 | PA      | $31246642.72   | 0.07%             | 2028-05-15      | Fixed         | 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        |    25035000 | PA      | $24941118.75   | 0.06%             | 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        |    15661000 | PA      | $16014670.64   | 0.04%             | 2029-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 03/15/2042#796180                                                                    | CUSIP: 36177Q2N2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       52427 | PA      | $50716.37      | 0.00%             | 2042-03-15      | Fixed         | 0.04%                 | 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        |    62959764 | PA      | $63077763.11   | 0.15%             | 2040-04-15      | Variable      | 0.06%                 | 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        |       47337 | PA      | $63487.39      | 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        |     9004142 | PA      | $9160087.64    | 0.02%             | 2054-12-20      | 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        |    14200000 | NC      | $-185196.40    | -0.00%            |  |  |  | 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        |    28775000 | PA      | $28902732.23   | 0.07%             | 2037-10-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.5% 10/01/2055 #TBA                                                                      | CUSIP: 21H0426A2<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |    -4375000 | PA      | $-4242535.94   | -0.01%            | 2055-10-01      | Fixed         | 0.04%                 | 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        |   193384000 | PA      | $159881732.33  | 0.38%             | 2053-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 12/28 #781176                                                                          | CUSIP: 36225BJV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          42 | PA      | $42.92         | 0.00%             | 2028-12-15      | Fixed         | 0.07%                 | 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        |        3638 | PA      | $3640.61       | 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        |       46770 | PA      | $48247.78      | 0.00%             | 2032-05-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 08/15/2042#798467                                                                  | CUSIP: 36177TMR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       93000 | PA      | $89895.77      | 0.00%             | 2042-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 3/34 #607116                                                                           | CUSIP: 36201YN93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         386 | PA      | $394.56        | 0.00%             | 2034-03-15      | 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        |        1582 | PA      | $1589.92       | 0.00%             | 2026-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 3/41 #783261                                                                           | CUSIP: 36241LTS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      810811 | PA      | $809015.57     | 0.00%             | 2041-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 8/29 #511366                                                                           | CUSIP: 31383SCB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         179 | PA      | $184.54        | 0.00%             | 2029-08-01      | Fixed         | 0.07%                 | 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        |      356172 | PA      | $348949.81     | 0.00%             | 2033-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 12/40 #AE8075                                                                          | CUSIP: 31419J6M5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1462 | PA      | $1429.12       | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 1/40 #732376                                                                           | CUSIP: 3620AKT97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1736 | PA      | $1758.69       | 0.00%             | 2040-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 07/01/2041#AH5464                                                                  | CUSIP: 3138A7CA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       16200 | PA      | $16211.57      | 0.00%             | 2041-07-01      | Fixed         | 0.04%                 | 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        |    48130000 | NC      | $1521413.37    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TRAPEZA CDO XII LTD / TRAPEZA CDO XII INC                                          | TRAP 2007-12A B TSFR3M+82.161 4/42                                                                | CUSIP: 89413GAG3<br>LEI: 5493000R4ICCD2N68609 | Long             | ABS-CBDO         | CORP              | KY        |     3641000 | PA      | $2867189.20    | 0.01%             | 2042-04-06      | Variable      | 0.05%                 | 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        |     7083000 | PA      | $6981857.38    | 0.02%             | 2028-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 0.0% 05/01/2041#1B8124                                                                   | CUSIP: 3128UGMY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       26652 | PA      | $27834.91      | 0.00%             | 2041-05-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 10/28 #563100                                                                          | CUSIP: 31386GRV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          69 | PA      | $71.66         | 0.00%             | 2028-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 7/39 #AA9055                                                                           | CUSIP: 31416TBZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2574 | PA      | $2579.26       | 0.00%             | 2039-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3% 01/20/2050#BR8999                                                                      | CUSIP: 3617M77L6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       75203 | PA      | $67203.03      | 0.00%             | 2050-01-20      | Fixed         | 0.03%                 | 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        |     6730000 | PA      | $6800169.13    | 0.02%             | 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        |      191318 | PA      | $197101.94     | 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        |       39666 | PA      | $40331.26      | 0.00%             | 2039-12-15      | Fixed         | 0.05%                 | 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        |     1138219 | PA      | $1076486.81    | 0.00%             | 2043-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 04/01/2043#AB8925                                                                  | CUSIP: 31417F4K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9840 | PA      | $9083.59       | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 4/41 #783307                                                                           | CUSIP: 36241LU87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       90928 | PA      | $88263.32      | 0.00%             | 2041-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 9/40 #737442                                                                           | CUSIP: 3620ARHT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       14276 | PA      | $13873.32      | 0.00%             | 2040-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 06/39#G05497                                                                       | CUSIP: 3128M7NN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        9720 | PA      | $9751.63       | 0.00%             | 2039-06-01      | Fixed         | 0.04%                 | 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        |     2829511 | PA      | $2760411.47    | 0.01%             | 2032-01-20      | Fixed         | 0.03%                 | 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        |       41591 | PA      | $3857.06       | 0.00%             | 2037-05-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 01/15/2042#794559                                                                    | CUSIP: 36177PB53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       26076 | PA      | $25256.95      | 0.00%             | 2042-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 12/40 #MA0583                                                                          | CUSIP: 31417YUH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3282 | PA      | $3207.75       | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/28 #464694                                                                           | CUSIP: 36208YGB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          49 | PA      | $50.03         | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 01/01/2041#AB2091                                                                    | CUSIP: 31416XKD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      368793 | PA      | $360026.37     | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 05/01/2043#AB9239                                                                  | CUSIP: 31417GHR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       70624 | PA      | $65162.38      | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 12/01/2042#AR0532                                                                  | CUSIP: 3138NWSW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       24393 | PA      | $22561.11      | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 7/31 #253907                                                                           | CUSIP: 31371KAG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         177 | PA      | $186.39        | 0.00%             | 2031-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.00% 8/27 #780618                                                                           | CUSIP: 36225AVK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          51 | PA      | $51.54         | 0.00%             | 2027-08-15      | Fixed         | 0.08%                 | 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        |       59760 | PA      | $60770.83      | 0.00%             | 2040-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 4/41 #AI0729                                                                           | CUSIP: 3138ADY33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5414 | PA      | $5419.58       | 0.00%             | 2041-04-01      | Fixed         | 0.04%                 | 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        |     7933156 | PA      | $8211541.23    | 0.02%             | 2054-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 6/29 #501931                                                                           | CUSIP: 36210TSU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          14 | PA      | $13.67         | 0.00%             | 2029-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.0% 02/01/2041#A96961                                                                  | CUSIP: 312945WW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       48873 | PA      | $49883.55      | 0.00%             | 2041-02-01      | Fixed         | 0.05%                 | 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        |      206424 | PA      | $201107.34     | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/28 #469082                                                                           | CUSIP: 36209ECT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          96 | PA      | $97.66         | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 03/15/2042#773367                                                                  | CUSIP: 36176Q6C3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       23596 | PA      | $22862.21      | 0.00%             | 2042-03-15      | 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        |     7761000 | PA      | $7985429.96    | 0.02%             | 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        |    13300000 | PA      | $13133425.48   | 0.03%             | 2027-11-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 11/01/2049#SD7509                                                                    | CUSIP: 3132DVKW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     8871311 | PA      | $7971577.84    | 0.02%             | 2049-11-01      | 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        |    10781758 | PA      | $9699501.06    | 0.02%             | 2047-11-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 3.5% 05/01/2038#ZA2505                                                                  | CUSIP: 31329KYA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      514577 | PA      | $498260.93     | 0.00%             | 2038-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 3/26 #303780                                                                           | CUSIP: 31373UM53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |           3 | PA      | $2.90          | 0.00%             | 2026-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 1/36 #850408                                                                           | CUSIP: 31408FYD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         526 | PA      | $555.02        | 0.00%             | 2036-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 01/01/2034#752919                                                                  | CUSIP: 31403MPC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4017 | PA      | $4030.24       | 0.00%             | 2034-01-01      | Fixed         | 0.04%                 | 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        |        1693 | PA      | $1770.22       | 0.00%             | 2029-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2% 03/01/2041#MA4287                                                                    | CUSIP: 31418DXR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       16057 | PA      | $14012.25      | 0.00%             | 2041-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 2% 10/01/2055 #TBA                                                                      | CUSIP: 01F0206A2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  1096150000 | PA      | $883428390.63  | 2.11%             | 2055-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 11/28 #527248                                                                          | CUSIP: 31384LWH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         187 | PA      | $195.24        | 0.00%             | 2028-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 2.5% 06/25/2049                                                    | CUSIP: 3136BKND0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    10382218 | PA      | $9181875.00    | 0.02%             | 2049-06-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 11/27 #401093                                                                          | CUSIP: 31378KRN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         602 | PA      | $615.99        | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 09/45#AS5764                                                                       | CUSIP: 3138WFMN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      828269 | PA      | $778265.60     | 0.00%             | 2045-09-01      | Fixed         | 0.04%                 | 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        |     2068653 | PA      | $1997772.42    | 0.00%             | 2036-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 3.5% 01/43 #Q16224                                                                           | CUSIP: 3132J7LE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       17947 | PA      | $16953.24      | 0.00%             | 2043-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 1/41 #AB2068                                                                           | CUSIP: 31416XJN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       17862 | PA      | $17054.29      | 0.00%             | 2041-01-01      | Fixed         | 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        |     3364000 | PA      | $3347344.50    | 0.01%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 9/39 #719574                                                                           | CUSIP: 3620A5MX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       12433 | PA      | $12639.27      | 0.00%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 7.5% 10/01/2030#                                                                        | CUSIP: 31298B7F2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          81 | PA      | $85.96         | 0.00%             | 2030-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 12/31 #622219                                                                          | CUSIP: 31389DG43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1626 | PA      | $1700.19       | 0.00%             | 2031-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/32 #553437                                                                           | CUSIP: 36213FZA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         606 | PA      | $625.34        | 0.00%             | 2032-07-15      | Fixed         | 0.07%                 | 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        |     3551213 | PA      | $3505039.82    | 0.01%             | 2043-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 10/27 #401788                                                                          | CUSIP: 31378LJ94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          77 | PA      | $78.68         | 0.00%             | 2027-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2020-GC45                                                           | GS MTG SECS TR 2020-GC45 2.8428% 02/13/2053                                                       | CUSIP: 36258YBH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4094584 | PA      | $3975922.59    | 0.01%             | 2053-02-13      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 12/31 #570131                                                                          | CUSIP: 36200RLL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1480 | PA      | $1531.51       | 0.00%             | 2031-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 7/27 #250989                                                                           | CUSIP: 31371FXS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |           7 | PA      | $6.86          | 0.00%             | 2027-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 8% 12/01/2026#                                                                          | CUSIP: 31335GQF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          59 | PA      | $59.27         | 0.00%             | 2026-12-01      | Fixed         | 0.08%                 | 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        |     4261186 | PA      | $3922334.10    | 0.01%             | 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        |        3780 | PA      | $3976.84       | 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        |    15279000 | PA      | $15579272.08   | 0.04%             | 2029-01-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 5/40 #733155                                                                           | CUSIP: 3620ALQG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       16224 | PA      | $16496.11      | 0.00%             | 2040-05-15      | 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        |     2161743 | PA      | $1911061.36    | 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        |     4502000 | PA      | $4261596.40    | 0.01%             | 2031-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 8/31 #556226                                                                           | CUSIP: 36213J4K8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1554 | PA      | $1606.49       | 0.00%             | 2031-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/28 #473582                                                                           | CUSIP: 36209KCT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         308 | PA      | $312.96        | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 09/20/2052#MA8266                                                                    | CUSIP: 36179XFF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    26152341 | PA      | $23939334.98   | 0.06%             | 2052-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.5% 3/43 #AL3429                                                                            | CUSIP: 3138EKY33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1764977 | PA      | $1767293.92    | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 11/33 #616068                                                                          | CUSIP: 36290SMR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         269 | PA      | $274.41        | 0.00%             | 2033-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/31 #544721                                                                           | CUSIP: 36212VD22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         309 | PA      | $318.85        | 0.00%             | 2031-03-15      | Fixed         | 0.07%                 | 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        |       36893 | PA      | $36238.78      | 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        |     1002053 | PA      | $952217.93     | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                                 | VICI PROPERTIES LP 5.125% 05/15/2032                                                              | CUSIP: 925650AD5<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |    10549000 | PA      | $10652828.74   | 0.03%             | 2032-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| RMF BUYOUT ISSUANCE TRUST 2020-2                                                   | RMF BUYOUT ISSUANCE TRUST 2020-2 1.7188% 10/25/2050 144A                                          | CUSIP: 76971EAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3002642 | PA      | $2825046.47    | 0.01%             | 2050-10-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 09/01/2047#BJ0197                                                                    | CUSIP: 3140H1GF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       29179 | PA      | $28200.47      | 0.00%             | 2047-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 11/27 #417739                                                                          | CUSIP: 31379FBG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         267 | PA      | $268.72        | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                                              | TIME WARNER CABLE LLC 5.5% 09/01/2041                                                             | CUSIP: 88732JBB3<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |     8397000 | PA      | $7695362.55    | 0.02%             | 2041-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.50% 5/41 #005055                                                                        | CUSIP: 36202FTL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     4863187 | PA      | $4853506.09    | 0.01%             | 2041-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 01/01/2034#J40154                                                                    | CUSIP: 31307YE30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      143302 | PA      | $139218.18     | 0.00%             | 2034-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 12/40 #AE3713                                                                          | CUSIP: 31419EDT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9079 | PA      | $9093.52       | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | 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        |    15742000 | PA      | $15584580.00   | 0.04%             | 2034-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 6.5% 10/01/2055 #TBA                                                                    | CUSIP: 01F0626A4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    65575000 | PA      | $67765100.08   | 0.16%             | 2055-10-01      | Fixed         | 0.07%                 | 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        |       80968 | PA      | $72441.71      | 0.00%             | 2042-05-01      | 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        |       18906 | PA      | $19733.60      | 0.00%             | 2038-04-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| TEACHERS INS and ANNUITY ASSN AMER                                                 | TEACHERS INS and ANNUITY ASSN AMER 4.9% 09/15/2044 144A                                           | CUSIP: 878091BD8<br>LEI: O06XD7BJ4EPXNABVFN69 | Long             | DBT              | CORP              | US        |    29277000 | PA      | $27052724.13   | 0.06%             | 2044-09-15      | Fixed         | 0.05%                 | 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        |     4919166 | PA      | $4692975.50    | 0.01%             | 2047-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 10/41 #779843                                                                          | CUSIP: 36176YEQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       63534 | PA      | $61586.52      | 0.00%             | 2041-10-15      | 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        |    28623000 | PA      | $28563492.78   | 0.07%             | 2035-07-24      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 11/41 #772088                                                                          | CUSIP: 36176PRH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      108333 | PA      | $102236.07     | 0.00%             | 2041-11-15      | Fixed         | 0.04%                 | 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        |      212300 | PA      | $207173.12     | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 04/01/2049#BN5400                                                                  | CUSIP: 3140JNAA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      365353 | PA      | $377099.18     | 0.00%             | 2049-04-01      | Fixed         | 0.06%                 | 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              | JE        |    10259000 | PA      | $10299287.09   | 0.02%             | 2037-10-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 4% 11/15/2052                                                         | CUSIP: 912810TL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   129398000 | PA      | $114512175.71  | 0.27%             | 2052-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.50% 8/34 #605311                                                                           | CUSIP: 36200NN49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       21360 | PA      | $22220.50      | 0.00%             | 2034-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 2.5% 12/20/2052#MA8485                                                                    | CUSIP: 36179XNA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       19470 | PA      | $16830.62      | 0.00%             | 2052-12-20      | Fixed         | 0.03%                 | 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        |       60378 | PA      | $60512.80      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.50% 1/31 #435013                                                                           | CUSIP: 36207LGW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2757 | PA      | $2866.63       | 0.00%             | 2031-01-15      | Fixed         | 0.09%                 | 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        |    42235000 | PA      | $42354806.34   | 0.10%             | 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        |       25688 | PA      | $26816.40      | 0.00%             | 2041-06-01      | Variable      | 0.07%                 | 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        |     4577101 | PA      | $4485515.24    | 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        |     7918000 | PA      | $7772909.93    | 0.02%             | 2026-06-01      | Fixed         | 0.02%                 | 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        |    11774933 | PA      | $11124749.77   | 0.03%             | 2037-01-01      | 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        |    30816000 | PA      | $34526213.43   | 0.08%             | 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        |      334140 | PA      | $334449.50     | 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        |     4889859 | PA      | $4241379.93    | 0.01%             | 2041-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/01/2038#AV3539                                                                    | CUSIP: 3138XE4Z8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      251335 | PA      | $245914.83     | 0.00%             | 2038-11-01      | Fixed         | 0.04%                 | 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        |    13846000 | PA      | $13476181.37   | 0.03%             | 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        |    15300000 | PA      | $15376500.00   | 0.04%             | 2040-06-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| TOLEDO HOSPITAL/THE                                                                | TOLEDO HOSPITAL/THE 5.325% 11/15/2028                                                             | CUSIP: 889184AC1<br>LEI: 5493009DCR7NWV6K4T34 | Long             | DBT              | CORP              | US        |     9969000 | PA      | $10239386.20   | 0.02%             | 2028-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 10/27 #397256                                                                          | CUSIP: 31378FH99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         341 | PA      | $349.28        | 0.00%             | 2027-10-01      | Fixed         | 0.07%                 | 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        |     5500628 | PA      | $5698851.53    | 0.01%             | 2055-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 9/41 #773473                                                                           | CUSIP: 36176RCJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       47336 | PA      | $45949.21      | 0.00%             | 2041-09-15      | Fixed         | 0.04%                 | 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        |     2000000 | NC      | $250487.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/31 #474760                                                                           | CUSIP: 36209LMH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1977 | PA      | $2032.99       | 0.00%             | 2031-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                          | BOEING CO 3.55% 03/01/2038                                                                        | CUSIP: 097023BY0<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     3337000 | PA      | $2758058.76    | 0.01%             | 2038-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 02/01/2033#688077                                                                  | CUSIP: 31400HM26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       14861 | PA      | $14904.26      | 0.00%             | 2033-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 05/20/2046#AS6967                                                                    | CUSIP: 36193SW47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      110095 | PA      | $102146.25     | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | 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        |     2178047 | PA      | $2017531.59    | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| 3M CO                                                                              | 3M CO 3.05% 04/15/2030                                                                            | CUSIP: 88579YBN0<br>LEI: LUZQVYP4VS22CLWDAR65 | Long             | DBT              | CORP              | US        |     1519000 | PA      | $1447447.16    | 0.00%             | 2030-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 12/33 #A16699                                                                          | CUSIP: 31296RNQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       19210 | PA      | $19540.81      | 0.00%             | 2033-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 4.5% 07/25/2027                                                    | CUSIP: 3136A7HT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |         818 | PA      | $6.13          | 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        |      279942 | PA      | $256160.04     | 0.00%             | 2046-11-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 01/33#J38270                                                                       | CUSIP: 31307VFK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       51258 | PA      | $49292.12      | 0.00%             | 2033-01-01      | 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        |    16885135 | PA      | $15115853.02   | 0.04%             | 2048-10-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/28 #466901                                                                           | CUSIP: 36209BU22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         211 | PA      | $213.50        | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | 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        |      132434 | PA      | $132812.06     | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 05/01/2043#MB0249                                                                  | CUSIP: 3138MTH34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       34928 | PA      | $32255.91      | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 06/01/2042#AO6386                                                                  | CUSIP: 3138LXCY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       18623 | PA      | $17671.60      | 0.00%             | 2042-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 01/01/2046#G60393                                                                  | CUSIP: 31335ANJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      144410 | PA      | $135580.57     | 0.00%             | 2046-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 9/35 #830810                                                                           | CUSIP: 31407HAK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1249 | PA      | $1307.47       | 0.00%             | 2035-09-01      | 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        |       20000 | NC      | $3151.53       | 0.00%             |  |  |  | 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        |     8753636 | PA      | $7833695.40    | 0.02%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 3.5% 10/01/2034#C91793                                                                  | CUSIP: 3128P77E7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2545748 | PA      | $2487996.70    | 0.01%             | 2034-10-01      | Fixed         | 0.04%                 | 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        |      239184 | PA      | $225951.53     | 0.00%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 1/28 #406641                                                                           | CUSIP: 31378RWA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          37 | PA      | $36.88         | 0.00%             | 2028-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 3.75% 08/31/2031                                                                        | CUSIP: 91282CLJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   660000000 | PA      | $657009375.00  | 1.57%             | 2031-08-31      | Fixed         | 0.04%                 | 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        |      280434 | PA      | $259487.78     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 9/41 #AI9692                                                                           | CUSIP: 3138APXW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       28137 | PA      | $27400.76      | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNCL 2011-39 ZA 6% 11/32                                                                          | CUSIP: 31397SVY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      177052 | PA      | $182898.24     | 0.00%             | 2032-11-25      | Fixed         | 0.06%                 | 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        |    17482866 | PA      | $14323371.07   | 0.03%             | 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        |    14327000 | PA      | $15268522.16   | 0.04%             | 2034-06-01      | Fixed         | 0.07%                 | 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        |       57564 | PA      | $57674.92      | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 2.972%/VAR 02/04/2033                                                 | CUSIP: 06051GKK4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    17500000 | PA      | $15936140.68   | 0.04%             | 2033-02-04      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 9/27 #450596                                                                           | CUSIP: 36208GRR1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          15 | PA      | $14.69         | 0.00%             | 2027-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BINOM SECURITIZATION TRUST 2021                                                    | BINOM SECURITIZATION TRUST 2022-RPL1 A1 2.9359% 02/25/2061 144A                                   | CUSIP: 05552CAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    12435030 | PA      | $11641657.94   | 0.03%             | 2061-02-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 8/35 #830991                                                                           | CUSIP: 31407HF84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1348 | PA      | $1431.72       | 0.00%             | 2035-08-01      | Fixed         | 0.07%                 | 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        |      148143 | PA      | $143895.70     | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 08/01/2049#BJ8459                                                                    | CUSIP: 3140HAMH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      264767 | PA      | $233446.48     | 0.00%             | 2049-08-01      | Fixed         | 0.03%                 | 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        |     3992100 | PA      | $3957169.13    | 0.01%             | 2038-03-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 03/01/2050#SD0517                                                                    | CUSIP: 3132DMSE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     7966071 | PA      | $7095912.93    | 0.02%             | 2050-03-01      | Fixed         | 0.03%                 | 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        |      379837 | PA      | $386202.51     | 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        |    13330757 | PA      | $12734338.91   | 0.03%             | 2040-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MCDONALDS CORP                                                                     | MCDONALDS CORP 4.2% 04/01/2050                                                                    | CUSIP: 58013MFR0<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |     4263000 | PA      | $3504840.84    | 0.01%             | 2050-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 3.5% 08/01/2037#MA3128                                                                  | CUSIP: 31418CPN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        8023 | PA      | $7781.34       | 0.00%             | 2037-09-01      | Fixed         | 0.04%                 | 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        |      829284 | PA      | $744418.38     | 0.00%             | 2041-11-01      | Fixed         | 0.03%                 | 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        |     4651082 | PA      | $4631220.73    | 0.01%             | 2034-08-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 8/29 #491644                                                                           | CUSIP: 36210GER1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          63 | PA      | $65.30         | 0.00%             | 2029-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 1/42 #AK1411                                                                           | CUSIP: 3138E5R91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5997 | PA      | $5950.27       | 0.00%             | 2042-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| J P MORGAN CHASE COML MTG SECS TR 2019-BROOK                                       | J P MORGAN CHASE COML MTG SECS TR 2019-BROOK TSFR1M+136.448 09/15/2029 144A                       | CUSIP: 46591JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5526232 | PA      | $5388076.39    | 0.01%             | 2029-09-15      | Variable      | 0.06%                 | 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        |      795939 | PA      | $798151.89     | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/28 #443711                                                                           | CUSIP: 36207V3U8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         275 | PA      | $279.41        | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/28 #464920                                                                           | CUSIP: 36208YPD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         636 | PA      | $645.10        | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | 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        |    13135588 | PA      | $11811191.09   | 0.03%             | 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        |     2840542 | PA      | $2541794.23    | 0.01%             | 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        |      368379 | PA      | $367759.87     | 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        |       17056 | PA      | $17109.59      | 0.00%             | 2033-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 11/25 #396837                                                                          | CUSIP: 36205PZA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          19 | PA      | $18.68         | 0.00%             | 2025-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 03/01/2029#                                                                          | CUSIP: 31293LSS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          73 | PA      | $74.80         | 0.00%             | 2029-03-01      | 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 3.6% 01/25/2028                                                    | CUSIP: 3137F4D41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    31100000 | PA      | $30882212.92   | 0.07%             | 2028-01-25      | Fixed         | 0.04%                 | 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        |     7697069 | PA      | $7694663.67    | 0.02%             | 2036-02-15      | Floating      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 2/41 #AH3127                                                                           | CUSIP: 3138A4PM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1235 | PA      | $1237.61       | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | 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        |       41788 | PA      | $42479.97      | 0.00%             | 2039-10-15      | Fixed         | 0.05%                 | 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        |      114456 | PA      | $105866.43     | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.00% 12/40 #C03633                                                                          | CUSIP: 31292LBA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       13932 | PA      | $13640.00      | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | 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        |     2078222 | PA      | $1845366.20    | 0.00%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 12/15/2041#792596                                                                    | CUSIP: 36177L3E2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       11109 | PA      | $10768.21      | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 02/15/2041#750185                                                                  | CUSIP: 3620C6NA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       28905 | PA      | $28005.34      | 0.00%             | 2041-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 11/01/2031#ZK8400                                                                  | CUSIP: 3131XCKM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      274451 | PA      | $265040.73     | 0.00%             | 2031-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/31 #550866                                                                           | CUSIP: 36213C6B1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          67 | PA      | $69.32         | 0.00%             | 2031-09-15      | Fixed         | 0.07%                 | 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        |     7347821 | PA      | $7354709.92    | 0.02%             | 2041-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 02/01/2041#AH0064                                                                  | CUSIP: 3138A1CA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       15572 | PA      | $15594.39      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 07/01/2041#AC9301                                                                  | CUSIP: 31417WKP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       20243 | PA      | $20627.51      | 0.00%             | 2041-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 02/01/2031#CA3178                                                                    | CUSIP: 3140QAQ86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       64185 | PA      | $63160.23      | 0.00%             | 2031-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 12/01/2043#AV9123                                                                  | CUSIP: 3138XMD56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       11907 | PA      | $11894.35      | 0.00%             | 2043-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 11/42 #AQ0206                                                                          | CUSIP: 3138MFGQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       84956 | PA      | $80485.52      | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 12/39 #A90393                                                                          | CUSIP: 312938NJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        3864 | PA      | $3942.75       | 0.00%             | 2039-12-01      | Fixed         | 0.05%                 | 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        |        6126 | PA      | $6350.95       | 0.00%             | 2032-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.00% 4/42 #Q07351                                                                           | CUSIP: 3132GSQC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       33865 | PA      | $33183.69      | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.00% 12/40 #A95796                                                                          | CUSIP: 312944NM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       70726 | PA      | $69235.48      | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | 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        |     4270413 | PA      | $3931638.69    | 0.01%             | 2043-07-01      | Fixed         | 0.03%                 | 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        |    28786000 | PA      | $28858972.51   | 0.07%             | 2038-07-18      | Variable      | 0.06%                 | 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        |    80251000 | PA      | $82762933.34   | 0.20%             | 2031-04-23      | Variable      | 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        |    17745000 | PA      | $18066432.40   | 0.04%             | 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        |    23518000 | PA      | $21262210.35   | 0.05%             | 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        |    18732000 | PA      | $16783725.14   | 0.04%             | 2031-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.0% 07/01/2041#Q02345                                                                  | CUSIP: 3132GFTA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       28593 | PA      | $29111.31      | 0.00%             | 2041-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 11/01/2049#QA4865                                                                    | CUSIP: 31346YMN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      257851 | PA      | $229684.96     | 0.00%             | 2049-11-01      | Fixed         | 0.03%                 | 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        |        1862 | PA      | $1903.59       | 0.00%             | 2034-07-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| SANTANDER HLDGS USA INC                                                            | SANTANDER HLDGS USA INC 6.499%/VAR 03/09/2029                                                     | CUSIP: 80282KBF2<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |    35670000 | PA      | $37216351.57   | 0.09%             | 2029-03-09      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 05/01/2051#CB0506                                                                  | CUSIP: 3140QKR42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    14380030 | PA      | $12362396.86   | 0.03%             | 2051-05-01      | Fixed         | 0.03%                 | 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        |      118115 | PA      | $10127.18      | 0.00%             | 2036-11-25      | Variable      | 0.02%                 | 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        |     1431503 | PA      | $1400969.28    | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/32 #569233                                                                           | CUSIP: 36200QLN2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          25 | PA      | $25.47         | 0.00%             | 2032-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 01/01/2044#AV4489                                                                  | CUSIP: 3138XF7B5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      133219 | PA      | $129521.53     | 0.00%             | 2044-01-01      | Fixed         | 0.04%                 | 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        |     9977635 | PA      | $9619606.75    | 0.02%             | 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        |     1112365 | PA      | $1156882.73    | 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        |     1679690 | PA      | $1417543.54    | 0.00%             | 2041-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/28 #460837                                                                           | CUSIP: 36208T4W7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          67 | PA      | $68.24         | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 09/01/2043#AS0407                                                                  | CUSIP: 3138W9NZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      104306 | PA      | $95956.74      | 0.00%             | 2043-09-01      | Fixed         | 0.03%                 | 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        |      979879 | PA      | $904745.70     | 0.00%             | 2044-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 10/01/2043#Q22682                                                                  | CUSIP: 3132JP6T4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       38546 | PA      | $37426.96      | 0.00%             | 2043-10-01      | Fixed         | 0.04%                 | 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        |      715949 | PA      | $734932.95     | 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        |      157084 | PA      | $153192.98     | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 02/01/2041#AH4872                                                                  | CUSIP: 3138A6MW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9884 | PA      | $9651.32       | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 8/29 #501998                                                                           | CUSIP: 31383FUX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2648 | PA      | $2768.26       | 0.00%             | 2029-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 10/40 #AE5066                                                                          | CUSIP: 31419FTY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       21818 | PA      | $21358.95      | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 1/40 #711483                                                                           | CUSIP: 36297GM80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       38104 | PA      | $37023.46      | 0.00%             | 2040-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 12/01/2051#                                                                        | CUSIP: 3133B1GE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1423487 | PA      | $1311180.51    | 0.00%             | 2051-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 08/01/45#G08659                                                                    | CUSIP: 3128MJWV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        4703 | PA      | $4418.43       | 0.00%             | 2045-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 06/01/2041#AH7450                                                                  | CUSIP: 3138A9H49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       34964 | PA      | $35576.50      | 0.00%             | 2041-06-01      | Fixed         | 0.05%                 | 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        |      268752 | PA      | $254212.78     | 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        |    35454000 | PA      | $33563109.48   | 0.08%             | 2030-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                                                       | ENBRIDGE INC 4.25% 12/01/2026                                                                     | CUSIP: 29250NAL9<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |     8321000 | PA      | $8322003.68    | 0.02%             | 2026-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.0% 12/15/2042#AA5897                                                                  | CUSIP: 36178DRS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      512677 | PA      | $469894.93     | 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        |      637821 | PA      | $615441.55     | 0.00%             | 2045-11-01      | Fixed         | 0.04%                 | 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        |      127275 | PA      | $120902.18     | 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        |          65 | PA      | $64.84         | 0.00%             | 2026-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 07/01/2029#                                                                          | CUSIP: 31293TDU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         141 | PA      | $143.93        | 0.00%             | 2029-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 12/01/2042#AB7425                                                                  | CUSIP: 31417EHB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       65563 | PA      | $60667.58      | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NIKE INC                                                                           | NIKE INC 2.75% 03/27/2027                                                                         | CUSIP: 654106AJ2<br>LEI: 787RXPR0UX0O0XUXPZ81 | Long             | DBT              | CORP              | US        |     6632000 | PA      | $6528805.15    | 0.02%             | 2027-03-27      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 7/27 #447756                                                                           | CUSIP: 36208DMD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         371 | PA      | $375.83        | 0.00%             | 2027-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 04/01/2043#Q17646                                                                  | CUSIP: 3132J85G1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      959824 | PA      | $910516.21     | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 4/40 #723740                                                                           | CUSIP: 3620AABH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       54087 | PA      | $53912.25      | 0.00%             | 2040-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 10/15/2041#775540                                                                    | CUSIP: 36176TLV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       85604 | PA      | $82836.22      | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | 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        |    23162000 | PA      | $23983705.53   | 0.06%             | 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        |      558622 | PA      | $583237.13     | 0.00%             | 2035-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 3.88% 1/35 #848084                                                                       | CUSIP: 3128JR6V3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1977 | PA      | $2017.84       | 0.00%             | 2035-01-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 11/39 #704775                                                                          | CUSIP: 36296X6L3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       24900 | PA      | $25308.05      | 0.00%             | 2039-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2011-H13 FA TSFR1M+61.448 4/61                                                                | CUSIP: 38375BLW0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      167705 | PA      | $167738.40     | 0.00%             | 2061-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/32 #471314                                                                           | CUSIP: 36209GSB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1340 | PA      | $1386.69       | 0.00%             | 2032-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 02/01/2037#G02671                                                                  | CUSIP: 3128M4JQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        3205 | PA      | $3219.57       | 0.00%             | 2037-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/28 #449039                                                                           | CUSIP: 36208EZC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         145 | PA      | $147.64        | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                     | MORGAN STANLEY 5.664%/VAR 04/17/2036                                                              | CUSIP: 61747YGA7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    21369000 | PA      | $22545580.13   | 0.05%             | 2036-04-17      | Variable      | 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        |      900000 | NC      | $-11737.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 08/15/2043#AD5682                                                                    | CUSIP: 36180HJ33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       25547 | PA      | $24631.66      | 0.00%             | 2043-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 9/41 #489861                                                                           | CUSIP: 36210EFA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       21021 | PA      | $20337.89      | 0.00%             | 2041-09-15      | Fixed         | 0.04%                 | 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        |    18959000 | PA      | $18977750.45   | 0.05%             | 2038-04-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/32 #582134                                                                           | CUSIP: 36201FV38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1478 | PA      | $1532.91       | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | 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        |       55548 | PA      | $54640.98      | 0.00%             | 2039-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/32 #569840                                                                           | CUSIP: 36200RBH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         388 | PA      | $400.81        | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | 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        |         186 | PA      | $189.33        | 0.00%             | 2027-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 9/27 #313711                                                                           | CUSIP: 31374GN45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          82 | PA      | $83.31         | 0.00%             | 2027-09-01      | Fixed         | 0.07%                 | 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        |       83092 | PA      | $78534.84      | 0.00%             | 2042-02-15      | Fixed         | 0.04%                 | 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        |    60800000 | PA      | $61132788.80   | 0.15%             | 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              | BM        |    41264000 | PA      | $41429633.70   | 0.10%             | 2037-04-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AR0988                                                                  | CUSIP: 3138NXC21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       32339 | PA      | $29834.99      | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 8/31 #545170                                                                           | CUSIP: 36212VT33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         387 | PA      | $400.09        | 0.00%             | 2031-08-15      | Fixed         | 0.07%                 | 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        |     2589845 | PA      | $2416620.65    | 0.01%             | 2045-11-16      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 07/01/2042 #AB5652                                                                 | CUSIP: 31417CH65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       54916 | PA      | $50737.21      | 0.00%             | 2042-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 8.5% 08/01/2027#                                                                        | CUSIP: 3128FQ4A7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         308 | PA      | $314.79        | 0.00%             | 2027-08-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 8/29 #498693                                                                           | CUSIP: 31383B7E1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1818 | PA      | $1899.43       | 0.00%             | 2029-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 5% 03/01/2038#RC2855                                                                    | CUSIP: 3133L9E41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1961013 | PA      | $1991050.36    | 0.00%             | 2038-03-01      | Fixed         | 0.05%                 | 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        |     1428112 | PA      | $1268544.44    | 0.00%             | 2050-11-01      | Fixed         | 0.03%                 | 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        |        1886 | PA      | $1968.08       | 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        |      108411 | PA      | $105242.56     | 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        |      324590 | PA      | $304762.83     | 0.00%             | 2047-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 12/27 #443834                                                                          | CUSIP: 36207WBB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         353 | PA      | $357.94        | 0.00%             | 2027-12-15      | Fixed         | 0.07%                 | 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        |       33575 | PA      | $33102.09      | 0.00%             | 2049-01-01      | Fixed         | 0.04%                 | 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        |       60008 | PA      | $58605.13      | 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        |    24926680 | PA      | $25526999.16   | 0.06%             | 2054-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 06/01/2044#Q26605                                                                  | CUSIP: 3132M7AE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       45793 | PA      | $44606.06      | 0.00%             | 2044-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 05/01/2048#BJ9174                                                                  | CUSIP: 3140HBFQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      438664 | PA      | $453959.83     | 0.00%             | 2048-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 12/01/2052#CB5259                                                                  | CUSIP: 3140QQZZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5107471 | PA      | $5005184.93    | 0.01%             | 2052-12-01      | Fixed         | 0.04%                 | 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        |     2679224 | PA      | $2645705.87    | 0.01%             | 2050-05-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 5.468%/VAR 01/23/2035                                                 | CUSIP: 06051GMA4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    50000000 | PA      | $52211553.00   | 0.12%             | 2035-01-23      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMERICA TRUST 2025-ESH                                               | EXTENDED STAY AMERICA TRUST 2025-ESH B TSFR1M+160 10/15/2042 144A                                 | CUSIP: 30227TAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    10025000 | PA      | $10043792.87   | 0.02%             | 2042-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 12/01/2040#AE6222                                                                  | CUSIP: 31419G4G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       12092 | PA      | $11809.41      | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.0% 07/01/2041#Q01871                                                                  | CUSIP: 3132GFCG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       69101 | PA      | $70528.93      | 0.00%             | 2041-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 08/01/2054#CB9061                                                                    | CUSIP: 3140QVB78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    27920815 | PA      | $28593242.66   | 0.07%             | 2054-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 8.5% 09/01/2026#                                                                        | CUSIP: 3128FGB29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          11 | PA      | $10.71         | 0.00%             | 2026-09-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 08/01/2045#AZ7222                                                                  | CUSIP: 3140E0AY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      334513 | PA      | $323577.71     | 0.00%             | 2045-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 2/27 #399107                                                                           | CUSIP: 36205SKU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         752 | PA      | $756.97        | 0.00%             | 2027-02-15      | 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        |      862564 | PA      | $877019.43     | 0.00%             | 2040-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 11/31 #637890                                                                          | CUSIP: 31389WUP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9518 | PA      | $10020.06      | 0.00%             | 2031-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 10/34 #781813                                                                          | CUSIP: 36241KAN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3214 | PA      | $3257.62       | 0.00%             | 2034-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 02/01/2042#FS1810                                                                  | CUSIP: 3140XHAL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3063069 | PA      | $2747732.67    | 0.01%             | 2042-02-01      | Fixed         | 0.03%                 | 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        |    23616000 | PA      | $23637065.47   | 0.06%             | 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        |      490767 | PA      | $480815.42     | 0.00%             | 2035-02-01      | 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        |      250801 | PA      | $236276.56     | 0.00%             | 2043-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 5% 12/20/2054#787773                                                                      | CUSIP: 3622ADQ27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     8255768 | PA      | $8239197.66    | 0.02%             | 2054-12-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 8/32 #593193                                                                           | CUSIP: 36201T7E1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         136 | PA      | $137.27        | 0.00%             | 2032-08-15      | Fixed         | 0.07%                 | 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        |    28521000 | PA      | $28607817.92   | 0.07%             | 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        |    37945000 | PA      | $39581124.27   | 0.09%             | 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        |     2159728 | PA      | $2235363.40    | 0.01%             | 2053-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 6.5% 05/20/2055#MB0368                                                                    | CUSIP: 3618N5MS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    36518121 | PA      | $37570467.01   | 0.09%             | 2055-05-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 9/42 #AA5658                                                                           | CUSIP: 36178DJB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       36845 | PA      | $34669.09      | 0.00%             | 2042-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SIXTH STREET CLO XVIII LTD                                                         | SIXTH STREET CLO XVIII LTD 2021-18A A1R TSFR3M+125 10/17/2038 144A                                | CUSIP: 83012HAL8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    27844000 | PA      | $27902166.12   | 0.07%             | 2038-10-17      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 11/39 #722701                                                                          | CUSIP: 3620A83J0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       41854 | PA      | $41761.82      | 0.00%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 8/27 #423082                                                                           | CUSIP: 36206V6T9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         362 | PA      | $367.44        | 0.00%             | 2027-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.65% 05/01/2042#AO3781                                                                 | CUSIP: 3138LUFX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       19548 | PA      | $18608.50      | 0.00%             | 2042-05-01      | Fixed         | 0.04%                 | 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        |       41532 | PA      | $42305.20      | 0.00%             | 2035-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 4/38 #G04334                                                                           | CUSIP: 3128M6EF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      179433 | PA      | $182898.56     | 0.00%             | 2038-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 6/38 #A78486                                                                           | CUSIP: 3128LCNB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        3466 | PA      | $3534.04       | 0.00%             | 2038-06-01      | Fixed         | 0.05%                 | 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        |      730780 | PA      | $726279.97     | 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        |         870 | PA      | $894.34        | 0.00%             | 2032-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AUTONATION FINANCE TRUST 2025-1                                                    | AUTONATION FINANCE TRUST 2025-1 4.72% 04/10/2028 144A                                             | CUSIP: 05330QAB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     9203147 | PA      | $9225479.81    | 0.02%             | 2028-04-10      | Fixed         | 0.05%                 | 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        |      546669 | PA      | $505470.63     | 0.00%             | 2046-02-20      | 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        |     2648800 | PA      | $2652111.01    | 0.01%             | 2037-04-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 8/41 #768137                                                                           | CUSIP: 36176KEJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       56269 | PA      | $54579.59      | 0.00%             | 2041-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 09/15/2042#AB3769                                                                  | CUSIP: 36178QFJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       17600 | PA      | $16703.81      | 0.00%             | 2042-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.00% 9/29 #478716                                                                           | CUSIP: 36209QYM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          85 | PA      | $87.54         | 0.00%             | 2029-09-15      | Fixed         | 0.08%                 | 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        |       24611 | PA      | $23077.37      | 0.00%             | 2048-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/28 #458872                                                                           | CUSIP: 36208RW91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         116 | PA      | $117.88        | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/28 #460857                                                                           | CUSIP: 36208T5S5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1728 | PA      | $1755.81       | 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        |       10770 | PA      | $11106.21      | 0.00%             | 2036-05-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.00% 11/39 #727692                                                                          | CUSIP: 3620AENH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        5782 | PA      | $6042.95       | 0.00%             | 2039-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 05/01/2045#Q33623                                                                  | CUSIP: 3132QQAZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       34786 | PA      | $33078.35      | 0.00%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 09/01/2041#Q03517                                                                  | CUSIP: 3132GJSE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       30824 | PA      | $30910.81      | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VERISK ANALYTICS INC                                                               | VERISK ANALYTICS INC 5.125% 02/15/2036                                                            | CUSIP: 92345YAN6<br>LEI: 549300I1YSWNIRKBWP67 | Long             | DBT              | CORP              | US        |    22439000 | PA      | $22646508.47   | 0.05%             | 2036-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                                                                | SYNCHRONY FINANCIAL 3.95% 12/01/2027                                                              | CUSIP: 87165BAM5<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |    37530000 | PA      | $37099989.52   | 0.09%             | 2027-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.00% 11/27 #412362                                                                          | CUSIP: 36206JB78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         113 | PA      | $114.59        | 0.00%             | 2027-11-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| SWISS RE FINANCE LUXEMBOURG                                                        | SWISS RE FINANCE LUXEMBOURG 5%/VAR 04/02/2049 144A                                                | CUSIP: 87089NAA8<br>LEI: 549300CLQZ6TM98LW631 | Long             | DBT              | CORP              | LU        |     3800000 | PA      | $3828811.37    | 0.01%             | 2049-04-02      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MAGNETITE XLI LTD                                                                  | MAGNETITE XLI LTD A TSFR3M+129 01/25/2038 144A                                                    | CUSIP: 55956AAA3<br>LEI: 529900IDXPZZY6034K03 | Long             | ABS-CBDO         | CORP              | KY        |    18369000 | PA      | $18418853.47   | 0.04%             | 2038-01-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 4/41 #A97945                                                                           | CUSIP: 312946ZJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1357782 | PA      | $1361503.63    | 0.00%             | 2041-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 09/15/2043#666409                                                                  | CUSIP: 36295CKW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       14195 | PA      | $13347.56      | 0.00%             | 2043-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.0% 07/01/2041#Q02067                                                                  | CUSIP: 3132GFJL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       67906 | PA      | $69306.66      | 0.00%             | 2041-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/31 #554247                                                                           | CUSIP: 36213GWG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2048 | PA      | $2117.85       | 0.00%             | 2031-07-15      | Fixed         | 0.07%                 | 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        |      296515 | PA      | $289597.00     | 0.00%             | 2031-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 06/01/2043#Q19744                                                                  | CUSIP: 3132JBHW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      116606 | PA      | $113986.62     | 0.00%             | 2043-06-01      | Fixed         | 0.04%                 | 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        |      275000 | NC      | $-3586.55      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 10/31 #604935                                                                          | CUSIP: 31388HBC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         257 | PA      | $270.74        | 0.00%             | 2031-10-01      | Fixed         | 0.07%                 | 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        |     7927264 | PA      | $8222224.34    | 0.02%             | 2054-11-01      | Fixed         | 0.06%                 | 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        |         611 | PA      | $638.76        | 0.00%             | 2032-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 4/32 #643105                                                                           | CUSIP: 31390DNW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         731 | PA      | $775.41        | 0.00%             | 2032-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| DELL INTERNATIONAL LLC / EMC CORP                                                  | DELL INTL/EMC CORP 5.25% 02/01/2028                                                               | CUSIP: 24703DBJ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    28212000 | PA      | $28829455.73   | 0.07%             | 2028-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 1/41 #759152                                                                           | CUSIP: 36230UEZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       29196 | PA      | $28328.83      | 0.00%             | 2041-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3% 10/20/2049#MA6218                                                                      | CUSIP: 36179U4B5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       77779 | PA      | $69796.42      | 0.00%             | 2049-10-20      | Fixed         | 0.03%                 | 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        |      167079 | PA      | $169889.36     | 0.00%             | 2040-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/29 #513653                                                                           | CUSIP: 36211HTJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         128 | PA      | $130.81        | 0.00%             | 2029-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 05/01/2039#AV6645                                                                    | CUSIP: 3138XJL39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      226499 | PA      | $221467.18     | 0.00%             | 2039-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 3% 07/01/2036#MA2672                                                                    | CUSIP: 31418B6J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       14263 | PA      | $13529.14      | 0.00%             | 2036-07-01      | Fixed         | 0.03%                 | 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        |        1662 | PA      | $1725.85       | 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        |      102663 | PA      | $86208.46      | 0.00%             | 2036-03-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 06/01/2031#J34623                                                                    | CUSIP: 31307RD44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       37925 | PA      | $37079.40      | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/28 #459593                                                                           | CUSIP: 36208SRN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1116 | PA      | $1134.71       | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 10/01/2043#AR6445                                                                  | CUSIP: 3138W4ET4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3109 | PA      | $3103.54       | 0.00%             | 2043-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 3.75% 05/31/2030                                                                        | CUSIP: 91282CHF1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   514100000 | PA      | $514461473.99  | 1.23%             | 2030-05-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 06/01/2051#                                                                        | CUSIP: 3133AMTD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      557459 | PA      | $513478.03     | 0.00%             | 2051-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                            | MPLX LP 2.65% 08/15/2030                                                                          | CUSIP: 55336VBQ2<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |     9000000 | PA      | $8262742.32    | 0.02%             | 2030-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 10/41 #779846                                                                          | CUSIP: 36176YET0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       40111 | PA      | $38946.07      | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | 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        |      884300 | PA      | $859097.40     | 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        |       27981 | PA      | $28493.36      | 0.00%             | 2028-05-15      | 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        |    53719000 | PA      | $45742225.40   | 0.11%             | 2033-12-01      | Fixed         | 0.03%                 | 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        |     5452014 | PA      | $5478681.70    | 0.01%             | 2026-12-20      | Fixed         | 0.06%                 | 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        |    32200000 | PA      | $32155352.77   | 0.08%             | 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        |    12640000 | PA      | $12627297.56   | 0.03%             | 2060-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 2% 02/01/2042#RB5145                                                                    | CUSIP: 3133KYWE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1059677 | PA      | $917558.64     | 0.00%             | 2042-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/27 #780499                                                                           | CUSIP: 36225ARU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          21 | PA      | $21.45         | 0.00%             | 2027-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 4.183% 11/25/2027                                                     | CUSIP: 06051GGC7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    22749000 | PA      | $22759488.88   | 0.05%             | 2027-11-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 6/27 #357002                                                                           | CUSIP: 31376JRX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          67 | PA      | $68.04         | 0.00%             | 2027-06-01      | Fixed         | 0.07%                 | 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        |    46297118 | PA      | $44974131.23   | 0.11%             | 2054-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 8/28 #486467                                                                           | CUSIP: 36210AMQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          45 | PA      | $45.35         | 0.00%             | 2028-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 2/40 #737035                                                                           | CUSIP: 3620AQY80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        5986 | PA      | $5974.36       | 0.00%             | 2040-02-15      | 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        |      133498 | PA      | $129703.36     | 0.00%             | 2044-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 10/39 #717997                                                                          | CUSIP: 3620A3UW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       26046 | PA      | $26482.20      | 0.00%             | 2039-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 11/29 #527286                                                                          | CUSIP: 31384LXP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1457 | PA      | $1523.70       | 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        |       73853 | PA      | $75793.44      | 0.00%             | 2035-09-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 4/40 #735701                                                                           | CUSIP: 3620APKN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       16030 | PA      | $16300.45      | 0.00%             | 2040-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 7/41 #705923                                                                           | CUSIP: 36297AG80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       20505 | PA      | $19845.42      | 0.00%             | 2041-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MAGNETITE CLO LTD                                                                  | MAGNETITE CLO LTD A1 TSFR3M+115 04/15/2038 144A                                                   | CUSIP: 55956CAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    20150000 | PA      | $20150866.45   | 0.05%             | 2038-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 06/20/2046#AU2287                                                                    | CUSIP: 36194PRG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       73642 | PA      | $68325.55      | 0.00%             | 2046-06-20      | Fixed         | 0.04%                 | 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        |     1219984 | PA      | $1197986.08    | 0.00%             | 2031-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/28 #447984                                                                           | CUSIP: 36208DUH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         607 | PA      | $616.58        | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 2/35 #A47133                                                                           | CUSIP: 3128K74S4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       28109 | PA      | $28538.24      | 0.00%             | 2035-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 07/01/2035#                                                                          | CUSIP: 31297R6J1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         979 | PA      | $998.25        | 0.00%             | 2035-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 11/39 #722705                                                                          | CUSIP: 3620A83N1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2979 | PA      | $3028.62       | 0.00%             | 2039-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CLECO CORPORATE HLDGS LLC                                                          | CLECO CORPORATE HLDGS LLC 3.743% 05/01/2026                                                       | CUSIP: 18551PAC3<br>LEI: 5493002H80P81B3HXL31 | Long             | DBT              | CORP              | US        |    60730000 | PA      | $60368383.22   | 0.14%             | 2026-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 07/01/2035#                                                                          | CUSIP: 31297RYJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        3140 | PA      | $3197.87       | 0.00%             | 2035-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/31 #563407                                                                           | CUSIP: 36213S3Q6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2019 | PA      | $2087.89       | 0.00%             | 2031-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 6/40 #743475                                                                           | CUSIP: 3620AX6L7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       57147 | PA      | $58107.47      | 0.00%             | 2040-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 6/39 #698214                                                                           | CUSIP: 36296QVF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        6083 | PA      | $6183.58       | 0.00%             | 2039-06-15      | Fixed         | 0.05%                 | 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        |      973729 | PA      | $876775.35     | 0.00%             | 2041-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 10/01/2043#Q22486                                                                  | CUSIP: 3132JPXP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       36371 | PA      | $35446.59      | 0.00%             | 2043-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 8/27 #394970                                                                           | CUSIP: 31378CW73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          24 | PA      | $24.76         | 0.00%             | 2027-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 03/01/2043#AB8701                                                                  | CUSIP: 31417FU30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       16682 | PA      | $15412.81      | 0.00%             | 2043-03-01      | Fixed         | 0.03%                 | 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        |     7997630 | PA      | $7997629.69    | 0.02%             | 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        |    40690000 | PA      | $40740846.22   | 0.10%             | 2039-12-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 12/31#ZK8422                                                                       | CUSIP: 3131XCLB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1973278 | PA      | $1906490.50    | 0.00%             | 2031-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.5% 07/15/2040#745191                                                                  | CUSIP: 3620C02Y3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         673 | PA      | $671.00        | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 8/32 #659161                                                                           | CUSIP: 31390XJE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       13959 | PA      | $14808.29      | 0.00%             | 2032-08-01      | Fixed         | 0.07%                 | 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        |     1084880 | PA      | $979661.67     | 0.00%             | 2041-03-01      | Fixed         | 0.03%                 | 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        |        7296 | PA      | $7352.94       | 0.00%             | 2032-03-18      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/28 #458387                                                                           | CUSIP: 36208RF41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         649 | PA      | $658.63        | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 7/38 #782360                                                                           | CUSIP: 36241KTR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         412 | PA      | $424.34        | 0.00%             | 2038-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/28 #474137                                                                           | CUSIP: 36209KV62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          60 | PA      | $60.62         | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CIGNA GROUP (THE)                                                                  | CIGNA GROUP (THE) 4.375% 10/15/2028                                                               | CUSIP: 125523AH3<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    29050000 | PA      | $29202807.94   | 0.07%             | 2028-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 10/41 #AJ2387                                                                          | CUSIP: 3138ATUM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       17925 | PA      | $17502.69      | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNUM GROUP                                                                         | UNUM GROUP 5.75% 08/15/2042                                                                       | CUSIP: 91529YAJ5<br>LEI: 549300E32YFDO6TZ8R31 | Long             | DBT              | CORP              | US        |    27888000 | PA      | $27869402.61   | 0.07%             | 2042-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2011-H21 FA TSFR1M+71.448 10/61                                                               | CUSIP: 38375BNE8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      193706 | PA      | $194013.10     | 0.00%             | 2061-10-20      | Variable      | 0.05%                 | 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        |     1423259 | PA      | $1427305.03    | 0.00%             | 2042-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 11/1/42 #Q13148                                                                      | CUSIP: 3132HPP99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      123348 | PA      | $114122.58     | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 7.5% 09/01/2031#                                                                        | CUSIP: 31292HMA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        6567 | PA      | $6949.86       | 0.00%             | 2031-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| DOW CHEMICAL CO                                                                    | DOW CHEMICAL CO 4.55% 11/30/2025                                                                  | CUSIP: 260543CN1<br>LEI: ZQUIP1CSZO8LXRBSOU78 | Long             | DBT              | CORP              | US        |    13459000 | PA      | $13455410.89   | 0.03%             | 2025-11-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 07/01/2029#                                                                          | CUSIP: 31293TF28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          47 | PA      | $47.94         | 0.00%             | 2029-07-01      | Fixed         | 0.06%                 | 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        |      306462 | PA      | $296655.11     | 0.00%             | 2031-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 02/01/2044#Q24971                                                                  | CUSIP: 3132M5FL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       59640 | PA      | $58097.26      | 0.00%             | 2044-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 7/35 #745092                                                                           | CUSIP: 31403CXV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3939 | PA      | $4129.41       | 0.00%             | 2035-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 10/27 #444009                                                                          | CUSIP: 36207WGS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         542 | PA      | $552.46        | 0.00%             | 2027-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 05/20/2046#AR3062                                                                    | CUSIP: 36192XMK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      112938 | PA      | $104784.38     | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | 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        |     9280000 | NC      | $335578.72     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 12/27 #460654                                                                          | CUSIP: 36208TWP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         305 | PA      | $309.44        | 0.00%             | 2027-12-15      | Fixed         | 0.07%                 | 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        |     3575375 | PA      | $3299997.91    | 0.01%             | 2052-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 8% 04/01/2027#                                                                          | CUSIP: 3128FMF97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         694 | PA      | $701.44        | 0.00%             | 2027-04-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 7/29 #507427                                                                           | CUSIP: 31383MVU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1802 | PA      | $1867.35       | 0.00%             | 2029-07-01      | Fixed         | 0.07%                 | 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        |       29948 | PA      | $31330.52      | 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        |     2670286 | PA      | $2642677.48    | 0.01%             | 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        |      945404 | PA      | $939024.13     | 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        |       27293 | PA      | $26583.69      | 0.00%             | 2040-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMERICA TRUST 2025-ESH                                               | EXTENDED STAY AMERICA TRUST 2025-ESH C TSFR1M+185 10/15/2042 144A                                 | CUSIP: 30227TAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4895000 | PA      | $4907237.01    | 0.01%             | 2042-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 03/20/2043#AD8884                                                                    | CUSIP: 36180M2R7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      285067 | PA      | $269311.35     | 0.00%             | 2043-03-20      | Fixed         | 0.04%                 | 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        |       45858 | PA      | $46702.89      | 0.00%             | 2033-06-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 2/36 #745575                                                                           | CUSIP: 31403DJU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         577 | PA      | $610.93        | 0.00%             | 2036-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 3.50% 10/42 #Q12211                                                                          | CUSIP: 3132HNN47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       55306 | PA      | $52478.04      | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 10/01/2042#AQ0861                                                                  | CUSIP: 3138MF5X1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3406 | PA      | $3168.32       | 0.00%             | 2042-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/29 #422973                                                                           | CUSIP: 36206V2E6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         422 | PA      | $429.68        | 0.00%             | 2029-07-15      | Fixed         | 0.07%                 | 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        |       96739 | PA      | $96930.34      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 7/41 #768127                                                                           | CUSIP: 36176KD87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       34034 | PA      | $33077.74      | 0.00%             | 2041-07-15      | Fixed         | 0.04%                 | 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        |         288 | PA      | $300.63        | 0.00%             | 2028-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 9/27 #379287                                                                           | CUSIP: 31377KJ89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |           5 | PA      | $5.07          | 0.00%             | 2027-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/32 #569213                                                                           | CUSIP: 36200QK29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         667 | PA      | $691.08        | 0.00%             | 2032-03-15      | Fixed         | 0.07%                 | 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        |       70055 | PA      | $6945.15       | 0.00%             | 2036-12-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 9/39 #717956                                                                           | CUSIP: 3620A3TM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        9206 | PA      | $9359.25       | 0.00%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 11/01/2041#                                                                          | CUSIP: 3132GK4R4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       19172 | PA      | $18875.32      | 0.00%             | 2041-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LIBERTY MUTUAL GROUP INC                                                           | LIBERTY MUTUAL GROUP INC 3.951% 10/15/2050 144A                                                   | CUSIP: 53079EBJ2<br>LEI: QUR0DG15Z6FFGYCHH861 | Long             | DBT              | CORP              | US        |     4626000 | PA      | $3542996.82    | 0.01%             | 2050-10-15      | Fixed         | 0.04%                 | 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        |    25326097 | PA      | $20717520.09   | 0.05%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/29 #495202                                                                           | CUSIP: 36210LDF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         234 | PA      | $238.58        | 0.00%             | 2029-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 1/26 #328952                                                                           | CUSIP: 31375AL98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          17 | PA      | $17.04         | 0.00%             | 2026-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 08/01/2044#Q28059                                                                  | CUSIP: 3132M8TQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       28666 | PA      | $27831.99      | 0.00%             | 2044-08-01      | Fixed         | 0.04%                 | 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        |      168559 | PA      | $152917.68     | 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        |      252902 | PA      | $258046.94     | 0.00%             | 2040-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GOVERNMENT NAT MTG ASSN HECM TSFR1M+63.448 52 10/20/2062                                          | CUSIP: 38375BXV9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |        5100 | PA      | $5106.03       | 0.00%             | 2062-10-20      | Variable      | 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        |     2707567 | PA      | $2582952.59    | 0.01%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 12/27 #436026                                                                          | CUSIP: 36207MLF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         123 | PA      | $124.56        | 0.00%             | 2027-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 2/32 #545513                                                                           | CUSIP: 31385JAN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         358 | PA      | $375.02        | 0.00%             | 2032-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 07/01/2029#                                                                          | CUSIP: 31293TDP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          21 | PA      | $21.06         | 0.00%             | 2029-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/28 #456183                                                                           | CUSIP: 36208NXL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          55 | PA      | $55.85         | 0.00%             | 2028-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 3/34 #626497                                                                           | CUSIP: 36291E7J4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2079 | PA      | $2127.29       | 0.00%             | 2034-03-15      | Fixed         | 0.06%                 | 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        |     4568094 | PA      | $4081940.46    | 0.01%             | 2041-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 8/31 #565049                                                                           | CUSIP: 36213UWJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         727 | PA      | $750.26        | 0.00%             | 2031-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 4.75% 08/15/2055                                                      | CUSIP: 912810UM8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    53000000 | PA      | $53182187.50   | 0.13%             | 2055-08-15      | 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        |    67720000 | PA      | $66648983.14   | 0.16%             | 2030-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| Phillips Edison Grocery Center Operating Partnership I LP                          | Phillips Edison Grocery Center Operating Partnership I LP 5.75% 07/15/2034                        | CUSIP: 71845JAB4<br>LEI: 549300WUPIVS6ZE0ZI51 | Long             | DBT              | CORP              | US        |     6358000 | PA      | $6615244.87    | 0.02%             | 2034-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2121 MG 6% 2/29                                                                               | CUSIP: 3133TJA60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       13697 | PA      | $14001.29      | 0.00%             | 2029-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL    | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 5.5% 04/01/2063   | CUSIP: 161175CL6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    11421000 | PA      | $9570746.83    | 0.02%             | 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        |    15000000 | PA      | $15454956.00   | 0.04%             | 2029-07-24      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.50% 3/37 #A58828                                                                           | CUSIP: 3128KMYZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        2214 | PA      | $2364.99       | 0.00%             | 2037-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 2/27 #371593                                                                           | CUSIP: 31377AXW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         296 | PA      | $300.22        | 0.00%             | 2027-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 7.5% 09/01/2030#                                                                        | CUSIP: 31298APJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         329 | PA      | $345.39        | 0.00%             | 2030-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SPGN 2022-TFLM MTG TR                                                              | SPGN 2022-TFLM B TSFR1M+200 02/15/2039 144A                                                       | CUSIP: 78473HAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9333000 | PA      | $9195093.73    | 0.02%             | 2039-02-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 05/47#AS9616                                                                       | CUSIP: 3138WKVJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       23913 | PA      | $23725.81      | 0.00%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-PAC                                              | BX COMMERCIAL MORTGAGE TRUST 2021-PAC B TSFR1M+101.328 21 10/15/2036 144A                         | CUSIP: 05609PAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5541000 | PA      | $5523684.38    | 0.01%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| SYSCO CORP                                                                         | SYSCO CORP 3.25% 07/15/2027                                                                       | CUSIP: 871829BF3<br>LEI: 5RGWIFLMGH3YS7KWI652 | Long             | DBT              | CORP              | US        |    11011000 | PA      | $10860533.91   | 0.03%             | 2027-07-15      | Fixed         | 0.03%                 | 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        |    60600000 | PA      | $60806403.60   | 0.15%             | 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        |        5315 | PA      | $5546.47       | 0.00%             | 2041-07-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 9/26 #358466                                                                           | CUSIP: 31376LFF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         151 | PA      | $152.32        | 0.00%             | 2026-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 01/01/2052#CB2662                                                                    | CUSIP: 3140QM5Y6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1216651 | PA      | $1079665.71    | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | 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        |    20021183 | PA      | $16446761.30   | 0.04%             | 2050-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 10/01/2042#Q11868                                                                  | CUSIP: 3132HNCD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       27306 | PA      | $26816.39      | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 1.5% 11/01/2035#QN4156                                                                  | CUSIP: 3133GATM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     8968697 | PA      | $8064427.01    | 0.02%             | 2035-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.50% 10/35 #003771                                                                       | CUSIP: 36202EFL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2460 | PA      | $2460.20       | 0.00%             | 2035-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 3/40 #704931                                                                           | CUSIP: 36296YEC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       12166 | PA      | $12142.12      | 0.00%             | 2040-03-15      | Fixed         | 0.04%                 | 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        |    34290000 | NC      | $1229326.68    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 11/40 #AE8869                                                                          | CUSIP: 31419K2B0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       22897 | PA      | $22404.00      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 1.5% 06/01/2051#CB0788                                                                  | CUSIP: 3140QK2W7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1717579 | PA      | $1336996.34    | 0.00%             | 2051-06-01      | Fixed         | 0.01%                 | 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        |        4036 | PA      | $4061.76       | 0.00%             | 2032-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/29 #503025                                                                           | CUSIP: 36210UYW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          77 | PA      | $77.98         | 0.00%             | 2029-03-15      | 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 2.5% 06/25/2049                                                    | CUSIP: 3137H4HQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     2821710 | PA      | $2489573.24    | 0.01%             | 2049-06-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 07/42#AB5501                                                                       | CUSIP: 31417CDF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3970 | PA      | $3772.12       | 0.00%             | 2042-07-01      | 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        |        4238 | PA      | $4254.90       | 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        |      335019 | PA      | $327826.54     | 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        |    13136765 | PA      | $13103922.71   | 0.03%             | 2030-03-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/31 #474770                                                                           | CUSIP: 36209LMT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         950 | PA      | $965.63        | 0.00%             | 2031-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/29 #432896                                                                           | CUSIP: 36207H3D7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         128 | PA      | $131.27        | 0.00%             | 2029-02-15      | Fixed         | 0.07%                 | 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        |    15058858 | PA      | $15131995.37   | 0.04%             | 2052-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 4/27 #399249                                                                           | CUSIP: 36205SQA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          96 | PA      | $96.60         | 0.00%             | 2027-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINES OPERATING CO LLC                                                | COLUMBIA PIPELINES OPERATING CO LLC 6.036% 11/15/2033 144A                                        | CUSIP: 19828TAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    14358000 | PA      | $15320507.20   | 0.04%             | 2033-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 12/41 #741817                                                                          | CUSIP: 3620AWDW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      124730 | PA      | $118041.30     | 0.00%             | 2041-12-15      | 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        |      302156 | PA      | $301659.09     | 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        |    30566000 | PA      | $33503336.66   | 0.08%             | 2037-06-26      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 07/01/2040#AD9214                                                                  | CUSIP: 31418XGY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       45690 | PA      | $46559.66      | 0.00%             | 2040-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 2/42 #778862                                                                           | CUSIP: 36176XB73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      425768 | PA      | $402111.62     | 0.00%             | 2042-02-15      | Fixed         | 0.04%                 | 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        |    48444000 | PA      | $45378653.58   | 0.11%             | 2030-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 1/27 #250799                                                                           | CUSIP: 31371FRU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          14 | PA      | $14.16         | 0.00%             | 2027-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                        | ORACLE CORP 5.2% 09/26/2035                                                                       | CUSIP: 68389XDM4<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    22924000 | PA      | $23050229.40   | 0.05%             | 2035-09-26      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 07/01/2039#AW9574                                                                    | CUSIP: 3138XZT84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       58207 | PA      | $57154.79      | 0.00%             | 2039-07-01      | Fixed         | 0.04%                 | 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        |     4207288 | PA      | $3962295.52    | 0.01%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 11/01/2041#FM9585                                                                  | CUSIP: 3140XDUK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1320040 | PA      | $1183664.57    | 0.00%             | 2041-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 08/01/2051#                                                                        | CUSIP: 31418D3K6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      282107 | PA      | $259761.79     | 0.00%             | 2051-08-01      | Fixed         | 0.04%                 | 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        |     1571067 | PA      | $1472059.42    | 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        |   473050000 | PA      | $491649900.26  | 1.17%             | 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        |      255382 | PA      | $240994.79     | 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        |    26739000 | PA      | $27302453.03   | 0.07%             | 2027-08-23      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4% 10/01/2055 #TBA                                                                        | CUSIP: 21H0406A6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    23800000 | PA      | $22379320.88   | 0.05%             | 2055-10-01      | Fixed         | 0.04%                 | 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        |        9665 | PA      | $10093.38      | 0.00%             | 2041-09-01      | Variable      | 0.07%                 | 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        |     2450000 | NC      | $-31952.90     | -0.00%            |  |  |  | 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        |     5327000 | PA      | $5635723.09    | 0.01%             | 2030-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 11/33 #623639                                                                          | CUSIP: 36291BZC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1388 | PA      | $1408.25       | 0.00%             | 2033-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PARTNERSHIP LP                                                   | BRIXMOR OPERATING PARTNERSHIP LP 4.05% 07/01/2030                                                 | CUSIP: 11120VAJ2<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |    22047000 | PA      | $21581030.26   | 0.05%             | 2030-07-01      | Fixed         | 0.04%                 | 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        |      239811 | PA      | $243774.20     | 0.00%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 12/40 #AH0540                                                                          | CUSIP: 3138A1S69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4805 | PA      | $4688.80       | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | 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        |       33055 | PA      | $33148.69      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3.0% 08/01/2029#890625                                                                  | CUSIP: 31410LPJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       45699 | PA      | $44962.37      | 0.00%             | 2029-08-01      | Fixed         | 0.03%                 | 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        |       32439 | PA      | $31942.74      | 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        |     2995940 | PA      | $2844864.15    | 0.01%             | 2042-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                                                   | WILLIAMS COS INC 3.5% 11/15/2030                                                                  | CUSIP: 969457BX7<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    45537000 | PA      | $43523705.41   | 0.10%             | 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        |     6622125 | PA      | $5871867.63    | 0.01%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NXP B V/NXP FDG LLC/NXP USA INC                                                    | NXP B V/NXP FDG LLC/NXP USA INC 5.25% 08/19/2035                                                  | CUSIP: 62954HBH0<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |    35555000 | PA      | $35917996.28   | 0.09%             | 2035-08-19      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 1/41 #759125                                                                           | CUSIP: 36230UD63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        8115 | PA      | $7876.16       | 0.00%             | 2041-01-15      | 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 4.4% 10/25/2030                                                    | CUSIP: 3137HB2L7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     5900000 | PA      | $5976511.79    | 0.01%             | 2030-10-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 5/34 #A23334                                                                           | CUSIP: 31297AV35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        4123 | PA      | $4197.51       | 0.00%             | 2034-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 05/20/2046#AS6968                                                                    | CUSIP: 36193SW54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      216958 | PA      | $201293.74     | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | 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        |       80390 | PA      | $84328.11      | 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        |    56732000 | PA      | $57519411.79   | 0.14%             | 2027-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 4/27 #432429                                                                           | CUSIP: 36207HLJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          36 | PA      | $36.17         | 0.00%             | 2027-04-15      | 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 K141 A2 2.25% 02/25/2032                                           | CUSIP: 3137H6ZM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     6100000 | PA      | $5446229.45    | 0.01%             | 2032-02-25      | Fixed         | 0.02%                 | 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        |       97291 | PA      | $90493.53      | 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        |     1814021 | PA      | $1703214.84    | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 5/42 #766751                                                                           | CUSIP: 36176HTG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      336340 | PA      | $317813.53     | 0.00%             | 2042-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 05/01/2046#V82275                                                                    | CUSIP: 3132L7Q44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     4387137 | PA      | $3986994.06    | 0.01%             | 2046-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 2/28 #416634                                                                           | CUSIP: 31379DY78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          23 | PA      | $23.77         | 0.00%             | 2028-02-01      | Fixed         | 0.07%                 | 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        |    23667189 | PA      | $24226626.94   | 0.06%             | 2050-08-15      | Fixed         | 0.06%                 | 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        |        2198 | PA      | $2264.59       | 0.00%             | 2031-03-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/32 #574467                                                                           | CUSIP: 36200WFG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         156 | PA      | $161.09        | 0.00%             | 2032-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 8/31 #567102                                                                           | CUSIP: 36213XAB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         500 | PA      | $517.34        | 0.00%             | 2031-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 09/01/2050#CA6998                                                                    | CUSIP: 3140QEX49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      101874 | PA      | $90682.22      | 0.00%             | 2050-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 4.25% 10/22/2026                                                      | CUSIP: 06051GFL8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    20189000 | PA      | $20215805.74   | 0.05%             | 2026-10-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 12/01/2045#BA3904                                                                  | CUSIP: 3140E8KS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       59778 | PA      | $56182.43      | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 5/40 #AD7419                                                                           | CUSIP: 31418VG55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9390 | PA      | $9407.52       | 0.00%             | 2040-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2135 JE 6% 3/29                                                                               | CUSIP: 3133TJWJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |        5443 | PA      | $5574.19       | 0.00%             | 2029-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/28 #454044                                                                           | CUSIP: 36208LLZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          31 | PA      | $31.39         | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 10/39 #710924                                                                          | CUSIP: 36297FYV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       84625 | PA      | $86039.97      | 0.00%             | 2039-10-15      | Fixed         | 0.05%                 | 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        |    33564000 | PA      | $33692180.92   | 0.08%             | 2038-01-22      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 04/01/2047#AS9417                                                                  | CUSIP: 3138WKPB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      153148 | PA      | $151325.47     | 0.00%             | 2047-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 6/27 #446423                                                                           | CUSIP: 36207Y4G2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          37 | PA      | $37.44         | 0.00%             | 2027-06-15      | Fixed         | 0.07%                 | 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        |      202148 | PA      | $196011.69     | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 10/40 #AA4740                                                                          | CUSIP: 31416NHS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       34630 | PA      | $33878.78      | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 10/01/2043#Q22499                                                                  | CUSIP: 3132JPX49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      277039 | PA      | $269557.87     | 0.00%             | 2043-10-01      | Fixed         | 0.04%                 | 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        |     3798090 | PA      | $3411497.19    | 0.01%             | 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        |    52072000 | PA      | $52154655.97   | 0.12%             | 2026-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 2/41 #AB2343                                                                           | CUSIP: 31416XS92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       34340 | PA      | $33462.79      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/28 #468054                                                                           | CUSIP: 36209C5P7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       11054 | PA      | $11210.59      | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | 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        |     7728000 | PA      | $8289529.85    | 0.02%             | 2053-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 9/29 #512465                                                                           | CUSIP: 31383TJJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3109 | PA      | $3250.49       | 0.00%             | 2029-09-01      | 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        |      344553 | PA      | $339753.87     | 0.00%             | 2038-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 03/01/2043#AR7187                                                                  | CUSIP: 3138W46Z9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       14269 | PA      | $13209.77      | 0.00%             | 2043-03-01      | 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 5210 TA 3.5% 11/25/2046                                            | CUSIP: 3137H6WW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     3057387 | PA      | $2919235.97    | 0.01%             | 2046-11-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 1/32 #624486                                                                           | CUSIP: 31389FXP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1716 | PA      | $1799.83       | 0.00%             | 2032-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT LP                                                           | AMERICAN HOMES 4 RENT LP 3.625% 04/15/2032                                                        | CUSIP: 02666TAE7<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              | CORP              | US        |    14296000 | PA      | $13378189.51   | 0.03%             | 2032-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 08/15/2042#AB2238                                                                  | CUSIP: 36178MPX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       13395 | PA      | $12619.02      | 0.00%             | 2042-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 06/01/2043#AL3657                                                                  | CUSIP: 3138ELB36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       16440 | PA      | $15594.88      | 0.00%             | 2043-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/31 #549588                                                                           | CUSIP: 36213BRH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         659 | PA      | $681.00        | 0.00%             | 2031-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 01/01/2052#MA4511                                                                    | CUSIP: 31418EAM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      911320 | PA      | $738937.60     | 0.00%             | 2052-01-01      | Fixed         | 0.02%                 | 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        |    14348513 | PA      | $12834988.64   | 0.03%             | 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        |    14741565 | PA      | $13218827.34   | 0.03%             | 2050-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SABRA HEALTH CARE LP                                                               | SABRA HEALTH CARE LP 3.9% 10/15/2029                                                              | CUSIP: 78572XAG6<br>LEI: 549300OVKLRFSIQG0H81 | Long             | DBT              | CORP              | US        |    10094000 | PA      | $9779629.33    | 0.02%             | 2029-10-15      | 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        |      530206 | PA      | $531983.20     | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | 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        |     2733000 | PA      | $2713370.42    | 0.01%             | 2026-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.50% 8/34 #629115                                                                           | CUSIP: 36291H3Y8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         498 | PA      | $513.13        | 0.00%             | 2034-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.00% 12/27 #436017                                                                          | CUSIP: 36207MK62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         162 | PA      | $163.43        | 0.00%             | 2027-12-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/30 #515294                                                                           | CUSIP: 36211KNK6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1888 | PA      | $1930.86       | 0.00%             | 2030-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| TOLL BROTHERS FINANCE CORP                                                         | TOLL BROS FIN CORP 4.875% 03/15/2027                                                              | CUSIP: 88947EAS9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    16319000 | PA      | $16438101.45   | 0.04%             | 2027-03-15      | Fixed         | 0.05%                 | 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        |     1205686 | PA      | $1152945.51    | 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        |     1156950 | PA      | $1097680.32    | 0.00%             | 2041-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 8/39 #698480                                                                           | CUSIP: 36296Q6R5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        9854 | PA      | $9836.45       | 0.00%             | 2039-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NISSAN MASTER OWNER TR RECEIVABLE                                                  | NISSAN MASTER OWNER TR RECEIVABLE 5.05% 02/15/2029 144A                                           | CUSIP: 65479VAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    18500000 | PA      | $18738905.30   | 0.04%             | 2029-02-15      | Fixed         | 0.05%                 | 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        |     1998720 | PA      | $1774091.13    | 0.00%             | 2047-11-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SFS AUTO RECEIVABLES SECURITIZATION TR 2024-2                                      | SFS AUTO RECEIVABLES SECURITIZATION TR 2024-2 5.33% 11/20/2029 144A                               | CUSIP: 78397XAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    10479000 | PA      | $10601827.50   | 0.03%             | 2029-11-20      | 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% 12/15/2028                                                    | CUSIP: 3137B6MF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |           3 | PA      | $0.00          | 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        |      791406 | PA      | $693806.20     | 0.00%             | 2041-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MSC 2021-L6                                                                        | MSC 2021-L6 XA 1.35631% 06/15/2054                                                                | CUSIP: 61692CBK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    45214198 | PA      | $1780747.64    | 0.00%             | 2054-06-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 08/01/2046#Q43328                                                                  | CUSIP: 3132WGVW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       14332 | PA      | $13495.92      | 0.00%             | 2046-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 09/01/2042#AO7372                                                                  | CUSIP: 3138LYFN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       61246 | PA      | $58091.94      | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 2/42 #AK1110                                                                           | CUSIP: 3138E5GU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      244655 | PA      | $238248.45     | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 9/28 #484261                                                                           | CUSIP: 36209W5W8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         974 | PA      | $1000.33       | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 07/01/2045#Q34979                                                                  | CUSIP: 3132QRQ94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       74604 | PA      | $69497.34      | 0.00%             | 2045-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 12/40#V82128                                                                       | CUSIP: 3132L7LH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      413996 | PA      | $390235.14     | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 1.875% 11/15/2051                                                     | CUSIP: 912810TB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   120053000 | PA      | $67914356.67   | 0.16%             | 2051-11-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 02/01/2034#J40197                                                                    | CUSIP: 31307YGE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       18664 | PA      | $18084.11      | 0.00%             | 2034-02-01      | Fixed         | 0.03%                 | 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        |     5837398 | PA      | $5944809.09    | 0.01%             | 2053-05-01      | Fixed         | 0.06%                 | 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        |     2017661 | PA      | $1945606.47    | 0.00%             | 2046-06-01      | Fixed         | 0.04%                 | 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        |    49872132 | PA      | $50569459.62   | 0.12%             | 2054-07-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIZENS FINANCIAL GRP INC                                                         | CITIZENS FINANCIAL GRP INC 6.645%/VAR 04/25/2035                                                  | CUSIP: 174610BG9<br>LEI: 2138004JDDA4ZQUPFW65 | Long             | DBT              | CORP              | US        |    12127000 | PA      | $13343454.40   | 0.03%             | 2035-04-25      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| DAIMLER TRUCKS FINANCE NORTH AMERICA LLC                                           | DAIMLER TRUCKS FINANCE NORTH AMERICA LLC 2% 12/14/2026 144A                                       | CUSIP: 233853AF7<br>LEI: 5493003HSDTSCZRXBA58 | Long             | DBT              | CORP              | US        |    30000000 | PA      | $29241374.70   | 0.07%             | 2026-12-14      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                    | CVS HEALTH CORP 5% 09/15/2032                                                                     | CUSIP: 126650EJ5<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    12070000 | PA      | $12217694.56   | 0.03%             | 2032-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                                          | AMGEN INC 5.15% 03/02/2028                                                                        | CUSIP: 031162DP2<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    20069000 | PA      | $20537509.80   | 0.05%             | 2028-03-02      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.50% 8/40 #004771                                                                        | CUSIP: 36202FJQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       10083 | PA      | $10066.12      | 0.00%             | 2040-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PINE STREET TRUST II                                                               | PINE STR TR II 5.568% 02/15/2049 144A                                                             | CUSIP: 72284LAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    29500000 | PA      | $27973083.84   | 0.07%             | 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        |    15041607 | PA      | $13403267.32   | 0.03%             | 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        |     5896186 | PA      | $5896185.86    | 0.01%             | 2038-07-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 4.625% 05/15/2054                                                     | CUSIP: 912810UA4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   192000000 | PA      | $188640000.00  | 0.45%             | 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        |    22128000 | PA      | $21843136.96   | 0.05%             | 2030-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 8.5% 08/01/2027#                                                                        | CUSIP: 31283G6U6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          34 | PA      | $34.49         | 0.00%             | 2027-08-01      | Fixed         | 0.09%                 | 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        |     1183279 | PA      | $1068583.75    | 0.00%             | 2040-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 2/39 #782562                                                                           | CUSIP: 36241KZ35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        7428 | PA      | $7550.81       | 0.00%             | 2039-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 06/01/2041#                                                                        | CUSIP: 3132GEQJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       43180 | PA      | $43355.07      | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 12/40 #734104                                                                          | CUSIP: 3620AMRZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        5917 | PA      | $5609.68       | 0.00%             | 2040-12-15      | Fixed         | 0.04%                 | 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        |    10925000 | PA      | $10761125.00   | 0.03%             | 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        |     3191975 | PA      | $3086960.61    | 0.01%             | 2046-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 5.344% 7/35 #834917                                                                      | CUSIP: 31407MSE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2106 | PA      | $2146.49       | 0.00%             | 2035-07-01      | Variable      | 0.06%                 | 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        |     1990692 | PA      | $2013635.28    | 0.00%             | 2054-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 02/01/2046#BC0210                                                                    | CUSIP: 3140EUGU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       13162 | PA      | $12700.27      | 0.00%             | 2046-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 1.5% 03/01/2036#FM6804                                                                  | CUSIP: 3140XAR20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       23761 | PA      | $21327.73      | 0.00%             | 2036-03-01      | Fixed         | 0.01%                 | 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        |       66081 | PA      | $64481.67      | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 7/27 #453200                                                                           | CUSIP: 36208KNR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         232 | PA      | $235.19        | 0.00%             | 2027-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 8/28 #464768                                                                           | CUSIP: 36208YJM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         131 | PA      | $133.81        | 0.00%             | 2028-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 9/29 #516134                                                                           | CUSIP: 31383XLP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          64 | PA      | $66.58         | 0.00%             | 2029-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.125% 07/31/2031                                                                       | CUSIP: 91282CLD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    75000000 | PA      | $76144747.50   | 0.18%             | 2031-07-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 6.5% 10/01/2055 #TBA                                                                    | CUSIP: 01F0626A4<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |   -30075000 | PA      | $-31079456.88  | -0.07%            | 2055-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GOVERNMENT NAT MTG ASSN HECM 2016-H21 DF TSFR1M+76.448 05/20/2061                                 | CUSIP: 38375BWC2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |         787 | PA      | $786.89        | 0.00%             | 2061-05-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 10/01/2031#AS8046                                                                  | CUSIP: 3138WH5G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       33504 | PA      | $32369.96      | 0.00%             | 2031-10-01      | Fixed         | 0.03%                 | 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        |    18666000 | PA      | $19370280.69   | 0.05%             | 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        |       10882 | PA      | $11306.13      | 0.00%             | 2033-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DELL INTERNATIONAL LLC / EMC CORP                                                  | DELL INTL/EMC CORP 6.1% 07/15/2027                                                                | CUSIP: 24703TAF3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     9944000 | PA      | $10251073.50   | 0.02%             | 2027-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 12/28 #780995                                                                          | CUSIP: 36225BC89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          17 | PA      | $16.88         | 0.00%             | 2028-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                            | MPLX LP 4.95% 09/01/2032                                                                          | CUSIP: 55336VBU3<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    30925000 | PA      | $31022971.64   | 0.07%             | 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        |     2172698 | PA      | $2005355.60    | 0.00%             | 2052-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 09/15/2042#796303                                                                  | CUSIP: 36177RAD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2360 | PA      | $2223.32       | 0.00%             | 2042-09-15      | 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        |      202336 | PA      | $195482.90     | 0.00%             | 2045-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 7/40 #729562                                                                           | CUSIP: 3620AGQP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       44709 | PA      | $45462.26      | 0.00%             | 2040-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 7/40 #719217                                                                           | CUSIP: 3620A5AS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       43941 | PA      | $44678.90      | 0.00%             | 2040-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 02/01/2041#                                                                        | CUSIP: 312945X52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       24892 | PA      | $24965.52      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 07/01/2032#                                                                          | CUSIP: 31288AFU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        8083 | PA      | $8366.16       | 0.00%             | 2032-07-01      | 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        |     4752000 | PA      | $4809618.95    | 0.01%             | 2028-11-15      | 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 3.244% 08/25/2027                                                  | CUSIP: 3137FBBX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     6000000 | PA      | $5930735.40    | 0.01%             | 2027-08-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 8/27 #395367                                                                           | CUSIP: 31378DFG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          37 | PA      | $37.92         | 0.00%             | 2027-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 4/42 #AK9948                                                                           | CUSIP: 3138EFBS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       58987 | PA      | $57407.42      | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 12/01/2043#AV1877                                                                  | CUSIP: 3138XDCP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       65569 | PA      | $63624.02      | 0.00%             | 2043-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 07/01/2043#Q19988                                                                  | CUSIP: 3132JBRJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       63063 | PA      | $61253.04      | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 11/41 #AB3867                                                                          | CUSIP: 31417AJM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3866 | PA      | $3681.21       | 0.00%             | 2041-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/32 #593188                                                                           | CUSIP: 36201T6Z5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         745 | PA      | $771.99        | 0.00%             | 2032-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 2/40 #711189                                                                           | CUSIP: 36297GC24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       52492 | PA      | $52390.06      | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 5/41 #748080                                                                           | CUSIP: 3620C4CR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        6361 | PA      | $6207.39       | 0.00%             | 2041-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 12/28 #476127                                                                          | CUSIP: 36209M4L5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         601 | PA      | $612.84        | 0.00%             | 2028-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| JERSEY MIKES FDG LLC                                                               | JERSEY MIKES FDG LLC 5.61% 08/16/2055 144A                                                        | CUSIP: 476681AE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    17600000 | PA      | $17949585.28   | 0.04%             | 2055-08-16      | Fixed         | 0.06%                 | 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        |    80030000 | PA      | $79285970.69   | 0.19%             | 2044-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 2% 11/01/2055 #TBA                                                                      | CUSIP: 01F0206B0<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |   -41325000 | PA      | $-33310210.48  | -0.08%            | 2055-11-01      | Fixed         | 0.02%                 | 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        |    13009920 | PA      | $11119474.35   | 0.03%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 5.62% 3/36 #866091                                                                       | CUSIP: 31409BF85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       21733 | PA      | $22317.06      | 0.00%             | 2036-03-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 3/41 #A97661                                                                           | CUSIP: 312946QN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      558900 | PA      | $560473.17     | 0.00%             | 2041-03-01      | 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 SOFR30A+105 04/25/2055                                             | CUSIP: 3137HKUC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     6819859 | PA      | $6810138.38    | 0.02%             | 2055-04-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 1/40 #724698                                                                           | CUSIP: 3620ABDB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       38947 | PA      | $37929.21      | 0.00%             | 2040-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.00% 1/41 #004922                                                                        | CUSIP: 36202FPF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1168219 | PA      | $1137824.55    | 0.00%             | 2041-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 12/27 #385030                                                                          | CUSIP: 36205AVX9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          19 | PA      | $18.83         | 0.00%             | 2027-12-15      | Fixed         | 0.07%                 | 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        |      159741 | PA      | $19945.13      | 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        |       45201 | PA      | $45316.19      | 0.00%             | 2040-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 04/01/2048#ZM6138                                                                  | CUSIP: 3131Y0ZB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      329719 | PA      | $325485.97     | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | 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        |       11460 | PA      | $11737.02      | 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        |     3313469 | PA      | $3338881.38    | 0.01%             | 2052-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 4.5% 10/01/2055 #TBA                                                                    | CUSIP: 01F0426A6<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |   -77000000 | PA      | $-74683986.30  | -0.18%            | 2055-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 07/20/2043#MA1157                                                                    | CUSIP: 36179NJA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      120053 | PA      | $113455.41     | 0.00%             | 2043-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BBCMS MORTGAGE TRUST 2023-C21                                                      | BBCMS MORTGAGE TRUST 2023-C21 A3 CSTR 09/15/2056                                                  | CUSIP: 05553WAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    17797000 | PA      | $19165681.84   | 0.05%             | 2056-09-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 10/01/2050#                                                                        | CUSIP: 3133KKHL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      365015 | PA      | $336559.32     | 0.00%             | 2050-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/31 #560191                                                                           | CUSIP: 36213PKC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         533 | PA      | $550.47        | 0.00%             | 2031-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 7/40 #745237                                                                           | CUSIP: 3620C04W5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3781 | PA      | $3772.52       | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 8/29 #511373                                                                           | CUSIP: 31383SCJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         469 | PA      | $490.22        | 0.00%             | 2029-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.0% 03/01/2045#AY9025                                                                       | CUSIP: 3138YPA36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      152014 | PA      | $147141.02     | 0.00%             | 2045-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 3121 KO 0 3/36                                                                                | CUSIP: 31396JG74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       24734 | PA      | $21818.93      | 0.00%             | 2036-03-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 3/42 #AK1385                                                                           | CUSIP: 3138E5RF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       54417 | PA      | $53096.57      | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | 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        |        6523 | PA      | $6138.17       | 0.00%             | 2064-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 1/28 #413578                                                                           | CUSIP: 31379AM36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         363 | PA      | $371.99        | 0.00%             | 2028-01-01      | Fixed         | 0.07%                 | 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        |     8822600 | PA      | $8712234.12    | 0.02%             | 2038-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 3.419%/VAR 12/20/2028                                                 | CUSIP: 06051GHD4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    23187000 | PA      | $22833239.42   | 0.05%             | 2028-12-20      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 8/26 #190273                                                                           | CUSIP: 31368HJS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         119 | PA      | $119.04        | 0.00%             | 2026-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 2.75% 08/15/2032                                                                        | CUSIP: 91282CFF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   813762000 | PA      | $756512573.83  | 1.80%             | 2032-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 12/01/2038#AB8124                                                                  | CUSIP: 31417FA24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       17939 | PA      | $17992.03      | 0.00%             | 2038-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 3/26 #416180                                                                           | CUSIP: 36206NJZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |           6 | PA      | $5.67          | 0.00%             | 2026-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 08/01/2055#RJ4672                                                                  | CUSIP: 3142GVFN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     4523458 | PA      | $4394701.02    | 0.01%             | 2055-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3.5% 12/01/2029#J30136                                                                  | CUSIP: 31307LEH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       12420 | PA      | $12332.25      | 0.00%             | 2029-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 11/40 #737674                                                                          | CUSIP: 3620ARQ38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       48633 | PA      | $49448.28      | 0.00%             | 2040-11-15      | Fixed         | 0.05%                 | 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        |      311209 | PA      | $301622.59     | 0.00%             | 2041-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 10/01/2035#836427                                                                  | CUSIP: 31407PHC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        8645 | PA      | $8793.67       | 0.00%             | 2035-10-01      | Fixed         | 0.05%                 | 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        |    27163000 | PA      | $28192787.09   | 0.07%             | 2032-06-08      | Fixed         | 0.06%                 | 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        |      132645 | PA      | $128641.54     | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.00% 10/39 #680489                                                                          | CUSIP: 36295T7A6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        5314 | PA      | $5556.37       | 0.00%             | 2039-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 4/41 #A97976                                                                           | CUSIP: 3129462H8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        8042 | PA      | $8057.14       | 0.00%             | 2041-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 8/39 #704665                                                                           | CUSIP: 36296XZ64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       88538 | PA      | $90008.02      | 0.00%             | 2039-08-15      | Fixed         | 0.05%                 | 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        |    25676565 | PA      | $19754431.99   | 0.05%             | 2051-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 8.5% 08/01/2026#                                                                        | CUSIP: 31292GQ41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          44 | PA      | $44.46         | 0.00%             | 2026-08-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 09/01/2043#AU0080                                                                  | CUSIP: 3138WZCS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       14116 | PA      | $13703.56      | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 7/41 #772031                                                                           | CUSIP: 36176PPQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        6787 | PA      | $6579.89       | 0.00%             | 2041-07-15      | Fixed         | 0.04%                 | 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        |      628605 | PA      | $638241.18     | 0.00%             | 2039-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 7/28 #475895                                                                           | CUSIP: 36209MUU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1623 | PA      | $1664.00       | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 8/32 #579720                                                                           | CUSIP: 36201DAV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         345 | PA      | $356.64        | 0.00%             | 2032-08-15      | Fixed         | 0.07%                 | 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        |    32919000 | PA      | $32992146.02   | 0.08%             | 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        |       64341 | PA      | $57815.16      | 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        |    40000000 | PA      | $40144158.40   | 0.10%             | 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        |    61131000 | PA      | $53665010.45   | 0.13%             | 2033-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 12/01/2048#G61821                                                                  | CUSIP: 31335CAW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2492191 | PA      | $2465646.54    | 0.01%             | 2048-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 11/41 #AB3872                                                                          | CUSIP: 31417AJS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1933905 | PA      | $1887770.96    | 0.00%             | 2041-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 06/01/2047#BH3647                                                                  | CUSIP: 3140GSBR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       24776 | PA      | $24574.08      | 0.00%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 7/32 #648070                                                                           | CUSIP: 31390J6F3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1079 | PA      | $1145.43       | 0.00%             | 2032-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 12/01/2040#AH0530                                                                    | CUSIP: 3138A1SU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         693 | PA      | $676.65        | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                       | BARCLAYS PLC 6.692%/VAR 09/13/2034                                                                | CUSIP: 06738ECL7<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    45000000 | PA      | $49788166.95   | 0.12%             | 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        |      270624 | PA      | $270344.56     | 0.00%             | 2060-05-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CF HIPPOLYTA ISSUER LLC                                                            | CF HIPPOLYTA ISSUER LLC 1.99% 07/15/2060 144A                                                     | CUSIP: 12530MAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    24717222 | PA      | $20807453.87   | 0.05%             | 2060-07-15      | Fixed         | 0.02%                 | 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        |      151132 | PA      | $144553.70     | 0.00%             | 2049-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 5/42 #AO2138                                                                           | CUSIP: 3138LSLU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3799 | PA      | $3612.40       | 0.00%             | 2042-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT LP                                                           | AMERICAN HOMES 4 RENT LP 2.375% 07/15/2031                                                        | CUSIP: 02666TAC1<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              | CORP              | US        |     3169000 | PA      | $2807281.34    | 0.01%             | 2031-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 01/01/2041#                                                                          | CUSIP: 3132GEHF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       16900 | PA      | $16515.28      | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | 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        |      931745 | PA      | $886750.19     | 0.00%             | 2048-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 9/26 #313264                                                                           | CUSIP: 31374F5Z8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          52 | PA      | $51.97         | 0.00%             | 2026-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 05/01/2041#                                                                        | CUSIP: 3132GD2M3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       30465 | PA      | $30548.69      | 0.00%             | 2041-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/32 #552576                                                                           | CUSIP: 36213E2H8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         886 | PA      | $910.80        | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 3/41 #783267                                                                           | CUSIP: 36241LTY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      438434 | PA      | $425821.17     | 0.00%             | 2041-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                          | BOEING CO 5.805% 05/01/2050                                                                       | CUSIP: 097023CW3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    34788000 | PA      | $34755430.43   | 0.08%             | 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        |         291 | PA      | $302.14        | 0.00%             | 2031-01-15      | Fixed         | 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        |     2143163 | PA      | $2069795.52    | 0.00%             | 2031-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 12/26 #323242                                                                          | CUSIP: 31374TBK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          20 | PA      | $20.02         | 0.00%             | 2026-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 8/40 #G05937                                                                           | CUSIP: 3128M74W3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        3382 | PA      | $3392.22       | 0.00%             | 2040-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 03/01/2044#AS2238                                                                  | CUSIP: 3138WBPY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       99305 | PA      | $90877.74      | 0.00%             | 2044-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 04/01/2051#FM6540                                                                  | CUSIP: 3140XAHS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    24936715 | PA      | $21500236.15   | 0.05%             | 2051-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 07/01/2045#AZ5987                                                                  | CUSIP: 3138YXUM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      530865 | PA      | $486614.90     | 0.00%             | 2045-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY ENERGY COMPANY                                                  | BERKSHIRE HATHAWAY ENERGY COMPANY 3.7% 07/15/2030                                                 | CUSIP: 084659AV3<br>LEI: 549300JD0S5IZJE9LY15 | Long             | DBT              | CORP              | US        |     4149000 | PA      | $4061978.63    | 0.01%             | 2030-07-15      | 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        |      542594 | PA      | $570028.13     | 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        |      298287 | PA      | $303161.01     | 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        |      113993 | PA      | $110378.24     | 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        |       75897 | PA      | $75742.99      | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | 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        |      972295 | PA      | $948036.30     | 0.00%             | 2039-10-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 10/01/2052#FS6606                                                                    | CUSIP: 3140XNKU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       65426 | PA      | $52849.99      | 0.00%             | 2052-10-01      | Fixed         | 0.02%                 | 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        |    25010128 | PA      | $23630809.00   | 0.06%             | 2046-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 01/01/2045#AY0356                                                                  | CUSIP: 3138YDME6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1001168 | PA      | $969083.35     | 0.00%             | 2045-01-01      | Fixed         | 0.04%                 | 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        |      580000 | NC      | $91394.49      | 0.00%             |  |  |  | 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        |    11759000 | PA      | $12014263.67   | 0.03%             | 2030-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 05/20/2046#AT2645                                                                    | CUSIP: 36194A5E3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       57932 | PA      | $53660.30      | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 03/15/2043#AD2295                                                                  | CUSIP: 36180DRQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        7770 | PA      | $7318.23       | 0.00%             | 2043-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 12/41 #552552                                                                          | CUSIP: 36213EZR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       79981 | PA      | $77492.45      | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 02/01/2043#AR4132                                                                  | CUSIP: 3138W1SW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       17468 | PA      | $16073.35      | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 8/36 #A51069                                                                           | CUSIP: 3128KDFJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        2385 | PA      | $2430.64       | 0.00%             | 2036-08-01      | Fixed         | 0.05%                 | No            |                  2 | 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        |    15282717 | PA      | $15862109.61   | 0.04%             | 2055-03-01      | 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        |      557916 | PA      | $532901.36     | 0.00%             | 2040-08-01      | Fixed         | 0.04%                 | 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        |     8039741 | PA      | $8141365.98    | 0.02%             | 2036-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.0% 06/01/2041#Q01604                                                                  | CUSIP: 3132GEX96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      109688 | PA      | $111950.79     | 0.00%             | 2041-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CSX CORP                                                                           | CSX CORP 3.8% 04/15/2050                                                                          | CUSIP: 126408HS5<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |     5875000 | PA      | $4552085.83    | 0.01%             | 2050-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/32 #563578                                                                           | CUSIP: 36213TCP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         821 | PA      | $849.01        | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 8% 04/01/2032#                                                                          | CUSIP: 31283HRW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         121 | PA      | $127.57        | 0.00%             | 2032-04-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| BANK 2021-BNK34                                                                    | BANK 2021-BNK34 A4 2.156% 06/15/2063                                                              | CUSIP: 06541JAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5000000 | PA      | $4453586.00    | 0.01%             | 2063-06-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 07/01/2040#                                                                          | CUSIP: 312941NQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1099 | PA      | $1121.17       | 0.00%             | 2040-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CY562346 11/18/64 S                                                                   | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     1449838 | NC      | $-4783.45      | -0.00%            |  |  |  | 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        |        3097 | PA      | $3102.24       | 0.00%             | 2032-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 02/01/2042#AK2717                                                                    | CUSIP: 3138E7AT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       10760 | PA      | $10483.32      | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | 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        |      323902 | PA      | $313739.21     | 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        |     5513000 | PA      | $4977904.64    | 0.01%             | 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        |     7169000 | PA      | $7286292.01    | 0.02%             | 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        |     1326021 | PA      | $1080167.62    | 0.00%             | 2051-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 11/28 #477527                                                                          | CUSIP: 36209PPL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         300 | PA      | $306.37        | 0.00%             | 2028-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 3244 SG SOFR30A+654.552 11/36                                                                 | CUSIP: 31397CDA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      237180 | PA      | $21650.41      | 0.00%             | 2036-11-15      | Variable      | 0.02%                 | 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        |      204579 | PA      | $199225.15     | 0.00%             | 2041-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 12/01/2040#                                                                          | CUSIP: 312944FW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        5508 | PA      | $5394.20       | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                             | US 5YR NOTE (CBT) FUT DEC25 FVZ5                                                                  | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |        6290 | NC      | $1327362.98    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| WORLD OMNI AUTO RECEIVABLES TR 2023-B                                              | WORLD OMNI AUTO RECEIVABLES TR 2023-B 4.66% 05/15/2028                                            | CUSIP: 98164QAD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    11018145 | PA      | $11043772.86   | 0.03%             | 2028-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 11/35 #844435                                                                          | CUSIP: 31407YEG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         695 | PA      | $731.23        | 0.00%             | 2035-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| NAVIGATOR AIRCRAFT ABS LTD                                                         | NAVIGATOR AIRCRAFT ABS LTD 1 A 0% 10/15/2050 144A                                                 | CUSIP: 63943GAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    42746000 | PA      | $42882787.20   | 0.10%             | 2050-10-15      | Fixed         | 0.05%                 | 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        |       36157 | PA      | $36232.78      | 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        |      148003 | PA      | $148623.03     | 0.00%             | 2039-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3% 11/46#MA4126                                                                           | CUSIP: 36179SSP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     5286076 | PA      | $4791463.95    | 0.01%             | 2046-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6.5% 01/01/2054#SD4622                                                                  | CUSIP: 3132DSD33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     6056005 | PA      | $6351977.64    | 0.02%             | 2054-01-01      | Fixed         | 0.07%                 | 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        |    75200000 | PA      | $79525946.18   | 0.19%             | 2033-09-14      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2018-GS10                                                           | GS MTG SECS TR 2018-GS10 AAB 4.106% 07/10/2051                                                    | CUSIP: 36250SAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      787478 | PA      | $784442.38     | 0.00%             | 2051-07-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 8/39 #722964                                                                           | CUSIP: 3620A9FD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        5870 | PA      | $5967.48       | 0.00%             | 2039-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SUN CMNTYS OPER LTD PRTNRSHP                                                       | SUN CMNTYS OPER LTD PRTNRSHP 2.3% 11/01/2028                                                      | CUSIP: 866677AF4<br>LEI: 549300PUNBPJCGT6X741 | Long             | DBT              | CORP              | US        |     7110000 | PA      | $6722363.08    | 0.02%             | 2028-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 7/27 #441655                                                                           | CUSIP: 36207TTL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         377 | PA      | $379.98        | 0.00%             | 2027-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 3.283 6/1/41                                                                             | CUSIP: 3128UGXF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        7473 | PA      | $7797.20       | 0.00%             | 2041-06-01      | Variable      | 0.07%                 | 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        |    16602000 | PA      | $16411891.83   | 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        |     6938846 | PA      | $6976233.57    | 0.02%             | 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        |    51421000 | PA      | $51602310.45   | 0.12%             | 2037-07-18      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 01/01/2052#FS0208                                                                  | CUSIP: 3140XFGS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      700732 | PA      | $601975.93     | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 3/42 #773363                                                                           | CUSIP: 36176Q5Y6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       19072 | PA      | $17993.77      | 0.00%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 03/01/2039#AW1156                                                                    | CUSIP: 3138XQJA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      110143 | PA      | $107796.82     | 0.00%             | 2039-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 12/41 #AJ5748                                                                          | CUSIP: 3138AXL66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       38643 | PA      | $37705.48      | 0.00%             | 2041-12-01      | Fixed         | 0.04%                 | 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        |    11583688 | PA      | $11276353.74   | 0.03%             | 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        |     7702638 | PA      | $6837786.40    | 0.02%             | 2052-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UBER TECHNOLOGIES INC                                                              | UBER TECHNOLOGIES INC 4.8% 09/15/2035                                                             | CUSIP: 90353TAU4<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |    15783000 | PA      | $15639819.78   | 0.04%             | 2035-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 11/51#MA4468                                                                       | CUSIP: 31418D6E7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      259753 | PA      | $239259.60     | 0.00%             | 2051-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 11/27 #404971                                                                          | CUSIP: 31378P2C6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          49 | PA      | $50.23         | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.00% 8/41 #005139                                                                        | CUSIP: 36202FV86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       22653 | PA      | $22038.23      | 0.00%             | 2041-08-20      | Fixed         | 0.04%                 | 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        |    27644000 | PA      | $27644000.00   | 0.07%             | 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        |      128599 | PA      | $128913.23     | 0.00%             | 2041-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2021                                         | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2021-FCMT A TSFR1M+131.448 12/31/2049 144A                  | CUSIP: 95003EAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    19889000 | PA      | $19840902.43   | 0.05%             | 2031-05-15      | Variable      | 0.05%                 | 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        |      449306 | PA      | $447469.33     | 0.00%             | 2045-05-01      | Fixed         | 0.04%                 | 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        |    26848054 | PA      | $28215981.63   | 0.07%             | 2054-07-01      | Fixed         | 0.07%                 | 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        |     1016873 | PA      | $967766.85     | 0.00%             | 2048-04-20      | Fixed         | 0.04%                 | 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        |     5438763 | PA      | $5480474.90    | 0.01%             | 2052-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 01/01/2029#                                                                          | CUSIP: 31293HR88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         328 | PA      | $335.82        | 0.00%             | 2029-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| 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        |    30470000 | PA      | $30495990.91   | 0.07%             | 2034-04-19      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 04/01/2047#BH0886                                                                  | CUSIP: 3140GN6Y4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       79426 | PA      | $78630.07      | 0.00%             | 2047-04-01      | Fixed         | 0.04%                 | 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        |      159488 | PA      | $165735.68     | 0.00%             | 2039-02-01      | Variable      | 0.07%                 | 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        |       90441 | PA      | $88997.50      | 0.00%             | 2049-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 12/01/2042#AQ6625                                                                  | CUSIP: 3138MNLF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       15605 | PA      | $14328.58      | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2025-6                                                  | VERUS SECURITIZATION TRUST 2025-6 A1 STEP 07/25/2070 144A                                         | CUSIP: 92540YAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     6802781 | PA      | $6856548.67    | 0.02%             | 2070-07-25      | Variable      | 0.05%                 | 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        |      218008 | PA      | $207461.43     | 0.00%             | 2042-08-01      | Fixed         | 0.04%                 | 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        |      222688 | PA      | $216037.87     | 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        |       24376 | PA      | $24781.06      | 0.00%             | 2029-04-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 4.889% 3/33 #847126                                                                      | CUSIP: 3128HD4K2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         335 | PA      | $342.52        | 0.00%             | 2033-03-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.0% 04/15/2043#AE0545                                                                  | CUSIP: 36180STA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        5389 | PA      | $4950.25       | 0.00%             | 2043-04-15      | Fixed         | 0.03%                 | 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        |      662516 | PA      | $635647.25     | 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        |      692016 | PA      | $693942.05     | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 06/01/2043#Q19747                                                                  | CUSIP: 3132JBHZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       65379 | PA      | $63547.02      | 0.00%             | 2043-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PLANET FITNESS MASTER ISSUER LLC 18-1A                                             | PLANET FITNESS MASTER ISSUER LLC 18-1A 3.858% 12/05/2049 144A                                     | CUSIP: 72703PAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    21683155 | PA      | $20795147.41   | 0.05%             | 2049-12-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 01/01/2052#CB2550                                                                  | CUSIP: 3140QMZQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1303167 | PA      | $1119508.10    | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 5.00% 7/35 #832414                                                                           | CUSIP: 31407JYK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       17960 | PA      | $18273.03      | 0.00%             | 2035-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 09/01/2043#Q21845                                                                  | CUSIP: 3132JPBN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      151334 | PA      | $147110.30     | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 2/37 #908771                                                                           | CUSIP: 31411HT42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3324 | PA      | $3531.90       | 0.00%             | 2037-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 3/29 #323688                                                                           | CUSIP: 31374TRH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         413 | PA      | $421.08        | 0.00%             | 2029-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 3.705%/VAR 04/24/2028                                                 | CUSIP: 06051GGL7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    58915000 | PA      | $58534983.52   | 0.14%             | 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        |    29558379 | PA      | $25411101.70   | 0.06%             | 2051-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/31 #527605                                                                           | CUSIP: 36212ADJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        9304 | PA      | $9611.77       | 0.00%             | 2031-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 8/28 #480476                                                                           | CUSIP: 36209SXD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         416 | PA      | $427.09        | 0.00%             | 2028-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 06/01/2044#AW4764                                                                  | CUSIP: 3138XUJJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      226692 | PA      | $219930.91     | 0.00%             | 2044-06-01      | Fixed         | 0.04%                 | 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        |      318582 | PA      | $318833.63     | 0.00%             | 2041-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX 2021-XL2                                                                        | BX TRUST 21-XL2 A TSFR1M+80.298 10/15/2036 144A                                                   | CUSIP: 05609KAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3598815 | PA      | $3596565.66    | 0.01%             | 2038-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 01/01/2052#BU9788                                                                    | CUSIP: 3140MB2W1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       17006 | PA      | $15096.43      | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 10/29 #488767                                                                          | CUSIP: 36210C6C2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         401 | PA      | $411.17        | 0.00%             | 2029-10-15      | Fixed         | 0.07%                 | 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        |      845664 | PA      | $837978.10     | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | 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        |      720024 | PA      | $732010.83     | 0.00%             | 2041-09-15      | 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 1.5% 11/25/2044                                                    | CUSIP: 3137F8N25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     2463253 | PA      | $2148940.87    | 0.01%             | 2044-11-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                         | FANNIE MAE 4.5% 07/25/2048                                                                        | CUSIP: 3136BM7C6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     9413587 | PA      | $9355521.01    | 0.02%             | 2048-07-25      | Fixed         | 0.04%                 | 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        |       90139 | PA      | $87859.60      | 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        |        6254 | PA      | $6640.24       | 0.00%             | 2035-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 8/29 #509683                                                                           | CUSIP: 31383QFY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         199 | PA      | $201.00        | 0.00%             | 2029-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 05/47#BM1277                                                                         | CUSIP: 3140J5M30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2635151 | PA      | $2536103.83    | 0.01%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                              | JPMORGAN CHASE and CO 2.963%/VAR 01/25/2033                                                       | CUSIP: 46647PCU8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    17500000 | PA      | $16009768.25   | 0.04%             | 2033-01-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 1.5% 01/01/2051#QB7783                                                                  | CUSIP: 3133AEUG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1211679 | PA      | $938650.28     | 0.00%             | 2051-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 02/01/2048#Q54192                                                                    | CUSIP: 3132XWUS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      162669 | PA      | $156447.62     | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/28 #458859                                                                           | CUSIP: 36208RWU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         273 | PA      | $275.22        | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 06/20/2046#AR3124                                                                    | CUSIP: 36192XPH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      143948 | PA      | $133555.12     | 0.00%             | 2046-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 7/33 #594354                                                                           | CUSIP: 36201VH70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1915 | PA      | $1960.41       | 0.00%             | 2033-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 3.625% 08/31/2030                                                                       | CUSIP: 91282CNX5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   251500000 | PA      | $250203203.13  | 0.60%             | 2030-08-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: —       |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 03/01/2041#AH7495                                                                  | CUSIP: 3138A9KH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       20610 | PA      | $20093.12      | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | 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        |      237157 | PA      | $219789.81     | 0.00%             | 2042-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 06/01/2052#RA7510                                                                  | CUSIP: 3133KPKX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      214044 | PA      | $195685.68     | 0.00%             | 2052-06-01      | Fixed         | 0.04%                 | 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        |     2790914 | PA      | $2620436.49    | 0.01%             | 2047-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 11/01/2042#AQ6832                                                                  | CUSIP: 3138MNSW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       23577 | PA      | $22075.55      | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | 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        |      108828 | PA      | $108628.02     | 0.00%             | 2039-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 3/28 #417218                                                                           | CUSIP: 31379EPB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         123 | PA      | $123.29        | 0.00%             | 2028-03-01      | 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        |    32000000 | NC      | $-417344.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES                          | FNS 351 12 5.5% 4/34                                                                              | CUSIP: 3136FCJB3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |       14011 | PA      | $2088.79       | 0.00%             | 2034-04-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/32 #569702                                                                           | CUSIP: 36200Q3K8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4294 | PA      | $4438.17       | 0.00%             | 2032-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 3/41 #AH6783                                                                           | CUSIP: 3138A8RD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7204 | PA      | $7039.15       | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/31 #520104                                                                           | CUSIP: 36211QX97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         988 | PA      | $1013.72       | 0.00%             | 2031-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 3.5% 05/01/2034#C91764                                                                  | CUSIP: 3128P75Z2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      711332 | PA      | $697206.77     | 0.00%             | 2034-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 01/01/2048#CA0983                                                                  | CUSIP: 3140Q8CV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       69042 | PA      | $68198.96      | 0.00%             | 2048-01-01      | 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        |    16947000 | PA      | $16957055.84   | 0.04%             | 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        |      398742 | PA      | $379739.67     | 0.00%             | 2047-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 12/01/2052#RA8306                                                                    | CUSIP: 3133KQGP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1442281 | PA      | $1493241.41    | 0.00%             | 2052-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 5/34 #A23124                                                                           | CUSIP: 31297APH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         889 | PA      | $903.05        | 0.00%             | 2034-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 11/28 #755971                                                                          | CUSIP: 31403R2C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         126 | PA      | $131.32        | 0.00%             | 2028-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/32 #576026                                                                           | CUSIP: 36200X4K2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         242 | PA      | $250.97        | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/28 #466842                                                                           | CUSIP: 36209BS74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         170 | PA      | $172.57        | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 04/01/2044#AV7161                                                                  | CUSIP: 3138XJ5X1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      423857 | PA      | $412061.70     | 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        |       57526 | PA      | $57436.16      | 0.00%             | 2039-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/28 #436199                                                                           | CUSIP: 36207MRU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          37 | PA      | $37.73         | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | 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        |      826109 | PA      | $838919.58     | 0.00%             | 2041-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3.5% 06/01/2030#J31990                                                                  | CUSIP: 31307NF74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       33233 | PA      | $32929.75      | 0.00%             | 2030-06-01      | Fixed         | 0.04%                 | 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        |         264 | PA      | $271.16        | 0.00%             | 2028-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 10/35 #835556                                                                          | CUSIP: 31407NH97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       10743 | PA      | $11407.52      | 0.00%             | 2035-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.00% 4/42 #C03856                                                                           | CUSIP: 31292LH99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      987929 | PA      | $965094.98     | 0.00%             | 2042-04-01      | 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 2.745% 01/25/2026                                                  | CUSIP: 3137BNGT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    12411431 | PA      | $12341555.11   | 0.03%             | 2026-01-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 09/01/2051#CB1638                                                                  | CUSIP: 3140QLZC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       30367 | PA      | $27962.08      | 0.00%             | 2051-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 1/41 #AH2365                                                                           | CUSIP: 3138A3TX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       13001 | PA      | $12701.52      | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 11/01/2042#890500                                                                  | CUSIP: 31410LKM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       36010 | PA      | $35144.09      | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 10/35 #843693                                                                          | CUSIP: 31407XKE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        8567 | PA      | $9003.45       | 0.00%             | 2035-10-01      | Fixed         | 0.06%                 | 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        |      219213 | PA      | $205822.83     | 0.00%             | 2047-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 3/41 #AH8776                                                                           | CUSIP: 3138AAXE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1956 | PA      | $1960.77       | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/32 #781584                                                                           | CUSIP: 36225BXM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         398 | PA      | $411.40        | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2% 12/01/2040#MA4204                                                                    | CUSIP: 31418DU67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       14679 | PA      | $12834.07      | 0.00%             | 2040-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4% 07/31/2030                                                                           | CUSIP: 91282CHR5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  1606800000 | PA      | $1624939261.61 | 3.88%             | 2030-07-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 07/01/2045#Q34547                                                                  | CUSIP: 3132QRBR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       74416 | PA      | $67715.17      | 0.00%             | 2045-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                                              | LCH OIS SOFRV3.75% MAC 12/17/32                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |   -55311000 | NC      | $671385.38     | 0.00%             |  |  |  | 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        |     7272000 | PA      | $7197853.52    | 0.02%             | 2026-03-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 8/29 #252646                                                                           | CUSIP: 31371HTB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         103 | PA      | $107.66        | 0.00%             | 2029-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 3/41 #738119                                                                           | CUSIP: 3620ASAU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       18477 | PA      | $18790.26      | 0.00%             | 2041-03-15      | Fixed         | 0.05%                 | 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        |     2927542 | PA      | $2703890.88    | 0.01%             | 2051-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2018-C46                                                   | WELLS FARGO COML MTG TR 2018-C46 A4 4.152% 08/15/2051                                             | CUSIP: 95001QAU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1115000 | PA      | $1107525.15    | 0.00%             | 2051-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CIGNA GROUP (THE)                                                                  | CIGNA GROUP (THE) 5.4% 03/15/2033                                                                 | CUSIP: 125523CS7<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    30000000 | PA      | $31298172.30   | 0.07%             | 2033-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                                                   | WILLIAMS COS INC 2.6% 03/15/2031                                                                  | CUSIP: 969457BY5<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |     5542000 | PA      | $5032048.99    | 0.01%             | 2031-03-15      | Fixed         | 0.03%                 | 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        |       94632 | PA      | $77116.05      | 0.00%             | 2051-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 01/01/2033#J38387                                                                    | CUSIP: 31307VJ80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      512343 | PA      | $498073.24     | 0.00%             | 2033-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 2/33 #693335                                                                           | CUSIP: 31400PHL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2203 | PA      | $2344.83       | 0.00%             | 2033-02-01      | Fixed         | 0.07%                 | 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        |      178923 | PA      | $169810.24     | 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        |         324 | PA      | $332.70        | 0.00%             | 2028-08-15      | Fixed         | 0.07%                 | 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        |      783836 | PA      | $766081.03     | 0.00%             | 2045-05-01      | Fixed         | 0.04%                 | 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        |       10052 | PA      | $10486.82      | 0.00%             | 2032-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 5.30% 8/36 #888199                                                                       | CUSIP: 31410FX42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       77617 | PA      | $79443.80      | 0.00%             | 2036-08-01      | Variable      | 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        |     8522507 | PA      | $7861038.87    | 0.02%             | 2052-03-01      | Fixed         | 0.04%                 | 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        |     4915500 | PA      | $5089527.69    | 0.01%             | 2054-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 01/01/2052#BQ6999                                                                    | CUSIP: 3140KSX51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       69898 | PA      | $56675.96      | 0.00%             | 2052-01-01      | Fixed         | 0.02%                 | 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        |      248080 | PA      | $229251.77     | 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        |    27891000 | PA      | $27084116.72   | 0.06%             | 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        |    17638753 | PA      | $17724420.82   | 0.04%             | 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        |      325254 | PA      | $336177.90     | 0.00%             | 2035-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE LN FDG 2025-2 LTD / PALMER SQUARE LN FDG 2025-2 LLC                  | PALMER SQUARE LN FDG LTD 2025-2A A1 TSFR3M+94 07/15/2033 144A                                     | CUSIP: 69704AAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    28000000 | PA      | $27997452.00   | 0.07%             | 2033-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 8/30 #567034                                                                           | CUSIP: 31386L4T6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       14107 | PA      | $14454.84      | 0.00%             | 2030-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 2.5% 05/01/2041#SC0167                                                                  | CUSIP: 3132D9FG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3534746 | PA      | $3182034.00    | 0.01%             | 2041-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HAVN TR 2025-MOB                                                                   | HAVN TR 2025-MOB A TSFR1M+175 10/15/2027 144A                                                     | CUSIP: 40408XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4800000 | PA      | $4800000.00    | 0.01%             | 2027-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 10/39 #AC0435                                                                          | CUSIP: 31417JPV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       27964 | PA      | $28006.54      | 0.00%             | 2039-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 09/01/2045#AZ9193                                                                  | CUSIP: 3140E2GB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       24732 | PA      | $23190.09      | 0.00%             | 2045-09-01      | Fixed         | 0.04%                 | 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        |      495238 | PA      | $483865.65     | 0.00%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 02/01/2032#ZK8527                                                                  | CUSIP: 3131XCPL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       28635 | PA      | $27643.30      | 0.00%             | 2032-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 5% 10/01/2055 #TBA                                                                        | CUSIP: 21H0506A5<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -292250000 | PA      | $-290698298.63 | -0.69%            | 2055-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/28 #483639                                                                           | CUSIP: 36209WHQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          73 | PA      | $74.08         | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | 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        |      187680 | PA      | $155513.07     | 0.00%             | 2036-02-15      | Fixed         | 0.00%                 | 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        |       61271 | PA      | $58905.05      | 0.00%             | 2032-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 2/40 #735366                                                                           | CUSIP: 3620AN6B1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       21016 | PA      | $20985.20      | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | 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        |    17104291 | PA      | $17061529.93   | 0.04%             | 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        |     5504000 | PA      | $5550941.47    | 0.01%             | 2028-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 5.65% 7/37 #942609                                                                       | CUSIP: 31413DVA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       62690 | PA      | $65193.41      | 0.00%             | 2037-07-01      | Variable      | 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        |      383165 | PA      | $363439.85     | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORP                                                                   | NTT FINANCE CORP 4.876% 07/16/2030 144A                                                           | CUSIP: 62954WAS4<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |    14868000 | PA      | $15106963.85   | 0.04%             | 2030-07-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 5/27 #444382                                                                           | CUSIP: 36207WUF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          83 | PA      | $84.00         | 0.00%             | 2027-05-15      | 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        |      229165 | PA      | $209258.77     | 0.00%             | 2045-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.00% 1/28 #459649                                                                           | CUSIP: 36208STE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         551 | PA      | $561.45        | 0.00%             | 2028-01-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 05/01/2043#AT3998                                                                  | CUSIP: 3138WRNQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       20091 | PA      | $18930.84      | 0.00%             | 2043-05-01      | Fixed         | 0.04%                 | 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        |      156752 | PA      | $156842.29     | 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        |    32000000 | NC      | $1023374.40    | 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        |      284288 | PA      | $285211.39     | 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        |      126071 | PA      | $122602.73     | 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        |    32753000 | PA      | $32850309.16   | 0.08%             | 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        |      230359 | PA      | $222563.60     | 0.00%             | 2031-10-01      | 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+110 FB 11/25/2054                                          | CUSIP: 3137HHF97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     6810480 | PA      | $6814613.40    | 0.02%             | 2054-11-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 8/27 #251115                                                                           | CUSIP: 31371F3Y6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |           6 | PA      | $5.68          | 0.00%             | 2027-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 10/40#004832                                                                         | CUSIP: 36202FLM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        5741 | PA      | $5457.25       | 0.00%             | 2040-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 01/01/2048#BJ1581                                                                    | CUSIP: 3140H2XK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       55708 | PA      | $53439.60      | 0.00%             | 2048-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 12/38 #782495                                                                          | CUSIP: 36241KXY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2015 | PA      | $2071.67       | 0.00%             | 2038-12-15      | Fixed         | 0.06%                 | 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        |       33280 | PA      | $34137.42      | 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        |    42125000 | PA      | $41749047.86   | 0.10%             | 2028-03-24      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 2/44 #AG9361                                                                           | CUSIP: 36182EMJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      166646 | PA      | $156041.06     | 0.00%             | 2044-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HUDSON PACIFIC PROPERTIES LP                                                       | HUDSON PACIFIC PROPERTIES LP 4.65% 04/01/2029                                                     | CUSIP: 44409MAB2<br>LEI: 5493007NTUGLGZ8T3526 | Long             | DBT              | CORP              | US        |    37205000 | PA      | $34621455.04   | 0.08%             | 2029-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2% 08/35#MA4095                                                                         | CUSIP: 31418DRR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5917428 | PA      | $5475307.81    | 0.01%             | 2035-08-01      | Fixed         | 0.02%                 | 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        |     3901469 | PA      | $3933063.57    | 0.01%             | 2039-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HPS CORPORATE LENDING FUND                                                         | HPS CORPORATE LENDING FUND 5.45% 01/14/2028                                                       | CUSIP: 40440VAH8<br>LEI: 549300ZS7IHUA6FKFV61 | Long             | DBT              | CORP              | US        |    77521000 | PA      | $78225911.63   | 0.19%             | 2028-01-14      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 1/42 #AJ8222                                                                           | CUSIP: 3138E1D46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       85376 | PA      | $83100.06      | 0.00%             | 2042-01-01      | Fixed         | 0.04%                 | 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        |      169398 | PA      | $158304.88     | 0.00%             | 2043-01-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/28 #469552                                                                           | CUSIP: 36209ETH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         549 | PA      | $553.36        | 0.00%             | 2028-05-15      | Fixed         | 0.07%                 | 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        |     6217657 | PA      | $5057087.77    | 0.01%             | 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        |         256 | PA      | $267.80        | 0.00%             | 2029-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.5% 03/01/2055#CC0136                                                                  | CUSIP: 3140Y6EJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5010996 | PA      | $5269832.78    | 0.01%             | 2055-03-01      | 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        |        1778 | PA      | $1838.02       | 0.00%             | 2031-11-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 10/01/2050#FS1578                                                                    | CUSIP: 3140XGXG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    11387059 | PA      | $10902119.36   | 0.03%             | 2050-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                                | PETROLEOS MEXICANOS 6.95% 01/28/2060                                                              | CUSIP: 71654QDF6<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    18760000 | PA      | $15466682.00   | 0.04%             | 2060-01-28      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 11/32 #781548                                                                          | CUSIP: 36225BWH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         453 | PA      | $467.27        | 0.00%             | 2032-11-15      | 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        |       60786 | PA      | $58727.96      | 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        |      167549 | PA      | $170376.97     | 0.00%             | 2040-08-15      | 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        |      300000 | NC      | $47273.01      | 0.00%             |  |  |  | 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        |      140102 | PA      | $140425.07     | 0.00%             | 2041-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 7/28 #506236                                                                           | CUSIP: 31383LLR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3861 | PA      | $3924.56       | 0.00%             | 2028-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 01/01/2045#Q30829                                                                  | CUSIP: 3132QL4P5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       52222 | PA      | $52057.41      | 0.00%             | 2045-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/32 #581908                                                                           | CUSIP: 36201FNZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       10792 | PA      | $11136.88      | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AJAX MTG LN TR 2021-E                                                              | AJAX MTG LN TR 2021-E 1.74% 12/25/2060 144A                                                       | CUSIP: 009740AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     8431170 | PA      | $7479671.49    | 0.02%             | 2060-12-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.0% 05/15/2043#AD0745                                                                  | CUSIP: 36180BZJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       42464 | PA      | $39006.98      | 0.00%             | 2043-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/32 #563581                                                                           | CUSIP: 36213TCS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3872 | PA      | $4001.84       | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 12/01/2042#AB7272                                                                  | CUSIP: 31417ECJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       15764 | PA      | $14573.42      | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.00% 2/41 #A97040                                                                           | CUSIP: 312945ZD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1371739 | PA      | $1341826.02    | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.50% 9/34 #574764                                                                           | CUSIP: 36200WQR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        8676 | PA      | $9025.93       | 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        |        3839 | PA      | $4026.09       | 0.00%             | 2031-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 11/01/2042#AQ2116                                                                  | CUSIP: 3138MHK69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       25232 | PA      | $23323.69      | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | 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        |     7573702 | PA      | $7634339.47    | 0.02%             | 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        |     7810000 | PA      | $7827084.38    | 0.02%             | 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        |    70000000 | PA      | $70217957.60   | 0.17%             | 2033-04-26      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ARES STRATEGIC INCOME FUND                                                         | ARES STRATEGIC INCOME FUND 5.45% 09/09/2028 144A                                                  | CUSIP: 04020EAL1<br>LEI: 549300IANZJVZPTICV54 | Long             | DBT              | CORP              | US        |    24383000 | PA      | $24573195.69   | 0.06%             | 2028-09-09      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2018-H4                                             | MORGAN STANLEY CAPITAL I TRUST 2018-H4 4.31% 12/15/2051                                           | CUSIP: 61691RAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    11843000 | PA      | $11718411.64   | 0.03%             | 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        |    21650000 | NC      | $723056.74     | 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        |    15961715 | PA      | $15763881.88   | 0.04%             | 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        |      281125 | PA      | $274813.54     | 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        |      336988 | PA      | $355648.61     | 0.00%             | 2041-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WESTF 2025-A                                                                       | WESTF 2025-A 5.582% 06/15/2050 144A                                                               | CUSIP: 97063RAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    23451484 | PA      | $23753206.06   | 0.06%             | 2050-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 1/41 #AH3394                                                                           | CUSIP: 3138A4XY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9237 | PA      | $9027.11       | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | 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        |    16056047 | PA      | $13094195.86   | 0.03%             | 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        |     2802498 | PA      | $2947258.08    | 0.01%             | 2055-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 01/01/2041#A96051                                                                  | CUSIP: 312944WL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      656953 | PA      | $658886.84     | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 06/15/2043#740830                                                                  | CUSIP: 3620AVA77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       73164 | PA      | $68744.44      | 0.00%             | 2043-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 09/01/2038#AU4761                                                                    | CUSIP: 3138X4JF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      334559 | PA      | $328451.94     | 0.00%             | 2038-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 11/25 #418755                                                                          | CUSIP: 36206RE44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |           5 | PA      | $5.26          | 0.00%             | 2025-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| INVITATION HOMES OPERATING PARTNERSHIP LP                                          | INVITATION HOMES OPERATING PARTNERSHIP LP 4.15% 04/15/2032                                        | CUSIP: 46188BAD4<br>LEI: 549300147YMUQB3GW319 | Long             | DBT              | CORP              | US        |    21143000 | PA      | $20439631.80   | 0.05%             | 2032-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/32 #581769                                                                           | CUSIP: 36201FJN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2975 | PA      | $3085.18       | 0.00%             | 2032-04-15      | Fixed         | 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        |    29723000 | PA      | $30707423.98   | 0.07%             | 2031-04-22      | Variable      | 0.05%                 | 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        |        1355 | PA      | $1396.18       | 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        |    27295000 | PA      | $26079308.00   | 0.06%             | 2029-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 07/01/2043#Q20358                                                                  | CUSIP: 3132JMMF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       65655 | PA      | $63775.97      | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | 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        |    10407000 | PA      | $10276912.50   | 0.02%             | 2034-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 11/39 #726916                                                                          | CUSIP: 3620ADSD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       37457 | PA      | $37375.69      | 0.00%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 2/40 #737007                                                                           | CUSIP: 3620AQYC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       74314 | PA      | $74180.96      | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 8/40 #743877                                                                           | CUSIP: 3620AYM29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        6033 | PA      | $6016.83       | 0.00%             | 2040-08-15      | Fixed         | 0.04%                 | 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        |        8523 | PA      | $8487.26       | 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        |        8542 | PA      | $932.80        | 0.00%             | 2033-03-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 4/42 #AK4826                                                                           | CUSIP: 3138E9LG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      365673 | PA      | $347311.79     | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | 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        |     4293000 | PA      | $4578675.11    | 0.01%             | 2043-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 05/01/2045#Q33347                                                                  | CUSIP: 3132QPWH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       77402 | PA      | $72871.60      | 0.00%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 08/01/2051#                                                                        | CUSIP: 3133KMLP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      696387 | PA      | $641227.80     | 0.00%             | 2051-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 8/27 #455273                                                                           | CUSIP: 36208MXA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         159 | PA      | $161.92        | 0.00%             | 2027-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 1/27 #256630                                                                           | CUSIP: 31371NA70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         903 | PA      | $909.87        | 0.00%             | 2027-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| LIBERTY MUTUAL GROUP INC                                                           | LIBERTY MUTUAL GROUP INC 4.569% 02/01/2029 144A                                                   | CUSIP: 53079EBG8<br>LEI: QUR0DG15Z6FFGYCHH861 | Long             | DBT              | CORP              | US        |    19896000 | PA      | $20024948.76   | 0.05%             | 2029-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 03/01/2043#AR9089                                                                  | CUSIP: 3138W7C36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      392950 | PA      | $363481.09     | 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        |     3125000 | PA      | $3029170.94    | 0.01%             | 2029-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.00% 2/29 #C22365                                                                           | CUSIP: 31293KTW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          88 | PA      | $89.52         | 0.00%             | 2029-02-01      | Fixed         | 0.06%                 | 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        |      994866 | PA      | $950952.79     | 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        |     6911000 | PA      | $6884048.97    | 0.02%             | 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        |    20872359 | PA      | $21552058.61   | 0.05%             | 2049-05-16      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 10/40 #AB1611                                                                          | CUSIP: 31416WYH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       25342 | PA      | $24182.72      | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SBNA AUTO LEASE TRUST 2024-C                                                       | SBNA AUTO LEASE TRUST 2024-C 4.56% 02/22/2028 144A                                                | CUSIP: 78398DAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    14200000 | PA      | $14241911.30   | 0.03%             | 2028-02-22      | Fixed         | 0.05%                 | 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        |     7417000 | PA      | $7389186.25    | 0.02%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2% 02/01/2041#                                                                          | CUSIP: 31418DW65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       15671 | PA      | $13683.22      | 0.00%             | 2041-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE INC                                                      | INTERCONTINENTAL EXCHANGE INC 3.75% 12/01/2025                                                    | CUSIP: 45866FAD6<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |     4530000 | PA      | $4526960.37    | 0.01%             | 2025-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 11/41 #748278                                                                          | CUSIP: 3620C4JX9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        7297 | PA      | $7070.72       | 0.00%             | 2041-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 1/41 #759100                                                                           | CUSIP: 36230UDD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       16232 | PA      | $15381.92      | 0.00%             | 2041-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BAE SYSTEMS PLC                                                                    | BAE SYSTEMS PLC 3.4% 04/15/2030 144A                                                              | CUSIP: 05523RAD9<br>LEI: 8SVCSVKSGDWMW2QHOH83 | Long             | DBT              | CORP              | GB        |     9575000 | PA      | $9228364.13    | 0.02%             | 2030-04-15      | 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 5175 CB 2.5% 04/25/2050                                            | CUSIP: 3137H4N30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    12687021 | PA      | $11222285.64   | 0.03%             | 2050-04-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 7/40 #674064                                                                           | CUSIP: 36295LZ53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       94831 | PA      | $96412.26      | 0.00%             | 2040-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 12/28 #781277                                                                          | CUSIP: 36225BM21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         103 | PA      | $104.43        | 0.00%             | 2028-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 06/01/2045#Q34156                                                                  | CUSIP: 3132QQTN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      695084 | PA      | $635963.33     | 0.00%             | 2045-06-01      | Fixed         | 0.03%                 | 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        |    28933000 | PA      | $29173391.28   | 0.07%             | 2028-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 07/01/2044#Q27096                                                                  | CUSIP: 3132M7RR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       96277 | PA      | $93374.85      | 0.00%             | 2044-07-01      | 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        |     9376000 | PA      | $9384229.22    | 0.02%             | 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        |     9349700 | PA      | $8339396.16    | 0.02%             | 2042-01-01      | Fixed         | 0.03%                 | 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        |         331 | PA      | $339.11        | 0.00%             | 2028-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                                 | JPSW SWAP PAY 3.837 07/22/26                                                                      | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |    47480000 | NC      | $953990.48     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/28 #456151                                                                           | CUSIP: 36208NWL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         292 | PA      | $293.75        | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 3.5% 02/34#G30703                                                                       | CUSIP: 3132J4AD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     7188651 | PA      | $7057879.00    | 0.02%             | 2034-02-01      | Fixed         | 0.04%                 | 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        |     1905895 | PA      | $1862133.73    | 0.00%             | 2032-12-01      | Fixed         | 0.03%                 | 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        |      343088 | PA      | $339004.25     | 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        |    15234121 | PA      | $14747086.18   | 0.04%             | 2044-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.0% 03/01/2041#A97717                                                                  | CUSIP: 312946SE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       13589 | PA      | $13697.58      | 0.00%             | 2041-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 8/29 #511324                                                                           | CUSIP: 31383SAZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1280 | PA      | $1338.18       | 0.00%             | 2029-08-01      | 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 CFX 4.95% 07/05/2023 144A                              | CUSIP: 46645WBC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3450000 | PA      | $2346000.00    | 0.01%             | 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        |    35305000 | PA      | $37212343.80   | 0.09%             | 2036-04-22      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 6/41 #738429                                                                           | CUSIP: 3620ASLJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       38432 | PA      | $39082.83      | 0.00%             | 2041-06-15      | Fixed         | 0.05%                 | 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        |     6234896 | PA      | $5069160.61    | 0.01%             | 2051-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                         | CAPITAL ONE FIN CORP 5.247%/VAR 07/26/2030                                                        | CUSIP: 14040HCV5<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    40470000 | PA      | $41598635.45   | 0.10%             | 2030-07-26      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/28 #158759                                                                           | CUSIP: 36216AJC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         592 | PA      | $601.59        | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | 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        |       77851 | PA      | $76029.04      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 8/32 #656362                                                                           | CUSIP: 31390UFB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3517 | PA      | $3728.67       | 0.00%             | 2032-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 10/40 #AE3871                                                                          | CUSIP: 31419EJR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1150 | PA      | $1122.38       | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 04/01/2049#BN9936                                                                  | CUSIP: 3140JTBE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       65170 | PA      | $67265.14      | 0.00%             | 2049-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.0% 08/01/2038#929854                                                                  | CUSIP: 31412NBX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         184 | PA      | $193.96        | 0.00%             | 2038-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 06/01/2031#J34669                                                                    | CUSIP: 31307RFJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       49187 | PA      | $48102.50      | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 2/1/43 #Q15635                                                                       | CUSIP: 3132J6V50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       85059 | PA      | $78436.89      | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 04/01/2046#Q40085                                                                  | CUSIP: 3132WDCX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1570266 | PA      | $1472289.79    | 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        |       52627 | PA      | $52797.49      | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 7/35 #834769                                                                           | CUSIP: 31407MMS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         466 | PA      | $487.49        | 0.00%             | 2035-07-01      | Fixed         | 0.06%                 | 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        |    34398000 | PA      | $34419877.13   | 0.08%             | 2038-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.0% 05/01/2036#880939                                                                  | CUSIP: 31409WV81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         730 | PA      | $769.31        | 0.00%             | 2036-05-01      | Fixed         | 0.06%                 | 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        |        9132 | PA      | $9543.24       | 0.00%             | 2032-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 07/01/2029#                                                                          | CUSIP: 31293S6F1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         189 | PA      | $193.24        | 0.00%             | 2029-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 3.375% 05/15/2033                                                                       | CUSIP: 91282CHC8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   465000000 | PA      | $446654299.20  | 1.07%             | 2033-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/31 #563290                                                                           | CUSIP: 36213SXT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       22563 | PA      | $23309.81      | 0.00%             | 2031-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 7/40 #739706                                                                           | CUSIP: 3620ATYB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       95116 | PA      | $96715.51      | 0.00%             | 2040-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMCC COML MTG SECS TR 2016-JP4                                                    | JPMCC COML MTG SECS TR 2016-JP4 3.3928% 12/15/2049                                                | CUSIP: 46645UAS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    13946510 | PA      | $13818757.18   | 0.03%             | 2049-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 05/01/2048#BM3877                                                                    | CUSIP: 3140J8JX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1083870 | PA      | $1039743.77    | 0.00%             | 2048-05-01      | Fixed         | 0.04%                 | 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        |    14629752 | PA      | $14637637.82   | 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        |    37620000 | PA      | $39592413.21   | 0.09%             | 2027-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 5.00% 7/39 #AL0070                                                                           | CUSIP: 3138EGCG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       10383 | PA      | $10570.76      | 0.00%             | 2039-07-01      | Fixed         | 0.05%                 | 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        |      207261 | PA      | $202336.26     | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 10/40 #748670                                                                          | CUSIP: 3620C4W71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       13946 | PA      | $13557.74      | 0.00%             | 2040-10-15      | Fixed         | 0.04%                 | 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        |    33012000 | PA      | $32728680.78   | 0.08%             | 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        |      368440 | PA      | $360764.36     | 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        |       61783 | PA      | $61914.06      | 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        |       25015 | PA      | $25697.01      | 0.00%             | 2035-05-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 2/41 #AE0949                                                                           | CUSIP: 31419BBT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        8091 | PA      | $7905.86       | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | 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        |     1717914 | PA      | $1651732.80    | 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        |    55130000 | PA      | $55240260.00   | 0.13%             | 2036-05-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 03/01/2047#BE8189                                                                  | CUSIP: 3140FUC30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       27829 | PA      | $27611.30      | 0.00%             | 2047-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 08/01/2043#Q20882                                                                  | CUSIP: 3132JM6T1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       21496 | PA      | $20881.38      | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 10/01/2033#                                                                          | CUSIP: 31296PYK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       21364 | PA      | $21713.76      | 0.00%             | 2033-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 12/15/2040#734089                                                                  | CUSIP: 3620AMRJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1320254 | PA      | $1281036.38    | 0.00%             | 2040-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 10/40 #A94662                                                                          | CUSIP: 312943FB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      131002 | PA      | $131310.75     | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIZENS AUTO RECEIVABLES TRUST 2024-2                                             | CITIZENS AUTO RECEIVABLES TRUST 2024-2 5.33% 08/15/2028 144A                                      | CUSIP: 17331XAD3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     9000000 | PA      | $9072569.70    | 0.02%             | 2028-08-15      | Fixed         | 0.05%                 | 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        |    12589868 | PA      | $10749366.23   | 0.03%             | 2051-09-20      | Fixed         | 0.03%                 | 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        |      600000 | NC      | $84096.72      | 0.00%             |  |  |  | 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        |     7693000 | PA      | $7897574.56    | 0.02%             | 2041-01-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 11/40 #AE8539                                                                          | CUSIP: 31419KPZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3085 | PA      | $3009.14       | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.0% 03/01/2038#969711                                                                  | CUSIP: 31414LYG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       36163 | PA      | $37861.87      | 0.00%             | 2038-03-01      | Fixed         | 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        |    40918000 | PA      | $40994107.48   | 0.10%             | 2035-01-17      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| PROLOGIS LP                                                                        | PROLOGIS LP 3.25% 06/30/2026                                                                      | CUSIP: 74340XBU4<br>LEI: GL16H1DHB0QSHP25F723 | Long             | DBT              | CORP              | US        |     2124000 | PA      | $2111003.12    | 0.01%             | 2026-06-30      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 5/40 #741269                                                                           | CUSIP: 3620AVQW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       12821 | PA      | $12784.87      | 0.00%             | 2040-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 1/28 #413862                                                                           | CUSIP: 31379AWX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1048 | PA      | $1071.81       | 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        |      150505 | PA      | $150531.43     | 0.00%             | 2060-12-20      | Variable      | 0.05%                 | 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        |     5854118 | PA      | $5981960.41    | 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        |     1140471 | PA      | $1130462.10    | 0.00%             | 2048-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 4% 10/01/2055 #TBA                                                                      | CUSIP: 01F0406A0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    43000000 | PA      | $40519102.10   | 0.10%             | 2055-10-01      | Fixed         | 0.04%                 | 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        |      709015 | PA      | $694243.79     | 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        |       10040 | PA      | $10331.16      | 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        |        9212 | PA      | $9272.94       | 0.00%             | 2032-10-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.00% 11/39 #719739                                                                          | CUSIP: 3620A5S42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       15263 | PA      | $15968.72      | 0.00%             | 2039-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AB7567                                                                  | CUSIP: 31417EMR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       23080 | PA      | $21345.98      | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 3/41 #AH0358                                                                           | CUSIP: 3138A1MG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7406 | PA      | $7241.98       | 0.00%             | 2041-03-01      | 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        |     1690288 | PA      | $1673970.17    | 0.00%             | 2041-01-25      | Fixed         | 0.05%                 | 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        |     4858255 | PA      | $4147757.43    | 0.01%             | 2050-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 07/44#AW5410                                                                       | CUSIP: 3138XVAL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       22309 | PA      | $22738.16      | 0.00%             | 2044-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                             | US ULTRA BOND CBT FUT DEC25 WNZ5                                                                  | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |          55 | NC      | $86850.86      | 0.00%             |  |  |  | No            |                  1 | 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        |          89 | PA      | $0.82          | 0.00%             | 2034-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 05/20/2046#AT1323                                                                    | CUSIP: 36193YPG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      148974 | PA      | $138218.37     | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 3.0% 8/45#Q35372                                                                             | CUSIP: 3132QR6J4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      179314 | PA      | $163548.78     | 0.00%             | 2045-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| OPEN TR 2023-AIR                                                                   | OPEN TR 2023-AIR TSFR1M+383.799 10/15/2028 144A                                                   | CUSIP: 68373BAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    10975200 | PA      | $10982059.49   | 0.03%             | 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        |       82887 | PA      | $82752.51      | 0.00%             | 2040-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 06/01/2045#Q34103                                                                  | CUSIP: 3132QQRZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       31011 | PA      | $28428.16      | 0.00%             | 2045-06-01      | 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        |     7033477 | PA      | $6059812.08    | 0.01%             | 2050-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.5% 10/15/2040#740554                                                                  | CUSIP: 3620AUWP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3540 | PA      | $3531.66       | 0.00%             | 2040-10-15      | Fixed         | 0.04%                 | 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        |     2516523 | PA      | $2476128.60    | 0.01%             | 2040-01-16      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 2/27 #361825                                                                           | CUSIP: 31376P4J1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          35 | PA      | $36.10         | 0.00%             | 2027-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 05/01/2046#CB0573                                                                  | CUSIP: 3140QKT73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      255356 | PA      | $219846.45     | 0.00%             | 2046-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 12/01/2042#AB7273                                                                  | CUSIP: 31417ECK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       76199 | PA      | $70472.39      | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | 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        |       71636 | PA      | $69209.57      | 0.00%             | 2045-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 12/01/2042#AR0530                                                                  | CUSIP: 3138NWSU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       77546 | PA      | $71662.09      | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 11/38 #995876                                                                          | CUSIP: 31416CJV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1175 | PA      | $1240.12       | 0.00%             | 2038-11-01      | Fixed         | 0.06%                 | 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        |       23652 | PA      | $24732.71      | 0.00%             | 2036-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| VENTAS RLTY LTD PARTNERSHIP                                                        | VENTAS RLTY LTD PARTNERSHIP 4.125% 01/15/2026                                                     | CUSIP: 92277GAG2<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |     7649000 | PA      | $7633008.01    | 0.02%             | 2026-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/28 #454037                                                                           | CUSIP: 36208LLS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         274 | PA      | $278.01        | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 08/01/2043#Q20707                                                                  | CUSIP: 3132JMYC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      123578 | PA      | $120148.94     | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 09/42#AP5393                                                                       | CUSIP: 3138M87F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      116166 | PA      | $110197.88     | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 6/27 #353706                                                                           | CUSIP: 36203M3P3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         204 | PA      | $206.44        | 0.00%             | 2027-06-15      | 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        |    25147000 | PA      | $25157863.50   | 0.06%             | 2034-04-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/32 #590306                                                                           | CUSIP: 36201QYB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         285 | PA      | $293.58        | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 9/27 #398926                                                                           | CUSIP: 31378HD73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         185 | PA      | $187.03        | 0.00%             | 2027-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 2/41 #AH0352                                                                           | CUSIP: 3138A1MA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1695 | PA      | $1655.91       | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 1/28 #412598                                                                           | CUSIP: 31378YKK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          37 | PA      | $37.42         | 0.00%             | 2028-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.125% 11/15/2032                                                                       | CUSIP: 91282CFV8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   825807000 | PA      | $835419905.48  | 1.99%             | 2032-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AJAXM 2021-C                                                                       | AJAXM 2021-C 6.115% 01/25/2061 144A                                                               | CUSIP: 009733AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2110685 | PA      | $2110218.83    | 0.01%             | 2061-01-25      | Fixed         | 0.06%                 | 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        |       57357 | PA      | $58348.67      | 0.00%             | 2041-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 7/39 #710683                                                                           | CUSIP: 36297FRC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1955 | PA      | $1950.67       | 0.00%             | 2039-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                       | BARCLAYS PLC 2.894%/VAR 11/24/2032                                                                | CUSIP: 06738EBV6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    13572000 | PA      | $12231497.63   | 0.03%             | 2032-11-24      | Variable      | 0.03%                 | 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        |    40229080 | PA      | $41060872.42   | 0.10%             | 2050-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HARTFORD INSURANCE GROUP INC/THE                                                   | HARTFORD INSURANCE GROUP INC/THE 2.8% 08/19/2029                                                  | CUSIP: 416515BE3<br>LEI: IU7C3FTM7Y3BQM112U94 | Long             | DBT              | CORP              | US        |     7704000 | PA      | $7287376.69    | 0.02%             | 2029-08-19      | Fixed         | 0.03%                 | 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        |      362442 | PA      | $382670.95     | 0.00%             | 2040-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 10/40 #682568                                                                          | CUSIP: 36295WJM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      214152 | PA      | $208048.59     | 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        |     7437767 | PA      | $6687853.67    | 0.02%             | 2035-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/31 #520056                                                                           | CUSIP: 36211QWR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         311 | PA      | $318.57        | 0.00%             | 2031-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 9/27 #395754                                                                           | CUSIP: 31378DTK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          29 | PA      | $29.22         | 0.00%             | 2027-09-01      | Fixed         | 0.07%                 | 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        |     2214000 | PA      | $2400695.37    | 0.01%             | 2054-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 11/01/2042#Q13654                                                                  | CUSIP: 3132HQBX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       71070 | PA      | $69184.72      | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                   | T-MOBILE USA INC 2.25% 11/15/2031                                                                 | CUSIP: 87264ABX2<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    40000000 | PA      | $35189006.80   | 0.08%             | 2031-11-15      | Fixed         | 0.02%                 | 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        |        3781 | PA      | $3920.57       | 0.00%             | 2032-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 06/01/2041#                                                                          | CUSIP: 3132GEQM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        8098 | PA      | $8019.36       | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | 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        |      461976 | PA      | $427895.32     | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | 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        |     6180716 | PA      | $5522645.15    | 0.01%             | 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        |     6256951 | PA      | $5351676.15    | 0.01%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 01/01/2052#SD0803                                                                    | CUSIP: 3132DM3L7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      236354 | PA      | $209742.73     | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 11/15/2042#AB9201                                                                    | CUSIP: 36178WGJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       32313 | PA      | $31258.72      | 0.00%             | 2042-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.25% 01/31/2030                                                                        | CUSIP: 91282CMG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   461200000 | PA      | $470964471.06  | 1.12%             | 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        |      174328 | PA      | $178140.84     | 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        |     3793033 | PA      | $3599042.16    | 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        |      998440 | PA      | $897511.74     | 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        |     4987717 | PA      | $4993952.02    | 0.01%             | 2040-12-09      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/28 #460810                                                                           | CUSIP: 36208T3T5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          25 | PA      | $25.46         | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 12/01/2044#Q30272                                                                  | CUSIP: 3132QLJS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       15248 | PA      | $15228.25      | 0.00%             | 2044-12-01      | Fixed         | 0.04%                 | 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        |      233454 | PA      | $226675.28     | 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        |     4626000 | PA      | $5071345.16    | 0.01%             | 2063-08-15      | Fixed         | 0.07%                 | 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        |    10246466 | PA      | $9153629.77    | 0.02%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 3.375% 08/15/2042                                                     | CUSIP: 912810TK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   485600000 | PA      | $413746375.00  | 0.99%             | 2042-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 7/27 #445661                                                                           | CUSIP: 36207YB66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         289 | PA      | $294.32        | 0.00%             | 2027-07-15      | 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        |     4995535 | PA      | $5066859.61    | 0.01%             | 2035-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.00% 12/41 #005259                                                                       | CUSIP: 36202FZY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      919411 | PA      | $894141.46     | 0.00%             | 2041-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 2/40 #678655                                                                           | CUSIP: 36295R5Q7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      101821 | PA      | $101466.13     | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | 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        |        2333 | PA      | $2436.91       | 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        |     2668157 | PA      | $2242141.03    | 0.01%             | 2048-01-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.00% 10/29 #515956                                                                          | CUSIP: 36211LE57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         150 | PA      | $154.49        | 0.00%             | 2029-10-15      | 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        |     9274624 | PA      | $8801369.92    | 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        |      488708 | PA      | $494168.18     | 0.00%             | 2041-08-01      | Variable      | 0.05%                 | 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        |    29648952 | PA      | $30416528.30   | 0.07%             | 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        |     6819845 | PA      | $6113749.85    | 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        |     5280213 | PA      | $4512955.54    | 0.01%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 01/01/2052#CB2622                                                                  | CUSIP: 3140QM4G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1041719 | PA      | $894906.41     | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 1.5% 03/01/2041#RB5104                                                                  | CUSIP: 3133KYU56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1681075 | PA      | $1420359.07    | 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        |     3100000 | PA      | $3104647.74    | 0.01%             | 2028-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 9/41 #783403                                                                           | CUSIP: 36241LX84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1932 | PA      | $1830.21       | 0.00%             | 2041-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AIA GROUP LTD                                                                      | AIA GROUP LTD 3.2% 09/16/2040 144A                                                                | CUSIP: 00131LAK1<br>LEI: ZP5ILWVSYE4LJGMMVD57 | Long             | DBT              | CORP              | HK        |    15222000 | PA      | $11966026.53   | 0.03%             | 2040-09-16      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 9/39 #667416                                                                           | CUSIP: 36295DN96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       14522 | PA      | $14764.15      | 0.00%             | 2039-09-15      | Fixed         | 0.05%                 | 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        |      794280 | PA      | $733860.57     | 0.00%             | 2043-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.5% 08/01/2054#FS8620                                                                  | CUSIP: 3140XQSJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4570294 | PA      | $4799155.17    | 0.01%             | 2054-08-01      | Fixed         | 0.07%                 | 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        |        7847 | PA      | $8235.43       | 0.00%             | 2036-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MHP 2025-MHIL2                                                                     | MHP 2025-MHIL2 A 5.85/VAR 09/15/2030 144A                                                         | CUSIP: 59317DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    11300000 | PA      | $11297419.08   | 0.03%             | 2040-09-15      | Variable      | 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        |     8973384 | PA      | $9135694.67    | 0.02%             | 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        |    17540444 | PA      | $17923595.30   | 0.04%             | 2050-02-16      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 12/27 #407933                                                                          | CUSIP: 31378TEE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         959 | PA      | $983.40        | 0.00%             | 2027-12-01      | Fixed         | 0.07%                 | 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        |      832071 | PA      | $805781.23     | 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        |      126445 | PA      | $126609.00     | 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        |     2792226 | PA      | $2848574.07    | 0.01%             | 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        |     2756724 | PA      | $2901703.49    | 0.01%             | 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        |      611969 | PA      | $634455.35     | 0.00%             | 2035-08-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 10/31 #555999                                                                          | CUSIP: 36213JUY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         920 | PA      | $951.42        | 0.00%             | 2031-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| EXETER SELECT AUTOMOBILE RECEIVABLES TR 2025-2                                     | EXETER SELECT AUTOMOBILE RECEIVABLES TR 2025-2 4.43% 08/15/2030                                   | CUSIP: 30185EAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2400000 | PA      | $2415858.48    | 0.01%             | 2030-08-15      | Fixed         | 0.04%                 | 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        |     6494661 | PA      | $5636280.01    | 0.01%             | 2041-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 12/01/2044#AW5937                                                                  | CUSIP: 3138XVS35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6030 | PA      | $6018.80       | 0.00%             | 2044-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 04/15/2043#AA6309                                                                  | CUSIP: 36178EAJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      177500 | PA      | $166700.07     | 0.00%             | 2043-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 11/39 #678648                                                                          | CUSIP: 36295R5H7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      133236 | PA      | $132834.61     | 0.00%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 5.0% 08/15/2040#747723                                                                  | CUSIP: 3620C3VQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       15382 | PA      | $15642.44      | 0.00%             | 2040-08-15      | Fixed         | 0.05%                 | 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        |          59 | PA      | $60.32         | 0.00%             | 2028-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 1/28 #313947                                                                           | CUSIP: 31374GWG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         200 | PA      | $209.13        | 0.00%             | 2028-01-01      | Fixed         | 0.07%                 | 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        |    24028000 | PA      | $23820286.11   | 0.06%             | 2029-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 03/01/2042#AK6744                                                                    | CUSIP: 3138EBP66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       89926 | PA      | $87682.48      | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.50% 10/41 #005202                                                                       | CUSIP: 36202FX76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        9481 | PA      | $8993.54       | 0.00%             | 2041-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 7/40 #A93142                                                                           | CUSIP: 312941P35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      102599 | PA      | $102931.12     | 0.00%             | 2040-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 01/01/2044#G07922                                                                  | CUSIP: 3128MAD30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3562311 | PA      | $3384820.52    | 0.01%             | 2044-01-01      | Fixed         | 0.04%                 | 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        |     3179691 | PA      | $2900265.20    | 0.01%             | 2045-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CF HIPPOLYTA ISSUER LLC                                                            | CF HIPPOLYTA ISSUER LLC 1.53% 03/15/2061 144A                                                     | CUSIP: 12530MAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    46635176 | PA      | $38832187.85   | 0.09%             | 2061-03-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 6/27 #441653                                                                           | CUSIP: 36207TTJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         161 | PA      | $162.17        | 0.00%             | 2027-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 8/39 #722204                                                                           | CUSIP: 3620A8KR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       51658 | PA      | $51579.10      | 0.00%             | 2039-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/31 #468613                                                                           | CUSIP: 36209DSA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1332 | PA      | $1377.29       | 0.00%             | 2031-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CF HIPPOLYTA ISSUER LLC                                                            | CF HIPPOLYTA ISSUER LLC 1.69% 07/15/2060 144A                                                     | CUSIP: 12530MAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    64337436 | PA      | $55273584.64   | 0.13%             | 2060-07-15      | Fixed         | 0.02%                 | 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        |      314534 | PA      | $326093.73     | 0.00%             | 2040-12-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/32 #578193                                                                           | CUSIP: 36201BKE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3495 | PA      | $3564.95       | 0.00%             | 2032-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 4.65% 5/35 #1B2900                                                                       | CUSIP: 3128JNDE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       66213 | PA      | $68216.79      | 0.00%             | 2035-05-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP NEW                                                               | DUKE ENERGY CORP NEW 4.95% 09/15/2035                                                             | CUSIP: 26441CCJ2<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    36862000 | PA      | $36620091.28   | 0.09%             | 2035-09-15      | Fixed         | 0.05%                 | 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        |      550000 | NC      | $86667.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 04/20/2044#MA1838                                                                    | CUSIP: 36179QBF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4414 | PA      | $4159.10       | 0.00%             | 2044-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                 | ENERGY TRANSFER LP 5.25% 04/15/2029                                                               | CUSIP: 29278NAG8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    10158000 | PA      | $10451194.01   | 0.02%             | 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        |       39118 | PA      | $5443.93       | 0.00%             | 2033-07-25      | Fixed         | 0.06%                 | 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        |   733544000 | PA      | $429753633.04  | 1.03%             | 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        |      110982 | PA      | $114235.19     | 0.00%             | 2031-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 6/39 #720075                                                                           | CUSIP: 3620A56L8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        9817 | PA      | $9800.16       | 0.00%             | 2039-06-15      | Fixed         | 0.04%                 | 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        |    82918605 | PA      | $82737220.38   | 0.20%             | 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        |    22556730 | PA      | $19391839.92   | 0.05%             | 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        |    24397000 | PA      | $25590101.86   | 0.06%             | 2027-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHR 2101 PD 6% 11/28                                                                              | CUSIP: 3133TGPD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |        3202 | PA      | $3264.98       | 0.00%             | 2028-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2020-B17 MORTGAGE TRUST                                                  | BENCHMARK 2020-B17 MORTGAGE TRUST CSTR 03/15/2053                                                 | CUSIP: 08162MAZ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    95994170 | PA      | $4015023.37    | 0.01%             | 2053-03-15      | Variable      | 0.01%                 | 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        |     2336776 | PA      | $2283769.47    | 0.01%             | 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        |      146460 | PA      | $134680.40     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | 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        |       91083 | PA      | $90795.64      | 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        |    39949000 | PA      | $36274689.13   | 0.09%             | 2031-12-01      | 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        |     1506592 | PA      | $1448500.94    | 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        |      131449 | PA      | $131701.72     | 0.00%             | 2041-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 1/26 #250440                                                                           | CUSIP: 31371FEM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          24 | PA      | $23.86         | 0.00%             | 2026-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.50% 11/27 #780795                                                                          | CUSIP: 36225A3C2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          54 | PA      | $55.29         | 0.00%             | 2027-11-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 12/27 #403301                                                                          | CUSIP: 31378NAA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          37 | PA      | $37.15         | 0.00%             | 2027-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| JPMCC COMMERCIAL MORTGAGE SECURITIES TRUST 2017-JP6                                | JPMCC COMMERCIAL MORTGAGE SECURITIES TRUST 2017-JP6 3.2829% 07/15/2050                            | CUSIP: 48128KBA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1009918 | PA      | $1001998.56    | 0.00%             | 2050-07-15      | Fixed         | 0.03%                 | 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        |    13975378 | PA      | $13566220.84   | 0.03%             | 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        |     5977870 | PA      | $6001298.76    | 0.01%             | 2052-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 06/01/2041#Q01212                                                                  | CUSIP: 3132GEKZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       23275 | PA      | $23331.62      | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 08/15/2043#AD5680                                                                  | CUSIP: 36180HJZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       36362 | PA      | $35064.47      | 0.00%             | 2043-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 12/27 #457336                                                                          | CUSIP: 36208QBD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         467 | PA      | $473.44        | 0.00%             | 2027-12-15      | Fixed         | 0.07%                 | 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        |    32000000 | NC      | $1157461.76    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 1.47% 09/25/2027                                                   | CUSIP: 3137F72B0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    13400000 | PA      | $12784412.04   | 0.03%             | 2027-09-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 12/40 #AE9416                                                                          | CUSIP: 31419LPA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       10722 | PA      | $10419.31      | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | 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        |    15850161 | PA      | $15879867.62   | 0.04%             | 2041-03-15      | Variable      | 0.05%                 | 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        |     6015505 | PA      | $5333975.16    | 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        |      159266 | PA      | $155639.76     | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 09/15/2042#AB6821                                                                  | CUSIP: 36178TSJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       16418 | PA      | $15455.68      | 0.00%             | 2042-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/28 #430604                                                                           | CUSIP: 36207FKR1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          27 | PA      | $27.84         | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 05/01/2053#SD6787                                                                    | CUSIP: 3132DURG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    12631364 | PA      | $12010540.50   | 0.03%             | 2053-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.00% 9/41 #Q03561                                                                           | CUSIP: 3132GJTS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      151712 | PA      | $148599.92     | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 10/31 #485866                                                                          | CUSIP: 36209YW38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         956 | PA      | $989.04        | 0.00%             | 2031-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/29 #781019                                                                           | CUSIP: 36225BDY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          60 | PA      | $61.05         | 0.00%             | 2029-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 11/01/2042#AP8794                                                                  | CUSIP: 3138MCXY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       45856 | PA      | $43485.60      | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/28 #466882                                                                           | CUSIP: 36209BUF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         396 | PA      | $402.77        | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 9/31 #608317                                                                           | CUSIP: 31388LYN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         157 | PA      | $165.10        | 0.00%             | 2031-09-01      | Fixed         | 0.07%                 | 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        |     5495916 | PA      | $4702467.59    | 0.01%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 01/01/2049#ZA6262                                                                    | CUSIP: 31329P5X7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2442365 | PA      | $2338351.83    | 0.01%             | 2049-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 01/20/2050#BR8995                                                                    | CUSIP: 3617M77G7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       42832 | PA      | $39391.23      | 0.00%             | 2050-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE PRIVATE CREDIT FUND                                                     | BLACKSTONE PRIVATE CREDIT FUND 7.3% 11/27/2028                                                    | CUSIP: 09261HBC0<br>LEI: 549300ORP3TTCNXSYO43 | Long             | DBT              | CORP              | US        |    42550000 | PA      | $45450734.34   | 0.11%             | 2028-11-27      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                              | JPMORGAN CHASE and CO 2.956%/VAR 05/13/2031                                                       | CUSIP: 46647PBP0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    18323000 | PA      | $17184660.35   | 0.04%             | 2031-05-13      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COML MTG TR 2019-GC41                                                    | CITIGROUP COML MTG TR 2019-GC41 CSTR 08/10/2056                                                   | CUSIP: 17328FBB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    47762512 | PA      | $1405956.42    | 0.00%             | 2056-08-10      | Variable      | 0.01%                 | 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        |     7459000 | PA      | $7425309.41    | 0.02%             | 2026-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 3.5% 04/30/2030                                                                         | CUSIP: 91282CGZ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   528900000 | PA      | $523817598.92  | 1.25%             | 2030-04-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AR1458                                                                  | CUSIP: 3138NXTQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      145113 | PA      | $134381.03     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 08/01/2035#G01853                                                                  | CUSIP: 3128LXBW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         347 | PA      | $349.01        | 0.00%             | 2035-08-01      | 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        |       98296 | PA      | $100277.60     | 0.00%             | 2040-06-01      | Fixed         | 0.05%                 | 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        |        4142 | PA      | $4294.52       | 0.00%             | 2031-11-01      | Fixed         | 0.06%                 | 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        |       63551 | PA      | $61794.65      | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | 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        |     1199109 | PA      | $1172687.49    | 0.00%             | 2034-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.00% 12/37 #A69706                                                                          | CUSIP: 3128L1YB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       92134 | PA      | $97487.64      | 0.00%             | 2037-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                          | OCCIDENTAL PETROLEUM CORP 6.6% 03/15/2046                                                         | CUSIP: 674599DL6<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    28439000 | PA      | $29732348.84   | 0.07%             | 2046-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 09/01/2041#AJ0855                                                                  | CUSIP: 3138AR5R1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       30630 | PA      | $30652.17      | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | 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        |     1749144 | PA      | $1636834.94    | 0.00%             | 2046-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 3.75% 06/30/2030                                                                        | CUSIP: 91282CHJ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   543000000 | PA      | $543233321.67  | 1.30%             | 2030-06-30      | 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        |      119186 | PA      | $117377.31     | 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        |      261369 | PA      | $246683.09     | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 08/01/2047#BH2621                                                                  | CUSIP: 3140GQ4F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       16698 | PA      | $16499.64      | 0.00%             | 2047-08-01      | Fixed         | 0.04%                 | 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        |      128451 | PA      | $123588.07     | 0.00%             | 2045-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 10/01/2039#AS3482                                                                    | CUSIP: 3138WC2Q5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      395202 | PA      | $386594.48     | 0.00%             | 2039-10-01      | Fixed         | 0.04%                 | 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        |     1141326 | PA      | $1102689.54    | 0.00%             | 2035-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MARS INC                                                                           | MARS INC 5.65% 05/01/2045 144A                                                                    | CUSIP: 571676BB0<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    17477000 | PA      | $17729126.35   | 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        |   609000000 | PA      | $601863281.25  | 1.44%             | 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        |      140557 | PA      | $143398.87     | 0.00%             | 2040-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 9/31 #604620                                                                           | CUSIP: 31388GVM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         328 | PA      | $342.91        | 0.00%             | 2031-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 04/15/2043#AD7475                                                                    | CUSIP: 36180KJU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       17684 | PA      | $17141.62      | 0.00%             | 2043-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 7.5% 06/01/2027#                                                                        | CUSIP: 31283GZC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         126 | PA      | $127.61        | 0.00%             | 2027-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 12/40 #AE7472                                                                          | CUSIP: 31419JJS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       15770 | PA      | $15475.35      | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 03/15/2041#738107                                                                    | CUSIP: 3620ASAG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       32279 | PA      | $31345.89      | 0.00%             | 2041-03-15      | 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 4.05% 09/25/2028                                                   | CUSIP: 3137FJXV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     4200000 | PA      | $4214219.94    | 0.01%             | 2028-09-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MTG TR                                                                     | SEMT 2004-6 A3B TSFR6M+130.826 7/34                                                               | CUSIP: 81744FCU9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        7947 | PA      | $7422.17       | 0.00%             | 2034-07-20      | Variable      | 0.06%                 | 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        |      320790 | PA      | $316971.66     | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.0% 06/15/2043#AC2222                                                                  | CUSIP: 36179BPF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       28075 | PA      | $26007.59      | 0.00%             | 2043-06-15      | Fixed         | 0.03%                 | 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        |       10970 | PA      | $11456.88      | 0.00%             | 2041-07-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                                   | SOCIETE GENERALE FRANCE 3.337%/VAR 01/21/2033 144A                                                | CUSIP: 83368RBJ0<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    17500000 | PA      | $15920714.43   | 0.04%             | 2033-01-21      | Variable      | 0.03%                 | 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        |       73295 | PA      | $73204.31      | 0.00%             | 2039-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VLS COMMERCIAL MORTGAGE TRUST 2020                                                 | VLS COMMERCIAL MORTGAGE TRUST 2020-LAB X CSTR 10/10/2042 144A                                     | CUSIP: 92858TAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    40100000 | PA      | $732314.22     | 0.00%             | 2042-10-10      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| AIA GROUP LTD                                                                      | AIA GROUP LTD 3.375% 04/07/2030 144A                                                              | CUSIP: 00131LAJ4<br>LEI: ZP5ILWVSYE4LJGMMVD57 | Long             | DBT              | CORP              | HK        |    30867000 | PA      | $29921609.54   | 0.07%             | 2030-04-07      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 05/15/2043#AC9633                                                                  | CUSIP: 36179KV27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       13251 | PA      | $12496.22      | 0.00%             | 2043-05-15      | 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        |     1866735 | PA      | $1636974.61    | 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        |        2373 | PA      | $2389.35       | 0.00%             | 2026-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 06/15/2043#AE4598                                                                  | CUSIP: 36180XDB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       63792 | PA      | $59855.33      | 0.00%             | 2043-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 11/01/2048#CA2656                                                                  | CUSIP: 3140Q95S8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1684836 | PA      | $1743216.37    | 0.00%             | 2048-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORP                                                                   | NTT FINANCE CORP 4.567% 07/16/2027 144A                                                           | CUSIP: 62954WAP0<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |     5587000 | PA      | $5627289.03    | 0.01%             | 2027-07-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 6% 10/01/2055 #TBA                                                                        | CUSIP: 21H0606A4<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -110775000 | PA      | $-112672885.92 | -0.27%            | 2055-10-01      | Fixed         | 0.06%                 | 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        |      119106 | PA      | $119190.72     | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 08/01/2040#A93375                                                                  | CUSIP: 312941XC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        5373 | PA      | $5388.22       | 0.00%             | 2040-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 01/15/2047#AX5857                                                                    | CUSIP: 36196HQJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      384623 | PA      | $366293.40     | 0.00%             | 2047-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 5.0% 07/15/2040#739708                                                                  | CUSIP: 3620ATYD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2755 | PA      | $2802.04       | 0.00%             | 2040-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 03/01/2052#CB3174                                                                  | CUSIP: 3140QNQ47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     7336767 | PA      | $6748757.85    | 0.02%             | 2052-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 2/41 #AH4471                                                                           | CUSIP: 3138A56H0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       41849 | PA      | $40889.32      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HESS CORP                                                                          | HESS CORP 7.3% 08/15/2031                                                                         | CUSIP: 023551AJ3<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |     6610000 | PA      | $7611211.61    | 0.02%             | 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        |     7643395 | PA      | $7145462.56    | 0.02%             | 2047-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AR0739                                                                  | CUSIP: 3138NWZD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      154626 | PA      | $142649.51     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | 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        |      400000 | NC      | $50097.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 3.875% 06/30/2030                                                                       | CUSIP: 91282CNK3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   534000000 | PA      | $537274920.54  | 1.28%             | 2030-06-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 6/27 #413298                                                                           | CUSIP: 36206KDB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         464 | PA      | $469.58        | 0.00%             | 2027-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.0% 02/15/2045#777576                                                                  | CUSIP: 36176VT94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      219505 | PA      | $199271.96     | 0.00%             | 2045-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 04/01/2041#AI1360                                                                  | CUSIP: 3138AEQN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      121706 | PA      | $124032.90     | 0.00%             | 2041-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.50% 10/34 #605721                                                                          | CUSIP: 36200N4E8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1203 | PA      | $1253.62       | 0.00%             | 2034-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 4/40 #723739                                                                           | CUSIP: 3620AABG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       66107 | PA      | $64170.33      | 0.00%             | 2040-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 04/40#V81744                                                                       | CUSIP: 3132L65D9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      507643 | PA      | $484922.68     | 0.00%             | 2040-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 5% 10/01/2055 #TBA                                                                      | CUSIP: 01F0506A9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    82700000 | PA      | $82011911.19   | 0.20%             | 2055-10-01      | Fixed         | 0.05%                 | 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        |      170864 | PA      | $165424.48     | 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        |      239214 | PA      | $233388.78     | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 02/01/2055#SL0430                                                                    | CUSIP: 31427MPQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     4142704 | PA      | $4304614.94    | 0.01%             | 2055-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                       | UBS GROUP AG 3.091%/VAR 05/14/2032 144A                                                           | CUSIP: 225401AU2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    13398000 | PA      | $12398065.59   | 0.03%             | 2032-05-14      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| BOSTON PPTY LTD PARTNERSHIP                                                        | BOSTON PPTYS LTD PARTNERSHIP 3.25% 01/30/2031                                                     | CUSIP: 10112RBD5<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |    16564000 | PA      | $15403101.13   | 0.04%             | 2031-01-30      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                        | ORACLE CORP 5.95% 09/26/2055                                                                      | CUSIP: 68389XDR3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    17723000 | PA      | $17668480.68   | 0.04%             | 2055-09-26      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                   | T-MOBILE USA INC 4.5% 04/15/2050                                                                  | CUSIP: 87264AAZ8<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    10830000 | PA      | $9110399.93    | 0.02%             | 2050-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/28 #475908                                                                           | CUSIP: 36209MU93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         728 | PA      | $739.03        | 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        |       53211 | PA      | $53121.17      | 0.00%             | 2039-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 12/27 #450614                                                                          | CUSIP: 36208GSB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         129 | PA      | $131.03        | 0.00%             | 2027-12-15      | Fixed         | 0.07%                 | 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        |    11276000 | PA      | $11302306.91   | 0.03%             | 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        |     2003679 | PA      | $2010133.92    | 0.00%             | 2027-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 3/41 #738106                                                                           | CUSIP: 3620ASAF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       31734 | PA      | $32275.97      | 0.00%             | 2041-03-15      | Fixed         | 0.05%                 | 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        |    35930000 | NC      | $149497.54     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/31 #550440                                                                           | CUSIP: 36213CPZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         117 | PA      | $120.90        | 0.00%             | 2031-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 2/1/43#AR5355                                                                      | CUSIP: 3138W25R2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       60156 | PA      | $56702.17      | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | 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        |      224994 | PA      | $224570.82     | 0.00%             | 2041-01-20      | Fixed         | 0.04%                 | 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        |      113617 | PA      | $110736.68     | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 08/01/2033#727029                                                                  | CUSIP: 31402EVW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3276 | PA      | $3284.73       | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | 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        |    33242000 | PA      | $35243567.30   | 0.08%             | 2028-03-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 11/39 #935695                                                                          | CUSIP: 31412U7G9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       29041 | PA      | $29085.66      | 0.00%             | 2039-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 3/36 #888342                                                                           | CUSIP: 31410F5B7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      157435 | PA      | $164211.45     | 0.00%             | 2036-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 11/01/2042#AQ2171                                                                  | CUSIP: 3138MHMV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      125194 | PA      | $115695.47     | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 10/1/41 #AL1697                                                                    | CUSIP: 3138EH3F7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       27769 | PA      | $27134.99      | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | 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        |     5958935 | PA      | $5994974.86    | 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        |        2948 | PA      | $10.23         | 0.00%             | 2032-04-25      | Fixed         | 0.03%                 | 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              | JE        |    28343000 | PA      | $28412412.01   | 0.07%             | 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        |       47258 | PA      | $45571.77      | 0.00%             | 2045-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 8/29 #513746                                                                           | CUSIP: 36211HWF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          19 | PA      | $19.37         | 0.00%             | 2029-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GILDAN ACTIVEWEAR INC                                                              | GILDAN ACTIVEWEAR INC 4.7% 10/07/2030 144A                                                        | CUSIP: 375916AF0<br>LEI: 549300SB3IBI34M00Z45 | Long             | DBT              | CORP              | CA        |     3451000 | PA      | $3445792.92    | 0.01%             | 2030-10-07      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2.5% 10/01/2055 #TBA                                                                      | CUSIP: 21H0226A4<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |   -72800000 | PA      | $-62666079.84  | -0.15%            | 2055-10-01      | Fixed         | 0.03%                 | 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        |       61251 | PA      | $63741.15      | 0.00%             | 2033-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 07/01/2051#                                                                        | CUSIP: 3140L0K55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3543477 | PA      | $3262805.07    | 0.01%             | 2051-07-01      | Fixed         | 0.04%                 | 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        |      198169 | PA      | $195741.55     | 0.00%             | 2037-05-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 05/01/2046#G60561                                                                  | CUSIP: 31335ATS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       27593 | PA      | $25905.44      | 0.00%             | 2046-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 8/28 #482687                                                                           | CUSIP: 36209VF41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          40 | PA      | $40.54         | 0.00%             | 2028-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 10/29 #520559                                                                          | CUSIP: 31384DJC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2748 | PA      | $2877.11       | 0.00%             | 2029-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 01/20/2050#BR8994                                                                    | CUSIP: 3617M77F9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       12296 | PA      | $11277.07      | 0.00%             | 2050-01-20      | Fixed         | 0.04%                 | 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        |      212064 | PA      | $205400.95     | 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        |    10420565 | PA      | $8537365.51    | 0.02%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 12/35 #AD0723                                                                          | CUSIP: 31418MYV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       33413 | PA      | $34955.19      | 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        |     2075199 | PA      | $2056338.48    | 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        |       52717 | PA      | $51774.24      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 06/01/2041#                                                                        | CUSIP: 3132GESV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       97983 | PA      | $98192.78      | 0.00%             | 2041-06-01      | 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        |      237013 | PA      | $219976.42     | 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        |    17048151 | PA      | $15329269.65   | 0.04%             | 2035-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 9/35 #833016                                                                           | CUSIP: 31407KN96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         167 | PA      | $173.35        | 0.00%             | 2035-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 3.0% 5/45#Q33470                                                                             | CUSIP: 3132QP2C7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       57272 | PA      | $52295.31      | 0.00%             | 2045-05-01      | Fixed         | 0.03%                 | 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        |     1313039 | PA      | $1310333.50    | 0.00%             | 2041-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 3/42 #773365                                                                           | CUSIP: 36176Q6A7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       33010 | PA      | $31137.10      | 0.00%             | 2042-03-15      | Fixed         | 0.04%                 | 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        |      238863 | PA      | $232845.38     | 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        |    31071365 | PA      | $31037932.60   | 0.07%             | 2033-02-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 5/32 #643194                                                                           | CUSIP: 31390DRP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2446 | PA      | $2545.19       | 0.00%             | 2032-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 5/29 #323704                                                                           | CUSIP: 31374TRZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         184 | PA      | $192.24        | 0.00%             | 2029-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 5.5% 10/01/2055 #TBA                                                                      | CUSIP: 21H0526A1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   184300000 | PA      | $185667487.57  | 0.44%             | 2055-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 02/01/2051#                                                                        | CUSIP: 3133AFYY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      517557 | PA      | $476724.33     | 0.00%             | 2051-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 7/28 #416921                                                                           | CUSIP: 31379ED20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          44 | PA      | $46.30         | 0.00%             | 2028-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 12/15/2041#778657                                                                  | CUSIP: 36176WZW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       18140 | PA      | $17167.13      | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | 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        |       33745 | PA      | $35000.28      | 0.00%             | 2032-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 4/27 #780551                                                                           | CUSIP: 36225ATG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          10 | PA      | $9.88          | 0.00%             | 2027-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 06/46#AS7008                                                                         | CUSIP: 36193SYD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      166430 | PA      | $154413.69     | 0.00%             | 2046-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 2/41 #AH5581                                                                           | CUSIP: 3138A7FX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       12406 | PA      | $12424.87      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 4/40 #723743                                                                           | CUSIP: 3620AABL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       29498 | PA      | $28693.35      | 0.00%             | 2040-04-15      | Fixed         | 0.04%                 | 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        |    10574000 | PA      | $9503656.58    | 0.02%             | 2030-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/31 #474767                                                                           | CUSIP: 36209LMQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         220 | PA      | $226.43        | 0.00%             | 2031-03-15      | Fixed         | 0.07%                 | 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        |       25119 | PA      | $25529.08      | 0.00%             | 2033-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 01/01/2046#AS6486                                                                    | CUSIP: 3138WGF41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      264254 | PA      | $255230.10     | 0.00%             | 2046-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                            | HCA INC 3.625% 03/15/2032                                                                         | CUSIP: 404119CK3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     4185000 | PA      | $3926165.83    | 0.01%             | 2032-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 4/1/43 #AB9017                                                                     | CUSIP: 31417GAT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       49796 | PA      | $45981.78      | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 07/01/2041#AI5633                                                                  | CUSIP: 3138AKHK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       23928 | PA      | $24388.90      | 0.00%             | 2041-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/27 #780631                                                                           | CUSIP: 36225AVY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          39 | PA      | $39.45         | 0.00%             | 2027-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BMO 2022-C3 MTG TR                                                                 | BMO 2022-C3 MTG TR 22-C3 ASB VAR 09/15/2054                                                       | CUSIP: 05602QAZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6607000 | PA      | $6847759.74    | 0.02%             | 2054-09-15      | Variable      | 0.06%                 | 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        |       78658 | PA      | $66751.81      | 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        |     2822170 | PA      | $2614839.75    | 0.01%             | 2048-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                                             | GSCM SWAP REC 3.853 09/16/30                                                                      | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |    25900000 | NC      | $814264.14     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 05/01/2040#                                                                          | CUSIP: 312940LA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       37644 | PA      | $38392.54      | 0.00%             | 2040-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 9/31 #551661                                                                           | CUSIP: 36213DZ27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2293 | PA      | $2384.16       | 0.00%             | 2031-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| OREILLY AUTOMOTIVE INC                                                             | OREILLY AUTOMOTIVE INC 4.2% 04/01/2030                                                            | CUSIP: 67103HAJ6<br>LEI: 549300K2RLMQL149Q332 | Long             | DBT              | CORP              | US        |     4968000 | PA      | $4950422.72    | 0.01%             | 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        |      576537 | PA      | $557026.60     | 0.00%             | 2031-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 7.5% 11/01/2029#                                                                        | CUSIP: 31292G6T8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        6708 | PA      | $7003.52       | 0.00%             | 2029-11-01      | Fixed         | 0.07%                 | 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        |    22542457 | PA      | $19210501.80   | 0.05%             | 2051-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 4/34 #574566                                                                           | CUSIP: 36200WJK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2186 | PA      | $2235.37       | 0.00%             | 2034-04-15      | 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 4.0% 12/15/2040                                                    | CUSIP: 3137BJGM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      334887 | PA      | $332673.46     | 0.00%             | 2040-12-15      | Fixed         | 0.04%                 | 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        |      139781 | PA      | $133568.85     | 0.00%             | 2040-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 02/01/2044#Q24546                                                                  | CUSIP: 3132M4WF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      116408 | PA      | $113184.25     | 0.00%             | 2044-02-01      | Fixed         | 0.04%                 | 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        |     1399214 | PA      | $1324478.45    | 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        |     2324464 | PA      | $2182876.99    | 0.01%             | 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        |    83513000 | PA      | $72183086.09   | 0.17%             | 2047-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 1.5% 12/01/2035#SB8078                                                                  | CUSIP: 3132D56P2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    16598049 | PA      | $14924549.19   | 0.04%             | 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        |      290337 | PA      | $286609.33     | 0.00%             | 2048-03-01      | Fixed         | 0.04%                 | 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        |     2524102 | PA      | $2656256.58    | 0.01%             | 2055-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 10/27 #449061                                                                          | CUSIP: 36208EZ22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         187 | PA      | $189.54        | 0.00%             | 2027-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 4/40 #737111                                                                           | CUSIP: 3620AQ3U5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       75341 | PA      | $75191.00      | 0.00%             | 2040-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 12/41 #552550                                                                          | CUSIP: 36213EZP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      146192 | PA      | $141643.48     | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 12/40 #AE2683                                                                          | CUSIP: 31419C6V0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       14163 | PA      | $13864.15      | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | 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        |    31998819 | PA      | $24618499.03   | 0.06%             | 2051-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 05/01/2047#AS9602                                                                  | CUSIP: 3138WKU45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      131952 | PA      | $130505.58     | 0.00%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 4/26 #303856                                                                           | CUSIP: 31373UQH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         154 | PA      | $153.89        | 0.00%             | 2026-04-01      | 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        |    29378176 | PA      | $24087328.30   | 0.06%             | 2051-10-01      | Fixed         | 0.02%                 | 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        |     6261554 | PA      | $6480839.02    | 0.02%             | 2053-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 05/20/2046#AS4758                                                                    | CUSIP: 36193PJB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      115805 | PA      | $107444.24     | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 03/01/2046#BC8334                                                                    | CUSIP: 3140F4HL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      123212 | PA      | $118812.28     | 0.00%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 10/26 #323811                                                                          | CUSIP: 31374TVC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |           1 | PA      | $1.15          | 0.00%             | 2026-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 7.5% 06/01/2032#                                                                        | CUSIP: 31287T5N1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        4770 | PA      | $5084.39       | 0.00%             | 2032-06-01      | Fixed         | 0.07%                 | 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        |     4775682 | PA      | $4421676.14    | 0.01%             | 2048-05-25      | Fixed         | 0.03%                 | 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        |      814284 | PA      | $816445.73     | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.00% 7/29 #C29204                                                                           | CUSIP: 31293TGM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         225 | PA      | $229.54        | 0.00%             | 2029-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 04/01/2032#J36729                                                                    | CUSIP: 31307TPN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       54662 | PA      | $53471.40      | 0.00%             | 2032-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 01/01/2047#BE1526                                                                  | CUSIP: 3140FLVU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       46291 | PA      | $43232.25      | 0.00%             | 2047-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 3/26 #339493                                                                           | CUSIP: 31375NC66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         671 | PA      | $670.43        | 0.00%             | 2026-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.0% 04/15/2043#AA6286                                                                  | CUSIP: 36178D6X4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       48296 | PA      | $44331.55      | 0.00%             | 2043-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 08/01/2042#Q10217                                                                    | CUSIP: 3132HLG23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       27768 | PA      | $25750.58      | 0.00%             | 2042-08-01      | Fixed         | 0.03%                 | 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        |      186810 | PA      | $183424.63     | 0.00%             | 2039-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 08/01/2037#AB8009                                                                  | CUSIP: 31417E3T6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       10358 | PA      | $10379.18      | 0.00%             | 2037-08-01      | Fixed         | 0.04%                 | 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        |      638573 | PA      | $587388.41     | 0.00%             | 2042-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 11/27 #427281                                                                          | CUSIP: 36207BUE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          58 | PA      | $58.42         | 0.00%             | 2027-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.0% 04/01/2040#AL0013                                                                  | CUSIP: 3138EGAP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       49070 | PA      | $51778.07      | 0.00%             | 2040-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/32 #582105                                                                           | CUSIP: 36201FU62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1552 | PA      | $1606.10       | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 2/40 #711174                                                                           | CUSIP: 36297GCK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       38623 | PA      | $38571.04      | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 7.00% 11/26 #C91010                                                                     | CUSIP: 3128P7DP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         398 | PA      | $401.63        | 0.00%             | 2026-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 04/01/2052#RA7142                                                                    | CUSIP: 3133KN5B5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     6557591 | PA      | $5366358.77    | 0.01%             | 2052-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 8/27 #446830                                                                           | CUSIP: 36208CLK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         448 | PA      | $455.20        | 0.00%             | 2027-08-15      | Fixed         | 0.07%                 | 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        |      193050 | PA      | $188023.95     | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 10/01/2050#CA7323                                                                    | CUSIP: 3140QFD55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     9040214 | PA      | $7454497.10    | 0.02%             | 2050-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 03/01/2029#                                                                          | CUSIP: 31293L6C3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         262 | PA      | $268.21        | 0.00%             | 2029-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 06/15/2043#AD5663                                                                  | CUSIP: 36180HJG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      164272 | PA      | $158740.46     | 0.00%             | 2043-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 8/31 #253895                                                                           | CUSIP: 31371J7G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         104 | PA      | $109.29        | 0.00%             | 2031-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 10/27 #451506                                                                          | CUSIP: 36208HR32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          41 | PA      | $41.71         | 0.00%             | 2027-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 07/01/2040#C03486                                                                  | CUSIP: 31292K2T3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       40258 | PA      | $40376.16      | 0.00%             | 2040-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                         | CAPITAL ONE FINANCIAL CORP 5.817%/VAR 02/01/2034                                                  | CUSIP: 14040HCY9<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    46541000 | PA      | $48807886.91   | 0.12%             | 2034-02-01      | Variable      | 0.06%                 | 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        |    46105349 | PA      | $46221977.16   | 0.11%             | 2041-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 10/01/2043#Q22677                                                                  | CUSIP: 3132JP6N7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      108772 | PA      | $105598.65     | 0.00%             | 2043-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 07/01/2043#AU1335                                                                  | CUSIP: 3138X0PV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       99459 | PA      | $93896.74      | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | 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        |      309641 | PA      | $300394.10     | 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        |    10459000 | PA      | $8640101.56    | 0.02%             | 2052-04-05      | Fixed         | 0.04%                 | 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        |       48171 | PA      | $46953.71      | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | 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        |      162235 | PA      | $162258.77     | 0.00%             | 2061-05-20      | Variable      | 0.05%                 | 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        |       87132 | PA      | $84953.16      | 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        |     2385266 | PA      | $2117448.85    | 0.01%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 8/35 #735744                                                                           | CUSIP: 31402RLZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4185 | PA      | $4384.09       | 0.00%             | 2035-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 8.5% 12/01/2027#                                                                        | CUSIP: 31283G6V4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          17 | PA      | $17.22         | 0.00%             | 2027-12-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| MARS INC                                                                           | MARS INC 5% 03/01/2032 144A                                                                       | CUSIP: 571676AZ8<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    21623000 | PA      | $22121788.98   | 0.05%             | 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        |      546438 | PA      | $541642.44     | 0.00%             | 2047-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 9/28 #443819                                                                           | CUSIP: 31380MAU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         584 | PA      | $610.10        | 0.00%             | 2028-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/29 #513681                                                                           | CUSIP: 36211HUE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         555 | PA      | $564.31        | 0.00%             | 2029-06-15      | Fixed         | 0.07%                 | 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        |     3580884 | PA      | $3215358.08    | 0.01%             | 2041-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| REACH ABS TR 2025-2                                                                | REACH ABS TR 2025-2 4.93% 08/18/2032 144A                                                         | CUSIP: 75525QAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     8778528 | PA      | $8813958.87    | 0.02%             | 2032-08-18      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 3.99% 5/34 #725828                                                                       | CUSIP: 31402DLH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       24817 | PA      | $25075.84      | 0.00%             | 2034-05-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 8/29 #508377                                                                           | CUSIP: 31383NXE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3600 | PA      | $3754.39       | 0.00%             | 2029-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                 | ENERGY TRANSFER LP 4.95% 06/15/2028                                                               | CUSIP: 29278NAF0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    18799000 | PA      | $19123255.12   | 0.05%             | 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        |     2840048 | PA      | $2775739.98    | 0.01%             | 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        |        2389 | PA      | $2492.16       | 0.00%             | 2032-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                | MSCS SWAP PAY 3.853 09/16/30                                                                      | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DIR              | CORP              | US        |     7100000 | NC      | $256975.84     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.0% 01/01/2037#932030                                                                  | CUSIP: 31412QPP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1147012 | PA      | $1205999.77    | 0.00%             | 2037-01-01      | Fixed         | 0.06%                 | 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        |     4569600 | PA      | $4541040.00    | 0.01%             | 2038-03-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2% 03/01/2042#MA4570                                                                    | CUSIP: 31418ECG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    11044094 | PA      | $9555817.07    | 0.02%             | 2042-03-01      | Fixed         | 0.02%                 | 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        |      124385 | PA      | $121090.40     | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 6/35 #829377                                                                           | CUSIP: 31407FM23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6176 | PA      | $6491.82       | 0.00%             | 2035-06-01      | 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        |    35549000 | PA      | $37306937.86   | 0.09%             | 2036-04-23      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 12/30 #493530                                                                          | CUSIP: 36210JHF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1870 | PA      | $1928.50       | 0.00%             | 2030-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 7/27 #451321                                                                           | CUSIP: 36208HLA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          43 | PA      | $42.88         | 0.00%             | 2027-07-15      | Fixed         | 0.07%                 | 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        |      196860 | PA      | $197359.52     | 0.00%             | 2061-11-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 07/45#AZ5847                                                                       | CUSIP: 3138YXP90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      595344 | PA      | $544775.96     | 0.00%             | 2045-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 10/01/2049#QA3225                                                                    | CUSIP: 31339SSN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      124824 | PA      | $111228.24     | 0.00%             | 2049-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/29 #486846                                                                           | CUSIP: 36210AZK6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          76 | PA      | $77.69         | 0.00%             | 2029-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 7/39 #698387                                                                           | CUSIP: 36296Q2U2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1518 | PA      | $1543.18       | 0.00%             | 2039-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL    | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 4.4% 12/01/2061   | CUSIP: 161175CC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    51000000 | PA      | $35338320.24   | 0.08%             | 2061-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                         | FANNIE MAE 2.5% 02/25/2052                                                                        | CUSIP: 3136BMM70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    11433009 | PA      | $10904504.50   | 0.03%             | 2052-02-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 03/01/2043#AR9195                                                                  | CUSIP: 3138W7GD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       22974 | PA      | $21223.80      | 0.00%             | 2043-03-01      | Fixed         | 0.03%                 | 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        |    27800000 | PA      | $27820349.60   | 0.07%             | 2034-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 3.0% 4/45#Q32729                                                                             | CUSIP: 3132QPA79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      174792 | PA      | $160268.58     | 0.00%             | 2045-04-01      | Fixed         | 0.03%                 | 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        |      104666 | PA      | $102536.67     | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 5.5% 10/01/2055 #TBA                                                                      | CUSIP: 21H0526A1<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |   -51600000 | PA      | $-51982866.84  | -0.12%            | 2055-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.50% 12/40 #004881                                                                       | CUSIP: 36202FM60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2222 | PA      | $2113.49       | 0.00%             | 2040-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 9/39 #A90185                                                                           | CUSIP: 312938F24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         460 | PA      | $461.97        | 0.00%             | 2039-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 9/27 #353838                                                                           | CUSIP: 36203NBF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          86 | PA      | $87.36         | 0.00%             | 2027-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 02/15/2043#AD1736                                                                  | CUSIP: 36180C4V8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1095240 | PA      | $1034385.04    | 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        |     1400000 | NC      | $96796.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/29 #443405                                                                           | CUSIP: 36207VR24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          72 | PA      | $73.40         | 0.00%             | 2029-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 02/01/2043#AB7946                                                                  | CUSIP: 31417EZL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       16222 | PA      | $15012.86      | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4% 04/30/2032                                                                           | CUSIP: 91282CNA5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   313000000 | PA      | $314821757.03  | 0.75%             | 2032-04-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 10/29 #477011                                                                          | CUSIP: 36209N3U4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          88 | PA      | $90.49         | 0.00%             | 2029-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2016-C28                        | MSBAM 2016-C28 3.272% 01/15/49                                                                    | CUSIP: 61766LBR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    12852890 | PA      | $12823806.14   | 0.03%             | 2049-01-15      | Fixed         | 0.03%                 | 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        |     1261894 | PA      | $1145742.08    | 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        |     2123816 | PA      | $1994086.84    | 0.00%             | 2047-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 1/32 #625027                                                                           | CUSIP: 31389GLG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         281 | PA      | $297.04        | 0.00%             | 2032-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 11/35 #844228                                                                          | CUSIP: 31407X4M0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       45407 | PA      | $47078.96      | 0.00%             | 2035-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 08/01/2032#J37406                                                                    | CUSIP: 31307UGP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      120037 | PA      | $117208.28     | 0.00%             | 2032-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 02/15/2043#AD2180                                                                  | CUSIP: 36180DM53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       43005 | PA      | $40543.97      | 0.00%             | 2043-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA GTD MTG PASS THRU CTF CSTR 09/25/2030                                                        | CUSIP: 3136B3DE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1421498 | PA      | $1403893.11    | 0.00%             | 2030-09-25      | Variable      | 0.04%                 | No            |                  2 | 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        |      811159 | PA      | $857178.04     | 0.00%             | 2055-03-01      | Fixed         | 0.07%                 | 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        |      913543 | PA      | $893512.04     | 0.00%             | 2031-04-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TARGA RES CORP                                                                     | TARGA RES CORP 4.9% 09/15/2030                                                                    | CUSIP: 87612GAP6<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |    14983000 | PA      | $15218643.33   | 0.04%             | 2030-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE PRIVATE CREDIT FUND                                                     | BLACKSTONE PRIVATE CREDIT FUND 2.625% 12/15/2026                                                  | CUSIP: 09261HAD9<br>LEI: 549300ORP3TTCNXSYO43 | Long             | DBT              | CORP              | US        |    30000000 | PA      | $29292864.00   | 0.07%             | 2026-12-15      | Fixed         | 0.03%                 | 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        |      149283 | PA      | $152026.84     | 0.00%             | 2036-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 9/40 #747153                                                                           | CUSIP: 3620C3BW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       34029 | PA      | $34602.33      | 0.00%             | 2040-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 1/40 #723616                                                                           | CUSIP: 3620A93Z2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1827 | PA      | $1856.91       | 0.00%             | 2040-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 07/01/2055#CC0730                                                                    | CUSIP: 3140Y6Y46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    19003622 | PA      | $19514741.59   | 0.05%             | 2055-07-01      | Fixed         | 0.06%                 | 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        |    63993000 | PA      | $63936969.65   | 0.15%             | 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        |      534205 | PA      | $521362.00     | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 10/01/2042#Q12215                                                                  | CUSIP: 3132HNN88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       18932 | PA      | $18418.12      | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 8/27 #446822                                                                           | CUSIP: 36208CLB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          54 | PA      | $55.05         | 0.00%             | 2027-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 05/20/2046#AS9183                                                                    | CUSIP: 36193VFY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       54087 | PA      | $50181.94      | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 5.21% 3/36 #1G1851                                                                       | CUSIP: 3128QSBU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       43959 | PA      | $44745.46      | 0.00%             | 2036-03-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.50% 10/36 #654552                                                                          | CUSIP: 36294NEZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4847 | PA      | $5058.94       | 0.00%             | 2036-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 9/40 #AE3014                                                                           | CUSIP: 31419DK42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       19711 | PA      | $19755.82      | 0.00%             | 2040-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 11/01/2045#BA3906                                                                  | CUSIP: 3140E8KU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       87582 | PA      | $82615.58      | 0.00%             | 2045-11-01      | 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        |     8515000 | PA      | $7740330.33    | 0.02%             | 2030-11-18      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| OBX 2025-NQM14 A1                                                                  | OBX 2025-NQM14 STEP 08/25/2064 144A                                                               | CUSIP: 673924AC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2825159 | PA      | $2837709.68    | 0.01%             | 2065-07-25      | Variable      | 0.05%                 | 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        |      370000 | NC      | $58303.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                                             | GSCM SWAP REC 3.804 08/25/26                                                                      | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |    34790000 | NC      | $1067227.78    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 12/01/2041#AJ1879                                                                  | CUSIP: 3138ATCR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       12673 | PA      | $12093.62      | 0.00%             | 2041-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 2.5% 08/01/2041#RB5122                                                                  | CUSIP: 3133KYVP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     7327028 | PA      | $6550624.47    | 0.02%             | 2041-08-01      | 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        |     3391900 | PA      | $3389190.89    | 0.01%             | 2054-10-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/28 #456205                                                                           | CUSIP: 36208NYA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          54 | PA      | $54.88         | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/32 #569880                                                                           | CUSIP: 36200RCR1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          70 | PA      | $71.63         | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GNR 2004-73 AL TSFR1M+708.552 8/34                                                                | CUSIP: 38374H2N9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |       53720 | PA      | $5093.26       | 0.00%             | 2034-08-17      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 10/40 #AE4113                                                                          | CUSIP: 31419ESB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      310567 | PA      | $303780.58     | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | 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        |     4823435 | PA      | $4731883.88    | 0.01%             | 2028-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 8/40 #AB1379                                                                           | CUSIP: 31416WQ96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1479 | PA      | $1482.54       | 0.00%             | 2040-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL    | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 5.25% 04/01/2053  | CUSIP: 161175CK8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    11329000 | PA      | $9466495.63    | 0.02%             | 2053-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 7/39 #710714                                                                           | CUSIP: 36297FSB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       21453 | PA      | $21413.27      | 0.00%             | 2039-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 02/01/2043#Q15062                                                                  | CUSIP: 3132J6B86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      107670 | PA      | $99557.31      | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 8/39 #678637                                                                           | CUSIP: 36295R4W5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       18307 | PA      | $17793.08      | 0.00%             | 2039-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 7/35 #255816                                                                           | CUSIP: 31371MDV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         755 | PA      | $801.15        | 0.00%             | 2035-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 8/32 #579718                                                                           | CUSIP: 36201DAT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         249 | PA      | $257.87        | 0.00%             | 2032-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 6/41 #Q01393                                                                           | CUSIP: 3132GERN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      146488 | PA      | $146955.59     | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 07/01/2044#Q27067                                                                  | CUSIP: 3132M7QU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       97328 | PA      | $94489.56      | 0.00%             | 2044-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 2/27 #250853                                                                           | CUSIP: 31371FTJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          65 | PA      | $68.13         | 0.00%             | 2027-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPERATING LLC                                                  | ENTERPRISE PRODS OPER LLC 3.7% 02/15/2026                                                         | CUSIP: 29379VBH5<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |     8600000 | PA      | $8581204.79    | 0.02%             | 2026-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 06/01/2045#Q34030                                                                  | CUSIP: 3132QQPQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      254841 | PA      | $233539.62     | 0.00%             | 2045-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WALT DISNEY CO                                                                     | WALT DISNEY CO 3.6% 01/13/2051                                                                    | CUSIP: 254687FZ4<br>LEI: 549300GZKULIZ0WOW665 | Long             | DBT              | CORP              | US        |    25350000 | PA      | $19176593.34   | 0.05%             | 2051-01-13      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 11/39 #722700                                                                          | CUSIP: 3620A83H4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       30435 | PA      | $30370.40      | 0.00%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AR1150                                                                  | CUSIP: 3138NXH42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       30460 | PA      | $28114.86      | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | 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        |      181913 | PA      | $177322.74     | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 6/41 #Q01181                                                                           | CUSIP: 3132GEJ27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        5950 | PA      | $5964.42       | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AES CORP                                                                           | AES CORP 3.95% 07/15/2030 144A                                                                    | CUSIP: 00130HCC7<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |    42717000 | PA      | $41248729.57   | 0.10%             | 2030-07-15      | Fixed         | 0.04%                 | 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        |     3771946 | PA      | $3639812.26    | 0.01%             | 2031-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 3.5% 06/01/2038#MA3388                                                                  | CUSIP: 31418CXS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      126947 | PA      | $122921.72     | 0.00%             | 2038-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 11/01/2034#805555                                                                  | CUSIP: 31406B5Q9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3293 | PA      | $3304.14       | 0.00%             | 2034-11-01      | Fixed         | 0.04%                 | 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        |      678000 | PA      | $690919.26     | 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        |     1594735 | PA      | $1556634.40    | 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        |       47067 | PA      | $47763.04      | 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        |    69907146 | PA      | $69950838.04   | 0.17%             | 2041-03-15      | Variable      | 0.06%                 | 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        |    14858220 | PA      | $12727060.64   | 0.03%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NORTHWESTERN MUT LIFE INS CO                                                       | NORTHWESTERN MUT LIFE INS CO 6.063% 03/30/2040 144A                                               | CUSIP: 668131AA3<br>LEI: 1DU7IM20QESYGDO4HO54 | Long             | DBT              | CORP              | US        |        2000 | PA      | $2118.94       | 0.00%             | 2040-03-30      | Fixed         | 0.06%                 | 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        |     1381336 | PA      | $1240892.00    | 0.00%             | 2041-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NXP B V/NXP FDG LLC/NXP USA INC                                                    | NXP B V/NXP FDG LLC/NXP USA INC 4.85% 08/19/2032                                                  | CUSIP: 62954HBG2<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |    12331000 | PA      | $12345823.10   | 0.03%             | 2032-08-19      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 09/01/2035#                                                                          | CUSIP: 31297TTR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        2448 | PA      | $2492.05       | 0.00%             | 2035-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.00% 11/37 #678760                                                                          | CUSIP: 36295SB54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1143 | PA      | $1190.34       | 0.00%             | 2037-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TERWIN MORTGAGE TRUST                                                              | TMTS 2003-4HE A TSFR1M+97.448 9/34                                                                | CUSIP: 881561BU7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       47509 | PA      | $50651.15      | 0.00%             | 2034-09-25      | Variable      | 0.05%                 | 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        |      848745 | PA      | $864504.88     | 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        |      172122 | PA      | $172131.11     | 0.00%             | 2061-05-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 1/41 #AE4585                                                                           | CUSIP: 31419FCX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      111631 | PA      | $109068.83     | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 10/01/2033#                                                                          | CUSIP: 31292HZM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         295 | PA      | $300.27        | 0.00%             | 2033-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 8/41 #430360                                                                           | CUSIP: 36207FB59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       12833 | PA      | $12807.52      | 0.00%             | 2041-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 7/40 #941592                                                                           | CUSIP: 31413CRM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       10974 | PA      | $10984.67      | 0.00%             | 2040-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TARGA RES CORP                                                                     | TARGA RES CORP 5.65% 02/15/2036                                                                   | CUSIP: 87612GAQ4<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |    36079000 | PA      | $36941784.91   | 0.09%             | 2036-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/28 #455124                                                                           | CUSIP: 36208MSM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          25 | PA      | $25.36         | 0.00%             | 2028-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ARES STRATEGIC INCOME FUND                                                         | ARES STRATEGIC INCOME FUND 5.8% 09/09/2030 144A                                                   | CUSIP: 04020EAK3<br>LEI: 549300IANZJVZPTICV54 | Long             | DBT              | CORP              | US        |    19729000 | PA      | $20048862.92   | 0.05%             | 2030-09-09      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 11/39 #710988                                                                          | CUSIP: 36297F2V3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4054 | PA      | $4121.80       | 0.00%             | 2039-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                                | PETROLEOS MEXICANOS 7.69% 01/23/2050                                                              | CUSIP: 71654QDD1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   117141000 | PA      | $106533882.45  | 0.25%             | 2050-01-23      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| MASTERCARD INC                                                                     | MASTERCARD INC 3.35% 03/26/2030                                                                   | CUSIP: 57636QAP9<br>LEI: AR5L2ODV9HN37376R084 | Long             | DBT              | CORP              | US        |     4213000 | PA      | $4100137.90    | 0.01%             | 2030-03-26      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                       | BARCLAYS PLC 5.829%/VAR 05/09/2027                                                                | CUSIP: 06738ECF0<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    33090000 | PA      | $33382328.31   | 0.08%             | 2027-05-09      | Variable      | 0.06%                 | 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        |    26023000 | PA      | $26081916.07   | 0.06%             | 2037-10-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 7/27 #353726                                                                           | CUSIP: 36203M4K3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         805 | PA      | $818.08        | 0.00%             | 2027-07-15      | 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        |      193044 | PA      | $178306.71     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/29 #486804                                                                           | CUSIP: 36210AX93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         325 | PA      | $330.26        | 0.00%             | 2029-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 01/01/2043#AQ9947                                                                  | CUSIP: 3138MSBR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      138247 | PA      | $131345.48     | 0.00%             | 2043-01-01      | Fixed         | 0.04%                 | 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        |       56373 | PA      | $56493.83      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 08/01/2039#                                                                        | CUSIP: 3129342K7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1686 | PA      | $1691.24       | 0.00%             | 2039-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                                                                 | REALTY INCOME CORP 2.2% 06/15/2028                                                                | CUSIP: 756109BJ2<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |     3445000 | PA      | $3283340.76    | 0.01%             | 2028-06-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 10/35 #830817                                                                          | CUSIP: 31407HAS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         866 | PA      | $910.22        | 0.00%             | 2035-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                          | OCCIDENTAL PETROLEUM CORP 6.45% 09/15/2036                                                        | CUSIP: 674599DF9<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    15883000 | PA      | $16878339.96   | 0.04%             | 2036-09-15      | 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        |    24935000 | PA      | $25051645.93   | 0.06%             | 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        |      479078 | PA      | $474874.08     | 0.00%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 8/29 #499337                                                                           | CUSIP: 31383CV69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2472 | PA      | $2571.52       | 0.00%             | 2029-08-01      | Fixed         | 0.07%                 | 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        |      160216 | PA      | $156619.39     | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.00% 10/30 #515513                                                                          | CUSIP: 36211KVE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        9121 | PA      | $9331.43       | 0.00%             | 2030-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 8/31 #556227                                                                           | CUSIP: 36213J4L6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         973 | PA      | $1006.49       | 0.00%             | 2031-08-15      | Fixed         | 0.07%                 | 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        |     9280000 | NC      | $297868.60     | 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        |     2970137 | PA      | $2591779.27    | 0.01%             | 2041-02-01      | Fixed         | 0.02%                 | 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        |      206085 | PA      | $23555.77      | 0.00%             | 2044-01-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CY885802 12/15/56 S                                                                   | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |      800000 | NC      | $-99051.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 06/01/2050#RA2794                                                                  | CUSIP: 3133KJC75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     7102341 | PA      | $6557534.53    | 0.02%             | 2050-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 06/01/2043#AT3659                                                                  | CUSIP: 3138WRB58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       15213 | PA      | $14008.34      | 0.00%             | 2043-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 10/35 #848099                                                                          | CUSIP: 31408DGG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1341 | PA      | $1399.73       | 0.00%             | 2035-10-01      | Fixed         | 0.06%                 | 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        |      139387 | PA      | $136236.91     | 0.00%             | 2041-10-01      | 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 5330 FA SOFR30A+105 08/25/2053                                     | CUSIP: 3137HAFW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     7834400 | PA      | $7840188.23    | 0.02%             | 2053-08-25      | Variable      | 0.05%                 | 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        |         954 | PA      | $994.24        | 0.00%             | 2029-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 12/40 #AH0851                                                                          | CUSIP: 3138A15M9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       35062 | PA      | $34229.35      | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 3% 02/15/2049                                                         | CUSIP: 912810SF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   271460000 | PA      | $203255675.00  | 0.48%             | 2049-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 8/39 #AC4495                                                                           | CUSIP: 31417N7H8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       10415 | PA      | $10211.54      | 0.00%             | 2039-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 10/26 #250736                                                                          | CUSIP: 31371FPV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |           9 | PA      | $9.46          | 0.00%             | 2026-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 06/15/2042#779398                                                                  | CUSIP: 36176XUX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        7382 | PA      | $6956.43       | 0.00%             | 2042-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 5/41 #760147                                                                           | CUSIP: 36176AHY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         150 | PA      | $149.85        | 0.00%             | 2041-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 6% 10/01/2055 #TBA                                                                      | CUSIP: 01F0606A8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   250975000 | PA      | $256367047.29  | 0.61%             | 2055-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 02/48#CA1199                                                                         | CUSIP: 3140Q8KM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       19363 | PA      | $18599.04      | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 07/01/2029#                                                                          | CUSIP: 31293S6T1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         258 | PA      | $263.37        | 0.00%             | 2029-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/32 #593212                                                                           | CUSIP: 36201UAM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       71714 | PA      | $73894.12      | 0.00%             | 2032-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                                             | GSCM SWAP PAY 3.853 09/16/30                                                                      | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |    25900000 | NC      | $936535.19     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 5425 FK SOFR30A+120 06/25/2054                                     | CUSIP: 3137HCYX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     5763576 | PA      | $5787252.01    | 0.01%             | 2054-06-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 9/40 #711533                                                                           | CUSIP: 36297GPS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       12556 | PA      | $12772.59      | 0.00%             | 2040-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2020-B18 MORTGAGE TRUST                                                  | BENCHMARK 2020-B18 MORTGAGE TRUST CSTR 07/15/2053                                                 | CUSIP: 08163AAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    41540251 | PA      | $2170469.79    | 0.01%             | 2053-07-15      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.5% 06/01/2054#FS8226                                                                  | CUSIP: 3140XQD87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5096900 | PA      | $5354599.39    | 0.01%             | 2054-06-01      | Fixed         | 0.07%                 | 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        |       25229 | PA      | $25313.91      | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 5.280% 3/35 #843014                                                                      | CUSIP: 31407WSB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9575 | PA      | $9747.99       | 0.00%             | 2035-03-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 8/39 #711450                                                                           | CUSIP: 36297GL73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       13601 | PA      | $13209.40      | 0.00%             | 2039-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/31 #529408                                                                           | CUSIP: 36212CDM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         591 | PA      | $610.75        | 0.00%             | 2031-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 11/01/2041#Q04636                                                                  | CUSIP: 3132GKY91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        7963 | PA      | $7782.78       | 0.00%             | 2041-11-01      | 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        |      240000 | NC      | $37818.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ALLEGRO CLO LTD                                                                    | ALLEGRO CLO LTD 2021-1A A1R TSFR3M+134 07/20/2038 144A                                            | CUSIP: 01750WAQ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    21007000 | PA      | $21060252.75   | 0.05%             | 2038-07-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 06/01/2050#SD8080                                                                    | CUSIP: 3132DV6R1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    92666579 | PA      | $75543462.97   | 0.18%             | 2050-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 04/01/2049#BN6567                                                                  | CUSIP: 3140JPJM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5300 | PA      | $4905.36       | 0.00%             | 2049-04-01      | Fixed         | 0.04%                 | 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        |      428770 | PA      | $347196.01     | 0.00%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 11/20/2049#BL1666                                                                    | CUSIP: 3617JDZ77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      283231 | PA      | $260392.77     | 0.00%             | 2049-11-20      | Fixed         | 0.04%                 | 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        |       10720 | PA      | $10896.35      | 0.00%             | 2036-01-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/32 #590407                                                                           | CUSIP: 36201Q3Q4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         782 | PA      | $807.20        | 0.00%             | 2032-07-15      | 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        |    17946000 | PA      | $17975054.57   | 0.04%             | 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        |      118739 | PA      | $117696.82     | 0.00%             | 2047-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/28 #461493                                                                           | CUSIP: 36208UUS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          41 | PA      | $41.79         | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | 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        |     5787225 | PA      | $5973622.41    | 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        |        3882 | PA      | $3996.68       | 0.00%             | 2035-09-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AR1270                                                                  | CUSIP: 3138NXMU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       31120 | PA      | $28681.66      | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | 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        |        3141 | PA      | $3245.27       | 0.00%             | 2031-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 01/01/2047#BE7834                                                                  | CUSIP: 3140FTV40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       10837 | PA      | $10124.26      | 0.00%             | 2047-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/31 #548452                                                                           | CUSIP: 36213AH56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        7377 | PA      | $7613.31       | 0.00%             | 2031-02-15      | Fixed         | 0.07%                 | 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        |    21765000 | PA      | $21669778.13   | 0.05%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 05/01/2047#BH0937                                                                  | CUSIP: 3140GPBF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       52408 | PA      | $51996.86      | 0.00%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 08/01/2042#Q10538                                                                  | CUSIP: 3132HLS38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       21326 | PA      | $19709.68      | 0.00%             | 2042-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 11/01/2044#Q29656                                                                  | CUSIP: 3132MAMD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       15037 | PA      | $15017.85      | 0.00%             | 2044-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 01/20/2050#BR8996                                                                    | CUSIP: 3617M77H5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       43951 | PA      | $40420.94      | 0.00%             | 2050-01-20      | 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        |     4119932 | PA      | $3846422.70    | 0.01%             | 2049-06-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TEACHERS INS and ANNUITY ASSN AMER                                                 | TEACHERS INS and ANNUITY ASSN AMER 3.3% 05/15/2050 144A                                           | CUSIP: 878091BG1<br>LEI: O06XD7BJ4EPXNABVFN69 | Long             | DBT              | CORP              | US        |    16941000 | PA      | $11671213.95   | 0.03%             | 2050-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 08/15/2042#AB1531                                                                  | CUSIP: 36178LVY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       14196 | PA      | $13778.02      | 0.00%             | 2042-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMERICA TRUST 2025-ESH                                               | EXTENDED STAY AMERICA TRUST 2025-ESH VAR 10/15/2042 144A                                          | CUSIP: 30227TAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    56380000 | PA      | $56485712.50   | 0.13%             | 2042-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 12/01/2042#AL2890                                                                  | CUSIP: 3138EKF83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6712 | PA      | $6198.84       | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 12/01/2040#A95324                                                                  | CUSIP: 3129434H3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        2726 | PA      | $2733.18       | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 1/41 #734148                                                                           | CUSIP: 3620AMTD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3753 | PA      | $3641.30       | 0.00%             | 2041-01-15      | Fixed         | 0.04%                 | 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        |     2461309 | PA      | $2140623.81    | 0.01%             | 2041-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 07/01/2033#720240                                                                  | CUSIP: 31401WEM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2478 | PA      | $2481.77       | 0.00%             | 2033-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 10/01/2051#                                                                        | CUSIP: 31418D5A6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2354904 | PA      | $2169112.46    | 0.01%             | 2051-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 06/15/2043#AD5457                                                                  | CUSIP: 36180HB23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       24594 | PA      | $23130.48      | 0.00%             | 2043-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 3.0% 8/45#Q35579                                                                             | CUSIP: 3132QSFV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      127233 | PA      | $116046.25     | 0.00%             | 2045-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PACIFIC LIFECORP                                                                   | PACIFIC LIFECORP 5.125% 01/30/2043 144A                                                           | CUSIP: 694476AD4<br>LEI: VFN8KLUEIK7XMVX1JM30 | Long             | DBT              | CORP              | US        |    15610000 | PA      | $14905078.00   | 0.04%             | 2043-01-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| COPT DEFENSE PROPERTIES LP                                                         | COPT DEFENSE PROPERTIES LP 2.75% 04/15/2031                                                       | CUSIP: 22003BAM8<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              | CORP              | US        |     7105000 | PA      | $6432044.60    | 0.02%             | 2031-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/32 #582151                                                                           | CUSIP: 36201FWL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         529 | PA      | $544.12        | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.0% 12/44#AX8317                                                                            | CUSIP: 3138YAG33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       20509 | PA      | $18672.24      | 0.00%             | 2044-12-01      | Fixed         | 0.03%                 | 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        |      415879 | PA      | $405709.94     | 0.00%             | 2041-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.0% 05/01/2041#Q00557                                                                  | CUSIP: 3132GDTN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       88138 | PA      | $89959.23      | 0.00%             | 2041-05-01      | Fixed         | 0.05%                 | 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        |       91795 | PA      | $82496.04      | 0.00%             | 2035-10-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 07/01/2054#CB8850                                                                    | CUSIP: 3140QUZQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    17155146 | PA      | $17788100.42   | 0.04%             | 2054-07-01      | Fixed         | 0.06%                 | 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        |    60000000 | PA      | $60308581.20   | 0.14%             | 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        |      101199 | PA      | $103357.70     | 0.00%             | 2035-03-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 5/27 #439558                                                                           | CUSIP: 36207RJB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |           6 | PA      | $6.44          | 0.00%             | 2027-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 05/01/43#AT3347                                                                      | CUSIP: 3138WQWH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1576 | PA      | $1454.84       | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | 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        |       12324 | PA      | $12618.26      | 0.00%             | 2035-03-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 1/28 #409486                                                                           | CUSIP: 31378U2T8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1123 | PA      | $1142.57       | 0.00%             | 2028-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 8/27 #452939                                                                           | CUSIP: 36208KEL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          40 | PA      | $40.84         | 0.00%             | 2027-08-15      | Fixed         | 0.07%                 | 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        |       47764 | PA      | $47679.06      | 0.00%             | 2040-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 9/35 #832175                                                                           | CUSIP: 31407JQ47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2867 | PA      | $3016.14       | 0.00%             | 2035-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 02/01/2045#Q31307                                                                  | CUSIP: 3132QMNZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       45443 | PA      | $43031.90      | 0.00%             | 2045-02-01      | 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        |    50000000 | PA      | $51088359.00   | 0.12%             | 2033-07-22      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 6/40 #743801                                                                           | CUSIP: 3620AYKN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       20702 | PA      | $21059.36      | 0.00%             | 2040-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 03/01/2045#AX9831                                                                  | CUSIP: 3138YB4R1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      106967 | PA      | $97364.17      | 0.00%             | 2045-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 8/39 #AC1446                                                                           | CUSIP: 31417KTC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2171 | PA      | $2174.62       | 0.00%             | 2039-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                 | ENERGY TRANSFER LP 5.6% 09/01/2034                                                                | CUSIP: 29273VBA7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    20000000 | PA      | $20526213.40   | 0.05%             | 2034-09-01      | Fixed         | 0.06%                 | 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        |      335987 | PA      | $317700.57     | 0.00%             | 2043-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2% 07/01/2035#FM3159                                                                    | CUSIP: 3140X6QM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3450487 | PA      | $3192683.84    | 0.01%             | 2035-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 10/39 #723248                                                                          | CUSIP: 3620A9P96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        8110 | PA      | $8243.42       | 0.00%             | 2039-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/32 #581664                                                                           | CUSIP: 36201FFD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         397 | PA      | $403.72        | 0.00%             | 2032-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 04/15/2042#792254                                                                    | CUSIP: 36177LQG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       64403 | PA      | $62340.21      | 0.00%             | 2042-04-15      | Fixed         | 0.04%                 | 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        |    22500000 | PA      | $22480778.25   | 0.05%             | 2041-08-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM 30YR 3.5% 05/01/2049#Q63646                                                                  | CUSIP: 3132VQBQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1083922 | PA      | $1008499.99    | 0.00%             | 2049-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 2/41 #738006                                                                           | CUSIP: 3620AR3P4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        6297 | PA      | $6115.32       | 0.00%             | 2041-02-15      | Fixed         | 0.04%                 | 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        |     3904324 | PA      | $3607271.75    | 0.01%             | 2051-08-01      | 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        |      789369 | PA      | $749670.60     | 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        |     5849118 | PA      | $5190551.35    | 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        |    21003000 | PA      | $21867430.76   | 0.05%             | 2029-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 1/41 #AE9338                                                                           | CUSIP: 31419LLU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       74888 | PA      | $73232.45      | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 05/43 #MA1012                                                                        | CUSIP: 36179NDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     5712421 | PA      | $5375316.04    | 0.01%             | 2043-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.0% 04/15/2043#666342                                                                  | CUSIP: 36295CHT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       56794 | PA      | $51884.92      | 0.00%             | 2043-04-15      | Fixed         | 0.03%                 | 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        |     2779620 | PA      | $2523768.90    | 0.01%             | 2046-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 4.389% 04/25/2035                                                  | CUSIP: 3136BXNE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     8400000 | PA      | $8281945.56    | 0.02%             | 2035-08-25      | Fixed         | 0.04%                 | 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        |       18069 | PA      | $19192.28      | 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        |     6621000 | PA      | $6794176.03    | 0.02%             | 2030-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 1/36 #839064                                                                           | CUSIP: 31407SFD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1386 | PA      | $1452.94       | 0.00%             | 2036-01-01      | Fixed         | 0.06%                 | 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        |    18648139 | PA      | $18415736.56   | 0.04%             | 2052-10-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 8/31 #468593                                                                           | CUSIP: 36209DRN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         293 | PA      | $303.25        | 0.00%             | 2031-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                             | US 2YR NOTE (CBT) FUT DEC25 TUZ5                                                                  | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |        2923 | NC      | $499628.12     | 0.00%             |  |  |  | No            |                  1 | 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        |       27880 | PA      | $28917.07      | 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        |    60000000 | PA      | $62517438.00   | 0.15%             | 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        |     8002178 | PA      | $7396797.87    | 0.02%             | 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        |     9257547 | PA      | $8705384.51    | 0.02%             | 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        |    10521590 | PA      | $10511725.62   | 0.03%             | 2038-11-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 10/41 #479596                                                                          | CUSIP: 36209RXZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       14368 | PA      | $13936.64      | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GOVERNMENT NAT MTG AS REMIC PT 3% 10/20/2047                                                      | CUSIP: 38380UAT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     2070292 | PA      | $1883507.13    | 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        |     2673953 | PA      | $2639637.79    | 0.01%             | 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        |      321581 | PA      | $303516.37     | 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        |      168388 | PA      | $157891.69     | 0.00%             | 2047-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/32 #565867                                                                           | CUSIP: 36213VTY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1912 | PA      | $1981.86       | 0.00%             | 2032-03-15      | Fixed         | 0.07%                 | 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        |    11923080 | PA      | $11923079.51   | 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        |       55221 | PA      | $53912.56      | 0.00%             | 2040-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MCDONALDS CORP                                                                     | MCDONALDS CORP 3.6% 07/01/2030                                                                    | CUSIP: 58013MFQ2<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |     8445000 | PA      | $8245855.84    | 0.02%             | 2030-07-01      | Fixed         | 0.04%                 | 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        |    28123000 | PA      | $28061480.94   | 0.07%             | 2035-02-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 09/15/2042#AB2330                                                                  | CUSIP: 36178MST9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       18671 | PA      | $17585.67      | 0.00%             | 2042-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 12/01/2051#RA6388                                                                  | CUSIP: 3133KNCZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1328127 | PA      | $1142195.35    | 0.00%             | 2051-12-01      | Fixed         | 0.03%                 | 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        |      151913 | PA      | $140288.80     | 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        |        7730 | PA      | $7731.56       | 0.00%             | 2033-06-20      | Fixed         | 0.04%                 | 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        |       64765 | PA      | $63994.29      | 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        |     7400000 | PA      | $7742031.03    | 0.02%             | 2039-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 11/27 #392407                                                                          | CUSIP: 31377Z3Q3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         317 | PA      | $331.44        | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | 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        |      826195 | PA      | $783610.21     | 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        |      654087 | PA      | $635727.80     | 0.00%             | 2042-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 06/15/2042#AA0565                                                                  | CUSIP: 36177WTW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1657 | PA      | $1602.20       | 0.00%             | 2042-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2011-GC5                                                            | GS MTG SECS TR 2011-GC5 5.209% 08/10/2044 144A                                                    | CUSIP: 36191YAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1888325 | PA      | $1847390.68    | 0.00%             | 2044-08-10      | Variable      | 0.05%                 | 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        |      263897 | PA      | $252076.34     | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 2/27 #356391                                                                           | CUSIP: 31376H2Y8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         376 | PA      | $380.62        | 0.00%             | 2027-02-01      | Fixed         | 0.07%                 | 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        |     4390011 | PA      | $3911849.00    | 0.01%             | 2049-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 5.5% 11/01/2055 #TBA                                                                      | CUSIP: 21H0526B9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    51600000 | PA      | $51944569.32   | 0.12%             | 2055-11-01      | Fixed         | 0.06%                 | 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        |     4794063 | PA      | $4551842.61    | 0.01%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 11/39 #728319                                                                          | CUSIP: 3620AFDY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       15594 | PA      | $15855.09      | 0.00%             | 2039-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                 | ENERGY TRANSFER LP 5% 05/15/2050                                                                  | CUSIP: 29278NAR4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    10822000 | PA      | $9263663.60    | 0.02%             | 2050-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 12/01/2047#BJ5376                                                                  | CUSIP: 3140H66N4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       32752 | PA      | $32402.67      | 0.00%             | 2047-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 12/15/2046#AX5803                                                                    | CUSIP: 36196HNU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       74653 | PA      | $71234.98      | 0.00%             | 2046-12-15      | 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 18-4765 IB 4% 03/15/2048                                           | CUSIP: 3137FEPF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     6019131 | PA      | $1207370.92    | 0.00%             | 2048-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.50% 8/29 #781078                                                                           | CUSIP: 36225BFT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1063 | PA      | $1089.89       | 0.00%             | 2029-08-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 05/15/2043#AE2144                                                                  | CUSIP: 36180ULZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       30421 | PA      | $28651.87      | 0.00%             | 2043-05-15      | Fixed         | 0.04%                 | 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        |     6066000 | PA      | $5707300.44    | 0.01%             | 2030-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 9/32 #647416                                                                           | CUSIP: 31390JGZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2849 | PA      | $3025.59       | 0.00%             | 2032-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 04/01/2043#AT2887                                                                  | CUSIP: 3138WQF56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       31885 | PA      | $30215.34      | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | 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        |    14082756 | PA      | $14012342.57   | 0.03%             | 2034-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 9/40 #733919                                                                           | CUSIP: 3620AMK84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       68791 | PA      | $69953.91      | 0.00%             | 2040-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 04/01/2042#AK9692                                                                    | CUSIP: 3138EEXW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       57880 | PA      | $56365.04      | 0.00%             | 2042-04-01      | 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        |     6895301 | PA      | $6215165.09    | 0.01%             | 2035-09-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 6/26 #250609                                                                           | CUSIP: 31371FKW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          44 | PA      | $44.59         | 0.00%             | 2026-07-01      | Fixed         | 0.07%                 | 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        |     3835126 | PA      | $3150432.92    | 0.01%             | 2050-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 10/27 #452535                                                                          | CUSIP: 36208JV41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         773 | PA      | $787.60        | 0.00%             | 2027-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 2/42 #757489                                                                           | CUSIP: 36230SKA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      146278 | PA      | $137739.17     | 0.00%             | 2042-02-15      | Fixed         | 0.04%                 | 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        |     6935588 | PA      | $5921680.27    | 0.01%             | 2051-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 7/37 #940208                                                                           | CUSIP: 31413BAH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4027 | PA      | $4338.68       | 0.00%             | 2037-07-01      | Fixed         | 0.07%                 | 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        |     1956557 | PA      | $1593186.20    | 0.00%             | 2051-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 10/35 #842152                                                                          | CUSIP: 31407VTH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       10414 | PA      | $10641.31      | 0.00%             | 2035-10-01      | Fixed         | 0.06%                 | 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        |       50473 | PA      | $49278.26      | 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        |     7157000 | PA      | $8158762.64    | 0.02%             | 2031-11-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 2.5% 11/01/2055 #TBA                                                                    | CUSIP: 01F0226B6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    79200000 | PA      | $66735290.16   | 0.16%             | 2055-11-01      | Fixed         | 0.03%                 | 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        |      340602 | PA      | $341737.87     | 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        |     5601755 | PA      | $4775521.61    | 0.01%             | 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        |    24310465 | PA      | $24287674.18   | 0.06%             | 2038-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/31 #571901                                                                           | CUSIP: 36200TKN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1681 | PA      | $1738.89       | 0.00%             | 2031-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 2/42 #757488                                                                           | CUSIP: 36230SJ96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      196758 | PA      | $185318.17     | 0.00%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 4/40 #733607                                                                           | CUSIP: 3620AMAG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        6512 | PA      | $6498.43       | 0.00%             | 2040-04-15      | Fixed         | 0.04%                 | 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        |       60927 | PA      | $60078.30      | 0.00%             | 2038-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AIMCO CLO 14 LTD / AIMCO CLO 14 LLC                                                | AIMCO CLO 14 LTD / AIMCO CLO 14 LLC 2021-14A A1R TSFR3M+122 10/20/2038 144A                       | CUSIP: 00144GAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    46919000 | PA      | $46939503.60   | 0.11%             | 2038-10-20      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 07/01/2035#                                                                          | CUSIP: 31297RYP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         640 | PA      | $652.02        | 0.00%             | 2035-07-01      | Fixed         | 0.05%                 | 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        |     1247857 | PA      | $1151128.02    | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 1/42 #778796                                                                           | CUSIP: 36176W7H8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2182 | PA      | $2060.86       | 0.00%             | 2042-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 9/33 #734922                                                                           | CUSIP: 31402QPF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       12951 | PA      | $12994.07      | 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        |      377167 | PA      | $365592.78     | 0.00%             | 2045-07-01      | Fixed         | 0.04%                 | 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        |    11022200 | PA      | $11008422.00   | 0.03%             | 2039-02-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 10/27 #460697                                                                          | CUSIP: 36208TX21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         915 | PA      | $924.77        | 0.00%             | 2027-10-15      | Fixed         | 0.07%                 | 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        |      527130 | PA      | $506993.25     | 0.00%             | 2032-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PARTNERSHIP LP                                                   | BRIXMOR OPERATING PARTNERSHIP LP 4.125% 06/15/2026                                                | CUSIP: 11120VAC7<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |    26610000 | PA      | $26565176.25   | 0.06%             | 2026-06-15      | Fixed         | 0.04%                 | 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        |      861030 | PA      | $859495.19     | 0.00%             | 2040-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 11/39 #AC5442                                                                          | CUSIP: 31417SBL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      471753 | PA      | $472682.63     | 0.00%             | 2039-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 3/37 #889506                                                                           | CUSIP: 31410KGP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       48907 | PA      | $51382.70      | 0.00%             | 2037-03-01      | Fixed         | 0.06%                 | 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        |       51983 | PA      | $48807.73      | 0.00%             | 2047-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 8/39 #710771                                                                           | CUSIP: 36297FT44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       23940 | PA      | $24340.48      | 0.00%             | 2039-08-15      | Fixed         | 0.05%                 | 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        |       48245 | PA      | $48404.24      | 0.00%             | 2040-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 3.0% 7/45#Q34956                                                                             | CUSIP: 3132QRQJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       29982 | PA      | $27484.94      | 0.00%             | 2045-07-01      | Fixed         | 0.03%                 | 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        |    32560000 | PA      | $32637460.24   | 0.08%             | 2037-01-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                   | T-MOBILE USA INC 3.875% 04/15/2030                                                                | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    36970000 | PA      | $36252357.95   | 0.09%             | 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        |    10685000 | PA      | $11478361.25   | 0.03%             | 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        |     7919765 | PA      | $8295440.21    | 0.02%             | 2053-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 02/01/2043#Q15786                                                                  | CUSIP: 3132J62U7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      113976 | PA      | $105278.21     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DUQUESNE LIGHT HLDGS INC                                                           | DUQUESNE LIGHT HLDGS INC 2.775% 01/07/2032 144A                                                   | CUSIP: 266233AJ4<br>LEI: 4CUJ1D8WDXK9X7QI6B93 | Long             | DBT              | CORP              | US        |    19219000 | PA      | $17024546.52   | 0.04%             | 2032-01-07      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 05/01/2043#AB9238                                                                  | CUSIP: 31417GHQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       62974 | PA      | $58083.55      | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 12/39 #710513                                                                          | CUSIP: 36297FK27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       19377 | PA      | $18838.08      | 0.00%             | 2039-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 12/01/2051#CB2346                                                                    | CUSIP: 3140QMTC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5805968 | PA      | $4774859.76    | 0.01%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 8/35 #824358                                                                           | CUSIP: 31406YZX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3700 | PA      | $3882.56       | 0.00%             | 2035-08-01      | Fixed         | 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        |    22613000 | PA      | $22676678.21   | 0.05%             | 2038-01-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 3.5% 02/15/2033                                                                         | CUSIP: 91282CGM7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   470900000 | PA      | $457159283.98  | 1.09%             | 2033-02-15      | Fixed         | 0.04%                 | 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        |    18114000 | PA      | $17456325.76   | 0.04%             | 2028-10-29      | Fixed         | 0.03%                 | 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        |       65941 | PA      | $65822.93      | 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        |      194989 | PA      | $180201.43     | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 05/01/2045#Q33801                                                                  | CUSIP: 3132QQGK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       31948 | PA      | $29957.22      | 0.00%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/28 #449499                                                                           | CUSIP: 36208FKL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         385 | PA      | $390.06        | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3.5% 02/01/2030#J30717                                                                  | CUSIP: 31307LYN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       27834 | PA      | $27617.95      | 0.00%             | 2030-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 6/41 #738404                                                                           | CUSIP: 3620ASKR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        5406 | PA      | $5498.18       | 0.00%             | 2041-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 12/01/2035#                                                                          | CUSIP: 3128LXFN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       46938 | PA      | $47822.07      | 0.00%             | 2035-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 8/40 #A93367                                                                           | CUSIP: 312941W45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        4224 | PA      | $4305.25       | 0.00%             | 2040-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MSCI INC                                                                           | MSCI INC 5.25% 09/01/2035                                                                         | CUSIP: 55354GAR1<br>LEI: 549300HTIN2PD78UB763 | Long             | DBT              | CORP              | US        |    24615000 | PA      | $24818786.60   | 0.06%             | 2035-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 07/01/2043#AL3931                                                                  | CUSIP: 3138ELLM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       30059 | PA      | $29190.36      | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | 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        |      224267 | PA      | $210284.05     | 0.00%             | 2042-06-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 10/28 #252084                                                                          | CUSIP: 31371G6V7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          44 | PA      | $45.14         | 0.00%             | 2028-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2019-B10 MTG TR                                                          | BENCHMARK 2019-B10 MORTGAGE TRUST 3.717% 03/15/2062                                               | CUSIP: 08162VAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2700000 | PA      | $2630689.11    | 0.01%             | 2062-03-15      | Fixed         | 0.04%                 | 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        |     6298835 | PA      | $6414736.78    | 0.02%             | 2053-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 10/01/2051#                                                                        | CUSIP: 3133ATPG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1123294 | PA      | $1028352.94    | 0.00%             | 2051-10-01      | Fixed         | 0.04%                 | 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        |     6265000 | PA      | $6448358.32    | 0.02%             | 2031-01-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 2/41 #AH9771                                                                           | CUSIP: 3138AB2D0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       17148 | PA      | $16731.86      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 8/27 #412301                                                                           | CUSIP: 36206JAA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1034 | PA      | $1051.29       | 0.00%             | 2027-08-15      | Fixed         | 0.07%                 | 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        |     5834367 | PA      | $5205825.05    | 0.01%             | 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        |     4406360 | PA      | $4304538.78    | 0.01%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ARES CLO                                                                           | ARES CLO AR2 TSFR3M+131 07/15/2038 144A                                                           | CUSIP: 04017WAW2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    36024000 | PA      | $36185639.69   | 0.09%             | 2038-07-15      | Variable      | 0.06%                 | 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        |      366235 | PA      | $385413.06     | 0.00%             | 2037-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 02/01/2051#BR3500                                                                    | CUSIP: 3140L13J2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       13528 | PA      | $11024.43      | 0.00%             | 2051-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 7.00% 12/26 #C91019                                                                     | CUSIP: 3128P7DY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         608 | PA      | $612.78        | 0.00%             | 2026-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 8/32 #594813                                                                           | CUSIP: 36201VYJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       31225 | PA      | $32222.84      | 0.00%             | 2032-08-15      | Fixed         | 0.07%                 | 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        |       38257 | PA      | $39294.81      | 0.00%             | 2034-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 10/35 #745000                                                                          | CUSIP: 31403CUZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1757 | PA      | $1840.44       | 0.00%             | 2035-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AMRIZE FINANCE US LLC                                                              | AMRIZE FINANCE US LLC 4.7% 04/07/2028 144A                                                        | CUSIP: 43475RAB2<br>LEI: 529900FB2F1WKLFNGY62 | Long             | DBT              | CORP              | US        |    26383000 | PA      | $26690916.26   | 0.06%             | 2028-04-07      | Fixed         | 0.05%                 | 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        |      312830 | PA      | $301951.91     | 0.00%             | 2047-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 3/42 #AK7441                                                                           | CUSIP: 3138ECHT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      117633 | PA      | $114649.86     | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 8/41 #748183                                                                           | CUSIP: 3620C4FY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        8332 | PA      | $8111.04       | 0.00%             | 2041-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 11/31#G05173                                                                       | CUSIP: 3128M7CJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        9649 | PA      | $9668.69       | 0.00%             | 2031-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.375% 05/15/2034                                                                       | CUSIP: 91282CKQ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    18000000 | PA      | $18416250.00   | 0.04%             | 2034-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 02/01/2048#BM3532                                                                    | CUSIP: 3140J74S1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      528335 | PA      | $506660.46     | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 5.35% 3/36 #920831                                                                       | CUSIP: 31412CA83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       40650 | PA      | $42205.37      | 0.00%             | 2036-03-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 4/32 #631463                                                                           | CUSIP: 31389PQQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         497 | PA      | $527.25        | 0.00%             | 2032-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 4/1/43 #AT3073                                                                     | CUSIP: 3138WQMX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      102786 | PA      | $97306.17      | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | 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        |      499231 | PA      | $466708.25     | 0.00%             | 2046-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 03/01/2043#Q16131                                                                  | CUSIP: 3132J7HH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       38901 | PA      | $37830.24      | 0.00%             | 2043-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 10/41 #772072                                                                          | CUSIP: 36176PQZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      136372 | PA      | $132129.10     | 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        |    11442782 | PA      | $11487629.53   | 0.03%             | 2052-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 12/01/2052#SD8275                                                                  | CUSIP: 3132DWFQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     5950295 | PA      | $5797659.40    | 0.01%             | 2052-12-01      | Fixed         | 0.04%                 | 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        |     1243035 | PA      | $1141255.04    | 0.00%             | 2040-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 01/01/2052#QD5085                                                                  | CUSIP: 3133B2UJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      419760 | PA      | $386117.80     | 0.00%             | 2052-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 06/01/2051#                                                                        | CUSIP: 3140XBR69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      616796 | PA      | $568133.25     | 0.00%             | 2051-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 03/01/2029#                                                                          | CUSIP: 31293LG40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          60 | PA      | $61.17         | 0.00%             | 2029-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 5/27 #447102                                                                           | CUSIP: 36208CU39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         174 | PA      | $175.30        | 0.00%             | 2027-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 4/39 #930854                                                                           | CUSIP: 31412PE31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9442 | PA      | $9461.77       | 0.00%             | 2039-04-01      | Fixed         | 0.04%                 | 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        |         702 | PA      | $709.90        | 0.00%             | 2027-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2007-66 SB SOFR30A+3891.312 7/37                                                              | CUSIP: 31396WYZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        7911 | PA      | $9141.38       | 0.00%             | 2037-07-25      | Variable      | 0.13%                 | 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        |     1310714 | PA      | $1174019.60    | 0.00%             | 2041-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 03/01/2052#                                                                        | CUSIP: 3133KNWJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     7970420 | PA      | $7336608.53    | 0.02%             | 2052-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 09/01/2054#CB9216                                                                    | CUSIP: 3140QVG24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    30988317 | PA      | $31734620.65   | 0.08%             | 2054-09-01      | Fixed         | 0.06%                 | 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        |     2659936 | PA      | $2516703.34    | 0.01%             | 2045-05-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 05/15/2043#AC9627                                                                  | CUSIP: 36179KVU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       38965 | PA      | $36628.48      | 0.00%             | 2043-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MARS INC                                                                           | MARS INC 5.7% 05/01/2055 144A                                                                     | CUSIP: 571676BC8<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    34854000 | PA      | $35305226.51   | 0.08%             | 2055-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 6% 11/01/2055 #TBA                                                                        | CUSIP: 21H0606B2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   110775000 | PA      | $112664234.39  | 0.27%             | 2055-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BHG 2025-2CON                                                                      | BHG 2025-2CON 4.84% 09/17/2036 144A                                                               | CUSIP: 05494LAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     4629297 | PA      | $4663714.05    | 0.01%             | 2036-09-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 12/29 #252981                                                                          | CUSIP: 31371H6S2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         505 | PA      | $527.24        | 0.00%             | 2030-01-01      | Fixed         | 0.07%                 | 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        |    23200000 | PA      | $23970620.25   | 0.06%             | 2039-01-23      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.50% 1/42 #005279                                                                        | CUSIP: 36202F2L9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       13711 | PA      | $13006.03      | 0.00%             | 2042-01-20      | Fixed         | 0.04%                 | 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        |      361342 | PA      | $365925.78     | 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        |     1224888 | PA      | $1006971.64    | 0.00%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 10/28 #323336                                                                          | CUSIP: 31374TEH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       12035 | PA      | $12582.81      | 0.00%             | 2028-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 9/27 #455561                                                                           | CUSIP: 36208NB69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          28 | PA      | $27.76         | 0.00%             | 2027-09-15      | Fixed         | 0.07%                 | 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        |     7976668 | PA      | $8173758.74    | 0.02%             | 2054-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DOMINOS PIZZA MASTER ISSUER LL DOMINOS SPV CDN HLDG CO INC DOMINOS PIZZA DISTR LLC | DOMINOS PIZZA MASTER ISR LLC 3.668% 10/25/2049 144A                                               | CUSIP: 25755TAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    20812800 | PA      | $20023863.76   | 0.05%             | 2049-10-25      | Fixed         | 0.04%                 | 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        |     2784627 | PA      | $2489441.87    | 0.01%             | 2048-08-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 4/27 #780545                                                                           | CUSIP: 36225ATA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         324 | PA      | $327.10        | 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        |     2835798 | PA      | $2740729.97    | 0.01%             | 2046-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 3.875% 08/15/2034                                                                       | CUSIP: 91282CLF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   471800000 | PA      | $464593255.00  | 1.11%             | 2034-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GENERAL MTRS FINL CO INC                                                           | GENERAL MTRS FINL CO INC 2.35% 02/26/2027                                                         | CUSIP: 37045XDR4<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    17500000 | PA      | $17046908.55   | 0.04%             | 2027-02-26      | Fixed         | 0.02%                 | 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        |      102725 | PA      | $99513.14      | 0.00%             | 2042-02-15      | Fixed         | 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        |     5031619 | PA      | $4116017.65    | 0.01%             | 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        |    55620000 | PA      | $55846929.60   | 0.13%             | 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        |     5964000 | PA      | $5758375.24    | 0.01%             | 2029-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.4% 09/01/2042#AP9959                                                                  | CUSIP: 3138MEB58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      112323 | PA      | $105932.02     | 0.00%             | 2042-09-01      | Fixed         | 0.03%                 | 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        |     9650963 | PA      | $9675090.51    | 0.02%             | 2039-12-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/29 #495896                                                                           | CUSIP: 36210L3D3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         422 | PA      | $430.42        | 0.00%             | 2029-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 12/32 #254613                                                                          | CUSIP: 31371KYJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         302 | PA      | $319.28        | 0.00%             | 2032-12-01      | Fixed         | 0.07%                 | 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        |        9641 | PA      | $10162.44      | 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        |     3651291 | PA      | $3664155.26    | 0.01%             | 2028-10-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PAYCHEX INC                                                                        | PAYCHEX INC 5.35% 04/15/2032                                                                      | CUSIP: 704326AB3<br>LEI: 529900K900DW6SUBM174 | Long             | DBT              | CORP              | US        |     5068000 | PA      | $5258775.23    | 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        |    18087000 | PA      | $17259343.04   | 0.04%             | 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        |        3103 | PA      | $3224.97       | 0.00%             | 2032-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BANK 2017-BNKS                                                                     | BANK 2017-BNKS 3.179% 06/15/2060                                                                  | CUSIP: 06541WAU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5850084 | PA      | $5804654.78    | 0.01%             | 2060-06-15      | Fixed         | 0.03%                 | 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        |      548684 | PA      | $513763.58     | 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        |    12709981 | PA      | $13178927.64   | 0.03%             | 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        |     4238000 | PA      | $3781819.09    | 0.01%             | 2032-12-15      | Fixed         | 0.03%                 | 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        |    21721099 | PA      | $17883914.64   | 0.04%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 09/01/2052#QE9929                                                                    | CUSIP: 3133BLA64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1568655 | PA      | $1566224.16    | 0.00%             | 2052-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| EMERA US FINANCE LP                                                                | EMERA US FINANCE LP 3.55% 06/15/2026                                                              | CUSIP: 29103DAJ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     6732000 | PA      | $6692134.71    | 0.02%             | 2026-06-15      | Fixed         | 0.04%                 | 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        |      502259 | PA      | $501644.16     | 0.00%             | 2044-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AFFIRM MASTER TRUST                                                                | AFFIRM MASTER TRUST 4.67% 07/15/2033 144A                                                         | CUSIP: 00833BAG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     9100000 | PA      | $9154013.05    | 0.02%             | 2033-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 8/32 #589476                                                                           | CUSIP: 36201P2H7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         392 | PA      | $407.08        | 0.00%             | 2032-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 9/41 #AJ4287                                                                           | CUSIP: 3138AVXR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       23903 | PA      | $23296.97      | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 6.5% 7/31 #003107                                                                         | CUSIP: 36202DNY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         303 | PA      | $313.39        | 0.00%             | 2031-07-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                        | ORACLE CORP 4.8% 09/26/2032                                                                       | CUSIP: 68389XDK8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    25181000 | PA      | $25211279.40   | 0.06%             | 2032-09-26      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 02/01/2043#AR3691                                                                  | CUSIP: 3138W1C54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       94251 | PA      | $86606.79      | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 03/01/2045#Q31980                                                                  | CUSIP: 3132QNFW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       27265 | PA      | $24844.35      | 0.00%             | 2045-03-01      | Fixed         | 0.03%                 | 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        |     1644798 | PA      | $1389752.24    | 0.00%             | 2041-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 7.5% 02/01/2027#                                                                        | CUSIP: 31283GXZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |           6 | PA      | $5.69          | 0.00%             | 2027-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 5/27 #250912                                                                           | CUSIP: 31371FVD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          50 | PA      | $50.42         | 0.00%             | 2027-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.0% 07/01/2041#Q02020                                                                  | CUSIP: 3132GFG50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       45555 | PA      | $46488.16      | 0.00%             | 2041-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                          | OCCIDENTAL PETROLEUM CORP 7.5% 05/01/2031                                                         | CUSIP: 674599DD4<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    29749000 | PA      | $33413928.06   | 0.08%             | 2031-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/31 #560462                                                                           | CUSIP: 36213PTT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         532 | PA      | $546.32        | 0.00%             | 2031-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 3002 NE 5% 7/35                                                                               | CUSIP: 31395WMR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      170755 | PA      | $175161.20     | 0.00%             | 2035-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 05/01/2043#AB9340                                                                  | CUSIP: 31417GLW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       18532 | PA      | $17112.41      | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | 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        |     1493278 | PA      | $1363750.05    | 0.00%             | 2045-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2% 10/01/2055 #TBA                                                                        | CUSIP: 21H0206A8<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |   -61125000 | PA      | $-50555038.84  | -0.12%            | 2055-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 03/01/2047#AS9422                                                                  | CUSIP: 3138WKPG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       37167 | PA      | $36794.61      | 0.00%             | 2047-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 1/37 #G02667                                                                           | CUSIP: 3128M4JL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       12160 | PA      | $12384.46      | 0.00%             | 2037-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 12/29 #524241                                                                          | CUSIP: 31384HLW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         239 | PA      | $247.75        | 0.00%             | 2029-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AIMCO CLO 14 LTD / AIMCO CLO 14 LLC                                                | AIMCO CLO 14 LTD / AIMCO CLO 14 LLC A TSFR3M+125.161 04/20/2034 144A                              | CUSIP: 00144GAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    46919000 | PA      | $46919000.00   | 0.11%             | 2034-04-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                                         | ABBVIE INC 3.2% 11/21/2029                                                                        | CUSIP: 00287YBX6<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    17500000 | PA      | $16883121.50   | 0.04%             | 2029-11-21      | Fixed         | 0.03%                 | 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        |     5899356 | PA      | $5047663.24    | 0.01%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 02/01/2052#CB2856                                                                  | CUSIP: 3140QNE65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      735610 | PA      | $631938.54     | 0.00%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.0% 11/01/2038#991909                                                                  | CUSIP: 31415W3S0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1010 | PA      | $1067.50       | 0.00%             | 2038-11-01      | Fixed         | 0.06%                 | 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        |        1338 | PA      | $1398.50       | 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        |        5860 | PA      | $5877.69       | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 11/25 #404665                                                                          | CUSIP: 36205YQS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          17 | PA      | $17.07         | 0.00%             | 2025-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 1/42 #790493                                                                           | CUSIP: 36177JRP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       45480 | PA      | $42953.29      | 0.00%             | 2042-01-15      | Fixed         | 0.04%                 | 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        |     2795641 | PA      | $2846208.32    | 0.01%             | 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        |      168860 | PA      | $168879.79     | 0.00%             | 2061-02-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 12/32 #552938                                                                          | CUSIP: 36213FHP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         542 | PA      | $549.14        | 0.00%             | 2032-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 7.00% 9/35 #A47784                                                                           | CUSIP: 3128K8UH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       52143 | PA      | $55224.30      | 0.00%             | 2035-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 3.5% 10/01/2055 #TBA                                                                    | CUSIP: 01F0326A7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   162250000 | PA      | $148249593.53  | 0.35%             | 2055-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 9/35 #840937                                                                           | CUSIP: 31407UHN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9843 | PA      | $10293.56      | 0.00%             | 2035-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP DEL                                                                   | CENTENE CORP 2.45% 07/15/2028                                                                     | CUSIP: 15135BAY7<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    32380000 | PA      | $30088563.24   | 0.07%             | 2028-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 12/01/2039#A90245                                                                  | CUSIP: 312938HW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1100 | PA      | $1103.46       | 0.00%             | 2039-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 2% 11/20/2052#MA8422                                                                      | CUSIP: 36179XLB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1022121 | PA      | $848241.42     | 0.00%             | 2052-11-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 7.5% 11/01/2030#                                                                        | CUSIP: 31298CPJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        8346 | PA      | $8684.01       | 0.00%             | 2030-11-01      | Fixed         | 0.07%                 | 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        |       73440 | PA      | $73288.26      | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 1/42 #757487                                                                           | CUSIP: 36230SJ88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      225696 | PA      | $212418.93     | 0.00%             | 2042-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 9/40 #737454                                                                           | CUSIP: 3620ARH79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       90473 | PA      | $91989.05      | 0.00%             | 2040-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/28 #444774                                                                           | CUSIP: 36207XCK6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         362 | PA      | $367.40        | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 04/01/2050#                                                                        | CUSIP: 3133KHWP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       18113 | PA      | $16723.25      | 0.00%             | 2050-04-01      | Fixed         | 0.04%                 | 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        |       27456 | PA      | $28657.83      | 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        |      529958 | PA      | $526300.39     | 0.00%             | 2047-07-01      | 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        |     1839887 | PA      | $1809775.09    | 0.00%             | 2040-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 03/01/2029#                                                                          | CUSIP: 31293LSQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         405 | PA      | $414.10        | 0.00%             | 2029-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 8/29 #488260                                                                           | CUSIP: 36210CMH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          60 | PA      | $60.20         | 0.00%             | 2029-08-15      | Fixed         | 0.07%                 | 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        |      126422 | PA      | $119845.63     | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | 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        |         687 | PA      | $718.12        | 0.00%             | 2029-10-01      | Fixed         | 0.07%                 | 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        |     5302758 | PA      | $5248776.94    | 0.01%             | 2052-10-25      | Variable      | 0.05%                 | 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        |      130309 | PA      | $130060.32     | 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        |     1400000 | PA      | $1143822.82    | 0.00%             | 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        |    29420000 | NC      | $920510.91     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 05/01/2051#RA5077                                                                  | CUSIP: 3133KLUA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2489840 | PA      | $2143608.06    | 0.01%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/01/2040#AE6348                                                                    | CUSIP: 31419HBS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         840 | PA      | $821.63        | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 3/41 #AI2509                                                                           | CUSIP: 3138AFYF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       11712 | PA      | $11482.84      | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | 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        |      219836 | PA      | $220295.97     | 0.00%             | 2062-01-20      | Variable      | 0.05%                 | 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        |      180233 | PA      | $175435.85     | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | 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        |    14685444 | PA      | $14123488.02   | 0.03%             | 2062-07-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/32 #569780                                                                           | CUSIP: 36200Q6R0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         329 | PA      | $340.67        | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                      | CITIGROUP INC 4.412%/VAR 03/31/2031                                                               | CUSIP: 172967MP3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    45100000 | PA      | $45024001.54   | 0.11%             | 2031-03-31      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 01/01/2041#                                                                        | CUSIP: 312944YF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       42203 | PA      | $42330.60      | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AUTONATION INC DEL                                                                 | AUTONATION INC DEL 3.85% 03/01/2032                                                               | CUSIP: 05329RAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    21966000 | PA      | $20580089.06   | 0.05%             | 2032-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 03/01/2033#CA1619                                                                  | CUSIP: 3140Q8YR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       22867 | PA      | $21993.33      | 0.00%             | 2033-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 6/39 #670609                                                                           | CUSIP: 36295HAJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         606 | PA      | $618.82        | 0.00%             | 2039-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 10/40 #733989                                                                          | CUSIP: 3620AMNE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       20516 | PA      | $19928.46      | 0.00%             | 2040-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 3/42 #794582                                                                           | CUSIP: 36177PCU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      218693 | PA      | $206859.16     | 0.00%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 6/41 #754005                                                                           | CUSIP: 36230NNW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       30430 | PA      | $29647.69      | 0.00%             | 2041-06-15      | Fixed         | 0.04%                 | 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        |     5521876 | PA      | $5630383.74    | 0.01%             | 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        |    26624000 | PA      | $25811968.00   | 0.06%             | 2031-01-28      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 7/42 #AA8273                                                                           | CUSIP: 36178GFN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       55169 | PA      | $52025.79      | 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        |       75120 | PA      | $69159.51      | 0.00%             | 2042-05-15      | Fixed         | 0.03%                 | 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        |    51409640 | PA      | $51361443.24   | 0.12%             | 2038-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| LINCOLN NATIONAL CORP IND                                                          | LINCOLN NATIONAL CORP IND 3.4% 01/15/2031                                                         | CUSIP: 534187BK4<br>LEI: EFQMQROEDSNBRIP7LE47 | Long             | DBT              | CORP              | US        |    34132000 | PA      | $32239123.93   | 0.08%             | 2031-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 8/28 #323297                                                                           | CUSIP: 31374TDA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          14 | PA      | $14.54         | 0.00%             | 2028-08-01      | Fixed         | 0.07%                 | 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        |      222366 | PA      | $22493.02      | 0.00%             | 2041-07-20      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 3.5% 10/01/2055 #TBA                                                                    | CUSIP: 01F0326A7<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -160150000 | PA      | $-146330800.64 | -0.35%            | 2055-10-01      | Fixed         | 0.04%                 | 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        |       61403 | PA      | $62538.48      | 0.00%             | 2035-07-01      | Fixed         | 0.05%                 | 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        |       38725 | PA      | $39868.57      | 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        |     2863647 | PA      | $2432322.98    | 0.01%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 10/35 #836456                                                                          | CUSIP: 31407PH92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1021 | PA      | $1073.23       | 0.00%             | 2035-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 1.5% 11/01/2050#QB6612                                                                  | CUSIP: 3133ADKZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      762703 | PA      | $592987.50     | 0.00%             | 2050-11-01      | Fixed         | 0.01%                 | 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        |     7703907 | PA      | $7729286.01    | 0.02%             | 2053-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 10/27 #458421                                                                          | CUSIP: 36208RG65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          61 | PA      | $60.89         | 0.00%             | 2027-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 11/28 #487335                                                                          | CUSIP: 36210BLQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         611 | PA      | $623.12        | 0.00%             | 2028-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/32 #581935                                                                           | CUSIP: 36201FPU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         830 | PA      | $860.03        | 0.00%             | 2032-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 3.50% 4/42 #C03811                                                                           | CUSIP: 31292LGU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     5880670 | PA      | $5606434.50    | 0.01%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 1/31 #543785                                                                           | CUSIP: 36212UCW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          86 | PA      | $89.96         | 0.00%             | 2031-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/28 #468084                                                                           | CUSIP: 36209C6V3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         134 | PA      | $135.61        | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | 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        |   556400000 | PA      | $397043562.50  | 0.95%             | 2052-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 11/40 #AE9065                                                                          | CUSIP: 31419LCB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       33948 | PA      | $33188.13      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 02/01/2051#                                                                        | CUSIP: 3140QHK95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       45553 | PA      | $42101.18      | 0.00%             | 2051-02-01      | Fixed         | 0.04%                 | 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        |    25363000 | PA      | $25453317.64   | 0.06%             | 2037-04-15      | 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        |      590000 | NC      | $92970.25      | 0.00%             |  |  |  | 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        |      516251 | PA      | $503614.67     | 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        |     3373226 | PA      | $3122322.73    | 0.01%             | 2048-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 10/01/2051#                                                                        | CUSIP: 3132DWCL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     8575532 | PA      | $7898961.35    | 0.02%             | 2051-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 8/29 #479545                                                                           | CUSIP: 31382DWE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         307 | PA      | $320.62        | 0.00%             | 2029-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.00% 11/39 #680498                                                                          | CUSIP: 36295T7K4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        8770 | PA      | $9173.84       | 0.00%             | 2039-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2996 ZD 5.5% 06/35                                                                            | CUSIP: 31395UZR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      543475 | PA      | $550621.62     | 0.00%             | 2035-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                      | GOLDMAN SACHS GROUP INC (THE) 4.25% 10/21/2025                                                    | CUSIP: 38141GVR2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    22692000 | PA      | $22677054.59   | 0.05%             | 2025-10-21      | Fixed         | 0.04%                 | 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        |     3253326 | PA      | $2782624.76    | 0.01%             | 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        |     7554639 | PA      | $7614939.06    | 0.02%             | 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        |    13797000 | PA      | $13794037.78   | 0.03%             | 2052-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 12/01/2032#ZS8678                                                                  | CUSIP: 3132A9UB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       22525 | PA      | $21646.52      | 0.00%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 8/40 #741372                                                                           | CUSIP: 3620AVT51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       67458 | PA      | $67314.04      | 0.00%             | 2040-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 5/36 #745550                                                                           | CUSIP: 31403DH36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2749 | PA      | $2885.11       | 0.00%             | 2036-05-01      | 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        |    81833298 | PA      | $67351300.52   | 0.16%             | 2051-05-01      | Fixed         | 0.02%                 | 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        |       55299 | PA      | $51921.08      | 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        |         432 | PA      | $443.04        | 0.00%             | 2028-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.0% 01/01/2041#A96537                                                                  | CUSIP: 312945HN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       21743 | PA      | $22190.49      | 0.00%             | 2041-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 09/20/2040#004799                                                                    | CUSIP: 36202FKL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       10276 | PA      | $9766.82       | 0.00%             | 2040-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 04/42#890427                                                                       | CUSIP: 31410LHC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4415 | PA      | $4199.55       | 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+120 12/25/2054                                             | CUSIP: 3136BTXR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    17345760 | PA      | $17376949.50   | 0.04%             | 2054-12-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 04/47#BH0885                                                                       | CUSIP: 3140GN6X6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       33895 | PA      | $33554.80      | 0.00%             | 2047-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 12/40 #737790                                                                          | CUSIP: 3620ARUP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       18858 | PA      | $18310.32      | 0.00%             | 2040-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 9/42 #AP4091                                                                           | CUSIP: 3138M7RM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       33095 | PA      | $31406.98      | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 5.78% 10/35 #1N0063                                                                      | CUSIP: 3128QGB84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1304 | PA      | $1362.30       | 0.00%             | 2035-10-01      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 12/39 #711476                                                                          | CUSIP: 36297GMZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      117610 | PA      | $114290.32     | 0.00%             | 2039-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 09/01/2043#AT7264                                                                  | CUSIP: 3138WVCA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5282 | PA      | $4866.11       | 0.00%             | 2043-09-01      | Fixed         | 0.03%                 | 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        |         287 | PA      | $288.09        | 0.00%             | 2026-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 3.5% 12/01/2033#C91737                                                                  | CUSIP: 3128P74W0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      611154 | PA      | $599755.46     | 0.00%             | 2033-12-01      | Fixed         | 0.04%                 | 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        |      477689 | PA      | $440300.34     | 0.00%             | 2051-04-01      | Fixed         | 0.04%                 | 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        |      503442 | PA      | $491426.30     | 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        |      231690 | PA      | $226351.09     | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA GTD MTG 2013-51 GI 3% 10/25/2032                                                             | CUSIP: 3136AECM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      121362 | PA      | $4236.25       | 0.00%             | 2032-10-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| LOWES COS INC                                                                      | LOWES COS INC 3.75% 04/01/2032                                                                    | CUSIP: 548661EH6<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |     9454000 | PA      | $9043167.54    | 0.02%             | 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        |      212995 | PA      | $213630.10     | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                         | CAPITAL ONE FIN CORP 5.468%/VAR 02/01/2029                                                        | CUSIP: 14040HCX1<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    26778000 | PA      | $27461197.02   | 0.07%             | 2029-02-01      | Variable      | 0.05%                 | 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        |       92662 | PA      | $89840.36      | 0.00%             | 2044-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 11/42#AQ6804                                                                       | CUSIP: 3138MNR28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       23644 | PA      | $22381.56      | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 05/01/2043#Q18564                                                                  | CUSIP: 3132J96A1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       42718 | PA      | $41505.32      | 0.00%             | 2043-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CY451600 12/16/72 B                                                                   | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    17690000 | NC      | $-73604.55     | -0.00%            |  |  |  | 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        |      495784 | PA      | $493560.64     | 0.00%             | 2066-08-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                                 | VICI PROPERTIES LP 5.75% 04/01/2034                                                               | CUSIP: 925650AF0<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |     5034000 | PA      | $5227446.95    | 0.01%             | 2034-04-01      | 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        |      119866 | PA      | $117150.28     | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | 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        |       49422 | PA      | $44270.37      | 0.00%             | 2050-10-01      | Fixed         | 0.03%                 | 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        |      216852 | PA      | $211503.27     | 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        |     2675535 | PA      | $2366100.53    | 0.01%             | 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        |       11706 | PA      | $12257.71      | 0.00%             | 2035-07-01      | 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 4795 FA SOFR30A+41.448 05/15/2048          | CUSIP: 3137F5PW3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     1001455 | PA      | $968397.82     | 0.00%             | 2048-05-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/32 #585381                                                                           | CUSIP: 36201KJ23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          97 | PA      | $100.71        | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| HALLIBURTON CO                                                                     | HALLIBURTON CO 3.8% 11/15/2025                                                                    | CUSIP: 406216BG5<br>LEI: ENYF8GB5SMQZ25S06U51 | Long             | DBT              | CORP              | US        |      207000 | PA      | $206767.58     | 0.00%             | 2025-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2% 06/01/2041#MA4364                                                                    | CUSIP: 31418DZ62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       17201 | PA      | $14976.46      | 0.00%             | 2041-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GNR 2007-35 SC TSFR1M+3951.312 6/37                                                               | CUSIP: 38375KVH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |        1460 | PA      | $1693.33       | 0.00%             | 2037-06-16      | Variable      | 0.15%                 | 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        |     6097000 | PA      | $6000975.12    | 0.01%             | 2029-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 2/28 #331338                                                                           | CUSIP: 31375DBF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         690 | PA      | $721.54        | 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        |    33855000 | PA      | $33973093.01   | 0.08%             | 2030-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 11/01/2040#AE8265                                                                  | CUSIP: 31419KFF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       23169 | PA      | $22724.04      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/32 #533932                                                                           | CUSIP: 36212HED8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         126 | PA      | $127.59        | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 10/01/2039#AW8233                                                                    | CUSIP: 3138XYEF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       85274 | PA      | $83330.01      | 0.00%             | 2039-10-01      | Fixed         | 0.04%                 | 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        |    38243000 | PA      | $38282390.29   | 0.09%             | 2037-01-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/28 #433882                                                                           | CUSIP: 36207J6T5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         112 | PA      | $114.25        | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 11/01/2052#SD1863                                                                    | CUSIP: 3132DPB80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    17166324 | PA      | $17249697.62   | 0.04%             | 2052-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 02/01/2044#Q24973                                                                  | CUSIP: 3132M5FN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       57781 | PA      | $56050.65      | 0.00%             | 2044-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 11/25 #313063                                                                          | CUSIP: 31374FWY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |           3 | PA      | $3.07          | 0.00%             | 2025-11-01      | Fixed         | 0.07%                 | 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        |       92964 | PA      | $90735.37      | 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        |    12764019 | PA      | $12239668.20   | 0.03%             | 2041-11-16      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 03/01/2043#Q16470                                                                  | CUSIP: 3132J7T44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       76662 | PA      | $70972.11      | 0.00%             | 2043-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 10/27 #353919                                                                          | CUSIP: 36203NDY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          75 | PA      | $76.75         | 0.00%             | 2027-10-15      | Fixed         | 0.07%                 | 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              | KY        |    35314000 | PA      | $35313858.74   | 0.08%             | 2035-04-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| EXELON CORP                                                                        | EXELON CORP 4.05% 04/15/2030                                                                      | CUSIP: 30161NAX9<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |     7291000 | PA      | $7212065.52    | 0.02%             | 2030-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 08/15/2040#721759                                                                  | CUSIP: 3620A7ZY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        9584 | PA      | $9313.44       | 0.00%             | 2040-08-15      | 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+120 02/25/2055                                             | CUSIP: 3137HJZC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     3676487 | PA      | $3671625.83    | 0.01%             | 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        |       99952 | PA      | $97167.57      | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | 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        |    19748725 | PA      | $18411457.86   | 0.04%             | 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        |    27714070 | PA      | $28628005.28   | 0.07%             | 2039-07-01      | Fixed         | 0.06%                 | 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        |       61912 | PA      | $64540.07      | 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              | JE        |    25047000 | PA      | $25037457.09   | 0.06%             | 2038-04-20      | Variable      | 0.06%                 | 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        |        1068 | PA      | $1105.63       | 0.00%             | 2031-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 5/27 #432499                                                                           | CUSIP: 36207HNQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          53 | PA      | $53.91         | 0.00%             | 2027-05-15      | Fixed         | 0.07%                 | 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        |    22608601 | PA      | $23167223.85   | 0.06%             | 2054-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 07/01/2043#Q19764                                                                  | CUSIP: 3132JBJJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       71321 | PA      | $69299.81      | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK 2019-BNK21                                                                    | BANK 2019-BN21 A5 2.851% 10/17/2052                                                               | CUSIP: 06540BBD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2858000 | PA      | $2685942.40    | 0.01%             | 2052-10-17      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 10/28 #485009                                                                          | CUSIP: 36209XYE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         306 | PA      | $310.65        | 0.00%             | 2028-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 2/28 #251569                                                                           | CUSIP: 31371GMS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          36 | PA      | $37.67         | 0.00%             | 2028-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 1.5% 11/01/2035#MA4178                                                                  | CUSIP: 31418DUC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    17885972 | PA      | $16082617.12   | 0.04%             | 2035-11-01      | Fixed         | 0.01%                 | 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              | JE        |    28099438 | PA      | $28194667.00   | 0.07%             | 2037-07-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 8.00% 8/30 #C41636                                                                           | CUSIP: 31297YY97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          66 | PA      | $69.58         | 0.00%             | 2030-08-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| DELL INTERNATIONAL LLC / EMC CORP                                                  | DELL INTL/EMC CORP 5.1% 02/15/2036                                                                | CUSIP: 24703DBU4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    41980000 | PA      | $41745842.70   | 0.10%             | 2036-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2006-37 OW 0% 5/36                                                                            | CUSIP: 31395DMG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       16029 | PA      | $13265.82      | 0.00%             | 2036-05-25      | Fixed         | 0.00%                 | 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        |    32962495 | PA      | $33775036.70   | 0.08%             | 2053-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.00% 12/27 #436032                                                                          | CUSIP: 36207MLM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         198 | PA      | $200.75        | 0.00%             | 2027-12-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                                              | TIME WARNER CABLE LLC 5.875% 11/15/2040                                                           | CUSIP: 88732JAY4<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |     7566000 | PA      | $7232134.36    | 0.02%             | 2040-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 8/40 #741227                                                                           | CUSIP: 3620AVPL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4586 | PA      | $4577.04       | 0.00%             | 2040-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 9/27 #399716                                                                           | CUSIP: 31378JAR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          17 | PA      | $17.48         | 0.00%             | 2027-09-01      | 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 4.5% 10/25/2044                                                    | CUSIP: 3137H9AA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     8424612 | PA      | $8402960.97    | 0.02%             | 2044-10-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 01/01/2041#AE9509                                                                  | CUSIP: 31419LR70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       11459 | PA      | $11214.33      | 0.00%             | 2041-01-01      | 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        |      264663 | PA      | $257363.46     | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 12/39 #711059                                                                          | CUSIP: 36297F5U2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       16198 | PA      | $16473.47      | 0.00%             | 2039-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 11/31 #572392                                                                          | CUSIP: 36200T2Z0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1883 | PA      | $1928.33       | 0.00%             | 2031-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2018-B4 MTG TR                                                           | BENCHMARK MTG TR 2018-B4 A5 4.121% 07/15/2051                                                     | CUSIP: 08161HAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3240000 | PA      | $3214174.61    | 0.01%             | 2051-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OWN EQUIPMENT FUND I LLC                                                           | OWN EQUIPMENT FUND I LLC 5.7% 12/20/2032 144A                                                     | CUSIP: 69121NAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3370484 | PA      | $3419441.77    | 0.01%             | 2032-12-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AR0938                                                                  | CUSIP: 3138NXBG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       11222 | PA      | $10310.03      | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | 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        |      146605 | PA      | $139134.99     | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 07/01/2051#CB1109                                                                    | CUSIP: 3140QLGT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       66071 | PA      | $53780.07      | 0.00%             | 2051-07-01      | Fixed         | 0.02%                 | 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        |    14030825 | PA      | $14740224.85   | 0.04%             | 2054-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/31 #560801                                                                           | CUSIP: 36213QAA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         172 | PA      | $176.63        | 0.00%             | 2031-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR                                 | AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 4.45% 04/03/2026                               | CUSIP: 00774MAL9<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    15328000 | PA      | $15326228.85   | 0.04%             | 2026-04-03      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 03/01/2039#AV6581                                                                    | CUSIP: 3138XJJ32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      351173 | PA      | $343814.80     | 0.00%             | 2039-03-01      | Fixed         | 0.04%                 | 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        |      292661 | PA      | $269458.46     | 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        |     1405719 | PA      | $1400410.10    | 0.00%             | 2044-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                                             | GSCM SWAP PAY 3.887 09/17/30                                                                      | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |    12870000 | NC      | $457460.29     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 9/27 #396994                                                                           | CUSIP: 31378E7F9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          77 | PA      | $78.28         | 0.00%             | 2027-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 12/40 #AH1983                                                                          | CUSIP: 3138A3FZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4031 | PA      | $3948.21       | 0.00%             | 2040-12-01      | 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        |     1300000 | NC      | $89882.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 01/01/2029#                                                                          | CUSIP: 31293JH93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          84 | PA      | $86.18         | 0.00%             | 2029-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 3.0% 8/45#Q35375                                                                             | CUSIP: 3132QR6M7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      107752 | PA      | $98843.24      | 0.00%             | 2045-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 12/01/2044#AX6333                                                                  | CUSIP: 3138Y8BB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       23106 | PA      | $23047.62      | 0.00%             | 2044-12-01      | Fixed         | 0.04%                 | 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        |        1314 | PA      | $1359.35       | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MASSACHUSETTS MUTUAL LIFE INSURANCE COMPANY                                        | MASSACHUSETTS MUTUAL LIFE INS 3.729% 10/15/2070 144A                                              | CUSIP: 575767AN8<br>LEI: R6ZXK5P01NP6HXSY1S07 | Long             | DBT              | CORP              | US        |    20812000 | PA      | $13997182.82   | 0.03%             | 2070-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 11/01/2045#AS6201                                                                  | CUSIP: 3138WF3K0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4800 | PA      | $4488.57       | 0.00%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 4.94% 11/25/2030                                                   | CUSIP: 3137HBC51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2876443 | PA      | $2983599.99    | 0.01%             | 2030-11-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 6.5% 4/31 #003068                                                                         | CUSIP: 36202DMR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         260 | PA      | $267.42        | 0.00%             | 2031-04-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 1/34 #609542                                                                           | CUSIP: 36202UEP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         485 | PA      | $496.86        | 0.00%             | 2034-01-15      | Fixed         | 0.06%                 | 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        |     3310000 | PA      | $3328172.10    | 0.01%             | 2030-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 01/15/2043#AC3938                                                                  | CUSIP: 36179DLT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        7437 | PA      | $7015.10       | 0.00%             | 2043-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/31 #424092                                                                           | CUSIP: 36206XC50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         474 | PA      | $489.65        | 0.00%             | 2031-05-15      | 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        |    19077047 | PA      | $19698283.51   | 0.05%             | 2049-05-16      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SIXTH STREET LENDING PAR                                                           | SIXTH STREET LENDING PAR 6.125% 07/15/2030 144A                                                   | CUSIP: 829932AE2<br>LEI: 549300S9P1HMDERGCR64 | Long             | DBT              | CORP              | US        |    26655000 | PA      | $27557928.26   | 0.07%             | 2030-07-15      | 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        |    17480000 | PA      | $16076127.71   | 0.04%             | 2030-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AM PIPELN/PAA FIN C                                                     | PLAINS ALL AM PIPELN/PAA FIN C 3.8% 09/15/2030                                                    | CUSIP: 72650RBN1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    15976000 | PA      | $15401654.17   | 0.04%             | 2030-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 2/40 #678654                                                                           | CUSIP: 36295R5P9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      102727 | PA      | $99757.92      | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 1/32 #627296                                                                           | CUSIP: 31389J3D4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         174 | PA      | $183.89        | 0.00%             | 2032-01-01      | Fixed         | 0.07%                 | 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        |     2280872 | PA      | $2197734.43    | 0.01%             | 2032-07-01      | Fixed         | 0.03%                 | 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        |     6362000 | PA      | $6615640.22    | 0.02%             | 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        |     2209735 | PA      | $1960935.29    | 0.00%             | 2051-11-01      | Fixed         | 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        |      304873 | PA      | $295619.42     | 0.00%             | 2043-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 04/01/2052#SD7554                                                                  | CUSIP: 3132DVMB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2631630 | PA      | $2260746.70    | 0.01%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 05/01/2055#CC0404                                                                    | CUSIP: 3140Y6NW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     9359481 | PA      | $9699689.21    | 0.02%             | 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        |        6106 | PA      | $6384.00       | 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        |    28802000 | PA      | $28770577.02   | 0.07%             | 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        |       58260 | PA      | $61508.31      | 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        |    20149000 | PA      | $19795385.05   | 0.05%             | 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        |    14403000 | PA      | $14451552.51   | 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        |      190321 | PA      | $184491.91     | 0.00%             | 2044-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 04/01/2046#Q39678                                                                    | CUSIP: 3132QWXG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      165657 | PA      | $159839.25     | 0.00%             | 2046-04-01      | Fixed         | 0.04%                 | 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        |    51008123 | PA      | $41534919.78   | 0.10%             | 2050-09-01      | Fixed         | 0.02%                 | 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        |     2400000 | NC      | $-31300.80     | -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        |       78332 | PA      | $81439.33      | 0.00%             | 2041-09-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 11/40 #667594                                                                          | CUSIP: 36295DUT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       13008 | PA      | $12648.18      | 0.00%             | 2040-11-15      | Fixed         | 0.04%                 | 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        |        1186 | PA      | $1240.13       | 0.00%             | 2029-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 11/01/2050#QB5146                                                                    | CUSIP: 3133ABWF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       18587 | PA      | $15134.99      | 0.00%             | 2050-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 11/41 #AJ7139                                                                          | CUSIP: 3138AY4Z9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       19700 | PA      | $19176.22      | 0.00%             | 2041-11-01      | Fixed         | 0.04%                 | 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        |   110733000 | PA      | $102220400.63  | 0.24%             | 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        |        4383 | PA      | $4531.67       | 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        |    42575272 | PA      | $42581680.08   | 0.10%             | 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        |       76571 | PA      | $76424.20      | 0.00%             | 2041-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 05/01/2043#Q18363                                                                  | CUSIP: 3132J9WZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       39405 | PA      | $38290.17      | 0.00%             | 2043-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                                              | LCH OIS SOFRV3.75% MAC 12/17/45                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |   -53352000 | NC      | $1045553.55    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 6.49% 8/37 #1A1800                                                                       | CUSIP: 3128NF7M3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       12869 | PA      | $12928.64      | 0.00%             | 2037-08-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 10/01/2032#MA3154                                                                  | CUSIP: 31418CQG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       33794 | PA      | $32503.32      | 0.00%             | 2032-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 6/38 #A78487                                                                           | CUSIP: 3128LCNC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        3710 | PA      | $3784.14       | 0.00%             | 2038-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 9/40 #748811                                                                           | CUSIP: 3620C43U2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       17587 | PA      | $17552.11      | 0.00%             | 2040-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 09/42#G07184                                                                         | CUSIP: 3128M9J52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      816884 | PA      | $797284.37     | 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              | BM        |     2187000 | PA      | $2192117.58    | 0.01%             | 2037-04-20      | Variable      | 0.06%                 | 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        |       23324 | PA      | $24429.15      | 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        |    11517491 | PA      | $12092617.82   | 0.03%             | 2053-05-01      | Fixed         | 0.07%                 | 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        |     5631836 | PA      | $4885349.23    | 0.01%             | 2041-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MID AMERICA APTS LP                                                                | MID AMERICA APTS LP 4% 11/15/2025                                                                 | CUSIP: 59523UAM9<br>LEI: 549300FXWGE3QSYCUJ38 | Long             | DBT              | CORP              | US        |     3541000 | PA      | $3537650.21    | 0.01%             | 2025-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/28 #452761                                                                           | CUSIP: 36208J5W8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         117 | PA      | $117.17        | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                                | PETROLEOS MEXICANOS 6.35% 02/12/2048                                                              | CUSIP: 71654QCL4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    14404000 | PA      | $11455645.24   | 0.03%             | 2048-02-12      | Fixed         | 0.06%                 | 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        |     6100000 | PA      | $6039344.65    | 0.01%             | 2027-12-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 12/40 #AH0573                                                                          | CUSIP: 3138A1T76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7382 | PA      | $7221.50       | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 11/47#Q52377                                                                         | CUSIP: 3132XUUB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1462460 | PA      | $1404242.03    | 0.00%             | 2047-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 3/28 #465985                                                                           | CUSIP: 36209AUJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         289 | PA      | $296.11        | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                         | FANNIE MAE 3% 05/25/2048                                                                          | CUSIP: 3136BMAC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     2199520 | PA      | $2036236.14    | 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        |       20191 | PA      | $21322.27      | 0.00%             | 2034-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 12/01/2040#AE9804                                                                    | CUSIP: 31419L3N1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      471703 | PA      | $460650.14     | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 04/01/2041#AH4043                                                                  | CUSIP: 3138A5P55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       69562 | PA      | $69599.40      | 0.00%             | 2041-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2218 ZB 6% 3/30                                                                               | CUSIP: 3133TNM84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       17072 | PA      | $17456.30      | 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        |       95927 | PA      | $96090.06      | 0.00%             | 2064-01-20      | Variable      | 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        |      130000 | NC      | $20484.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| KIMBERLY-CLARK CORP                                                                | KIMBERLY-CLARK CORP 3.1% 03/26/2030                                                               | CUSIP: 494368CB7<br>LEI: MP3J6QPYPGN75NVW2S34 | Long             | DBT              | CORP              | US        |     1764000 | PA      | $1693163.76    | 0.00%             | 2030-03-26      | 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 3.35% 01/25/2028                                                   | CUSIP: 3137FETN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    15200000 | PA      | $15017162.24   | 0.04%             | 2028-01-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 07/01/2046#BC6149                                                                  | CUSIP: 3140F1ZP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      188231 | PA      | $176145.36     | 0.00%             | 2046-07-01      | Fixed         | 0.04%                 | 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        |      298910 | PA      | $272366.45     | 0.00%             | 2045-08-01      | Fixed         | 0.03%                 | 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        |    24519000 | PA      | $24222509.63   | 0.06%             | 2045-10-23      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BX 2021-BXMF                                                                       | BX 2021-BXMF TSFR1M+75.041 10/15/2026 144A                                                        | CUSIP: 05609RAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    12443600 | PA      | $12428045.25   | 0.03%             | 2026-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 2.5% 05/25/2049                                                    | CUSIP: 3137H5VK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     2575899 | PA      | $2277849.84    | 0.01%             | 2049-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/29 #513705                                                                           | CUSIP: 36211HU66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         734 | PA      | $751.08        | 0.00%             | 2029-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 4% 10/01/2055 #TBA                                                                      | CUSIP: 01F0406A0<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |   -43000000 | PA      | $-40519102.10  | -0.10%            | 2055-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 3/41 #783262                                                                           | CUSIP: 36241LTT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      220512 | PA      | $220040.12     | 0.00%             | 2041-03-15      | Fixed         | 0.04%                 | 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        |      134854 | PA      | $138922.00     | 0.00%             | 2039-09-15      | 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: N/A                  | Long             | DBT              | CORP              | US        |     8607000 | PA      | $9232459.76    | 0.02%             | 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        |    10681000 | PA      | $10503815.13   | 0.03%             | 2028-01-15      | Fixed         | 0.03%                 | 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        |    12075720 | PA      | $12506169.60   | 0.03%             | 2055-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 9/28 #660494                                                                           | CUSIP: 31390YXX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         440 | PA      | $460.53        | 0.00%             | 2028-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GENERAL MTRS FINL CO INC                                                           | GENERAL MTRS FINL CO INC 5.85% 04/06/2030                                                         | CUSIP: 37045XEG7<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    13062000 | PA      | $13661351.05   | 0.03%             | 2030-04-06      | 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% 10/25/2040                                                      | CUSIP: 3137FXBN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      809945 | PA      | $737575.58     | 0.00%             | 2040-10-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 9/41 #Q03529                                                                           | CUSIP: 3132GJSS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       48604 | PA      | $48745.63      | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | 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        |    13192523 | PA      | $11718482.58   | 0.03%             | 2050-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| OCCU AUTO RECEIVABLES TRUST 2025-1                                                 | OCCU AUTO RECEIVABLES TRUST 2025-1 4.81% 11/15/2029 144A                                          | CUSIP: 67098SAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2900000 | PA      | $2921934.15    | 0.01%             | 2029-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/32 #583573                                                                           | CUSIP: 36201HJS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         411 | PA      | $424.12        | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR                                 | AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 3.3% 01/30/2032                                | CUSIP: 00774MAX3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    19378000 | PA      | $17845073.86   | 0.04%             | 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        |       56734 | PA      | $58389.28      | 0.00%             | 2036-11-01      | 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 5191 CA 2.5% 04/25/2050                                            | CUSIP: 3137H5MS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     2938379 | PA      | $2562059.97    | 0.01%             | 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        |    37109155 | PA      | $30252051.44   | 0.07%             | 2050-07-01      | 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        |     1100000 | NC      | $76054.00      | 0.00%             |  |  |  | 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        |     1400525 | PA      | $1355694.57    | 0.00%             | 2031-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.5% 12/01/2053#FS6525                                                                  | CUSIP: 3140XNHB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2445120 | PA      | $2567561.61    | 0.01%             | 2053-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 6/33 #614479                                                                           | CUSIP: 36290QUC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         288 | PA      | $292.48        | 0.00%             | 2033-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 4/40 #727855                                                                           | CUSIP: 3620AETL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        9429 | PA      | $9394.28       | 0.00%             | 2040-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/32 #587924                                                                           | CUSIP: 36201ND56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         994 | PA      | $1023.76       | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                       | BARCLAYS PLC 5.2% 05/12/2026                                                                      | CUSIP: 06738EAP0<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    11811000 | PA      | $11867159.89   | 0.03%             | 2026-05-12      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NATL MTG AS GTD RE PTT 18-38 FG SOFR30A+41.448 06/25/2048                                 | CUSIP: 3136B1T20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     1461780 | PA      | $1412416.83    | 0.00%             | 2048-06-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 7.00% 12/26 #256589                                                                     | CUSIP: 31371M7A9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         455 | PA      | $457.56        | 0.00%             | 2026-12-01      | Fixed         | 0.07%                 | 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        |      171268 | PA      | $167481.78     | 0.00%             | 2042-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/28 #456947                                                                           | CUSIP: 36208PTC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          27 | PA      | $27.34         | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 07/01/2045#AS5393                                                                  | CUSIP: 3138WE7F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       77670 | PA      | $77328.53      | 0.00%             | 2045-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 8/40 #G05969                                                                           | CUSIP: 3128M76E1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      203187 | PA      | $207197.27     | 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        |    30000000 | PA      | $33092512.80   | 0.08%             | 2033-08-12      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 10/39 #723234                                                                          | CUSIP: 3620A9PT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3876 | PA      | $3868.14       | 0.00%             | 2039-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 06/01/2029#                                                                          | CUSIP: 31293RTS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          87 | PA      | $88.64         | 0.00%             | 2029-06-01      | Fixed         | 0.06%                 | 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        |     9379634 | PA      | $9425189.32    | 0.02%             | 2052-11-01      | Fixed         | 0.05%                 | 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        |       17134 | PA      | $17539.33      | 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        |    11772338 | PA      | $10450254.55   | 0.02%             | 2051-11-20      | Fixed         | 0.03%                 | 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        |     4098039 | PA      | $4078103.71    | 0.01%             | 2036-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 11/01/2042#AP4325                                                                  | CUSIP: 3138M7YX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       24929 | PA      | $23191.75      | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 12/28 #780931                                                                          | CUSIP: 36225BA81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         234 | PA      | $237.75        | 0.00%             | 2028-12-15      | Fixed         | 0.07%                 | 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        |    14569000 | PA      | $14575789.15   | 0.03%             | 2035-02-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT LP                                                           | AMERICAN HOMES 4 RENT LP 4.3% 04/15/2052                                                          | CUSIP: 02666TAF4<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              | CORP              | US        |     9909000 | PA      | $7940415.93    | 0.02%             | 2052-04-15      | 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        |    55100000 | PA      | $55444375.00   | 0.13%             | 2045-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/28 #465971                                                                           | CUSIP: 36209AT42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1041 | PA      | $1057.05       | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | 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        |       33014 | PA      | $33700.04      | 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        |      193523 | PA      | $182976.80     | 0.00%             | 2043-03-20      | 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        |       93942 | PA      | $95492.05      | 0.00%             | 2039-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 4/1/43 #AB9016                                                                       | CUSIP: 31417GAS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       17724 | PA      | $16362.63      | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/28 #460758                                                                           | CUSIP: 36208TZX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          10 | PA      | $10.04         | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | 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        |      141108 | PA      | $140790.29     | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SIMON PROPERTY GROUP LP                                                            | SIMON PROPERTY GROUP LP 2.65% 02/01/2032                                                          | CUSIP: 828807DT1<br>LEI: MR92GTD0MJTTTTQDVG45 | Long             | DBT              | CORP              | US        |    30000000 | PA      | $26883327.30   | 0.06%             | 2032-02-01      | Fixed         | 0.03%                 | 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        |          27 | PA      | $27.50         | 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        |        7813 | PA      | $8019.69       | 0.00%             | 2033-03-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| PROGRESSIVE CORP OHIO                                                              | PROGRESSIVE CORP OHIO 3.2% 03/26/2030                                                             | CUSIP: 743315AW3<br>LEI: 529900TACNVLY9DCR586 | Long             | DBT              | CORP              | US        |     3815000 | PA      | $3669737.85    | 0.01%             | 2030-03-26      | Fixed         | 0.03%                 | 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        |     7651150 | PA      | $6879722.37    | 0.02%             | 2035-12-01      | Fixed         | 0.01%                 | 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        |     7201000 | PA      | $7173996.25    | 0.02%             | 2036-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 07/01/2044#Q27069                                                                  | CUSIP: 3132M7QW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        8766 | PA      | $8744.14       | 0.00%             | 2044-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                       | BROADCOM INC 2.45% 02/15/2031 144A                                                                | CUSIP: 11135FBH3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    61131000 | PA      | $55599418.42   | 0.13%             | 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        |      273659 | PA      | $267467.66     | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 8/29 #510192                                                                           | CUSIP: 31383QXV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1446 | PA      | $1507.03       | 0.00%             | 2029-08-01      | Fixed         | 0.07%                 | 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        |      629807 | PA      | $602058.78     | 0.00%             | 2037-02-01      | Fixed         | 0.03%                 | 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        |     2101499 | PA      | $2079770.63    | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SCLP 2025-2                                                                        | SCLP 2025-2 4.82% 06/25/2034 144A                                                                 | CUSIP: 83407HAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    10287345 | PA      | $10341834.85   | 0.02%             | 2034-06-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DELL EQUIP FIN TR 2025-1                                                           | DELL EQUIP FIN TR 2025-1 4.68% 07/22/2027 144A                                                    | CUSIP: 24703UAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    13745000 | PA      | $13811837.81   | 0.03%             | 2027-07-22      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 7/35 #830899                                                                           | CUSIP: 31407HDC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         828 | PA      | $867.73        | 0.00%             | 2035-07-01      | Fixed         | 0.06%                 | 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        |     7890000 | PA      | $7209200.54    | 0.02%             | 2030-09-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3% 03/20/2050#MA6541                                                                      | CUSIP: 36179VHS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     3923812 | PA      | $3516201.35    | 0.01%             | 2050-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.4% 07/01/2042#AP1818                                                                  | CUSIP: 3138M5AU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       33987 | PA      | $32004.21      | 0.00%             | 2042-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 4.358% 10/33 #754672                                                                     | CUSIP: 31403QMV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1483 | PA      | $1507.97       | 0.00%             | 2033-10-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 10/31 #570662                                                                          | CUSIP: 36200R5X6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1427 | PA      | $1451.51       | 0.00%             | 2031-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 12/40 #AH0493                                                                          | CUSIP: 3138A1RP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       11841 | PA      | $11599.53      | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MOODYS CORP                                                                        | MOODYS CORP 3.25% 05/20/2050                                                                      | CUSIP: 615369AT2<br>LEI: 549300GCEDD8YCF5WU84 | Long             | DBT              | CORP              | US        |     9704000 | PA      | $6716693.08    | 0.02%             | 2050-05-20      | Fixed         | 0.03%                 | 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        |      418398 | PA      | $413026.46     | 0.00%             | 2048-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 9/27 #372445                                                                           | CUSIP: 36204KWE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          49 | PA      | $49.56         | 0.00%             | 2027-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 02/01/2043#AR5360                                                                  | CUSIP: 3138W25W1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       64657 | PA      | $59548.04      | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                            | MPLX LP 5.5% 02/15/2049                                                                           | CUSIP: 55336VAT7<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    16108000 | PA      | $14995822.01   | 0.04%             | 2049-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 04/01/2043                                                                         | CUSIP: 31417GAU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       51883 | PA      | $47858.10      | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                         | CAPITAL ONE FIN CORP 4.5% 01/30/2026                                                              | CUSIP: 254709AP3<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    23106000 | PA      | $23110894.54   | 0.06%             | 2026-01-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 06/42#AB5369                                                                       | CUSIP: 31417B6F9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       32583 | PA      | $30954.20      | 0.00%             | 2042-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 01/15/2047#AX5815                                                                    | CUSIP: 36196HN89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      295606 | PA      | $281518.37     | 0.00%             | 2047-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 9/39 #692780                                                                           | CUSIP: 36296JUD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       13299 | PA      | $13523.22      | 0.00%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 12/15/2040#737704                                                                  | CUSIP: 3620ARRZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        8995 | PA      | $8719.78       | 0.00%             | 2040-12-15      | 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        |      500725 | PA      | $500078.11     | 0.00%             | 2045-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 04/15/2046#784232                                                                    | CUSIP: 3622A2VZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     3024612 | PA      | $2912951.35    | 0.01%             | 2046-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 01/01/2044#G60271                                                                  | CUSIP: 31335AJQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1803458 | PA      | $1712177.27    | 0.00%             | 2044-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 4.717% 7/35 #735778                                                                      | CUSIP: 31402RM30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       46302 | PA      | $47760.17      | 0.00%             | 2035-07-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 11/35 #863262                                                                          | CUSIP: 31408XB74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1849 | PA      | $1945.38       | 0.00%             | 2035-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AQ9868                                                                  | CUSIP: 3138MR6E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       30689 | PA      | $28558.14      | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 02/01/2043#AR4275                                                                  | CUSIP: 3138W1XD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7192 | PA      | $6801.32       | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | 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        |    22994878 | PA      | $20405829.74   | 0.05%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 4/32 #641860                                                                           | CUSIP: 31390CB54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          44 | PA      | $46.46         | 0.00%             | 2032-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/31 #558746                                                                           | CUSIP: 36213MWF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1308 | PA      | $1347.78       | 0.00%             | 2031-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 12/01/2040#AE7856                                                                  | CUSIP: 31419JWS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       99282 | PA      | $96997.58      | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 4/27 #424845                                                                           | CUSIP: 36206X5E9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         136 | PA      | $137.10        | 0.00%             | 2027-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 3.5% 04/39#FM1039                                                                       | CUSIP: 3140X4EM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      192907 | PA      | $186790.04     | 0.00%             | 2039-04-01      | Fixed         | 0.04%                 | 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        |    12332387 | PA      | $12429397.73   | 0.03%             | 2037-04-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                       | BARCLAYS PLC 5.088%/VAR 06/20/2030                                                                | CUSIP: 06738EBK0<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    35020000 | PA      | $35489607.69   | 0.08%             | 2030-06-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                        | ORACLE CORP 4.45% 09/26/2030                                                                      | CUSIP: 68389XDH5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    15097000 | PA      | $15089592.81   | 0.04%             | 2030-09-26      | Fixed         | 0.04%                 | 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        |       49344 | PA      | $49482.26      | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 9/29 #504525                                                                           | CUSIP: 31383JPJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          32 | PA      | $32.36         | 0.00%             | 2029-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 9/29 #499386                                                                           | CUSIP: 31383CXP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         499 | PA      | $518.94        | 0.00%             | 2029-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 4/1/43 #AB9033                                                                       | CUSIP: 31417GBB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       44553 | PA      | $41095.94      | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| THORNBURG MTG SECS TR                                                              | TMST 2003-4 A1 TSFR1M+75.448 9/43                                                                 | CUSIP: 885220DW0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      429850 | PA      | $417149.21     | 0.00%             | 2043-09-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 12/31 #556294                                                                          | CUSIP: 36213J7F6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3111 | PA      | $3214.85       | 0.00%             | 2031-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 2/40 #711491                                                                           | CUSIP: 36297GNG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      176505 | PA      | $171427.51     | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/32 #589934                                                                           | CUSIP: 36201QLP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1797 | PA      | $1864.86       | 0.00%             | 2032-05-15      | 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        |     1703663 | PA      | $1575639.47    | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2013-H07 BA TSFR1M+36 03/63                                                                   | CUSIP: 38375BQ54<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |        6222 | PA      | $6207.62       | 0.00%             | 2063-03-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/32 #555696                                                                           | CUSIP: 36213JKH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         323 | PA      | $333.75        | 0.00%             | 2032-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 5/42 #766750                                                                           | CUSIP: 36176HTF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      245575 | PA      | $231988.79     | 0.00%             | 2042-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.50% 3/32 #C64888                                                                           | CUSIP: 31287QND9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          54 | PA      | $56.59         | 0.00%             | 2032-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 12/01/2039#AX5330                                                                    | CUSIP: 3138Y64Q4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      244018 | PA      | $238407.78     | 0.00%             | 2039-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 5/27 #379219                                                                           | CUSIP: 31377KG41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          90 | PA      | $90.78         | 0.00%             | 2027-05-01      | Fixed         | 0.07%                 | 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        |       11371 | PA      | $11567.92      | 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        |     1884160 | PA      | $1543655.94    | 0.00%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/01/2040#AE8186                                                                    | CUSIP: 31419KCY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      177196 | PA      | $173347.63     | 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        |    11416000 | PA      | $10593634.28   | 0.03%             | 2031-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 2/40 #711188                                                                           | CUSIP: 36297GCZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        5525 | PA      | $5513.73       | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | 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        |       20782 | PA      | $21279.33      | 0.00%             | 2036-06-01      | Variable      | 0.07%                 | 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        |     1231971 | PA      | $1214664.64    | 0.00%             | 2037-02-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 5/28 #251755                                                                           | CUSIP: 31371GTL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         772 | PA      | $788.12        | 0.00%             | 2028-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 12/47#BJ2132                                                                         | CUSIP: 3140H3LN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      464738 | PA      | $446398.55     | 0.00%             | 2047-12-01      | Fixed         | 0.04%                 | 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        |    12000000 | PA      | $12032592.00   | 0.03%             | 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        |     2855010 | PA      | $2671695.30    | 0.01%             | 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        |     2806311 | PA      | $2826406.53    | 0.01%             | 2039-03-01      | Fixed         | 0.04%                 | 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        |     1064257 | PA      | $1054917.30    | 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        |    11305276 | PA      | $11319408.07   | 0.03%             | 2041-03-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 12/40 #AH1986                                                                          | CUSIP: 3138A3F44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       12004 | PA      | $12025.45      | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/29 #487575                                                                           | CUSIP: 36210BT88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         371 | PA      | $378.79        | 0.00%             | 2029-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 5/46#Q40310                                                                          | CUSIP: 3132WDKY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      702121 | PA      | $638081.30     | 0.00%             | 2046-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 11/01/2042#AQ2170                                                                  | CUSIP: 3138MHMU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9718 | PA      | $8999.33       | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                | MSCS SWAP CY451600 12/16/72 B                                                                     | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |    13100000 | NC      | $-54506.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 10/27 #313828                                                                          | CUSIP: 31374GSR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          19 | PA      | $19.54         | 0.00%             | 2027-10-01      | Fixed         | 0.07%                 | 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        |     1800000 | NC      | $-23475.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                     | MORGAN STANLEY 6.627%/VAR 11/01/2034                                                              | CUSIP: 61747YFJ9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    50000000 | PA      | $55930472.50   | 0.13%             | 2034-11-01      | Variable      | 0.07%                 | 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        |     2424379 | PA      | $2354881.25    | 0.01%             | 2045-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 11/39 #728314                                                                          | CUSIP: 3620AFDT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       18986 | PA      | $18946.41      | 0.00%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 11/01/2042#Q13381                                                                  | CUSIP: 3132HPXJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        6856 | PA      | $6771.90       | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 05/01/2031#BC0919                                                                  | CUSIP: 3140EVAV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      227655 | PA      | $220495.13     | 0.00%             | 2031-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/32 #552575                                                                           | CUSIP: 36213E2G0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1697 | PA      | $1750.27       | 0.00%             | 2032-05-15      | 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% 04/25/2050                                                      | CUSIP: 3137H6K38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     3517949 | PA      | $3177933.31    | 0.01%             | 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        |        9921 | PA      | $10092.91      | 0.00%             | 2034-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.25% 12/01/2041#AK9124                                                                 | CUSIP: 3138EED63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       14571 | PA      | $13833.60      | 0.00%             | 2041-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.50% 6/37 #617570                                                                           | CUSIP: 36290UCF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4794 | PA      | $5015.39       | 0.00%             | 2037-06-15      | Fixed         | 0.07%                 | 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        |       30218 | PA      | $27852.59      | 0.00%             | 2051-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 05/01/2046#AS7241                                                                  | CUSIP: 3138WHBK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1142423 | PA      | $1069784.08    | 0.00%             | 2046-05-01      | Fixed         | 0.04%                 | 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        |        7758 | PA      | $7808.33       | 0.00%             | 2032-04-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/29 #506694                                                                           | CUSIP: 36210Y3B9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          52 | PA      | $53.20         | 0.00%             | 2029-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 2/31 #570320                                                                           | CUSIP: 31386QSH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         539 | PA      | $568.81        | 0.00%             | 2031-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2% 01/20/2051#MA7135                                                                      | CUSIP: 36179V4U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   122542892 | PA      | $101447451.86  | 0.24%             | 2051-01-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/28 #433528                                                                           | CUSIP: 36207JSR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          63 | PA      | $62.87         | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 1.5% 07/01/2035#SB8065                                                                  | CUSIP: 3132D56A5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    10589668 | PA      | $9545128.70    | 0.02%             | 2035-07-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 12/41 #AJ8098                                                                          | CUSIP: 3138E07L7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      385839 | PA      | $376348.13     | 0.00%             | 2041-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 11/01/2031#AS8246                                                                  | CUSIP: 3138WJEU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       66528 | PA      | $64223.65      | 0.00%             | 2031-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 10/41 #738886                                                                          | CUSIP: 3620AS2T5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      112895 | PA      | $109662.24     | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 12/01/2044#AX5347                                                                  | CUSIP: 3138Y65H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      630537 | PA      | $611430.22     | 0.00%             | 2044-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/31 #560279                                                                           | CUSIP: 36213PM40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         281 | PA      | $285.81        | 0.00%             | 2031-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 8/28 #437140                                                                           | CUSIP: 31380DS56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         284 | PA      | $297.02        | 0.00%             | 2028-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 8/29 #511096                                                                           | CUSIP: 31383RXZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          38 | PA      | $39.90         | 0.00%             | 2029-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 03/01/2048#BK0200                                                                  | CUSIP: 3140HDGJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       57609 | PA      | $56869.56      | 0.00%             | 2048-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 7/41 #748144                                                                           | CUSIP: 3620C4ER7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       19632 | PA      | $19003.29      | 0.00%             | 2041-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 4.271%/VAR 07/23/2029                                                 | CUSIP: 06051GHM4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     2000000 | PA      | $2006921.14    | 0.00%             | 2029-07-23      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                           | FORD MOTOR CREDIT CO LLC 5.73% 09/05/2030                                                         | CUSIP: 345397H48<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    40000000 | PA      | $40329229.60   | 0.10%             | 2030-09-05      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.00% 7/37 #G03508                                                                           | CUSIP: 3128M5GR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       13099 | PA      | $13830.29      | 0.00%             | 2037-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 1/42 #AL2128                                                                           | CUSIP: 3138EJLJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       31695 | PA      | $33484.67      | 0.00%             | 2042-01-01      | 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        |      244534 | PA      | $239172.29     | 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        |      357536 | PA      | $330228.37     | 0.00%             | 2043-01-01      | 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        |    26623000 | PA      | $26609635.25   | 0.06%             | 2038-02-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                       | BROADCOM INC 4.926% 05/15/2037 144A                                                               | CUSIP: 11135FBV2<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    23167000 | PA      | $23104869.58   | 0.06%             | 2037-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 1/28 #251409                                                                           | CUSIP: 31371GGS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          34 | PA      | $35.80         | 0.00%             | 2028-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 06/01/2046#BC8622                                                                  | CUSIP: 3140F4SL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       29994 | PA      | $29749.87      | 0.00%             | 2046-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 4/27 #372408                                                                           | CUSIP: 36204KU92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          65 | PA      | $65.38         | 0.00%             | 2027-04-15      | Fixed         | 0.07%                 | 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        |    19891964 | PA      | $19898180.32   | 0.05%             | 2037-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                      | GOLDMAN SACHS GROUP INC (THE) 4.411%/VAR 04/23/2039                                               | CUSIP: 38141GXA7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     3000000 | PA      | $2774537.04    | 0.01%             | 2039-04-23      | 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        |      481379 | PA      | $466163.56     | 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 21-85 L 2.5% 08/25/2048                                            | CUSIP: 3136BKJA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     2170807 | PA      | $1940163.05    | 0.00%             | 2048-08-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/28 #433774                                                                           | CUSIP: 36207J2F9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          80 | PA      | $81.45         | 0.00%             | 2028-05-15      | Fixed         | 0.07%                 | 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        |      135726 | PA      | $136112.11     | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | 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        |    28908358 | PA      | $24635471.00   | 0.06%             | 2051-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 09/01/2050#FM4595                                                                    | CUSIP: 3140X8C96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       22094 | PA      | $19445.53      | 0.00%             | 2050-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 11/40 #AE7533                                                                          | CUSIP: 31419JLP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       31537 | PA      | $30812.69      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | 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        |    18565933 | PA      | $18920765.43   | 0.05%             | 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        |      175835 | PA      | $169225.49     | 0.00%             | 2045-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 5/26 #250551                                                                           | CUSIP: 31371FH47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          71 | PA      | $71.56         | 0.00%             | 2026-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/28 #464855                                                                           | CUSIP: 36208YMC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          28 | PA      | $28.34         | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                       | BARCLAYS PLC 6.224%/VAR 05/09/2034                                                                | CUSIP: 06738ECG8<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    31185000 | PA      | $33548164.06   | 0.08%             | 2034-05-09      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 12/34 #A30369                                                                          | CUSIP: 31297KMS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1708 | PA      | $1739.74       | 0.00%             | 2034-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 11/01/2047#ZM4961                                                                  | CUSIP: 3131XYQN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      751130 | PA      | $704309.51     | 0.00%             | 2047-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 10/32 #555144                                                                          | CUSIP: 31385WWD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         377 | PA      | $394.57        | 0.00%             | 2032-10-01      | Fixed         | 0.07%                 | 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        |    32900000 | PA      | $32983072.50   | 0.08%             | 2037-10-25      | Variable      | 0.06%                 | 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        |      622812 | PA      | $589522.63     | 0.00%             | 2043-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 5% 11/01/2055 #TBA                                                                        | CUSIP: 21H0506B3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    88350000 | PA      | $87763568.04   | 0.21%             | 2055-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4% 07/31/2032                                                                           | CUSIP: 91282CNR8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   392000000 | PA      | $393837500.00  | 0.94%             | 2032-07-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3.5% 02/01/2034#G16752                                                                  | CUSIP: 3128MFWM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3837416 | PA      | $3747034.38    | 0.01%             | 2034-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHR 3225 EO 0% 10/36                                                                              | CUSIP: 31397BQR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       57456 | PA      | $47697.56      | 0.00%             | 2036-10-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 04/01/2042#                                                                          | CUSIP: 3132GSMY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       36989 | PA      | $36025.28      | 0.00%             | 2042-04-01      | 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        |        7904 | PA      | $8105.01       | 0.00%             | 2029-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNR 1999-57 PH 6.5% 12/29                                                                         | CUSIP: 31359XGQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       85656 | PA      | $87908.14      | 0.00%             | 2029-12-25      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 09/01/2029#AS3260                                                                  | CUSIP: 3138WCTS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       18534 | PA      | $18088.48      | 0.00%             | 2029-09-01      | Fixed         | 0.03%                 | 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        |      123367 | PA      | $122897.53     | 0.00%             | 2034-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 9/28 #468222                                                                           | CUSIP: 36209DD35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         182 | PA      | $183.56        | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                 | ENERGY TRANSFER LP 5.25% 07/01/2029                                                               | CUSIP: 29273VAZ3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    11564000 | PA      | $11899489.10   | 0.03%             | 2029-07-01      | Fixed         | 0.05%                 | 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        |     2962000 | PA      | $2756508.88    | 0.01%             | 2032-11-05      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 05/01/2051#FM7352                                                                  | CUSIP: 3140XBE22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    28381836 | PA      | $24337552.44   | 0.06%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 02/01/2029#                                                                          | CUSIP: 31292GZX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         189 | PA      | $193.67        | 0.00%             | 2029-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 11/39 #728315                                                                          | CUSIP: 3620AFDU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       28991 | PA      | $28957.36      | 0.00%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2% 11/01/2055 #TBA                                                                        | CUSIP: 21H0206B6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    61125000 | PA      | $50566976.55   | 0.12%             | 2055-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| PEACE PARK CLO LTD                                                                 | PEACE PARK CLO LTD 2021-1A AR TSFR3M+125 10/20/2038 144A                                          | CUSIP: 70470MAQ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    26956000 | PA      | $27035520.20   | 0.06%             | 2038-10-20      | 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 3.625% 01/15/2032                           | CUSIP: 46590XAU0<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |    18075000 | PA      | $16848852.19   | 0.04%             | 2032-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/30 #477030                                                                           | CUSIP: 36209N4P4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         545 | PA      | $559.49        | 0.00%             | 2030-02-15      | Fixed         | 0.07%                 | 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        |   106127000 | PA      | $75673595.22   | 0.18%             | 2057-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VENTAS RLTY LTD PARTNERSHIP                                                        | VENTAS RLTY LTD PARTNERSHIP 2.5% 09/01/2031                                                       | CUSIP: 92277GAW7<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |    53031000 | PA      | $47316939.98   | 0.11%             | 2031-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 11/20/2043#MA1448                                                                    | CUSIP: 36179NTD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        8468 | PA      | $7990.88       | 0.00%             | 2043-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 02/20/2050#BT1983                                                                    | CUSIP: 3617MQFY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      564263 | PA      | $517529.45     | 0.00%             | 2050-02-20      | 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        |    35255000 | PA      | $35397535.97   | 0.08%             | 2037-04-16      | 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 3.9% 04/25/2028                                                    | CUSIP: 3137FEZU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     6900000 | PA      | $6900340.86    | 0.02%             | 2028-04-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 7/27 #447688                                                                           | CUSIP: 36208DJ97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          34 | PA      | $34.48         | 0.00%             | 2027-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                         | CAPITAL ONE FIN CORP 3.8% 01/31/2028                                                              | CUSIP: 14040HBW4<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    29870000 | PA      | $29638828.01   | 0.07%             | 2028-01-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 06/01/2041#AI5034                                                                  | CUSIP: 3138AJSY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       58572 | PA      | $59685.08      | 0.00%             | 2041-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 04/01/2045#AY5316                                                                  | CUSIP: 3138YJ4A1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       92062 | PA      | $91656.50      | 0.00%             | 2045-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 02/01/2040#                                                                          | CUSIP: 312939LZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       25455 | PA      | $25975.19      | 0.00%             | 2040-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 08/15/2041#768109                                                                    | CUSIP: 36176KDN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       39084 | PA      | $37964.50      | 0.00%             | 2041-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CARRIER GLOBAL CORP                                                                | CARRIER GLOBAL CORP 5.9% 03/15/2034                                                               | CUSIP: 14448CBC7<br>LEI: 549300JE3W6CWY2NAN77 | Long             | DBT              | CORP              | US        |     3574000 | PA      | $3835057.33    | 0.01%             | 2034-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 5% 05/15/2045                                                         | CUSIP: 912810UL0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1920000 | PA      | $1993800.00    | 0.00%             | 2045-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 07/15/2042#AA8275                                                                  | CUSIP: 36178GFQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       13373 | PA      | $12604.59      | 0.00%             | 2042-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 09/01/2041#FM8850                                                                  | CUSIP: 3140XCZQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     8105623 | PA      | $7250069.53    | 0.02%             | 2041-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 6.50% 6/31 #003095                                                                        | CUSIP: 36202DNL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         238 | PA      | $246.02        | 0.00%             | 2031-06-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.50% 7/35 #635384                                                                           | CUSIP: 36291Q2R4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1460 | PA      | $1520.90       | 0.00%             | 2035-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| HESS CORP                                                                          | HESS CORP 7.125% 03/15/2033                                                                       | CUSIP: 023551AM6<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |     4791000 | PA      | $5559861.26    | 0.01%             | 2033-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 8% 02/01/2030#                                                                          | CUSIP: 31292HAX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          82 | PA      | $85.43         | 0.00%             | 2030-02-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 06/01/2051#FS4922                                                                    | CUSIP: 3140XLPG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     6483572 | PA      | $5801691.56    | 0.01%             | 2051-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 3/39 #935009                                                                           | CUSIP: 31412UGS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4115 | PA      | $4347.45       | 0.00%             | 2039-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 10/35 #836839                                                                          | CUSIP: 31407PV88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         660 | PA      | $692.84        | 0.00%             | 2035-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 12/01/2042#AQ8634                                                                  | CUSIP: 3138MQSY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       79151 | PA      | $72828.00      | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MERCEDES-BENZ AUTO LEASE TRUST 2024-A                                              | MERCEDES-BENZ AUTO LEASE TRUST 2024-A 5.32% 01/18/2028                                            | CUSIP: 58770JAD6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    19400000 | PA      | $19648576.08   | 0.05%             | 2028-01-18      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 12/01/2049#CA4792                                                                    | CUSIP: 3140QCKE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       20779 | PA      | $18509.43      | 0.00%             | 2049-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/29 #781006                                                                           | CUSIP: 36225BDK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         229 | PA      | $232.85        | 0.00%             | 2029-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 03/01/2046#G60440                                                                  | CUSIP: 31335APZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2537244 | PA      | $2391111.22    | 0.01%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/28 #464692                                                                           | CUSIP: 36208YF95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          94 | PA      | $94.44         | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| OVINTIV INC                                                                        | OVINTIV INC 8.125% 09/15/2030                                                                     | CUSIP: 012873AH8<br>LEI: 2549003MEX7YMKLGI239 | Long             | DBT              | CORP              | US        |    13383000 | PA      | $15291337.78   | 0.04%             | 2030-09-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 12/01/2051#FM9894                                                                  | CUSIP: 3140XD7G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       79421 | PA      | $67780.88      | 0.00%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.5% 06/15/2040#741262                                                                  | CUSIP: 3620AVQP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        5708 | PA      | $5693.85       | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 12/01/2042#AQ8878                                                                  | CUSIP: 3138MQ2L6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       74327 | PA      | $70450.58      | 0.00%             | 2042-12-01      | Fixed         | 0.04%                 | 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        |       99257 | PA      | $99589.63      | 0.00%             | 2035-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 05/44#AW4672                                                                       | CUSIP: 3138XUFN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       31235 | PA      | $31819.48      | 0.00%             | 2044-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 01/01/2047#BE6673                                                                  | CUSIP: 3140FSMX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         471 | PA      | $441.67        | 0.00%             | 2047-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 9/30 #710936                                                                           | CUSIP: 31401KY90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2324 | PA      | $2429.81       | 0.00%             | 2030-09-01      | Fixed         | 0.07%                 | 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        |     1167583 | PA      | $1165345.82    | 0.00%             | 2041-02-20      | Fixed         | 0.04%                 | 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        |      102844 | PA      | $100850.39     | 0.00%             | 2040-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 05/01/2045#Q33441                                                                  | CUSIP: 3132QPZF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       33812 | PA      | $30844.59      | 0.00%             | 2045-05-01      | Fixed         | 0.03%                 | 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        |      474683 | PA      | $443759.26     | 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        |    17973000 | PA      | $18370859.85   | 0.04%             | 2035-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/28 #464005                                                                           | CUSIP: 36208XNW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         107 | PA      | $108.45        | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GOVERNMENT NAT MTG AS REMIC PT TSFR1M+61.448 10/20/2049                                           | CUSIP: 38382AFL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     1353389 | PA      | $1328791.22    | 0.00%             | 2049-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/31 #533785                                                                           | CUSIP: 36212G6W7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       11984 | PA      | $12366.88      | 0.00%             | 2031-05-15      | Fixed         | 0.07%                 | 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        |    40000000 | PA      | $41412406.40   | 0.10%             | 2029-03-01      | 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        |      352800 | PA      | $353279.73     | 0.00%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 07/44#AW6973                                                                       | CUSIP: 3138XWXB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       47539 | PA      | $48453.77      | 0.00%             | 2044-07-01      | Fixed         | 0.05%                 | 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        |    26001515 | PA      | $27146793.33   | 0.06%             | 2054-07-30      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 09/01/2046#BD0711                                                                  | CUSIP: 3140F7YH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       10152 | PA      | $9493.82       | 0.00%             | 2046-09-01      | Fixed         | 0.04%                 | 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        |     3722112 | PA      | $3027353.74    | 0.01%             | 2051-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 3.0% 8/45#Q35367                                                                             | CUSIP: 3132QR6D7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       92667 | PA      | $85190.16      | 0.00%             | 2045-08-01      | Fixed         | 0.03%                 | 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        |     2016464 | PA      | $1965641.96    | 0.00%             | 2042-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 8/39 #931836                                                                           | CUSIP: 31412QHM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       11738 | PA      | $11490.25      | 0.00%             | 2039-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 9/38 #677307                                                                           | CUSIP: 36295QNY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       71639 | PA      | $73696.92      | 0.00%             | 2038-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| JERSEY MIKES FDG LLC                                                               | JERSEY MIKES FDG LLC 5.636% 02/15/2055 144A                                                       | CUSIP: 476681AD3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    24571525 | PA      | $25044320.46   | 0.06%             | 2055-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PAYCHEX INC                                                                        | PAYCHEX INC 5.1% 04/15/2030                                                                       | CUSIP: 704326AA5<br>LEI: 529900K900DW6SUBM174 | Long             | DBT              | CORP              | US        |     3641000 | PA      | $3746710.68    | 0.01%             | 2030-04-15      | Fixed         | 0.05%                 | 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        |    40079000 | PA      | $39623861.67   | 0.09%             | 2031-04-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 06/01/2031#J34677                                                                    | CUSIP: 31307RFS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       34129 | PA      | $33455.68      | 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 4% 12/25/2048                                                      | CUSIP: 3136BNE69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     2897487 | PA      | $2848179.16    | 0.01%             | 2048-12-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 03/01/2043#AB8830                                                                  | CUSIP: 31417FY44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       67070 | PA      | $61923.97      | 0.00%             | 2043-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 06/01/2041#AI3724                                                                  | CUSIP: 3138AHD60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       48712 | PA      | $49636.56      | 0.00%             | 2041-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| KEYBANK NATL ASSN                                                                  | KEYBANK NATL ASSN 6.95% 02/01/2028                                                                | CUSIP: 49306CAB7<br>LEI: HUX2X73FUCYHUVH1BK78 | Long             | DBT              | CORP              | US        |      850000 | PA      | $895820.65     | 0.00%             | 2028-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 9/39 #706762                                                                           | CUSIP: 36297BFB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       28415 | PA      | $27701.14      | 0.00%             | 2039-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                                   | SOCIETE GENERALE FRANCE 1.488%/VAR 12/14/2026 144A                                                | CUSIP: 83368RAZ5<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    40199000 | PA      | $39949556.76   | 0.10%             | 2026-12-14      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 01/01/2044#AV6341                                                                  | CUSIP: 3138XJBK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       20711 | PA      | $20703.03      | 0.00%             | 2044-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 4/42 #AO0513                                                                           | CUSIP: 3138LQSB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       34128 | PA      | $33420.49      | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 7/39 #AA8111                                                                           | CUSIP: 31416SAM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       14332 | PA      | $14361.60      | 0.00%             | 2039-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 05/01/2034#781041                                                                  | CUSIP: 31404WWA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         340 | PA      | $340.56        | 0.00%             | 2034-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 6.5% 1/32 #003188                                                                         | CUSIP: 36202DRH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         406 | PA      | $420.11        | 0.00%             | 2032-01-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 7/34 #A24424                                                                           | CUSIP: 31297B4H2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         151 | PA      | $154.16        | 0.00%             | 2034-07-01      | Fixed         | 0.05%                 | 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        |      623439 | PA      | $613254.07     | 0.00%             | 2039-09-01      | Fixed         | 0.04%                 | 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        |     1584371 | PA      | $1503189.56    | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM 30YR 4% 09/01/2040#                                                                          | CUSIP: 312942ME2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       12199 | PA      | $11949.69      | 0.00%             | 2040-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 08/01/2033#723124                                                                  | CUSIP: 31402ALD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       11332 | PA      | $11369.95      | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 06/01/2043#AT8809                                                                  | CUSIP: 3138WWYF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       10964 | PA      | $10058.27      | 0.00%             | 2043-06-01      | Fixed         | 0.03%                 | 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        |     2581069 | PA      | $2484055.02    | 0.01%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 11/40 #AE8271                                                                          | CUSIP: 31419KFM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       13478 | PA      | $13176.59      | 0.00%             | 2040-11-01      | 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        |       41163 | PA      | $41941.15      | 0.00%             | 2032-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                                              | TIME WARNER CABLE LLC 6.55% 05/01/2037                                                            | CUSIP: 88732JAJ7<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    73937000 | PA      | $76913830.79   | 0.18%             | 2037-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 06/20/2046#AR3125                                                                    | CUSIP: 36192XPJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      136785 | PA      | $126909.16     | 0.00%             | 2046-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 3% 10/01/2055 #TBA                                                                      | CUSIP: 01F0306A1<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |   -90500000 | PA      | $-79487987.15  | -0.19%            | 2055-10-01      | Fixed         | 0.03%                 | 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        |     5175986 | PA      | $4491179.37    | 0.01%             | 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        |    50000000 | PA      | $51968782.00   | 0.12%             | 2035-01-23      | Variable      | 0.05%                 | 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        |      129662 | PA      | $126499.12     | 0.00%             | 2042-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                          | BOEING CO 6.298% 05/01/2029                                                                       | CUSIP: 097023DQ5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    11086000 | PA      | $11764984.13   | 0.03%             | 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        |      808710 | PA      | $809991.32     | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 11/15/2041#769621                                                                  | CUSIP: 36176LYS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       63491 | PA      | $61428.28      | 0.00%             | 2041-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 12/37 #670380                                                                          | CUSIP: 36295GXH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       13048 | PA      | $13264.13      | 0.00%             | 2037-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 1.5% 12/01/2050#QB7301                                                                  | CUSIP: 3133AEDE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      519214 | PA      | $403679.65     | 0.00%             | 2050-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| LOWES COS INC                                                                      | LOWES COS INC 4.5% 04/15/2030                                                                     | CUSIP: 548661DU8<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |    16112000 | PA      | $16323189.97   | 0.04%             | 2030-04-15      | Fixed         | 0.04%                 | 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        |     3325438 | PA      | $3118153.17    | 0.01%             | 2047-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 8/39 #664574                                                                           | CUSIP: 36295AJT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        7693 | PA      | $7822.86       | 0.00%             | 2039-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 05/01/2045#Q33138                                                                  | CUSIP: 3132QPPY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      200866 | PA      | $194457.31     | 0.00%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 4/40 #729514                                                                           | CUSIP: 3620AGN76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        5692 | PA      | $5787.45       | 0.00%             | 2040-04-15      | Fixed         | 0.05%                 | 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        |      182759 | PA      | $180412.94     | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 10YR 2.5% 10/01/2029#FM1701                                                                  | CUSIP: 3140X43K0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       24735 | PA      | $24169.71      | 0.00%             | 2029-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 3/40 #736596                                                                           | CUSIP: 3620AQKH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       17253 | PA      | $17217.09      | 0.00%             | 2040-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MARS INC                                                                           | MARS INC 4.8% 03/01/2030 144A                                                                     | CUSIP: 571676AY1<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    28803000 | PA      | $29343840.56   | 0.07%             | 2030-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DB MASTER FIN LLC                                                                  | DNKN 2017-1A A2II 4.03% 11/20/2047 144A                                                           | CUSIP: 233046AF8<br>LEI: 549300F17UZJL70BPB08 | Long             | ABS-CBDO         | CORP              | US        |    35402525 | PA      | $35004246.59   | 0.08%             | 2047-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 5/32 #647513                                                                           | CUSIP: 31390JK26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         371 | PA      | $392.54        | 0.00%             | 2032-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 07/01/2035#                                                                          | CUSIP: 31297RXG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         984 | PA      | $1002.08       | 0.00%             | 2035-07-01      | Fixed         | 0.05%                 | 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        |    17206845 | PA      | $14421602.20   | 0.03%             | 2041-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 1/35 #G06928                                                                           | CUSIP: 3128M9A51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      257820 | PA      | $262125.61     | 0.00%             | 2035-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/29 #477007                                                                           | CUSIP: 36209N3Q3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          65 | PA      | $65.80         | 0.00%             | 2029-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 6/40 #782989                                                                           | CUSIP: 36241LKA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      157651 | PA      | $157314.38     | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 12/01/2040#                                                                          | CUSIP: 312944H79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       34535 | PA      | $33830.06      | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 06/01/2045#Q34311                                                                  | CUSIP: 3132QQYH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     4619761 | PA      | $4354135.91    | 0.01%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SREIT TR 2021-MFP                                                                  | SREIT TR 2021-MFP D TSFR1M+169.268 82 11/15/2038 144A                                             | CUSIP: 78472UAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6914571 | PA      | $6908088.90    | 0.02%             | 2038-11-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 05/01/2046#G60603                                                                  | CUSIP: 31335AU48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        7527 | PA      | $7057.34       | 0.00%             | 2046-05-01      | Fixed         | 0.04%                 | 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        |         873 | PA      | $921.40        | 0.00%             | 2030-07-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/31 #529791                                                                           | CUSIP: 36212CRL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1088 | PA      | $1122.99       | 0.00%             | 2031-01-15      | Fixed         | 0.07%                 | 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        |     6091161 | PA      | $5703866.87    | 0.01%             | 2046-09-01      | 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        |     1450309 | PA      | $1402977.52    | 0.00%             | 2031-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 4/41 #738229                                                                           | CUSIP: 3620ASEA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       12233 | PA      | $12436.54      | 0.00%             | 2041-04-15      | Fixed         | 0.05%                 | 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        |     3806233 | PA      | $3812015.94    | 0.01%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                          | OCCIDENTAL PETROLEUM CORP 5.55% 10/01/2034                                                        | CUSIP: 674599EL5<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    27742000 | PA      | $28147559.19   | 0.07%             | 2034-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 04/01/2043#AT3042                                                                  | CUSIP: 3138WQLY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       54864 | PA      | $50648.41      | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 7/29 #481600                                                                           | CUSIP: 36209T7M5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         253 | PA      | $259.75        | 0.00%             | 2029-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 2/30 #531078                                                                           | CUSIP: 31384Q6P3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         706 | PA      | $737.92        | 0.00%             | 2030-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.0% 06/45#AZ3703                                                                            | CUSIP: 3138YVDH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      104115 | PA      | $95185.79      | 0.00%             | 2045-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 10/28 #323318                                                                          | CUSIP: 31374TDX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5016 | PA      | $5244.23       | 0.00%             | 2028-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 12/45#G60412                                                                         | CUSIP: 31335AN53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       18484 | PA      | $17909.33      | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | 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        |     1618380 | PA      | $1613561.71    | 0.00%             | 2041-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 09/01/2051#                                                                        | CUSIP: 3133KMR72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2837589 | PA      | $2612829.55    | 0.01%             | 2051-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 2.5% 10/01/2055 #TBA                                                                    | CUSIP: 01F0226A8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   368195000 | PA      | $310175531.47  | 0.74%             | 2055-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 12/01/43#AL5959                                                                    | CUSIP: 3138ENTR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7381 | PA      | $7514.34       | 0.00%             | 2043-12-01      | Fixed         | 0.05%                 | 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        |       69702 | PA      | $57105.60      | 0.00%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 9/41 #754197                                                                           | CUSIP: 36230NUW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       13518 | PA      | $13093.09      | 0.00%             | 2041-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 4/35 #A32122                                                                           | CUSIP: 31297MLB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       25238 | PA      | $25701.42      | 0.00%             | 2035-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 2/1/43 #AR5859                                                                     | CUSIP: 3138W3QM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      107772 | PA      | $102217.40     | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/28 #465748                                                                           | CUSIP: 36209AL57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         210 | PA      | $213.57        | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 10/43#Q22414                                                                       | CUSIP: 3132JPVF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       76668 | PA      | $76636.70      | 0.00%             | 2043-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 2/31 #689547                                                                           | CUSIP: 31400KBQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         784 | PA      | $786.90        | 0.00%             | 2031-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 04/01/2047#RA7212                                                                  | CUSIP: 3133KPAM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     5129760 | PA      | $4725044.61    | 0.01%             | 2047-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 3/42 #AK5316                                                                           | CUSIP: 3138E94A5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       40556 | PA      | $39448.47      | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | 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        |    12856187 | PA      | $13306422.17   | 0.03%             | 2053-06-01      | Fixed         | 0.06%                 | 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        |         720 | PA      | $733.64        | 0.00%             | 2027-08-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/32 #565482                                                                           | CUSIP: 36213VFX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          75 | PA      | $77.77         | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 12/38 #701116                                                                          | CUSIP: 36296T3Z4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       28512 | PA      | $29300.13      | 0.00%             | 2038-12-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 10/01/2031#BC4777                                                                  | CUSIP: 3140F0JX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6318 | PA      | $6106.48       | 0.00%             | 2031-10-01      | Fixed         | 0.03%                 | 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        |       32192 | PA      | $31442.29      | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CIGNA GROUP (THE)                                                                  | CIGNA GROUP (THE) 4.9% 12/15/2048                                                                 | CUSIP: 125523AK6<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    18071000 | PA      | $16222200.99   | 0.04%             | 2048-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 08/44#AW7942                                                                       | CUSIP: 3138XXZG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       18476 | PA      | $18831.74      | 0.00%             | 2044-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 7.00% 4/32 #781432                                                                        | CUSIP: 36225BSV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       41963 | PA      | $43662.47      | 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        |         316 | PA      | $321.69        | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 1/1/43 #Q14696                                                                       | CUSIP: 3132HRGD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      124823 | PA      | $115513.07     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 2/42 #AK3548                                                                           | CUSIP: 3138E75J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       41028 | PA      | $40099.28      | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/29 #502245                                                                           | CUSIP: 36210T5E2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          97 | PA      | $97.82         | 0.00%             | 2029-02-15      | Fixed         | 0.07%                 | 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        |     1200000 | NC      | $168193.44     | 0.00%             |  |  |  | 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        |      188440 | PA      | $187610.04     | 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        |    48693935 | PA      | $41575412.30   | 0.10%             | 2051-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 11/40 #756928                                                                          | CUSIP: 36230RVV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       30126 | PA      | $28540.03      | 0.00%             | 2040-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 12/01/2032#BJ0036                                                                  | CUSIP: 3140H1BE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       22373 | PA      | $21519.18      | 0.00%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 03/01/2043#AB8610                                                                  | CUSIP: 31417FR83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      101440 | PA      | $93749.71      | 0.00%             | 2043-03-01      | Fixed         | 0.03%                 | 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        |    22257267 | PA      | $19468222.64   | 0.05%             | 2041-07-01      | Fixed         | 0.02%                 | 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        |       59604 | PA      | $62535.13      | 0.00%             | 2035-07-01      | Fixed         | 0.06%                 | 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        |     4279278 | PA      | $4345316.48    | 0.01%             | 2039-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FDG TR 2022-RPL1                                                 | BRAVO RESIDENTIAL FDG TR 2022-RPL1 2.75% 09/25/2061 144A                                          | CUSIP: 10569XAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    12158275 | PA      | $11225663.62   | 0.03%             | 2061-09-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SANTANDER HLDGS USA INC                                                            | SANTANDER HLDGS USA INC 2.49%/VAR 01/06/2028                                                      | CUSIP: 80282KBC9<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |    25589000 | PA      | $24968763.84   | 0.06%             | 2028-01-06      | Variable      | 0.02%                 | 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        |        8308 | PA      | $8808.36       | 0.00%             | 2032-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 1/42 #757490                                                                           | CUSIP: 36230SKB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      164393 | PA      | $155025.54     | 0.00%             | 2042-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 8/40 #733871                                                                           | CUSIP: 3620AMJQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1660 | PA      | $1656.25       | 0.00%             | 2040-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 8/29 #510166                                                                           | CUSIP: 31383QW34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5773 | PA      | $6015.07       | 0.00%             | 2029-08-01      | Fixed         | 0.07%                 | 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        |       23462 | PA      | $3869.60       | 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        |    21636004 | PA      | $18473056.23   | 0.04%             | 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        |      475240 | PA      | $501274.60     | 0.00%             | 2040-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.00% 11/39 #680497                                                                          | CUSIP: 36295T7J7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2254 | PA      | $2352.00       | 0.00%             | 2039-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNR 2006-45 OP 0 6/36                                                                             | CUSIP: 31395NEN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       50152 | PA      | $42395.95      | 0.00%             | 2036-06-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 04/01/2043#AT5610                                                                  | CUSIP: 3138WTGU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      312348 | PA      | $286819.62     | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | 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        |      233634 | PA      | $232021.51     | 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        |        3042 | PA      | $3098.30       | 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        |    22835000 | PA      | $22112413.37   | 0.05%             | 2030-05-01      | 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        |      119835 | PA      | $119583.50     | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 04/01/2043#AT2011                                                                  | CUSIP: 3138WPGV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       17186 | PA      | $15853.89      | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 4/41 #738218                                                                           | CUSIP: 3620ASDX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       27633 | PA      | $28104.77      | 0.00%             | 2041-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 12/01/2042#AR1680                                                                  | CUSIP: 3138NX2N6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9719 | PA      | $9059.71       | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | 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        |       79081 | PA      | $80397.94      | 0.00%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 11/01/2032#BJ2973                                                                  | CUSIP: 3140H4JT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5833 | PA      | $5623.64       | 0.00%             | 2032-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/29 #459211                                                                           | CUSIP: 36208SDQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         556 | PA      | $568.75        | 0.00%             | 2029-07-15      | Fixed         | 0.07%                 | 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        |    10481000 | PA      | $10660966.74   | 0.03%             | 2038-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                                 | VICI PROPERTIES LP 4.75% 02/15/2028                                                               | CUSIP: 925650AB9<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |    29291000 | PA      | $29537267.60   | 0.07%             | 2028-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.50% 1/36 #G03506                                                                           | CUSIP: 3128M5GP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      225771 | PA      | $235819.18     | 0.00%             | 2036-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 3/42 #AK1510                                                                           | CUSIP: 3138E5VC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      138758 | PA      | $135442.48     | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 07/20/2043#635118                                                                    | CUSIP: 36291QSF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      301017 | PA      | $283291.44     | 0.00%             | 2043-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                       | BROADCOM INC 3.419% 04/15/2033 144A                                                               | CUSIP: 11135FBK6<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     5516000 | PA      | $5104916.90    | 0.01%             | 2033-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.50% 12/29 #510858                                                                          | CUSIP: 36211EQK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         150 | PA      | $154.54        | 0.00%             | 2029-12-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                          | BOEING CO 6.528% 05/01/2034                                                                       | CUSIP: 097023DS1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     8987000 | PA      | $9934824.38    | 0.02%             | 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        |    10567344 | PA      | $9938983.66    | 0.02%             | 2046-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 12/27 #780798                                                                          | CUSIP: 36225A3F5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          36 | PA      | $36.14         | 0.00%             | 2027-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 1.5% 03/01/2051#SD8133                                                                  | CUSIP: 3132DWBA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     9338683 | PA      | $7184776.43    | 0.02%             | 2051-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 03/01/2042#                                                                          | CUSIP: 3132GR7A3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       19927 | PA      | $19406.62      | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                      | GOLDMAN SACHS GROUP INC (THE) 2.383%/VAR 07/21/2032                                               | CUSIP: 38141GYJ7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    39755000 | PA      | $35481286.22   | 0.08%             | 2032-07-21      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AR3682                                                                  | CUSIP: 3138W1CU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       34287 | PA      | $31716.97      | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 2/42 #616878                                                                           | CUSIP: 36290TJX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      305204 | PA      | $288100.30     | 0.00%             | 2042-02-15      | Fixed         | 0.04%                 | 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        |      495575 | PA      | $489522.32     | 0.00%             | 2048-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 04/42#AK8632                                                                       | CUSIP: 3138EDSW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       17315 | PA      | $16419.17      | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 7/36 #897984                                                                           | CUSIP: 31410UUH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         288 | PA      | $294.28        | 0.00%             | 2036-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 5/27 #250911                                                                           | CUSIP: 31371FVC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          22 | PA      | $23.13         | 0.00%             | 2027-05-01      | Fixed         | 0.07%                 | 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        |     1867868 | PA      | $1816722.19    | 0.00%             | 2052-12-15      | 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 3.85% 05/25/2028                                                   | CUSIP: 3137FG6X8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    22800000 | PA      | $22759231.32   | 0.05%             | 2028-05-25      | Fixed         | 0.04%                 | 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        |        2404 | PA      | $2427.35       | 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        |   515809861 | NS      | $515913022.61  | 1.23%             |  |  |  | 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        |     1512117 | PA      | $1475600.26    | 0.00%             | 2031-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CENT TRUST 2025-CITY                                                               | CENT TRUST 2025-CITY A VAR 07/10/2040 144A                                                        | CUSIP: 12517TAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    23933000 | PA      | $24208990.57   | 0.06%             | 2040-07-10      | Variable      | 0.05%                 | 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        |        9634 | PA      | $9789.32       | 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        |    19094000 | PA      | $19704411.31   | 0.05%             | 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        |    46000000 | PA      | $46380660.58   | 0.11%             | 2029-12-05      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 12/01/2042#Q13420                                                                  | CUSIP: 3132HPYR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      108568 | PA      | $105773.03     | 0.00%             | 2042-12-01      | Fixed         | 0.04%                 | 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        |       24644 | PA      | $25703.63      | 0.00%             | 2032-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2001-20 Z 6% 5/31                                                                             | CUSIP: 31359SXB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       38317 | PA      | $39109.61      | 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        |     1097458 | PA      | $1069532.68    | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NATL MTG AS GTD RE PTT SOFR30A+41.448 05/25/2048                                          | CUSIP: 3136B1C51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      609270 | PA      | $590427.39     | 0.00%             | 2048-05-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 12/33 #G04895                                                                          | CUSIP: 3128M6XY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        3572 | PA      | $3630.25       | 0.00%             | 2033-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 08/01/2041#AI9672                                                                  | CUSIP: 3138APXA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       36676 | PA      | $36736.70      | 0.00%             | 2041-08-01      | Fixed         | 0.04%                 | 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        |    17119000 | PA      | $15567508.45   | 0.04%             | 2039-05-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 3/40 #545934                                                                           | CUSIP: 36212WPT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       23315 | PA      | $23259.76      | 0.00%             | 2040-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 09/01/2051#                                                                        | CUSIP: 3140XCWJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      390567 | PA      | $359753.28     | 0.00%             | 2051-09-01      | Fixed         | 0.04%                 | 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        |    49523000 | PA      | $49399494.59   | 0.12%             | 2036-10-15      | Variable      | 0.05%                 | 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        |     2789763 | PA      | $2430446.08    | 0.01%             | 2041-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 7.5% 11/01/2030#                                                                        | CUSIP: 31298C2P3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         284 | PA      | $300.65        | 0.00%             | 2030-11-01      | Fixed         | 0.07%                 | 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        |    43240000 | PA      | $38685708.08   | 0.09%             | 2032-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 7/40 #743665                                                                           | CUSIP: 3620AYFE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       57973 | PA      | $58950.68      | 0.00%             | 2040-07-15      | Fixed         | 0.05%                 | 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        |    12281934 | PA      | $10918271.74   | 0.03%             | 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        |      200690 | PA      | $194889.65     | 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        |      775599 | PA      | $755573.83     | 0.00%             | 2040-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                      | CITIGROUP INC 6.174%/VAR 05/25/2034                                                               | CUSIP: 17327CAR4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    21587000 | PA      | $22968859.42   | 0.05%             | 2034-05-25      | Variable      | 0.06%                 | 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        |       56233 | PA      | $45806.85      | 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        |      193471 | PA      | $13539.66      | 0.00%             | 2035-06-25      | Variable      | 0.02%                 | 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        |      545453 | PA      | $517493.87     | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.00% 11/39 #709863                                                                          | CUSIP: 36297ETU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2907 | PA      | $3015.35       | 0.00%             | 2039-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2520 BE 6% 11/32                                                                              | CUSIP: 31392XV96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       78547 | PA      | $81297.42      | 0.00%             | 2032-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 12/32 #735415                                                                          | CUSIP: 31402RAQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3378 | PA      | $3523.56       | 0.00%             | 2032-12-01      | Fixed         | 0.07%                 | 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        |    19338854 | PA      | $19838104.33   | 0.05%             | 2050-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 1/28 #427211                                                                           | CUSIP: 36207BR85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         386 | PA      | $391.14        | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 05/01/2035#                                                                          | CUSIP: 31297P2R1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1694 | PA      | $1720.07       | 0.00%             | 2035-05-01      | Fixed         | 0.05%                 | 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        |        6305 | PA      | $6572.91       | 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        |       45351 | PA      | $44719.18      | 0.00%             | 2038-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/31 #528852                                                                           | CUSIP: 36212BQD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         919 | PA      | $948.25        | 0.00%             | 2031-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 4/26 #344561                                                                           | CUSIP: 31375TWW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |           6 | PA      | $5.97          | 0.00%             | 2026-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 4/39 #AB0043                                                                           | CUSIP: 31416VBM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      553433 | PA      | $555284.11     | 0.00%             | 2039-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                       | COMCAST CORP 4.65% 07/15/2042                                                                     | CUSIP: 20030NBE0<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    11795000 | PA      | $10703930.42   | 0.03%             | 2042-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 7/29 #545331                                                                           | CUSIP: 31385HY48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          17 | PA      | $17.96         | 0.00%             | 2029-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 05/01/2040#A92181                                                                  | CUSIP: 312940M63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        4196 | PA      | $4212.89       | 0.00%             | 2040-05-01      | 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        |     7608374 | PA      | $6841259.02    | 0.02%             | 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        |       33462 | PA      | $32847.26      | 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        |       20828 | PA      | $715.94        | 0.00%             | 2040-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 08/01/2043#G07579                                                                  | CUSIP: 3128M9XG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       35255 | PA      | $34359.95      | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL    | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 5.75% 04/01/2048  | CUSIP: 161175BN3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    11687000 | PA      | $10593971.34   | 0.03%             | 2048-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 9/42 #AP3391                                                                           | CUSIP: 3138M6XV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       78344 | PA      | $74544.78      | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | 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        |       71031 | PA      | $65814.46      | 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        |       26746 | PA      | $26834.52      | 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        |    12699129 | PA      | $13004967.02   | 0.03%             | 2054-07-01      | Fixed         | 0.06%                 | 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        |     3260967 | PA      | $3077497.87    | 0.01%             | 2046-08-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EXELON CORP                                                                        | EXELON CORP 3.35% 03/15/2032                                                                      | CUSIP: 30161NBE0<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |     7920000 | PA      | $7398725.40    | 0.02%             | 2032-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/32 #565982                                                                           | CUSIP: 36213VXK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1035 | PA      | $1075.20       | 0.00%             | 2032-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 8/39 #705835                                                                           | CUSIP: 36297AEG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2774 | PA      | $2819.08       | 0.00%             | 2039-08-15      | 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        |       37276 | PA      | $38480.71      | 0.00%             | 2035-02-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| CIFC FDG 2019-V LTD / CIFC FDG 2019-V LLC                                          | CIFC FDG 2019-V LTD / CIFC FDG 2019-V LLC A1R2 TSFR3M+127 10/15/2038 144A                         | CUSIP: 12554XAY8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    27911000 | PA      | $27977149.07   | 0.07%             | 2038-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 03/01/2045#Q32124                                                                  | CUSIP: 3132QNLE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      109535 | PA      | $103865.00     | 0.00%             | 2045-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                      | CITIGROUP INC 4.45% 09/29/2027                                                                    | CUSIP: 172967KA8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    69500000 | PA      | $69782886.55   | 0.17%             | 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        |       59219 | PA      | $59090.46      | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 09/01/2042#Q11138                                                                  | CUSIP: 3132HMHP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      151282 | PA      | $148073.79     | 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        |     4685832 | PA      | $4158242.64    | 0.01%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/31 #555867                                                                           | CUSIP: 36213JQU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         498 | PA      | $513.22        | 0.00%             | 2031-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 3.5% 02/43 #Q15869                                                                           | CUSIP: 3132J66F6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      707425 | PA      | $673229.59     | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 12/15/2042#AB8144                                                                    | CUSIP: 36178VBM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       24798 | PA      | $24015.46      | 0.00%             | 2042-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AB7497                                                                  | CUSIP: 31417EKK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       25723 | PA      | $23756.20      | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | 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        |    10351000 | PA      | $10303548.32   | 0.02%             | 2028-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 11/01/2041#CB2113                                                                  | CUSIP: 3140QMK37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1200989 | PA      | $1076694.77    | 0.00%             | 2041-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 10/01/2051#BU1269                                                                    | CUSIP: 3140M2MT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     8950098 | PA      | $7355015.76    | 0.02%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 06/15/2043#AE7264                                                                  | CUSIP: 36181BB90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        6617 | PA      | $6408.62       | 0.00%             | 2043-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 03/01/2044#Q25226                                                                  | CUSIP: 3132M5PK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      127880 | PA      | $124159.16     | 0.00%             | 2044-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LOWES COS INC                                                                      | LOWES COS INC 3.35% 04/01/2027                                                                    | CUSIP: 548661EG8<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |     3072000 | PA      | $3041974.39    | 0.01%             | 2027-04-01      | Fixed         | 0.03%                 | 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        |       58456 | PA      | $57171.42      | 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        |    37665000 | PA      | $37798936.74   | 0.09%             | 2037-07-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 04/01/2053#QG0756                                                                  | CUSIP: 3133C0ZV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    11162975 | PA      | $10908020.29   | 0.03%             | 2053-04-01      | Fixed         | 0.04%                 | 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        |    33767565 | PA      | $33735907.86   | 0.08%             | 2038-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 04/01/2048#Q55720                                                                    | CUSIP: 3132XYLA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       96806 | PA      | $92982.89      | 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        |    67800000 | PA      | $66133335.65   | 0.16%             | 2027-10-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 10/33 #616015                                                                          | CUSIP: 36290SK42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2268 | PA      | $2299.45       | 0.00%             | 2033-10-15      | Fixed         | 0.05%                 | 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        |         711 | PA      | $714.74        | 0.00%             | 2026-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 2/42 #778863                                                                           | CUSIP: 36176XB81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      130045 | PA      | $122757.19     | 0.00%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NEW JERSEY ECO DEV AUTH ST PEN                                                     | NEW JERSEY ECO DEV AUTH ST PENSER A MBIA                                                          | CUSIP: 645913AA2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    32466000 | PA      | $34129931.20   | 0.08%             | 2029-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 11/01/2041#FM9558                                                                  | CUSIP: 3140XDTQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     9495632 | PA      | $8476054.47    | 0.02%             | 2041-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 12/27 #427792                                                                          | CUSIP: 36207CF94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |           6 | PA      | $6.18          | 0.00%             | 2027-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/32 #538328                                                                           | CUSIP: 36212NA56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         434 | PA      | $449.14        | 0.00%             | 2032-03-15      | Fixed         | 0.07%                 | 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        |     1229173 | PA      | $1195217.29    | 0.00%             | 2042-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 11/40 #AE8447                                                                          | CUSIP: 31419KL52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        8108 | PA      | $8132.92       | 0.00%             | 2040-11-01      | Fixed         | 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        |    22049000 | PA      | $24092746.73   | 0.06%             | 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        |    80000000 | PA      | $70960207.20   | 0.17%             | 2032-07-21      | Variable      | 0.02%                 | 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        |     1262711 | PA      | $1181952.11    | 0.00%             | 2046-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3.5% 05/01/2030#J31647                                                                  | CUSIP: 31307MZL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       60415 | PA      | $59870.21      | 0.00%             | 2030-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/45#AX3256                                                                    | CUSIP: 3138Y4TN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      135908 | PA      | $126305.64     | 0.00%             | 2045-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 06/15/2043#AC9654                                                                  | CUSIP: 36179KWP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       48582 | PA      | $45802.04      | 0.00%             | 2043-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 9/41 #AI9685                                                                           | CUSIP: 3138APXP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       17121 | PA      | $16767.92      | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 08/01/2052#FS3497                                                                  | CUSIP: 3140XJ3F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3229464 | PA      | $2961553.95    | 0.01%             | 2052-08-01      | Fixed         | 0.04%                 | 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        |      962213 | PA      | $814229.56     | 0.00%             | 2040-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| AES CORP                                                                           | AES CORP 1.375% 01/15/2026                                                                        | CUSIP: 00130HCE3<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |    30500000 | PA      | $30218944.94   | 0.07%             | 2026-01-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 10/01/2051#QC9113                                                                    | CUSIP: 3133AUDS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3956094 | PA      | $3251040.98    | 0.01%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 8/39 #931777                                                                           | CUSIP: 31412QFS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      323966 | PA      | $324477.20     | 0.00%             | 2039-08-01      | Fixed         | 0.04%                 | 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        |        1911 | PA      | $1904.66       | 0.00%             | 2035-09-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 5/41 #757612                                                                           | CUSIP: 36230SN59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1562 | PA      | $1515.19       | 0.00%             | 2041-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 04/01/2050#                                                                          | CUSIP: 3132DV5R2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        8921 | PA      | $7932.23       | 0.00%             | 2050-04-01      | Fixed         | 0.03%                 | 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        |      571488 | PA      | $500914.08     | 0.00%             | 2041-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.65% 08/01/2042#AP5088                                                                 | CUSIP: 3138M8UN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       51652 | PA      | $49259.31      | 0.00%             | 2042-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 06/01/2041#                                                                        | CUSIP: 3132GET67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       62069 | PA      | $62205.83      | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 06/01/2045#Q34104                                                                  | CUSIP: 3132QQR20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       95446 | PA      | $87488.30      | 0.00%             | 2045-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 03/01/2033#G18681                                                                    | CUSIP: 3128MMXK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      112833 | PA      | $109866.16     | 0.00%             | 2033-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 04/15/2043#AC1092                                                                  | CUSIP: 36179AF92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      182433 | PA      | $176343.94     | 0.00%             | 2043-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.0% 03/01/2041#A97686                                                                  | CUSIP: 312946RF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      101279 | PA      | $103372.72     | 0.00%             | 2041-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 10/40 #AE1110                                                                          | CUSIP: 31419BGU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       18458 | PA      | $18078.60      | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | 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        |     4854000 | PA      | $4758358.73    | 0.01%             | 2039-02-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/31 #564867                                                                           | CUSIP: 36213UQU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         135 | PA      | $140.08        | 0.00%             | 2031-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AASET 2019-2 TR                                                                    | AASET 2019-2 TR 3.376% 10/16/2039 144A                                                            | CUSIP: 00038RAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2660677 | PA      | $2634114.96    | 0.01%             | 2039-10-16      | 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        |    29947000 | PA      | $29970059.19   | 0.07%             | 2034-04-15      | Variable      | 0.06%                 | 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        |     1616268 | PA      | $1366702.51    | 0.00%             | 2041-01-01      | Fixed         | 0.01%                 | 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        |    14018200 | PA      | $14022580.70   | 0.03%             | 2037-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 4.409% 5/35 #829985                                                                      | CUSIP: 31407GCW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        8805 | PA      | $9025.23       | 0.00%             | 2035-05-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 07/01/2044#G61831                                                                    | CUSIP: 31335CA87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      154314 | PA      | $150916.63     | 0.00%             | 2044-07-01      | 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        |      579027 | PA      | $545897.33     | 0.00%             | 2042-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 10/20/2043#MA1375                                                                    | CUSIP: 36179NQ43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4064 | PA      | $3835.97       | 0.00%             | 2043-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 4/27 #432988                                                                           | CUSIP: 36207H6Z5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         561 | PA      | $566.69        | 0.00%             | 2027-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 9/39 #726316                                                                           | CUSIP: 3620AC3Z5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       28404 | PA      | $28875.46      | 0.00%             | 2039-09-15      | Fixed         | 0.05%                 | 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        |       91917 | PA      | $91758.03      | 0.00%             | 2040-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 7/29 #492695                                                                           | CUSIP: 31382UKG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         203 | PA      | $212.15        | 0.00%             | 2029-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 11/27 #190289                                                                          | CUSIP: 31368HKA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         708 | PA      | $740.10        | 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        |     1613940 | PA      | $1365756.03    | 0.00%             | 2040-12-01      | Fixed         | 0.01%                 | 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        |      101696 | PA      | $97735.49      | 0.00%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 8/27 #393409                                                                           | CUSIP: 31378BAJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         147 | PA      | $149.29        | 0.00%             | 2027-08-01      | Fixed         | 0.07%                 | 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        |       11160 | PA      | $11210.63      | 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        |    12746620 | PA      | $10883203.46   | 0.03%             | 2051-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                              | BOAM SWAP REC 3.8 08/10/26                                                                        | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    27050000 | NC      | $814863.94     | 0.00%             |  |  |  | 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        |      348652 | PA      | $329580.03     | 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        |      948096 | PA      | $895872.18     | 0.00%             | 2043-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 09/01/2047#BH9459                                                                  | CUSIP: 3140GYQM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       75958 | PA      | $75053.72      | 0.00%             | 2047-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 12/46#BC9077                                                                       | CUSIP: 3140F5CP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1765257 | PA      | $1650258.81    | 0.00%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 7/39 #AC1585                                                                           | CUSIP: 31417KXP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        8930 | PA      | $8948.32       | 0.00%             | 2039-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 7/40 #739184                                                                           | CUSIP: 3620ATFZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        8992 | PA      | $8970.12       | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2024-5C1                                                   | WELLS FARGO COML MTG TR 2024-5C1 5.928% 07/15/2057                                                | CUSIP: 95003VAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8000000 | PA      | $8386518.40    | 0.02%             | 2057-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2024-XL4                                                            | BX COML MTG TR 2024-XL5 C TSFR1M+194.087 03/15/2039 144A                                          | CUSIP: 05612GAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    15008887 | PA      | $15032338.40   | 0.04%             | 2041-03-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.50% 11/31 #781413                                                                          | CUSIP: 36225BSA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         146 | PA      | $151.59        | 0.00%             | 2031-11-15      | Fixed         | 0.09%                 | 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        |       10540 | PA      | $10977.17      | 0.00%             | 2033-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 5/27 #369318                                                                           | CUSIP: 31376YG34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          83 | PA      | $84.68         | 0.00%             | 2027-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/32 #781469                                                                           | CUSIP: 36225BT24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         253 | PA      | $260.46        | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | 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        |       84020 | PA      | $84294.51      | 0.00%             | 2033-09-01      | Fixed         | 0.04%                 | 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        |          85 | PA      | $84.97         | 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        |     3432673 | PA      | $3116710.45    | 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        |    10175000 | PA      | $10186014.34   | 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        |    10091456 | PA      | $9159429.03    | 0.02%             | 2046-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 4/41 #AH9708                                                                           | CUSIP: 3138ABYE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       18301 | PA      | $18325.09      | 0.00%             | 2041-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 4/41 #762904                                                                           | CUSIP: 36176DKR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       66919 | PA      | $66742.89      | 0.00%             | 2041-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 3% 10/01/2055 #TBA                                                                      | CUSIP: 01F0306A1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    78100000 | PA      | $68596815.43   | 0.16%             | 2055-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 7/41 #Q02385                                                                           | CUSIP: 3132GFUJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       27587 | PA      | $27663.05      | 0.00%             | 2041-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 7/32 #545813                                                                           | CUSIP: 31385JK23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         253 | PA      | $266.22        | 0.00%             | 2032-07-01      | Fixed         | 0.07%                 | 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        |    31447000 | PA      | $30025603.46   | 0.07%             | 2032-04-05      | Fixed         | 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        |      109467 | PA      | $109834.01     | 0.00%             | 2039-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                | MSCS SWAP CY451600 12/16/72 B                                                                     | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |    16000000 | NC      | $-66572.80     | -0.00%            |  |  |  | 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        |      119088 | PA      | $116310.03     | 0.00%             | 2031-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/28 #457682                                                                           | CUSIP: 36208QM78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1105 | PA      | $1120.67       | 0.00%             | 2028-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AR0910                                                                  | CUSIP: 3138NXAL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       25499 | PA      | $23630.21      | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 10/35 #835485                                                                          | CUSIP: 31407NF24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7798 | PA      | $8194.51       | 0.00%             | 2035-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/28 #780777                                                                           | CUSIP: 36225A2J8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         109 | PA      | $110.46        | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | 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        |     4534832 | PA      | $4277222.96    | 0.01%             | 2047-01-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 6/40 #733737                                                                           | CUSIP: 3620AMEJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        8603 | PA      | $8584.98       | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 08/01/2031#BC2778                                                                  | CUSIP: 3140EXCQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      318277 | PA      | $308005.20     | 0.00%             | 2031-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 7/41 #769093                                                                           | CUSIP: 36176LGA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       38985 | PA      | $37796.08      | 0.00%             | 2041-07-15      | Fixed         | 0.04%                 | 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        |     5263733 | PA      | $4292734.64    | 0.01%             | 2051-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 9/39 #724340                                                                           | CUSIP: 3620AAV96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       19765 | PA      | $19727.48      | 0.00%             | 2039-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.5% 03/43 #AR8173                                                                           | CUSIP: 3138W6CK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      301156 | PA      | $285408.43     | 0.00%             | 2043-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 11/01/2042#Q13653                                                                  | CUSIP: 3132HQBW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      128648 | PA      | $125514.63     | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 10/26 #442063                                                                          | CUSIP: 36207UB80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         113 | PA      | $113.02        | 0.00%             | 2026-10-15      | Fixed         | 0.07%                 | 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        |    23130000 | PA      | $23460233.95   | 0.06%             | 2029-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 10/01/2042#C04268                                                                  | CUSIP: 31292LW50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       49141 | PA      | $45326.68      | 0.00%             | 2042-10-01      | Fixed         | 0.03%                 | 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        |     8457306 | PA      | $8755410.78    | 0.02%             | 2048-10-15      | Fixed         | 0.08%                 | 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        |     3602970 | PA      | $3378386.14    | 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        |      680401 | PA      | $611539.58     | 0.00%             | 2041-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                             | US 10YR NOTE FUT (CBT)DEC25 TYZ5                                                                  | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |        -609 | NC      | $100395.06     | 0.00%             |  |  |  | No            |                  1 | 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        |    14936044 | PA      | $12218139.30   | 0.03%             | 2051-12-01      | Fixed         | 0.02%                 | 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        |      291127 | PA      | $289118.42     | 0.00%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 01/01/2047#BE5530                                                                  | CUSIP: 3140FREC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      140288 | PA      | $131017.21     | 0.00%             | 2047-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 8/28 #251975                                                                           | CUSIP: 31371G2G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         134 | PA      | $138.44        | 0.00%             | 2028-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 05/01/2045#AY7630                                                                  | CUSIP: 3138YMPQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      104759 | PA      | $96305.40      | 0.00%             | 2045-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 04/01/2043#Q16935                                                                  | CUSIP: 3132J8EH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      407069 | PA      | $386288.85     | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 11/34 #A28446                                                                          | CUSIP: 31297GL33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         119 | PA      | $119.93        | 0.00%             | 2034-11-01      | Fixed         | 0.05%                 | 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        |    26970000 | PA      | $25876797.75   | 0.06%             | 2029-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 04/01/2029#                                                                          | CUSIP: 31293PFU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          34 | PA      | $34.72         | 0.00%             | 2029-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 07/01/2046#Q43088                                                                  | CUSIP: 3132WGNE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      147000 | PA      | $137736.16     | 0.00%             | 2046-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DCP MIDSTREAM OPERATING LP                                                         | DCP MIDSTREAM OPER LP 5.6% 04/01/2044                                                             | CUSIP: 23311VAF4<br>LEI: 549300Y6CTBSE0QIPL28 | Long             | DBT              | CORP              | US        |    13506000 | PA      | $13105431.62   | 0.03%             | 2044-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2.5% 10/01/2055 #TBA                                                                      | CUSIP: 21H0226A4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   189900000 | PA      | $163465502.22  | 0.39%             | 2055-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 9/41 #772060                                                                           | CUSIP: 36176PQM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       54693 | PA      | $53050.83      | 0.00%             | 2041-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SIXTH STREET CLO XX LTD                                                            | SIXTH STREET CLO XX LTD 2021-20A A1R TSFR3M+132 07/17/2038 144A                                   | CUSIP: 83012QAN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    23436000 | PA      | $23512682.59   | 0.06%             | 2038-07-17      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CEDAR FDG XVII CLO LTD                                                             | CEDAR FDG XVII CLO LTD AR TSFR3M+135 07/20/2038 144A                                              | CUSIP: 15033PAQ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    25314000 | PA      | $25403079.97   | 0.06%             | 2038-07-20      | Variable      | 0.06%                 | 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        |      216732 | PA      | $199693.67     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2007-57 SA 4062-6*1ML 6/37                                                                    | CUSIP: 31396WJV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       31619 | PA      | $42960.59      | 0.00%             | 2037-06-25      | Variable      | 0.14%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 07/01/2029#                                                                          | CUSIP: 31292G4T0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         454 | PA      | $464.50        | 0.00%             | 2029-07-01      | Fixed         | 0.06%                 | 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        |    18120606 | PA      | $14743931.01   | 0.04%             | 2050-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 5.15% 4/35 #1N0006                                                                       | CUSIP: 3128QGAF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       36402 | PA      | $37054.20      | 0.00%             | 2035-04-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 1/28 #415853                                                                           | CUSIP: 31379C5N7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          94 | PA      | $95.76         | 0.00%             | 2028-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/28 #450333                                                                           | CUSIP: 36208GHJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          72 | PA      | $72.28         | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 8.00% 8/30 #C01034                                                                           | CUSIP: 31292HEF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          24 | PA      | $25.65         | 0.00%             | 2030-08-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 3/39 #697924                                                                           | CUSIP: 36296QLD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       32602 | PA      | $33133.95      | 0.00%             | 2039-03-15      | Fixed         | 0.05%                 | 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        |      231083 | PA      | $230597.42     | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 11/27 #251286                                                                          | CUSIP: 31371GCX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         192 | PA      | $201.06        | 0.00%             | 2027-11-01      | 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        |     1249646 | PA      | $1125287.77    | 0.00%             | 2041-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 01/01/2053#                                                                        | CUSIP: 3132DWF40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1458784 | PA      | $1421363.87    | 0.00%             | 2053-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 03/01/2041#AE3525                                                                    | CUSIP: 31419D4K4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1946 | PA      | $1903.58       | 0.00%             | 2041-03-01      | 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        |    29715000 | PA      | $29785335.41   | 0.07%             | 2037-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/28 #442456                                                                           | CUSIP: 36207UQH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         822 | PA      | $835.19        | 0.00%             | 2028-05-15      | Fixed         | 0.07%                 | 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        |    20480000 | PA      | $20489632.97   | 0.05%             | 2055-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 1/28 #414333                                                                           | CUSIP: 31379BHJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         108 | PA      | $110.52        | 0.00%             | 2028-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/28 #465349                                                                           | CUSIP: 36208Y5J4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         130 | PA      | $131.94        | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/32 #581406                                                                           | CUSIP: 36201E3P3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         299 | PA      | $309.88        | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 7/39 #703035                                                                           | CUSIP: 36296WBC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       43152 | PA      | $41957.37      | 0.00%             | 2039-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 1.5% 09/01/2051#FS2529                                                                  | CUSIP: 3140XHY35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    26036415 | PA      | $20031285.23   | 0.05%             | 2051-09-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.5% 11/15/2033                                                                         | CUSIP: 91282CJJ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   355600000 | PA      | $367657062.50  | 0.88%             | 2033-11-15      | 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        |    18628000 | PA      | $18615314.15   | 0.04%             | 2028-12-01      | Fixed         | 0.04%                 | 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        |      173559 | PA      | $169049.23     | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.0% 03/15/2045#777581                                                                  | CUSIP: 36176VUE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      437355 | PA      | $397178.02     | 0.00%             | 2045-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 7.5% 11/01/2031#                                                                        | CUSIP: 31298YTZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         394 | PA      | $420.16        | 0.00%             | 2031-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 03/01/2043#AB8712                                                                  | CUSIP: 31417FVE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       30287 | PA      | $27939.34      | 0.00%             | 2043-03-01      | Fixed         | 0.03%                 | 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        |      198057 | PA      | $206019.49     | 0.00%             | 2043-07-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 04/01/2033#ZS8692                                                                  | CUSIP: 3132A9UR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      181745 | PA      | $174375.11     | 0.00%             | 2033-04-01      | Fixed         | 0.03%                 | 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        |      131901 | PA      | $139290.88     | 0.00%             | 2038-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 07/01/2051#QC5164                                                                    | CUSIP: 3133APWZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      654764 | PA      | $579559.50     | 0.00%             | 2051-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                      | CITIGROUP INC 4.91%/VAR 05/24/2033                                                                | CUSIP: 172967NU1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    47460000 | PA      | $48033516.61   | 0.11%             | 2033-05-24      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                         | CAPITAL ONE FIN CORP 4.1% 02/09/2027                                                              | CUSIP: 254709AM0<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |     5722000 | PA      | $5712494.33    | 0.01%             | 2027-02-09      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 08/01/2051#BT8865                                                                    | CUSIP: 3140LXZ73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       43198 | PA      | $38303.58      | 0.00%             | 2051-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                | MSCS SWAP REC 3.853 09/16/30                                                                      | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DIR              | CORP              | US        |     7100000 | NC      | $223457.59     | 0.00%             |  |  |  | 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        |     2359571 | PA      | $2265640.89    | 0.01%             | 2047-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4% 10/01/2055 #TBA                                                                        | CUSIP: 21H0406A6<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |   -23800000 | PA      | $-22379320.88  | -0.05%            | 2055-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/29 #453080                                                                           | CUSIP: 36208KJZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         273 | PA      | $279.13        | 0.00%             | 2029-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 06/20/2046#AS4297                                                                    | CUSIP: 36193NX21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      537158 | PA      | $498376.70     | 0.00%             | 2046-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 06/01/2039#AA7503                                                                    | CUSIP: 31416RKR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1262 | PA      | $1237.87       | 0.00%             | 2039-06-01      | Fixed         | 0.04%                 | 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        |     7836681 | PA      | $6961065.06    | 0.02%             | 2050-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 02/01/2033#CA1089                                                                    | CUSIP: 3140Q8F75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       74254 | PA      | $72282.89      | 0.00%             | 2033-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 5/28 #428795                                                                           | CUSIP: 31379TKG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         102 | PA      | $104.75        | 0.00%             | 2028-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 11/01/2045#Q37297                                                                  | CUSIP: 3132QUDB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      732540 | PA      | $664581.47     | 0.00%             | 2045-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 9/35 #255951                                                                           | CUSIP: 31371MH42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         570 | PA      | $604.46        | 0.00%             | 2035-09-01      | Fixed         | 0.07%                 | 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        |    28873000 | PA      | $28912786.99   | 0.07%             | 2038-04-15      | Variable      | 0.06%                 | 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        |      588171 | PA      | $587137.11     | 0.00%             | 2039-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 5/40 #A92286                                                                           | CUSIP: 312940RF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        7009 | PA      | $7030.26       | 0.00%             | 2040-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 8/41 #Q02511                                                                           | CUSIP: 3132GFYG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       38197 | PA      | $38311.10      | 0.00%             | 2041-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 3.984% 5/33 #703915                                                                      | CUSIP: 31401CAQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1114 | PA      | $1132.55       | 0.00%             | 2033-05-01      | Variable      | 0.06%                 | 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        |      338083 | PA      | $339284.85     | 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        |    20195000 | PA      | $19818557.12   | 0.05%             | 2027-11-15      | Fixed         | 0.04%                 | 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        |     1498165 | PA      | $1508892.62    | 0.00%             | 2039-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 04/01/2029#                                                                          | CUSIP: 31293NPA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          63 | PA      | $63.00         | 0.00%             | 2029-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 2/42 #AK2525                                                                           | CUSIP: 3138E6YX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       55270 | PA      | $54251.96      | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 02/52#RA6824                                                                         | CUSIP: 3133KNSM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    38063859 | PA      | $31149292.94   | 0.07%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 8/39 #935520                                                                           | CUSIP: 31412UYR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3506 | PA      | $3513.57       | 0.00%             | 2039-08-01      | Fixed         | 0.04%                 | 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        |    21000000 | PA      | $20848966.11   | 0.05%             | 2028-06-05      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 2/40 #723727                                                                           | CUSIP: 3620AAA40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       20699 | PA      | $20114.55      | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TANGER PROPERTIES LP                                                               | TANGER PROPERTIES LP 3.875% 07/15/2027                                                            | CUSIP: 875484AK3<br>LEI: PQPGJDNFN35EXH363L31 | Long             | DBT              | CORP              | US        |    28881000 | PA      | $28623735.85   | 0.07%             | 2027-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                              | JPMORGAN CHASE and CO 4.203%/VAR 07/23/2029                                                       | CUSIP: 46647PAV8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     3000000 | PA      | $3005802.18    | 0.01%             | 2029-07-23      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 9/29 #514348                                                                           | CUSIP: 31383VL50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         748 | PA      | $781.86        | 0.00%             | 2029-09-01      | Fixed         | 0.07%                 | 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        |    14370000 | PA      | $15781852.50   | 0.04%             | 2053-11-14      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5% 05/01/2052#CB3647                                                                    | CUSIP: 3140QPBR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2570214 | PA      | $2592335.19    | 0.01%             | 2052-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 10YR 2.5% 10/01/2029#RD5009                                                                  | CUSIP: 3133LPR66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      386772 | PA      | $377766.55     | 0.00%             | 2029-10-01      | 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        |      663418 | PA      | $660859.39     | 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        |      306135 | PA      | $278395.77     | 0.00%             | 2045-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/28 #490591                                                                           | CUSIP: 36210E7C7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          84 | PA      | $85.57         | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | 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        |     1869007 | PA      | $1946288.52    | 0.00%             | 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        |     7380867 | PA      | $6301864.62    | 0.02%             | 2051-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 11/40 #AE3764                                                                          | CUSIP: 31419EFE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       68955 | PA      | $67227.17      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | 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        |       59642 | PA      | $58136.27      | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 10/20/2052#MA8345                                                                    | CUSIP: 36179XHW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     5610659 | PA      | $5135886.23    | 0.01%             | 2052-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 12/27 #405312                                                                          | CUSIP: 31378QGV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         239 | PA      | $244.63        | 0.00%             | 2027-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 3/28 #492905                                                                           | CUSIP: 31382UR24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |           5 | PA      | $4.70          | 0.00%             | 2028-03-01      | Fixed         | 0.07%                 | 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        |     8151716 | PA      | $8350112.51    | 0.02%             | 2054-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/31 #545140                                                                           | CUSIP: 36212VS59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2672 | PA      | $2755.19       | 0.00%             | 2031-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 06/01/2039#AS2599                                                                    | CUSIP: 3138WB3H6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      586704 | PA      | $574172.65     | 0.00%             | 2039-06-01      | Fixed         | 0.04%                 | 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        |      152408 | PA      | $151165.64     | 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        |       99451 | PA      | $101505.10     | 0.00%             | 2041-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 05/01/2042#AO2976                                                                  | CUSIP: 3138LTJW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5155 | PA      | $4902.97       | 0.00%             | 2042-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3.5% 05/01/2030#J31654                                                                  | CUSIP: 31307MZT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       14195 | PA      | $14079.23      | 0.00%             | 2030-05-01      | 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        |      535639 | PA      | $524327.40     | 0.00%             | 2040-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                     | MORGAN STANLEY 4.21%/VAR 04/20/2028                                                               | CUSIP: 61747YER2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    40000000 | PA      | $40043496.80   | 0.10%             | 2028-04-20      | Variable      | 0.04%                 | 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        |     5204665 | PA      | $5246289.34    | 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        |     1807633 | PA      | $1619066.95    | 0.00%             | 2041-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/30 #781130                                                                           | CUSIP: 36225BHF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         177 | PA      | $180.94        | 0.00%             | 2030-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PRUDENTIAL FINL INC                                                                | PRUDENTIAL FINL INC T5Y+NA 09/01/2052                                                             | CUSIP: 744320BK7<br>LEI: 5PRBRS5FEH7NREC8OR45 | Long             | DBT              | CORP              | US        |    55017000 | PA      | $57166074.05   | 0.14%             | 2052-09-01      | Variable      | 0.06%                 | 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        |      175659 | PA      | $17355.16      | 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        |       47969 | PA      | $47880.05      | 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        |         611 | PA      | $638.55        | 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        |     6041713 | PA      | $5276663.96    | 0.01%             | 2041-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/28 #433689                                                                           | CUSIP: 36207JXS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         157 | PA      | $158.09        | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 2/27 #439497                                                                           | CUSIP: 36207RGE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          84 | PA      | $85.10         | 0.00%             | 2027-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 11/01/2039#AC6492                                                                  | CUSIP: 31417TGA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       17637 | PA      | $17667.18      | 0.00%             | 2039-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 9/39 #722270                                                                           | CUSIP: 3620A8MT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3949 | PA      | $4015.26       | 0.00%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.50% 8/32 #C70220                                                                           | CUSIP: 31287XG59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        6005 | PA      | $6283.71       | 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        |        5576 | PA      | $5678.72       | 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        |    21650000 | NC      | $745798.77     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 12/30 #532641                                                                          | CUSIP: 36212FWA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         860 | PA      | $886.58        | 0.00%             | 2030-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 08/01/2039#AW4267                                                                    | CUSIP: 3138XTW50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      115108 | PA      | $112510.67     | 0.00%             | 2039-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 4.50% 7/26 #AB3303                                                                      | CUSIP: 31416YU55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         976 | PA      | $974.64        | 0.00%             | 2026-07-01      | Fixed         | 0.04%                 | 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        |        6441 | PA      | $6462.64       | 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        |     4750825 | PA      | $4753361.35    | 0.01%             | 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        |       46942 | PA      | $47717.52      | 0.00%             | 2039-05-15      | Fixed         | 0.05%                 | 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        |       29992 | PA      | $31356.09      | 0.00%             | 2029-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GNMA 13-149 MA 2.5% 5/20/40                                                                       | CUSIP: 38378UQY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      823798 | PA      | $813020.86     | 0.00%             | 2040-05-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| KITE REALTY GROUP LP                                                               | KITE REALTY GROUP LP 5.5% 03/01/2034                                                              | CUSIP: 49803XAE3<br>LEI: 549300X6R2GYI8Y3OD81 | Long             | DBT              | CORP              | US        |     6294000 | PA      | $6471698.94    | 0.02%             | 2034-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 11/15/2040#749935                                                                  | CUSIP: 3620C6EG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        6905 | PA      | $6725.48       | 0.00%             | 2040-11-15      | Fixed         | 0.04%                 | 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        |     3522594 | PA      | $3198354.77    | 0.01%             | 2046-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/28 #486540                                                                           | CUSIP: 36210APZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          64 | PA      | $64.97         | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 1.75% 08/15/2041                                                      | CUSIP: 912810TA6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   896321000 | PA      | $608167799.03  | 1.45%             | 2041-08-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/28 #433788                                                                           | CUSIP: 36207J2V4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          24 | PA      | $23.88         | 0.00%             | 2028-05-15      | 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 2.5% 11/25/2047                                                    | CUSIP: 3137H5F77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     2534222 | PA      | $2296140.12    | 0.01%             | 2047-11-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS CORP TR 2012-BWTR                                                      | GS MTG SECS CORP TR 2012-BWTR 3.313% 11/10/2050                                                   | CUSIP: 36254KAM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4444300 | PA      | $4410125.36    | 0.01%             | 2050-11-10      | Fixed         | 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        |       78022 | PA      | $76413.77      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | 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        |      199358 | PA      | $210009.60     | 0.00%             | 2037-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 6/27 #418913                                                                           | CUSIP: 36206RK21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          18 | PA      | $18.01         | 0.00%             | 2027-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                                | PETROLEOS MEXICANOS 6.7% 02/16/2032                                                               | CUSIP: 71643VAB1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    58171000 | PA      | $57662003.75   | 0.14%             | 2032-02-16      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| WHEELS FLEET LEASE FUNDING 1 LLC                                                   | WHEELS FLEET LEASE FUNDING 1 LLC 24-1A A1 5.49% 02/18/2039 144A                                   | CUSIP: 96328GBM8<br>LEI: 549300BSFY0E0XXREF43 | Long             | ABS-CBDO         | CORP              | US        |    10224811 | PA      | $10348026.66   | 0.02%             | 2039-02-18      | 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        |       64933 | PA      | $65846.17      | 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        |     3305973 | PA      | $3224507.45    | 0.01%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 9/39 #723320                                                                           | CUSIP: 3620A9SH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       11918 | PA      | $12116.18      | 0.00%             | 2039-09-15      | Fixed         | 0.05%                 | 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        |      120249 | PA      | $119194.17     | 0.00%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 1/41 #AH4404                                                                           | CUSIP: 3138A53N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        8630 | PA      | $8429.30       | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 11/41 #489862                                                                          | CUSIP: 36210EFB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      665011 | PA      | $644837.45     | 0.00%             | 2041-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 11/01/2043#Q23023                                                                  | CUSIP: 3132M3AY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        5999 | PA      | $5846.18       | 0.00%             | 2043-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ARCHER DANIELS MIDLAND CO                                                          | ARCHER DANIELS MIDLAND CO 3.25% 03/27/2030                                                        | CUSIP: 039482AB0<br>LEI: 549300LO13MQ9HYSTR83 | Long             | DBT              | CORP              | US        |     6931000 | PA      | $6665758.74    | 0.02%             | 2030-03-27      | Fixed         | 0.03%                 | 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        |  1126475000 | PA      | $1039789234.15 | 2.48%             | 2054-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 11/27 #404846                                                                          | CUSIP: 31378PWF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          52 | PA      | $53.51         | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.0% 3/45#AY0609                                                                             | CUSIP: 3138YDVB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      268951 | PA      | $247210.53     | 0.00%             | 2045-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 11/01/2042#AQ1978                                                                  | CUSIP: 3138MHFU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       62830 | PA      | $57756.53      | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 08/01/2043#Q20763                                                                  | CUSIP: 3132JMZ44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       98198 | PA      | $95968.97      | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UBS COML MTG TR 2018-C9                                                            | UBS COML MTG TR 2018-C9 A4 4.117% 03/15/2051                                                      | CUSIP: 90291JAW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2800000 | PA      | $2755053.00    | 0.01%             | 2051-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 07/01/2040#                                                                        | CUSIP: 312941HS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1693 | PA      | $1698.14       | 0.00%             | 2040-07-01      | Fixed         | 0.04%                 | 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        |      135326 | PA      | $135042.02     | 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        |          31 | PA      | $31.19         | 0.00%             | 2026-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UNUM GROUP                                                                         | UNUM GROUP 4.046% 08/15/2041 144A                                                                 | CUSIP: 91529YAS5<br>LEI: 549300E32YFDO6TZ8R31 | Long             | DBT              | CORP              | US        |     1392000 | PA      | $1136172.88    | 0.00%             | 2041-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CY451600 12/16/72 B                                                                   | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    10070000 | NC      | $-41899.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 7/40 #745196                                                                           | CUSIP: 3620C03D8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       96290 | PA      | $96065.85      | 0.00%             | 2040-07-15      | Fixed         | 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        |    18350000 | PA      | $17527223.98   | 0.04%             | 2030-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 2/40 #737011                                                                           | CUSIP: 3620AQYG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2931 | PA      | $2979.99       | 0.00%             | 2040-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 04/01/2043#Q16915                                                                  | CUSIP: 3132J8DV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       31410 | PA      | $29093.66      | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 8/30 #549602                                                                           | CUSIP: 31385QRX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         310 | PA      | $326.85        | 0.00%             | 2030-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 10/45#AY3962                                                                         | CUSIP: 3138YHML1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       53475 | PA      | $51598.92      | 0.00%             | 2045-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 6/1/52#CB3785                                                                        | CUSIP: 3140QPF36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4839028 | PA      | $4601192.71    | 0.01%             | 2052-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNUM GROUP                                                                         | UNUM GROUP 4% 06/15/2029                                                                          | CUSIP: 91529YAN6<br>LEI: 549300E32YFDO6TZ8R31 | Long             | DBT              | CORP              | US        |    21076000 | PA      | $20805459.82   | 0.05%             | 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        |         145 | PA      | $151.98        | 0.00%             | 2029-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 11/1/42 #Q13479                                                                      | CUSIP: 3132HP2L7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       49795 | PA      | $46244.42      | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 04/01/2043#Q16749                                                                  | CUSIP: 3132J75K4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       36223 | PA      | $35569.26      | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 10/30 #493519                                                                          | CUSIP: 36210JG44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         513 | PA      | $525.23        | 0.00%             | 2030-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.00% 8/27 #780622                                                                           | CUSIP: 36225AVP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          79 | PA      | $80.04         | 0.00%             | 2027-08-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 4/39 #713199                                                                           | CUSIP: 36297JKL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        6551 | PA      | $6657.61       | 0.00%             | 2039-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 11/25 #329280                                                                          | CUSIP: 31375AXH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |           6 | PA      | $6.03          | 0.00%             | 2025-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 7/32 #254379                                                                           | CUSIP: 31371KQ87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1125 | PA      | $1187.73       | 0.00%             | 2032-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 12/41 #AJ4198                                                                          | CUSIP: 3138AVUY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      210780 | PA      | $205716.97     | 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        |     1480201 | PA      | $1480201.04    | 0.00%             | 2040-11-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 2/37 #889116                                                                           | CUSIP: 31410GYM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         679 | PA      | $715.75        | 0.00%             | 2038-02-01      | Fixed         | 0.06%                 | 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        |     9271296 | PA      | $9298815.51    | 0.02%             | 2055-02-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                     | MORGAN STANLEY 5.25%/VAR 04/21/2034                                                               | CUSIP: 61747YFE0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    50000000 | PA      | $51561188.00   | 0.12%             | 2034-04-21      | Variable      | 0.05%                 | 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        |      151556 | PA      | $149894.19     | 0.00%             | 2047-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/28 #433616                                                                           | CUSIP: 36207JVH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         186 | PA      | $188.80        | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2% 05/01/2035#BP5703                                                                    | CUSIP: 3140KDKR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    19758470 | PA      | $18356310.54   | 0.04%             | 2035-05-01      | Fixed         | 0.02%                 | 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        |    27997000 | PA      | $28586741.97   | 0.07%             | 2029-04-13      | Variable      | 0.06%                 | 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        |     7479000 | PA      | $7415031.74    | 0.02%             | 2027-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 8/33 #A12833                                                                           | CUSIP: 31296MEE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        8118 | PA      | $8254.13       | 0.00%             | 2033-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                                 | JPSW SWAP REC 3.837 07/22/26                                                                      | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |    47480000 | NC      | $1490279.92    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 04/46#Q39901                                                                       | CUSIP: 3132QXAB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       72647 | PA      | $68113.76      | 0.00%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 07/01/2035#                                                                          | CUSIP: 31297R4W4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         347 | PA      | $353.43        | 0.00%             | 2035-07-01      | Fixed         | 0.05%                 | 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        |       24740 | PA      | $22245.55      | 0.00%             | 2035-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 12-154 F SOFR30A+41.448 01/25/2043                                 | CUSIP: 3136AA6R1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      526027 | PA      | $513675.98     | 0.00%             | 2043-01-25      | Variable      | 0.05%                 | 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        |        8133 | PA      | $7975.38       | 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        |  1126050000 | PA      | $1136430773.44 | 2.71%             | 2035-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/32 #576466                                                                           | CUSIP: 36200YMP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         220 | PA      | $226.83        | 0.00%             | 2032-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GOVERNMENT NAT MTG AS REMIC PT 2014-5 A 3% 01/20/2044                                             | CUSIP: 38376MAY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     2437289 | PA      | $2221068.96    | 0.01%             | 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        |     1207011 | PA      | $988880.43     | 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        |     3984915 | PA      | $3991612.93    | 0.01%             | 2055-02-25      | Variable      | 0.06%                 | 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        |     2011553 | PA      | $2020694.57    | 0.00%             | 2052-12-01      | 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        |    35788558 | PA      | $35650016.42   | 0.09%             | 2054-07-30      | 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        |       61339 | PA      | $59810.56      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | 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        |    22372000 | PA      | $22399965.00   | 0.05%             | 2041-06-15      | Variable      | 0.06%                 | 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        |     5131953 | PA      | $4375013.02    | 0.01%             | 2051-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 9/41 #AH4609                                                                           | CUSIP: 3138A6DP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6692 | PA      | $6536.10       | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | 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        |      429474 | PA      | $428441.28     | 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        |     3537000 | PA      | $3053209.46    | 0.01%             | 2042-04-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 2/40 #A91160                                                                           | CUSIP: 312939JD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        8850 | PA      | $8879.29       | 0.00%             | 2040-02-01      | 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        |         852 | PA      | $860.20        | 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        |     6471242 | PA      | $6412382.58    | 0.02%             | 2049-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 02/01/2041#A96822                                                                    | CUSIP: 312945SK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      372429 | PA      | $363937.12     | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 8/33 #G01584                                                                           | CUSIP: 31283HXM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        2397 | PA      | $2435.22       | 0.00%             | 2033-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 7.00% 8/26 #256430                                                                      | CUSIP: 31371MY35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1085 | PA      | $1089.64       | 0.00%             | 2026-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/32 #584361                                                                           | CUSIP: 36201JFA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         454 | PA      | $466.29        | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 04/48#CA1564                                                                       | CUSIP: 3140Q8W27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      198673 | PA      | $196059.70     | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 03/01/2033#BM4614                                                                    | CUSIP: 3140J9DU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      160351 | PA      | $156483.38     | 0.00%             | 2033-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AIMCO CLO 21 LTD / AIMCO CLO 21 LLC                                                | AIMCO CLO 21 LTD / AIMCO CLO 21 LLC A1 TSFR3M+150 04/18/2037 144A                                 | CUSIP: 00901WAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    24647000 | PA      | $24747190.06   | 0.06%             | 2037-04-18      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 6/40 #704995                                                                           | CUSIP: 36296YGC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       15105 | PA      | $15362.07      | 0.00%             | 2040-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 6/41 #768770                                                                           | CUSIP: 36176K2B2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       55613 | PA      | $53934.50      | 0.00%             | 2041-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                              | BOAM SWAP PAY 3.8 08/10/26                                                                        | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    27050000 | NC      | $603240.43     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/28 #427241                                                                           | CUSIP: 36207BS68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          24 | PA      | $24.08         | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | 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        |    10989573 | PA      | $10989572.98   | 0.03%             | 2038-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 9/37 #942981                                                                           | CUSIP: 31413ECS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       26410 | PA      | $27868.83      | 0.00%             | 2037-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 3/31 #489936                                                                           | CUSIP: 36210EHM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1168 | PA      | $1222.87       | 0.00%             | 2031-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 08/01/2035#G02836                                                                  | CUSIP: 3128M4PV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        2866 | PA      | $2878.78       | 0.00%             | 2035-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 3% 2/43 #Q15438                                                                              | CUSIP: 3132J6PY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      686644 | PA      | $636752.52     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 12/01/2051#QD3352                                                                    | CUSIP: 3133B0WM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      827273 | PA      | $670788.33     | 0.00%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                                | PETROLEOS MEXICANOS 6.5% 03/13/2027                                                               | CUSIP: 71654QCG5<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    21300000 | PA      | $21550275.00   | 0.05%             | 2027-03-13      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 11/01/2051#RA6321                                                                    | CUSIP: 3133KNAW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      466208 | PA      | $378021.67     | 0.00%             | 2051-11-01      | Fixed         | 0.02%                 | 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        |        4118 | PA      | $4125.32       | 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        |         609 | PA      | $622.55        | 0.00%             | 2029-05-01      | Fixed         | 0.06%                 | 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        |     1053688 | PA      | $1056610.60    | 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        |       26701 | PA      | $25646.07      | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/30 #515361                                                                           | CUSIP: 36211KQN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         486 | PA      | $499.37        | 0.00%             | 2030-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 8/29 #781272                                                                           | CUSIP: 36225BMV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         103 | PA      | $104.82        | 0.00%             | 2029-08-15      | Fixed         | 0.07%                 | 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        |     2590000 | PA      | $2615741.23    | 0.01%             | 2030-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 7/29 #323819                                                                           | CUSIP: 31374TVL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         191 | PA      | $196.81        | 0.00%             | 2029-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4% 03/46#MA3522                                                                           | CUSIP: 36179R4F3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       14653 | PA      | $14128.35      | 0.00%             | 2046-03-20      | Fixed         | 0.04%                 | 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      | $37573.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.00% 12/40 #004882                                                                       | CUSIP: 36202FM78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       63566 | PA      | $61919.98      | 0.00%             | 2040-12-20      | Fixed         | 0.04%                 | 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        |     1934957 | PA      | $1891976.80    | 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        |       40993 | PA      | $41129.04      | 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        |     1190288 | PA      | $1067043.57    | 0.00%             | 2042-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 11/39 #723430                                                                          | CUSIP: 3620A9VX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1881 | PA      | $1877.21       | 0.00%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 09/01/2051#                                                                        | CUSIP: 3140LYWC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1814966 | PA      | $1668937.15    | 0.00%             | 2051-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 04/01/2046#Q39717                                                                    | CUSIP: 3132QWYP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      242953 | PA      | $220793.54     | 0.00%             | 2046-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/32 #581860                                                                           | CUSIP: 36201FMH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         488 | PA      | $504.10        | 0.00%             | 2032-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 6/27 #449600                                                                           | CUSIP: 36208FNR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          68 | PA      | $68.84         | 0.00%             | 2027-06-15      | Fixed         | 0.07%                 | 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        |      158661 | PA      | $25220.13      | 0.00%             | 2037-07-25      | 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 3.9% 08/25/2028                                                    | CUSIP: 3137FJEH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     5000000 | PA      | $4996312.00    | 0.01%             | 2028-08-25      | Fixed         | 0.04%                 | 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        |    18741913 | PA      | $16666857.08   | 0.04%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| REGENCY CTRS LP                                                                    | REGENCY CTRS LP 3.7% 06/15/2030                                                                   | CUSIP: 75884RBA0<br>LEI: 5493008PTR2GAOYBXW28 | Long             | DBT              | CORP              | US        |    25000000 | PA      | $24334661.00   | 0.06%             | 2030-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 10/35 #803376                                                                          | CUSIP: 31405YQ53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5496 | PA      | $5782.36       | 0.00%             | 2035-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 11/20/2049#BL1665                                                                    | CUSIP: 3617JDZ69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      168436 | PA      | $154485.37     | 0.00%             | 2049-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GOVERNMENT NAT MTG ASSN HECM TSFR1M+61.448 06/20/2064                                             | CUSIP: 38375UKG4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      154813 | PA      | $154848.45     | 0.00%             | 2064-06-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 3.24% 9/33 #555935                                                                       | CUSIP: 31385XSY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       62854 | PA      | $63468.63      | 0.00%             | 2033-09-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 10/39 #710482                                                                          | CUSIP: 36297FJ37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       46406 | PA      | $45193.53      | 0.00%             | 2039-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 9/37 #670351                                                                           | CUSIP: 36295GWL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2098 | PA      | $2133.27       | 0.00%             | 2037-09-15      | Fixed         | 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        |        3144 | PA      | $3248.98       | 0.00%             | 2041-10-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 12/38 #702744                                                                          | CUSIP: 36296VWD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       69740 | PA      | $71839.34      | 0.00%             | 2038-12-15      | 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% 11/25/2047                                                    | CUSIP: 3137H5KC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     9199790 | PA      | $8383123.60    | 0.02%             | 2047-11-25      | Fixed         | 0.03%                 | 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        |      263130 | PA      | $256678.96     | 0.00%             | 2043-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG NEW YORK BNCH                                                     | DEUTSCHE BANK AG NEW YORK BNCH 3.035%/VAR 05/28/2032                                              | CUSIP: 251526CK3<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | US        |     4469000 | PA      | $4082372.38    | 0.01%             | 2032-05-28      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2% 08/20/2050#MA6818                                                                      | CUSIP: 36179VSF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1083187 | PA      | $898411.54     | 0.00%             | 2050-08-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UBS COML MTG TR 2017-C6                                                            | UBS COML MTG TR 2017-C6 A5 3.5795% 12/15/2050                                                     | CUSIP: 90276UAX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7045000 | PA      | $6900593.70    | 0.02%             | 2050-12-15      | Fixed         | 0.04%                 | 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        |     8500000 | PA      | $8504509.25    | 0.02%             | 2048-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 06/01/2031#J34584                                                                    | CUSIP: 31307RCV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       54104 | PA      | $53037.49      | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 07/01/2044#Q27007                                                                  | CUSIP: 3132M7NY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       24649 | PA      | $23900.05      | 0.00%             | 2044-07-01      | Fixed         | 0.04%                 | 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        |      109844 | PA      | $99763.42      | 0.00%             | 2045-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 7/38 #711379                                                                           | CUSIP: 36297GJY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        6180 | PA      | $6319.71       | 0.00%             | 2038-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 08/43#AS0080                                                                       | CUSIP: 3138W9CS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       23871 | PA      | $22595.32      | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AFFIRM MASTER TRUST                                                                | AFFIRM MASTER TRUST 4.45% 10/16/2034 144A                                                         | CUSIP: 00833BAN8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    10000000 | PA      | $9986872.00    | 0.02%             | 2034-10-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 11/01/2047#MA3184                                                                  | CUSIP: 31418CRE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       20959 | PA      | $20709.31      | 0.00%             | 2047-11-01      | Fixed         | 0.04%                 | 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        |       12337 | PA      | $13030.75      | 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        |      960486 | PA      | $853167.96     | 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        |    32417000 | PA      | $32529000.74   | 0.08%             | 2037-07-27      | Variable      | 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        |    23378653 | PA      | $19923100.89   | 0.05%             | 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        |     4669526 | PA      | $4243171.16    | 0.01%             | 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        |      180218 | PA      | $172937.62     | 0.00%             | 2040-09-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 1/1/43 #AB7568                                                                     | CUSIP: 31417EMS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       27201 | PA      | $25113.55      | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | 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        |    12656032 | PA      | $12912639.41   | 0.03%             | 2053-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 8/31 #551116                                                                           | CUSIP: 36213DGZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         274 | PA      | $282.47        | 0.00%             | 2031-08-15      | Fixed         | 0.07%                 | 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        |     8489769 | PA      | $8493513.21    | 0.02%             | 2054-07-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| NEW YORK LIFE INSURANCE CO                                                         | NEW YORK LIFE INSURANCE CO 3.75% 05/15/2050 144A                                                  | CUSIP: 64952GAT5<br>LEI: TAE73CY392TBWJ3O3305 | Long             | DBT              | CORP              | US        |     7429000 | PA      | $5609270.31    | 0.01%             | 2050-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 6/39 #704587                                                                           | CUSIP: 36296XXQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       10972 | PA      | $11152.83      | 0.00%             | 2039-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 03/15/2041#769036                                                                    | CUSIP: 36176LEH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       14198 | PA      | $13749.99      | 0.00%             | 2041-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 8/35 #830989                                                                           | CUSIP: 31407HF68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5976 | PA      | $6257.83       | 0.00%             | 2035-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 4/1/43 #AT0668                                                                     | CUSIP: 3138WMW64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      140336 | PA      | $132946.37     | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 4/42 #AK6409                                                                           | CUSIP: 3138EBDP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      136040 | PA      | $132563.98     | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL    | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 5.05% 03/30/2029  | CUSIP: 161175BR4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    10610000 | PA      | $10748906.65   | 0.03%             | 2029-03-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.125% 05/31/2032                                                                       | CUSIP: 91282CNF4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     8625000 | PA      | $8734750.54    | 0.02%             | 2032-05-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 4.75% 05/15/2055                                                      | CUSIP: 912810UK2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   281659000 | PA      | $282539184.38  | 0.67%             | 2055-05-15      | 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        |      296823 | PA      | $296222.07     | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 2/40 #735358                                                                           | CUSIP: 3620AN5T3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       77427 | PA      | $77264.09      | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 09/01/2035#FM4661                                                                  | CUSIP: 3140X8FB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5129046 | PA      | $4857052.33    | 0.01%             | 2035-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 08/01/2043#Q20785                                                                  | CUSIP: 3132JM2S7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       71580 | PA      | $70029.64      | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | 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        |     1352296 | PA      | $1305982.89    | 0.00%             | 2031-11-01      | Fixed         | 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        |       74614 | PA      | $74872.04      | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/29 #781027                                                                           | CUSIP: 36225BD88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          30 | PA      | $30.50         | 0.00%             | 2029-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 11/39 #726467                                                                          | CUSIP: 3620ADCC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3071 | PA      | $3065.21       | 0.00%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 4/41 #AD1892                                                                           | CUSIP: 31418PC60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2023 | PA      | $2025.80       | 0.00%             | 2041-04-01      | 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        |       15862 | PA      | $16436.07      | 0.00%             | 2036-07-01      | Variable      | 0.07%                 | 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        |    17295000 | PA      | $16992074.27   | 0.04%             | 2026-10-29      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP DEL                                                                   | CENTENE CORP 2.625% 08/01/2031                                                                    | CUSIP: 15135BAZ4<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    15205000 | PA      | $13061477.41   | 0.03%             | 2031-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 9/39 #710848                                                                           | CUSIP: 36297FWH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       43989 | PA      | $44720.72      | 0.00%             | 2039-09-15      | Fixed         | 0.05%                 | 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        |       24648 | PA      | $4301.90       | 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        |     5741486 | PA      | $5942558.05    | 0.01%             | 2053-06-01      | Fixed         | 0.06%                 | 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        |       38061 | PA      | $38186.61      | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | 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        |       58255 | PA      | $60919.83      | 0.00%             | 2034-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/29 #513722                                                                           | CUSIP: 36211HVP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          44 | PA      | $44.88         | 0.00%             | 2029-07-15      | Fixed         | 0.07%                 | 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        |     7205400 | PA      | $6494676.92    | 0.02%             | 2035-08-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 5/39 #717129                                                                           | CUSIP: 3620A2VW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2765 | PA      | $2809.13       | 0.00%             | 2039-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/28 #454375                                                                           | CUSIP: 36208LXC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         171 | PA      | $172.12        | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | 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        |      100536 | PA      | $91817.09      | 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        |       26258 | PA      | $26867.89      | 0.00%             | 2035-10-01      | Variable      | 0.07%                 | 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        |      246827 | PA      | $234302.53     | 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        |      645660 | PA      | $647098.26     | 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        |      174853 | PA      | $165688.77     | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/28 #443837                                                                           | CUSIP: 36207WBE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         188 | PA      | $190.04        | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 3/35 #787562                                                                           | CUSIP: 31405E5X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         635 | PA      | $661.16        | 0.00%             | 2035-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/28 #462916                                                                           | CUSIP: 36208WGZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          60 | PA      | $61.30         | 0.00%             | 2028-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 12/01/2042#AB7124                                                                  | CUSIP: 31417D4J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      189646 | PA      | $180210.84     | 0.00%             | 2042-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 07/01/2046#Q41359                                                                  | CUSIP: 3132WEQM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       37926 | PA      | $35559.76      | 0.00%             | 2046-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.00% 12/34 #605777                                                                          | CUSIP: 36200N6N6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1703 | PA      | $1762.46       | 0.00%             | 2034-12-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 09/01/2043#Q21526                                                                  | CUSIP: 3132JNVT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      103972 | PA      | $101258.67     | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2154 PT 6% 5/29                                                                               | CUSIP: 3133TKW97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       29422 | PA      | $30096.75      | 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        |     2063785 | PA      | $1873777.37    | 0.00%             | 2047-10-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 11/28 #781129                                                                          | CUSIP: 36225BHE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          57 | PA      | $57.86         | 0.00%             | 2028-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 9/40 #747264                                                                           | CUSIP: 3620C3FD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        7575 | PA      | $7557.50       | 0.00%             | 2040-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 10/41 #AB3687                                                                          | CUSIP: 31417ACZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1005427 | PA      | $981136.99     | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 12/01/2045#G61796                                                                  | CUSIP: 31335B7H3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      390787 | PA      | $392099.66     | 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        |       70328 | PA      | $71517.98      | 0.00%             | 2035-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 4/27 #448514                                                                           | CUSIP: 36208EGX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          59 | PA      | $60.06         | 0.00%             | 2027-04-15      | Fixed         | 0.07%                 | 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        |    30522000 | PA      | $30608438.30   | 0.07%             | 2037-07-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| AT and T INC                                                                       | AT and T INC 4.3% 02/15/2030                                                                      | CUSIP: 00206RGQ9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    13106000 | PA      | $13134532.94   | 0.03%             | 2030-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2016-LC25                                                  | WELLS FARGO COML MTG TR 2016-LC25 A3 3.374% 12/15/2059                                            | CUSIP: 95000JAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8922099 | PA      | $8840707.55    | 0.02%             | 2059-12-15      | Fixed         | 0.03%                 | 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        |       81596 | PA      | $77857.28      | 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        |      201013 | PA      | $162990.06     | 0.00%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/28 #443709                                                                           | CUSIP: 36207V3S3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          71 | PA      | $72.62         | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 07/42#AO9948                                                                         | CUSIP: 3138M2BS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       45200 | PA      | $44027.64      | 0.00%             | 2042-07-01      | 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        |      243023 | PA      | $233424.44     | 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        |     6300643 | PA      | $6202509.39    | 0.01%             | 2032-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 2005-79 ZC 5.9% 09/25/2035                                         | CUSIP: 31394FGT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      390103 | PA      | $395139.60     | 0.00%             | 2035-09-25      | Fixed         | 0.06%                 | 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        |    19800021 | PA      | $19781458.07   | 0.05%             | 2038-11-15      | Variable      | 0.05%                 | 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        |      228538 | PA      | $186022.93     | 0.00%             | 2051-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 6/39 #993203                                                                           | CUSIP: 31415YKQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1826 | PA      | $1830.31       | 0.00%             | 2039-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 2/42 #617454                                                                           | CUSIP: 36290T5P0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        9864 | PA      | $9318.22       | 0.00%             | 2042-02-15      | Fixed         | 0.04%                 | 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        |    12091000 | PA      | $11605971.59   | 0.03%             | 2034-09-12      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 06/01/2050#SD0393                                                                    | CUSIP: 3132DMNJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       26666 | PA      | $23736.63      | 0.00%             | 2050-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 3/41 #AH2152                                                                           | CUSIP: 3138A3MA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      137442 | PA      | $134669.40     | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | 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        |    48130000 | NC      | $1783454.74    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 7.50% 4/28 #G00982                                                                           | CUSIP: 31283HCT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         142 | PA      | $144.56        | 0.00%             | 2028-04-01      | 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        |       18046 | PA      | $18373.73      | 0.00%             | 2035-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 8% 09/01/2030#                                                                          | CUSIP: 31298AYN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          56 | PA      | $58.58         | 0.00%             | 2030-09-01      | Fixed         | 0.08%                 | 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        |     2956000 | PA      | $2998346.56    | 0.01%             | 2030-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AES CORP                                                                           | AES CORP 2.45% 01/15/2031                                                                         | CUSIP: 00130HCG8<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |    28885000 | PA      | $25867718.83   | 0.06%             | 2031-01-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 8/32 #781605                                                                           | CUSIP: 36225BYA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         525 | PA      | $541.73        | 0.00%             | 2032-08-15      | Fixed         | 0.07%                 | 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        |     2896000 | PA      | $2683543.56    | 0.01%             | 2029-01-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 5/34 #628119                                                                           | CUSIP: 36291GYQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         363 | PA      | $370.96        | 0.00%             | 2034-05-15      | Fixed         | 0.06%                 | 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        |    33561000 | PA      | $31461078.16   | 0.08%             | 2039-05-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 08/01/2050#FM6118                                                                    | CUSIP: 3140X9YQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       83638 | PA      | $74450.06      | 0.00%             | 2050-08-01      | Fixed         | 0.03%                 | 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        |      101718 | PA      | $8879.08       | 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        |    57498000 | PA      | $55916805.00   | 0.13%             | 2039-05-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| HESS CORP                                                                          | HESS CORP 7.875% 10/01/2029                                                                       | CUSIP: 023551AF1<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |    20178000 | PA      | $22880805.17   | 0.05%             | 2029-10-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 7.5% 09/01/2030#                                                                        | CUSIP: 31298ASP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          43 | PA      | $45.09         | 0.00%             | 2030-09-01      | Fixed         | 0.07%                 | 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        |      235911 | PA      | $227486.21     | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 05/15/2042#AA1859                                                                    | CUSIP: 36177YB47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       10570 | PA      | $10425.08      | 0.00%             | 2042-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+46.448 05/25/2047                                          | CUSIP: 3136AWTD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     1137950 | PA      | $1106851.12    | 0.00%             | 2047-05-25      | Variable      | 0.05%                 | 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        |       31625 | PA      | $31485.40      | 0.00%             | 2044-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 6% 10/01/2055 #TBA                                                                        | CUSIP: 21H0606A4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   203925000 | PA      | $207418806.24  | 0.49%             | 2055-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                    | CVS HEALTH CORP 3% 08/15/2026                                                                     | CUSIP: 126650DF4<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     2965000 | PA      | $2934163.97    | 0.01%             | 2026-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 11/39 #710499                                                                          | CUSIP: 36297FKL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       51110 | PA      | $50984.45      | 0.00%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/29 #499474                                                                           | CUSIP: 36210Q2F8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         573 | PA      | $584.17        | 0.00%             | 2029-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.0% 06/15/2043#AD3626                                                                  | CUSIP: 36180FA36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       55182 | PA      | $50376.00      | 0.00%             | 2043-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 11/47#V84700                                                                       | CUSIP: 3132LAGH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      641095 | PA      | $599691.33     | 0.00%             | 2047-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| THUNDERBOLT AIRCRAFT LEASE LIM                                                     | THUNDERBOLT AIRCRAFT LEASE 2018-A A STEP 07/15/2038 144A                                          | CUSIP: 886065AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    11071682 | PA      | $11065273.41   | 0.03%             | 2038-09-15      | Variable      | 0.06%                 | 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        |      623231 | PA      | $625183.25     | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | 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        |     7172000 | PA      | $7202322.14    | 0.02%             | 2029-02-15      | Fixed         | 0.05%                 | 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        |      110049 | PA      | $101366.73     | 0.00%             | 2051-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 5/40 #731980                                                                           | CUSIP: 3620AKFV3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3450 | PA      | $3509.87       | 0.00%             | 2040-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 2/28 #190294                                                                           | CUSIP: 31368HKF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4184 | PA      | $4374.24       | 0.00%             | 2028-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 09/01/2039#                                                                        | CUSIP: 3128MJMN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        2086 | PA      | $2092.67       | 0.00%             | 2039-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 0.0% 07/01/2041#1B8505                                                                   | CUSIP: 3128UGZV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       79644 | PA      | $82802.95      | 0.00%             | 2041-07-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 3/41 #762832                                                                           | CUSIP: 36176DHH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         975 | PA      | $972.78        | 0.00%             | 2041-03-15      | 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 3% 01/25/2049                                                      | CUSIP: 3137H5ZA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     2279982 | PA      | $2100519.10    | 0.01%             | 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        |        2000 | PA      | $2090.13       | 0.00%             | 2030-08-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| COPT DEFENSE PROPERTIES LP                                                         | COPT DEFENSE PROPERTIES LP 4.5% 10/15/2030                                                        | CUSIP: 12713UAA4<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              | CORP              | US        |     4024000 | PA      | $3997463.81    | 0.01%             | 2030-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 3/26 #250495                                                                           | CUSIP: 31371FGC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          20 | PA      | $19.87         | 0.00%             | 2026-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.9% 04/01/2042#AO1103                                                                  | CUSIP: 3138LRGM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       25224 | PA      | $24435.99      | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | 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        |      258233 | PA      | $257710.08     | 0.00%             | 2040-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 02/01/2052#QD7615                                                                    | CUSIP: 3133B5N81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      769926 | PA      | $681072.96     | 0.00%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 1.5% 06/01/2051#QC3131                                                                  | CUSIP: 3133AMPQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      445971 | PA      | $347152.01     | 0.00%             | 2051-06-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.25% 11/15/2034                                                                        | CUSIP: 91282CLW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   419800000 | PA      | $424539147.39  | 1.01%             | 2034-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 11/39 #722699                                                                          | CUSIP: 3620A83G6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       15459 | PA      | $15428.11      | 0.00%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 2/37 #658285                                                                           | CUSIP: 36294SJ65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         188 | PA      | $193.58        | 0.00%             | 2037-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 6/28 #432548                                                                           | CUSIP: 31379XP90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2578 | PA      | $2695.51       | 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        |      174120 | PA      | $164841.14     | 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        |     2701900 | PA      | $2328019.88    | 0.01%             | 2051-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 11/01/2045#Q37070                                                                  | CUSIP: 3132QT2C9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       55108 | PA      | $51738.19      | 0.00%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 8/37 #AE0265                                                                           | CUSIP: 31419AJK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      795689 | PA      | $829281.60     | 0.00%             | 2037-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 8/40 #740919                                                                           | CUSIP: 3620AVDY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        6057 | PA      | $6041.84       | 0.00%             | 2040-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 7/39 #931504                                                                           | CUSIP: 31412P3M1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      383753 | PA      | $384533.68     | 0.00%             | 2039-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3% 01/20/2050#BR8998                                                                      | CUSIP: 3617M77K8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      138665 | PA      | $123869.98     | 0.00%             | 2050-01-20      | Fixed         | 0.03%                 | 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        |    94779322 | PA      | $1979058.59    | 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        |        4055 | PA      | $4189.25       | 0.00%             | 2032-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 12/31 #564543                                                                          | CUSIP: 36213UEQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         142 | PA      | $147.01        | 0.00%             | 2031-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 02/01/2047#BE5696                                                                  | CUSIP: 3140FRKJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       19632 | PA      | $18334.99      | 0.00%             | 2047-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/32 #569799                                                                           | CUSIP: 36200Q7L2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1684 | PA      | $1742.70       | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MASTERCARD INC                                                                     | MASTERCARD INC 3.3% 03/26/2027                                                                    | CUSIP: 57636QAR5<br>LEI: AR5L2ODV9HN37376R084 | Long             | DBT              | CORP              | US        |     3028000 | PA      | $3004477.62    | 0.01%             | 2027-03-26      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FING 2023-3 LLC                                                   | ENTERPRISE FLEET FING 2023-3 LLC 6.4% 03/20/2030 144A                                             | CUSIP: 29374LAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    14475416 | PA      | $14693313.19   | 0.04%             | 2030-03-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 12/15/2040#737712                                                                  | CUSIP: 3620ARR94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       13252 | PA      | $12843.97      | 0.00%             | 2040-12-15      | Fixed         | 0.04%                 | 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        |     1501633 | PA      | $1348339.81    | 0.00%             | 2041-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 11/01/2042#AP4319                                                                  | CUSIP: 3138M7YR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       73005 | PA      | $68911.08      | 0.00%             | 2042-11-01      | 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        |     8697829 | PA      | $7423583.06    | 0.02%             | 2051-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 8/27 #397106                                                                           | CUSIP: 31378FDK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          11 | PA      | $10.79         | 0.00%             | 2027-08-01      | Fixed         | 0.07%                 | 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        |     8028228 | PA      | $7146262.81    | 0.02%             | 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        |     1000000 | NC      | $69140.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 5/34 #616423                                                                           | CUSIP: 36290SYU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2275 | PA      | $2328.07       | 0.00%             | 2034-05-15      | Fixed         | 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        |    18176000 | PA      | $16440841.43   | 0.04%             | 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        |       26714 | PA      | $27230.83      | 0.00%             | 2029-07-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 3/41 #756893                                                                           | CUSIP: 36230RUS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2503 | PA      | $2545.42       | 0.00%             | 2041-03-15      | Fixed         | 0.05%                 | 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        |     1447043 | PA      | $1391296.66    | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TACO BELL FDG LLC                                                                  | TACO BELL FDG LLC 4.821% 08/25/2055 144A                                                          | CUSIP: 87342RAK0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    40265000 | PA      | $40358157.10   | 0.10%             | 2055-08-25      | Fixed         | 0.05%                 | 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        |     1374761 | PA      | $1126315.21    | 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        |      553263 | PA      | $451030.23     | 0.00%             | 2051-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CONSOLIDATED EDISON CO OF NEW YORK INC                                             | CONSOLIDATED EDISON CO OF NY 3.35% 04/01/2030                                                     | CUSIP: 209111FX6<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |     3290000 | PA      | $3185559.41    | 0.01%             | 2030-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 04/01/2034#G16829                                                                    | CUSIP: 3128MFY28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1168815 | PA      | $1132483.31    | 0.00%             | 2034-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/32 #573592                                                                           | CUSIP: 36200VF99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4848 | PA      | $5024.34       | 0.00%             | 2032-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 07/01/2032#J37270                                                                    | CUSIP: 31307UCF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      102340 | PA      | $99876.05      | 0.00%             | 2032-07-01      | Fixed         | 0.03%                 | 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        |      683796 | PA      | $645531.17     | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 3% 2/1/43 #Q15788                                                                            | CUSIP: 3132J62W3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       71821 | PA      | $66523.41      | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/29 #502341                                                                           | CUSIP: 36210UBJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         369 | PA      | $377.43        | 0.00%             | 2029-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 8/34 #G02758                                                                           | CUSIP: 3128M4MF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      108092 | PA      | $109943.08     | 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        |     2510703 | PA      | $2109826.53    | 0.01%             | 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        |    40740000 | PA      | $38863980.04   | 0.09%             | 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        |       49691 | PA      | $49806.74      | 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        |      339536 | PA      | $332121.11     | 0.00%             | 2029-11-01      | Fixed         | 0.03%                 | 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        |      855535 | PA      | $772914.97     | 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        |    59444000 | PA      | $61302589.78   | 0.15%             | 2027-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 2% 10/01/2055 #TBA                                                                      | CUSIP: 01F0206A2<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        | -1112825000 | PA      | $-896867398.44 | -2.14%            | 2055-10-01      | Fixed         | 0.02%                 | 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        |        8923 | PA      | $9075.36       | 0.00%             | 2035-08-01      | Fixed         | 0.05%                 | 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        |      391077 | PA      | $375679.10     | 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        |       37526 | PA      | $38273.66      | 0.00%             | 2029-07-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 09/01/2032#ZT2008                                                                  | CUSIP: 3132AEGR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      216800 | PA      | $210570.70     | 0.00%             | 2032-09-01      | Fixed         | 0.03%                 | 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        |    41973000 | PA      | $42487989.82   | 0.10%             | 2030-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 12/01/2038#AV1874                                                                    | CUSIP: 3138XDCL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      484723 | PA      | $474336.49     | 0.00%             | 2038-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 6/39 #702085                                                                           | CUSIP: 36296U6W5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         995 | PA      | $1011.09       | 0.00%             | 2039-06-15      | Fixed         | 0.05%                 | 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        |       86965 | PA      | $87253.11      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 08/01/2041#AI5189                                                                  | CUSIP: 3138AJXT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       10045 | PA      | $10238.22      | 0.00%             | 2041-08-01      | 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              | US        |    11776851 | PA      | $11963983.68   | 0.03%             | 2037-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 12/30 #563583                                                                          | CUSIP: 31386HCU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1260 | PA      | $1332.63       | 0.00%             | 2030-12-01      | Fixed         | 0.07%                 | 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        |     1300000 | NC      | $89882.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 8/32 #583152                                                                           | CUSIP: 36201GZR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         487 | PA      | $505.09        | 0.00%             | 2032-08-15      | 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 5% 04/25/2048                                                      | CUSIP: 3137H8BP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     3831676 | PA      | $3859330.44    | 0.01%             | 2048-04-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 7.5% 03/01/2027#                                                                        | CUSIP: 31292GRV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          12 | PA      | $12.09         | 0.00%             | 2027-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 11/27 #404745                                                                          | CUSIP: 31378PTA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1100 | PA      | $1120.86       | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | 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        |    27319000 | PA      | $26162848.17   | 0.06%             | 2032-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 9/39 #726298                                                                           | CUSIP: 3620AC3F9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       12054 | PA      | $12254.34      | 0.00%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 7/27 #431989                                                                           | CUSIP: 36207G2W8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         230 | PA      | $233.19        | 0.00%             | 2027-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 10/29 #252806                                                                          | CUSIP: 31371HYB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         359 | PA      | $374.54        | 0.00%             | 2029-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2025-V14 MTG TR                                                          | BENCHMARK 2025-V14 MTG TR 5.1761% 04/15/2057                                                      | CUSIP: 08164BAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    10900000 | PA      | $11206266.02   | 0.03%             | 2057-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MOLSON COORS BEVERAGE CO                                                           | MOLSON COORS BEVERAGE CO 3% 07/15/2026                                                            | CUSIP: 60871RAG5<br>LEI: 54930073LBBH6ZCBE225 | Long             | DBT              | CORP              | US        |    48345000 | PA      | $47917661.62   | 0.11%             | 2026-07-15      | Fixed         | 0.03%                 | 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        |       30772 | PA      | $31292.70      | 0.00%             | 2033-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TR 2023-4                                                        | CARMAX AUTO OWNER TR 2023-4 6% 07/17/2028                                                         | CUSIP: 14318XAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    15438842 | PA      | $15646380.63   | 0.04%             | 2028-07-17      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/27 #780570                                                                           | CUSIP: 36225AT34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          12 | PA      | $11.98         | 0.00%             | 2027-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 12/26 #780481                                                                          | CUSIP: 36225ARA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |           5 | PA      | $4.90          | 0.00%             | 2026-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.0% 03/01/2041#A97520                                                                  | CUSIP: 312946K96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      100371 | PA      | $102423.01     | 0.00%             | 2041-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 10/01/2040#V81966                                                                  | CUSIP: 3132L7FF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      204990 | PA      | $193224.62     | 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        |         274 | PA      | $278.86        | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | 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        |       57984 | PA      | $56270.17      | 0.00%             | 2040-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.25% 11/01/2041#AJ7445                                                                 | CUSIP: 3138E0HX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       46318 | PA      | $45704.93      | 0.00%             | 2041-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 07/01/2028#                                                                          | CUSIP: 31292WQ38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          29 | PA      | $30.11         | 0.00%             | 2028-07-01      | Fixed         | 0.06%                 | 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        |      293158 | PA      | $266419.97     | 0.00%             | 2046-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 3/29 #323657                                                                           | CUSIP: 31374TQJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         216 | PA      | $226.10        | 0.00%             | 2029-03-01      | Fixed         | 0.07%                 | 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        |     2121113 | PA      | $2071584.74    | 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        |       88484 | PA      | $86815.53      | 0.00%             | 2040-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 7/40 #A92914                                                                           | CUSIP: 312941GX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       18911 | PA      | $19280.13      | 0.00%             | 2040-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 06/01/2040#                                                                        | CUSIP: 3129404Y2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       14874 | PA      | $14920.54      | 0.00%             | 2040-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2% 10/01/2041#                                                                          | CUSIP: 31418D5G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       17442 | PA      | $15136.15      | 0.00%             | 2041-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 04/01/2041#                                                                        | CUSIP: 3132GDQH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        2878 | PA      | $2886.79       | 0.00%             | 2041-04-01      | Fixed         | 0.04%                 | 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        |     1084800 | PA      | $1102615.54    | 0.00%             | 2035-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 09/01/2051#QC7468                                                                    | CUSIP: 3133ASJM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     7486273 | PA      | $6154412.39    | 0.01%             | 2051-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3.5% 10/01/2033#MA3489                                                                  | CUSIP: 31418C2X1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3729 | PA      | $3661.53       | 0.00%             | 2033-10-01      | 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        |     7800000 | PA      | $7784986.56    | 0.02%             | 2041-08-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 06/01/2047#BH3646                                                                  | CUSIP: 3140GSBQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       42461 | PA      | $41955.38      | 0.00%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 03/01/2044#AW3982                                                                  | CUSIP: 3138XTM85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       23336 | PA      | $23372.01      | 0.00%             | 2044-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OMEGA HEALTHCARE INVESTORS INC                                                     | OMEGA HEALTHCARE INVESTORS INC 3.25% 04/15/2033                                                   | CUSIP: 681936BN9<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |    25245000 | PA      | $22273813.96   | 0.05%             | 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        |       16568 | PA      | $16568.41      | 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        |        5595 | PA      | $5849.97       | 0.00%             | 2029-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 03/15/2042#AA6826                                                                  | CUSIP: 36178ESP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        5681 | PA      | $5499.26       | 0.00%             | 2042-03-15      | Fixed         | 0.04%                 | 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        |    10748000 | PA      | $10792260.26   | 0.03%             | 2038-01-20      | Variable      | 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        |     5636000 | PA      | $5088859.60    | 0.01%             | 2031-11-23      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.00% 5/29 #C00764                                                                           | CUSIP: 31292GZ58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         119 | PA      | $121.21        | 0.00%             | 2029-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.00% 11/39 #720602                                                                          | CUSIP: 3620A6RX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3410 | PA      | $3557.48       | 0.00%             | 2039-11-15      | 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        |     2545576 | PA      | $2296644.27    | 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        |    12046000 | PA      | $11771752.81   | 0.03%             | 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        |     5005000 | PA      | $4282300.72    | 0.01%             | 2032-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 12/40 #AE8783                                                                          | CUSIP: 31419KXM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3536 | PA      | $3458.87       | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 8/40 #706824                                                                           | CUSIP: 36297BG96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       14819 | PA      | $14758.21      | 0.00%             | 2040-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 11/01/2045#BA1614                                                                  | CUSIP: 3140E5YL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       25123 | PA      | $23525.71      | 0.00%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK 2021-BNK33                                                                    | BANK 2021-BNK33 VAR 05/15/2064                                                                    | CUSIP: 06541CBR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    14014928 | PA      | $554420.75     | 0.00%             | 2064-05-15      | Variable      | 0.01%                 | 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        |    10295218 | PA      | $9257201.22    | 0.02%             | 2035-10-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 05/15/2043#AD1390                                                                  | CUSIP: 36180CRK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       25728 | PA      | $24828.17      | 0.00%             | 2043-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 1/28 #420914                                                                           | CUSIP: 31379JSB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         183 | PA      | $187.54        | 0.00%             | 2028-01-01      | Fixed         | 0.07%                 | 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        |       28648 | PA      | $28779.09      | 0.00%             | 2038-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ANHEUSER BUSCH INBEV WORLDWIDE INC                                                 | ANHEUSER BUSCH INBEV WORLD INC 3.5% 06/01/2030                                                    | CUSIP: 035240AV2<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |    10000000 | PA      | $9735901.80    | 0.02%             | 2030-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 5/39 #AA7165                                                                           | CUSIP: 31416Q6B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3983 | PA      | $3991.70       | 0.00%             | 2039-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 7.50% 8/26 #G00529                                                                           | CUSIP: 31283GSS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          53 | PA      | $53.49         | 0.00%             | 2026-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PROVIDENCE PLACE GROUP LTD PARTNERSHIP                                             | PPGLP 2000-C1 A2 7.75% 7/28                                                                       | CUSIP: 743784AB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      283432 | PA      | $289531.30     | 0.00%             | 2028-07-20      | Fixed         | 0.08%                 | 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        |      170394 | PA      | $156921.08     | 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        |      518278 | PA      | $499463.54     | 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        |       11945 | PA      | $12145.62      | 0.00%             | 2034-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 09/01/2043#Q21900                                                                  | CUSIP: 3132JPDD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       52100 | PA      | $50578.37      | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | 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        |      398194 | PA      | $373124.10     | 0.00%             | 2045-10-01      | Fixed         | 0.04%                 | 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        |     1533907 | PA      | $1535612.03    | 0.00%             | 2026-11-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 08/01/2051#FM8375                                                                  | CUSIP: 3140XCJV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      575972 | PA      | $527326.48     | 0.00%             | 2051-08-01      | Fixed         | 0.04%                 | 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        |       47969 | PA      | $46832.64      | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 12/01/2045#AS6350                                                                    | CUSIP: 3138WGBU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      514951 | PA      | $497527.00     | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 10/01/2052#CB5405                                                                  | CUSIP: 3140QRAF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4885207 | PA      | $4759892.44    | 0.01%             | 2052-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.00% 11/29 #C46106                                                                          | CUSIP: 31298EYB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         278 | PA      | $283.72        | 0.00%             | 2029-11-01      | Fixed         | 0.06%                 | 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        |     2343268 | PA      | $2194275.82    | 0.01%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.0% 05/15/2043#AD1015                                                                  | CUSIP: 36180CDU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       55122 | PA      | $49962.66      | 0.00%             | 2043-05-15      | 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 2017-4709 FE SOFR30A+46.448 08/15/2047                             | CUSIP: 3137FANA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      555245 | PA      | $540592.21     | 0.00%             | 2047-08-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 10/42#AP9654                                                                       | CUSIP: 3138MDWQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       41412 | PA      | $39464.01      | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA GTD MTG PASS THRU CTF 4.62% 04/25/2030                                                       | CUSIP: 3136BV4T2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    26000000 | PA      | $26495560.00   | 0.06%             | 2030-04-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 5.21% 5/36 #872503                                                                       | CUSIP: 31409JKQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       43642 | PA      | $44967.22      | 0.00%             | 2036-05-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 05/01/2043#Q18131                                                                  | CUSIP: 3132J9PR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       43554 | PA      | $42312.01      | 0.00%             | 2043-05-01      | 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        |      139246 | PA      | $136023.25     | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | 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        |      128906 | PA      | $125770.26     | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | 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        |     3482360 | PA      | $3063132.48    | 0.01%             | 2050-02-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 6/39 #720070                                                                           | CUSIP: 3620A56F1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       12055 | PA      | $12034.41      | 0.00%             | 2039-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 8/29 #323868                                                                           | CUSIP: 31374TW54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          60 | PA      | $61.80         | 0.00%             | 2029-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/40#AE8996                                                                         | CUSIP: 31419K7J8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      183364 | PA      | $179087.32     | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 7/27 #451900                                                                           | CUSIP: 36208H7M2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         122 | PA      | $122.94        | 0.00%             | 2027-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 07/01/2051#                                                                        | CUSIP: 3132DWB93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    22089219 | PA      | $20346479.17   | 0.05%             | 2051-07-01      | Fixed         | 0.04%                 | 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        |        2979 | PA      | $3076.77       | 0.00%             | 2031-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 12/27 #455904                                                                          | CUSIP: 36208NNV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         383 | PA      | $391.67        | 0.00%             | 2027-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.00% 12/27 #452821                                                                          | CUSIP: 36208KAW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         588 | PA      | $598.00        | 0.00%             | 2027-12-15      | Fixed         | 0.08%                 | 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        |     5326413 | PA      | $5038681.04    | 0.01%             | 2068-02-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| IPALCO ENTERPRISES INC                                                             | IPALCO ENTERPRISES INC 5.75% 04/01/2034                                                           | CUSIP: 462613AR1<br>LEI: 5493000YFVK2DZX0JV43 | Long             | DBT              | CORP              | US        |    43698000 | PA      | $44690850.90   | 0.11%             | 2034-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 06/01/2044#AS2703                                                                  | CUSIP: 3138WCAD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       20329 | PA      | $19727.69      | 0.00%             | 2044-06-01      | Fixed         | 0.04%                 | 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        |       14351 | PA      | $14766.64      | 0.00%             | 2037-04-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                                | PETROLEOS MEXICANOS 6.49% 01/23/2027                                                              | CUSIP: 71654QDB5<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    37360000 | PA      | $37733600.00   | 0.09%             | 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        |      285553 | PA      | $290319.88     | 0.00%             | 2040-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 02/01/2043#Q15992                                                                  | CUSIP: 3132J7C67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      193304 | PA      | $188291.17     | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORP                                                                   | NTT FINANCE CORP 4.62% 07/16/2028 144A                                                            | CUSIP: 62954WAQ8<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |     5650000 | PA      | $5705867.88    | 0.01%             | 2028-07-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/32 #582054                                                                           | CUSIP: 36201FTK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         458 | PA      | $471.02        | 0.00%             | 2032-03-15      | Fixed         | 0.07%                 | 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        |     1250927 | PA      | $1018605.82    | 0.00%             | 2051-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 3/41 #AH6150                                                                           | CUSIP: 3138A7ZQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3352 | PA      | $3271.10       | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 6/35 #823041                                                                           | CUSIP: 31406XLW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          95 | PA      | $98.35         | 0.00%             | 2035-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AB7458                                                                  | CUSIP: 31417EJC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       23535 | PA      | $21759.07      | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 10/32 #646799                                                                          | CUSIP: 31390HRU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         468 | PA      | $497.95        | 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        |     4351523 | PA      | $3954628.06    | 0.01%             | 2046-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 11/20/2047#784391                                                                    | CUSIP: 3622A22Y7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     6322802 | PA      | $5866309.00    | 0.01%             | 2046-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 2% 11/01/2055 #TBA                                                                      | CUSIP: 01F0206B0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   266450000 | PA      | $214773274.82  | 0.51%             | 2055-11-01      | Fixed         | 0.02%                 | 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        |       66302 | PA      | $66501.82      | 0.00%             | 2039-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 8/41 #Q02387                                                                           | CUSIP: 3132GFUL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       38874 | PA      | $38983.99      | 0.00%             | 2041-08-01      | Fixed         | 0.04%                 | 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        |      895312 | PA      | $872164.23     | 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        |     3495927 | PA      | $3289940.04    | 0.01%             | 2045-05-01      | Fixed         | 0.04%                 | 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        |     3500000 | NC      | $-45647.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 4/26 #342459                                                                           | CUSIP: 31375RMG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |           9 | PA      | $8.98          | 0.00%             | 2026-04-01      | Fixed         | 0.07%                 | 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        |    39305860 | PA      | $39354992.22   | 0.09%             | 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        |   100062164 | NS      | $100072170.00  | 0.24%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 09/01/2051#                                                                        | CUSIP: 3140KSLL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       15961 | PA      | $14702.09      | 0.00%             | 2051-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 04/01/2049#BN6248                                                                    | CUSIP: 3140JN5J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       43819 | PA      | $39155.66      | 0.00%             | 2049-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 2/28 #416207                                                                           | CUSIP: 31379DKU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         165 | PA      | $169.68        | 0.00%             | 2028-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 04/01/2040#                                                                          | CUSIP: 312940C49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        2496 | PA      | $2460.59       | 0.00%             | 2040-04-01      | 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        |       28602 | PA      | $29522.96      | 0.00%             | 2032-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 1/34 #604900                                                                           | CUSIP: 36200M7M9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3942 | PA      | $3997.31       | 0.00%             | 2034-01-15      | 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        |      240221 | PA      | $237886.96     | 0.00%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 07/01/2041#Q02144                                                                    | CUSIP: 3132GFLZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      210842 | PA      | $205832.76     | 0.00%             | 2041-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 11/39 #G05695                                                                          | CUSIP: 3128M7UU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        2145 | PA      | $2152.56       | 0.00%             | 2039-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 6/29 #252568                                                                           | CUSIP: 31371HQV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3022 | PA      | $3148.42       | 0.00%             | 2029-06-01      | Fixed         | 0.07%                 | 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        |   522303000 | PA      | $472092544.94  | 1.13%             | 2053-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.5% 08/01/2055#CC0888                                                                  | CUSIP: 3140Y67A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     6564967 | PA      | $6910740.66    | 0.02%             | 2055-08-01      | Fixed         | 0.07%                 | 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        |    34290000 | NC      | $1117417.49    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 8/26 #780412                                                                           | CUSIP: 36225AN55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          11 | PA      | $11.51         | 0.00%             | 2026-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| STORE MASTER FUNDING                                                               | STORE MASTER FUNDING 2.12% 06/20/2051 144A                                                        | CUSIP: 86190BAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     9493875 | PA      | $8870174.68    | 0.02%             | 2051-06-20      | Fixed         | 0.02%                 | 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        |   192000000 | PA      | $158580000.00  | 0.38%             | 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        |    31750430 | PA      | $31203481.22   | 0.07%             | 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        |     4011244 | PA      | $4088813.69    | 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        |     2109345 | PA      | $1875803.75    | 0.00%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 2/38 #965753                                                                           | CUSIP: 31414GMA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1087 | PA      | $1147.14       | 0.00%             | 2038-02-01      | Fixed         | 0.06%                 | 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        |    22570000 | PA      | $23701638.58   | 0.06%             | 2029-01-18      | Variable      | 0.07%                 | 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        |     7796028 | PA      | $7833891.86    | 0.02%             | 2052-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 6/27 #446811                                                                           | CUSIP: 36208CKY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          28 | PA      | $28.68         | 0.00%             | 2027-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 10/41 #AJ4794                                                                          | CUSIP: 3138AWKG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5554 | PA      | $5474.83       | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | 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        |     4024396 | PA      | $3618635.96    | 0.01%             | 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        |        3465 | PA      | $3568.24       | 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        |     1072872 | PA      | $869930.58     | 0.00%             | 2052-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 10/27 #453745                                                                          | CUSIP: 36208LBN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          28 | PA      | $28.13         | 0.00%             | 2027-10-15      | Fixed         | 0.07%                 | 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        |      441508 | PA      | $432237.35     | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | 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        |       31330 | PA      | $31433.62      | 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        |     9811728 | PA      | $8819061.39    | 0.02%             | 2048-02-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 5% 11/01/2055 #TBA                                                                        | CUSIP: 21H0506B3<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |   -44850000 | PA      | $-44552303.64  | -0.11%            | 2055-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                       | BARCLAYS PLC 4.375% 01/12/2026                                                                    | CUSIP: 06738EAN5<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    28767000 | PA      | $28766997.12   | 0.07%             | 2026-01-12      | 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        |      157364 | PA      | $148819.63     | 0.00%             | 2043-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.5% 08/01/2055#CC0887                                                                  | CUSIP: 3140Y66Z8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5051685 | PA      | $5326042.29    | 0.01%             | 2055-08-01      | Fixed         | 0.07%                 | 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        |       71820 | PA      | $64466.37      | 0.00%             | 2036-05-01      | Fixed         | 0.01%                 | 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        |    24125000 | PA      | $24211319.25   | 0.06%             | 2037-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 6/27 #447236                                                                           | CUSIP: 36208CY92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         125 | PA      | $126.13        | 0.00%             | 2027-06-15      | 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        |     3163300 | PA      | $3166265.59    | 0.01%             | 2037-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 9/26 #256469                                                                           | CUSIP: 31371M2A4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1366 | PA      | $1373.98       | 0.00%             | 2026-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 11/01/2045#Q37218                                                                  | CUSIP: 3132QUAU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      336756 | PA      | $305304.33     | 0.00%             | 2045-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 07/01/2029#                                                                          | CUSIP: 31293TGY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         205 | PA      | $209.09        | 0.00%             | 2029-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP DEL                                                                   | CENTENE CORP 4.625% 12/15/2029                                                                    | CUSIP: 15135BAT8<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    30530000 | PA      | $29595056.00   | 0.07%             | 2029-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 12/01/2049#QA5381                                                                    | CUSIP: 31346Y6S7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      443761 | PA      | $395288.04     | 0.00%             | 2049-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING 2024-2                                                  | ENTERPRISE FLEET FINANCING 2024-2 5.61% 04/20/2028 144A                                           | CUSIP: 29375RAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    10500000 | PA      | $10706251.50   | 0.03%             | 2028-04-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 11/35 #255934                                                                          | CUSIP: 31371MHK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         795 | PA      | $835.17        | 0.00%             | 2035-11-01      | Fixed         | 0.06%                 | 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        |    20930000 | NC      | $87085.54      | 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        |    54729000 | PA      | $54633130.66   | 0.13%             | 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        |       18195 | PA      | $19002.17      | 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        |       48890 | PA      | $51187.35      | 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        |     4073776 | PA      | $3556858.23    | 0.01%             | 2049-12-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 08/15/2042#AB1489                                                                  | CUSIP: 36178LUN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3946 | PA      | $3833.20       | 0.00%             | 2042-08-15      | Fixed         | 0.04%                 | 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        |     1407650 | PA      | $1380291.63    | 0.00%             | 2034-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 2/40 #735365                                                                           | CUSIP: 3620AN6A3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       30074 | PA      | $30008.87      | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 8/39 #710776                                                                           | CUSIP: 36297FT93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       79775 | PA      | $81099.04      | 0.00%             | 2039-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 10/31 #567252                                                                          | CUSIP: 36213XEZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         804 | PA      | $828.22        | 0.00%             | 2031-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                          | ONEOK INC 4.4% 10/15/2029                                                                         | CUSIP: 682680CC5<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    10640000 | PA      | $10632367.29   | 0.03%             | 2029-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 9/29 #252717                                                                           | CUSIP: 31371HVJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          82 | PA      | $85.23         | 0.00%             | 2029-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/28 #471698                                                                           | CUSIP: 36209G7K7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          37 | PA      | $36.68         | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | 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        |     5086344 | PA      | $4408080.01    | 0.01%             | 2041-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 9/39 #726323                                                                           | CUSIP: 3620AC4G6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       26825 | PA      | $27269.49      | 0.00%             | 2039-09-15      | Fixed         | 0.05%                 | 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        |      142527 | PA      | $137978.97     | 0.00%             | 2045-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.25% 08/15/2035                                                                        | CUSIP: 91282CNT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   760650000 | PA      | $766830281.25  | 1.83%             | 2035-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CD 2017-CD5 MTG TR                                                                 | CD 2017-CD5 MTG TR 3.171% 08/15/2050                                                              | CUSIP: 12515HAY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    14100000 | PA      | $13821871.86   | 0.03%             | 2050-08-15      | 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        |      400000 | NC      | $63030.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 06/01/2029#                                                                          | CUSIP: 31293R5M9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1373 | PA      | $1402.78       | 0.00%             | 2029-06-01      | Fixed         | 0.06%                 | 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        |      997723 | PA      | $973353.66     | 0.00%             | 2031-11-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AMRIZE FINANCE US LLC                                                              | AMRIZE FINANCE US LLC 4.6% 04/07/2027 144A                                                        | CUSIP: 43475RAA4<br>LEI: 529900FB2F1WKLFNGY62 | Long             | DBT              | CORP              | US        |    36803000 | PA      | $37021968.65   | 0.09%             | 2027-04-07      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 10/31 #568814                                                                          | CUSIP: 36213Y3X8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3258 | PA      | $3372.97       | 0.00%             | 2031-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 9/42 #AP4410                                                                           | CUSIP: 3138M73U7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      337719 | PA      | $320643.11     | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | 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        |    15215792 | PA      | $15201526.99   | 0.04%             | 2039-02-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/28 #427209                                                                           | CUSIP: 36207BR69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         220 | PA      | $222.82        | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COML MTG TR 2018-C6                                                      | CITIGROUP COML MTG TR 2018-C6 4.145% 11/10/2051                                                   | CUSIP: 17327GAX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1000000 | PA      | $987304.80     | 0.00%             | 2051-11-10      | Fixed         | 0.04%                 | 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        |    17650620 | PA      | $17702101.56   | 0.04%             | 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        |        2216 | PA      | $2223.97       | 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        |      790225 | PA      | $747061.91     | 0.00%             | 2043-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 04/48#CA1545                                                                         | CUSIP: 3140Q8WF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      585834 | PA      | $561983.92     | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                         | CAPITAL ONE FIN CORP 3.273%/VAR 03/01/2030                                                        | CUSIP: 14040HCN3<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    32130000 | PA      | $30963987.84   | 0.07%             | 2030-03-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 11/39 #723384                                                                          | CUSIP: 3620A9UH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2184 | PA      | $2178.57       | 0.00%             | 2039-11-15      | Fixed         | 0.04%                 | 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        |         601 | PA      | $610.61        | 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        |      340050 | PA      | $329260.76     | 0.00%             | 2042-03-15      | Fixed         | 0.04%                 | 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        |       86048 | PA      | $84501.77      | 0.00%             | 2040-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 4/27 #446901                                                                           | CUSIP: 36208CNS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          78 | PA      | $78.98         | 0.00%             | 2027-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 11/31 #551093                                                                          | CUSIP: 36213DGA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         936 | PA      | $962.43        | 0.00%             | 2031-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 8/29 #510611                                                                           | CUSIP: 31383RGU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         857 | PA      | $891.01        | 0.00%             | 2029-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 8/28 #466883                                                                           | CUSIP: 36209BUG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         777 | PA      | $798.26        | 0.00%             | 2028-08-15      | Fixed         | 0.07%                 | 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        |     1336690 | PA      | $1303700.39    | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 11/40 #734032                                                                          | CUSIP: 3620AMPR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       17684 | PA      | $17989.96      | 0.00%             | 2040-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 2/40 #737015                                                                           | CUSIP: 3620AQYL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      109011 | PA      | $108782.20     | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 12/01/2028#AV3616                                                                    | CUSIP: 3138XFAS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       10420 | PA      | $10275.32      | 0.00%             | 2028-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 2/40 #735359                                                                           | CUSIP: 3620AN5U0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       35844 | PA      | $35770.28      | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/29 #513652                                                                           | CUSIP: 36211HTH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         182 | PA      | $186.62        | 0.00%             | 2029-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 6/35 #826971                                                                           | CUSIP: 31407CW86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         177 | PA      | $185.09        | 0.00%             | 2035-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SIXTH STREET SPECIALTY LENDING INC                                                 | SIXTH STREET SPECIALTY LENDING INC 6.125% 03/01/2029                                              | CUSIP: 83012AAC3<br>LEI: 549300TX61566GJWCN05 | Long             | DBT              | CORP              | US        |    15343000 | PA      | $15810298.53   | 0.04%             | 2029-03-01      | 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        |    19036000 | PA      | $19148750.23   | 0.05%             | 2037-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 4.0% 05/20/2041#783324                                                                    | CUSIP: 36241LVR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       22449 | PA      | $21848.47      | 0.00%             | 2041-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 1/1/42 #Q05962                                                                     | CUSIP: 3132GMJF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      481943 | PA      | $470667.53     | 0.00%             | 2042-01-01      | Fixed         | 0.04%                 | 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        |      239174 | PA      | $220831.89     | 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        |      195479 | PA      | $196131.63     | 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        |    18929000 | PA      | $18998318.00   | 0.05%             | 2037-07-17      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/28 #442336                                                                           | CUSIP: 36207ULR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          16 | PA      | $15.91         | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 4.45% 03/03/2026                                                      | CUSIP: 06051GFU8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     3182000 | PA      | $3184109.70    | 0.01%             | 2026-03-03      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/31 #474776                                                                           | CUSIP: 36209LMZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         223 | PA      | $230.10        | 0.00%             | 2031-04-15      | Fixed         | 0.07%                 | 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        |      363418 | PA      | $343402.67     | 0.00%             | 2043-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 3/38 #676892                                                                           | CUSIP: 36295P7D8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       51504 | PA      | $52922.16      | 0.00%             | 2038-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GREEN LAKES PARK CLO LLC                                                           | GREEN LAKES PARK CLO LLC ARR TSFR3M+118 01/25/2038 144A                                           | CUSIP: 39310AAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    28775000 | PA      | $28760813.93   | 0.07%             | 2038-01-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 4/31 #575585                                                                           | CUSIP: 31386WNA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         269 | PA      | $282.50        | 0.00%             | 2031-04-01      | 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 3.187% 09/25/2027                                                  | CUSIP: 3137FBU79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     8786974 | PA      | $8663206.41    | 0.02%             | 2027-09-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 4/27 #440301                                                                           | CUSIP: 36207SDE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          25 | PA      | $24.93         | 0.00%             | 2027-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 7/41 #769513                                                                           | CUSIP: 36176LVE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       10761 | PA      | $10424.38      | 0.00%             | 2041-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GNR 2010-160 DY 4% 12/20/2040                                                                     | CUSIP: 38377RLW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     2425173 | PA      | $2376641.48    | 0.01%             | 2040-12-20      | Fixed         | 0.04%                 | 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        |     9021847 | PA      | $8889110.19    | 0.02%             | 2034-05-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6% 11/37 #953087                                                                             | CUSIP: 31413RJ80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       22852 | PA      | $24111.50      | 0.00%             | 2037-11-01      | Fixed         | 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        |      491238 | PA      | $524972.82     | 0.00%             | 2039-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                                 | ALLY FINL INC 6.7% 02/14/2033                                                                     | CUSIP: 02005NBS8<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |    12822000 | PA      | $13355896.03   | 0.03%             | 2033-02-14      | Fixed         | 0.07%                 | 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        |      203917 | PA      | $182358.31     | 0.00%             | 2042-05-01      | 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        |       12086 | PA      | $12435.82      | 0.00%             | 2035-07-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 2/42 #793122                                                                           | CUSIP: 36177MPG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      243489 | PA      | $230253.49     | 0.00%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 10/42#AP6241                                                                       | CUSIP: 3138M95B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4562 | PA      | $4332.94       | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | 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        |    15392177 | PA      | $14197043.79   | 0.03%             | 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        |     3793162 | PA      | $3736034.01    | 0.01%             | 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        |    26368118 | PA      | $22717900.32   | 0.05%             | 2051-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 8/39 #AA9357                                                                           | CUSIP: 31416TMF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3424 | PA      | $3431.15       | 0.00%             | 2039-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 10/35 #612663                                                                          | CUSIP: 36202XTU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       30788 | PA      | $31586.05      | 0.00%             | 2035-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 02/01/2046#Q38420                                                                  | CUSIP: 3132QVLA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        7294 | PA      | $6838.79       | 0.00%             | 2046-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 3/32 #639703                                                                           | CUSIP: 31389YU41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         555 | PA      | $585.97        | 0.00%             | 2032-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 11/39 #726095                                                                          | CUSIP: 3620ACUU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       40271 | PA      | $40947.70      | 0.00%             | 2039-11-15      | Fixed         | 0.05%                 | 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        |     1581340 | PA      | $1339210.56    | 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        |    20270645 | PA      | $20706980.67   | 0.05%             | 2053-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 6/32 #639393                                                                           | CUSIP: 31389YKE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         412 | PA      | $436.26        | 0.00%             | 2032-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 10/01/2050#SD7525                                                                  | CUSIP: 3132DVLE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    37280571 | PA      | $32154660.65   | 0.08%             | 2050-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 08/01/2043#AS9172                                                                    | CUSIP: 3138WKFN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       24323 | PA      | $23617.19      | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | 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        |    13061000 | PA      | $12860230.88   | 0.03%             | 2029-04-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 11/25 #419884                                                                          | CUSIP: 36206SM92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |           2 | PA      | $2.32          | 0.00%             | 2025-11-15      | Fixed         | 0.07%                 | 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        |     6443952 | PA      | $6473235.60    | 0.02%             | 2052-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 8/35 #255815                                                                           | CUSIP: 31371MDU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         311 | PA      | $326.14        | 0.00%             | 2035-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                                             | GSCM SWAP PAY 3.804 08/25/26                                                                      | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |    34790000 | NC      | $796614.46     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 5/40 #723747                                                                           | CUSIP: 3620AABQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       57308 | PA      | $55621.44      | 0.00%             | 2040-05-15      | Fixed         | 0.04%                 | 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        |        7135 | PA      | $191.34        | 0.00%             | 2032-11-25      | Variable      | 0.03%                 | 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        |     7087997 | PA      | $7177532.55    | 0.02%             | 2028-02-22      | Fixed         | 0.06%                 | 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        |        5273 | PA      | $5285.91       | 0.00%             | 2033-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CEDAR FDG XII CLO LTD / CEDAR FDG XII CLO LLC                                      | CEDAR FDG XII CLO LTD / CEDAR FDG XII CLO LLC ARR TSFR3M+120 01/25/2038 144A                      | CUSIP: 15033TBA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    26883000 | PA      | $26903484.85   | 0.06%             | 2038-01-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 5/34 #626541                                                                           | CUSIP: 36291FBJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         564 | PA      | $577.60        | 0.00%             | 2034-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 6% 10/01/2055 #TBA                                                                      | CUSIP: 01F0606A8<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |    -7500000 | PA      | $-7661133.00   | -0.02%            | 2055-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| LOWES COS INC                                                                      | LOWES COS INC 4.25% 04/01/2052                                                                    | CUSIP: 548661EJ2<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |    15733000 | PA      | $12703840.24   | 0.03%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 11/39 #782818                                                                          | CUSIP: 36241LDX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4095 | PA      | $4088.25       | 0.00%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 10/01/2040#                                                                          | CUSIP: 312943B28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       21937 | PA      | $21461.00      | 0.00%             | 2040-10-01      | 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        |      147762 | PA      | $143825.50     | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 02/01/2041#AH5580                                                                  | CUSIP: 3138A7FW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      704077 | PA      | $705220.71     | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 01/01/2043#Q15372                                                                  | CUSIP: 3132J6MW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       35979 | PA      | $35015.69      | 0.00%             | 2043-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OVINTIV INC                                                                        | OVINTIV INC 5.15% 11/15/2041                                                                      | CUSIP: 292505AK0<br>LEI: 2549003MEX7YMKLGI239 | Long             | DBT              | CORP              | US        |     5000000 | PA      | $4365052.45    | 0.01%             | 2041-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                                                         | HUMANA INC 5.375% 04/15/2031                                                                      | CUSIP: 444859CA8<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |    25106000 | PA      | $25824301.99   | 0.06%             | 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        |       35462 | PA      | $35566.65      | 0.00%             | 2040-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 09/01/2032#ZS7890                                                                  | CUSIP: 3132A8XT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      316424 | PA      | $304682.34     | 0.00%             | 2032-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 06/01/2042#AO2244                                                                        | CUSIP: 3138LSP61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       21477 | PA      | $22360.93      | 0.00%             | 2042-06-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 7.5% 12/01/2029#                                                                        | CUSIP: 31292G7H3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1480 | PA      | $1541.18       | 0.00%             | 2029-12-01      | Fixed         | 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        |     8554950 | PA      | $7692396.01    | 0.02%             | 2035-11-01      | Fixed         | 0.01%                 | 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        |     3001408 | PA      | $3118713.33    | 0.01%             | 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        |      102820 | PA      | $100263.47     | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                                | PETROLEOS MEXICANOS 4.5% 01/23/2026                                                               | CUSIP: 71654QBW1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    24688000 | PA      | $24539872.00   | 0.06%             | 2026-01-23      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                                          | AMGEN INC 1.65% 08/15/2028                                                                        | CUSIP: 031162DB3<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    65000000 | PA      | $60772777.65   | 0.14%             | 2028-08-15      | Fixed         | 0.02%                 | 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        |     1754837 | PA      | $1782125.54    | 0.00%             | 2035-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 08/20/2052#MA8199                                                                    | CUSIP: 36179XDC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    17877106 | PA      | $16381108.74   | 0.04%             | 2052-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 02/01/2042#AK2415                                                                  | CUSIP: 3138E6VH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       36809 | PA      | $35872.67      | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 06/47#BE9387                                                                       | CUSIP: 3140FVND4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       74323 | PA      | $73554.71      | 0.00%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 02/01/2043#AR7033                                                                  | CUSIP: 3138W4Y70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      136299 | PA      | $126393.38     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/28 #462669                                                                           | CUSIP: 36208V6E0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         380 | PA      | $385.65        | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CITIZENS FINANCIAL GRP INC                                                         | CITIZENS FINANCIAL GRP INC 2.638% 09/30/2032                                                      | CUSIP: 174610AW5<br>LEI: 2138004JDDA4ZQUPFW65 | Long             | DBT              | CORP              | US        |    35537000 | PA      | $30361336.59   | 0.07%             | 2032-09-30      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/28 #462619                                                                           | CUSIP: 36208V4C6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          63 | PA      | $63.61         | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AR3493                                                                  | CUSIP: 3138W03B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      120259 | PA      | $111078.28     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/28 #476119                                                                           | CUSIP: 36209M4C5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         134 | PA      | $136.56        | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.00% 9/26 #433215                                                                           | CUSIP: 36207JGY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          16 | PA      | $15.85         | 0.00%             | 2026-09-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 10/27 #395593                                                                          | CUSIP: 31378DNJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          74 | PA      | $75.77         | 0.00%             | 2027-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 4.5% 10/01/2055 #TBA                                                                    | CUSIP: 01F0426A6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    77000000 | PA      | $74683986.30   | 0.18%             | 2055-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 11/01/2042#AQ3751                                                                  | CUSIP: 3138MKEZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       28109 | PA      | $26036.53      | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | 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        |      445984 | PA      | $418156.65     | 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        |      112713 | PA      | $112514.73     | 0.00%             | 2040-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 3.5% 01/01/2038#MA3243                                                                  | CUSIP: 31418CS96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       30640 | PA      | $29687.54      | 0.00%             | 2038-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 01/01/2052#CB2784                                                                    | CUSIP: 3140QNCW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       48733 | PA      | $39514.81      | 0.00%             | 2052-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SOUTHERN COMPANY                                                                   | SOUTHERN COMPANY 5.7% 03/15/2034                                                                  | CUSIP: 842587DT1<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |    27735000 | PA      | $29292430.36   | 0.07%             | 2034-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BAIN CAP CR CLO 2023-2 LTD / BAIN CAP CR CLO 2023-2 LLC                            | BAIN CAP CR CLO 2023-2 LTD / BAIN CAP CR CLO 2023-2 LLC A1R TSFR3M+ 07/18/2038 144A               | CUSIP: 05684GAS5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    31507000 | PA      | $31614281.34   | 0.08%             | 2038-07-18      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 05/44#AV8070                                                                       | CUSIP: 3138XK6G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       10046 | PA      | $9553.63       | 0.00%             | 2044-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/28 #463468                                                                           | CUSIP: 36208WZ97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         521 | PA      | $523.56        | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 10/01/2033#                                                                          | CUSIP: 31296PHP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1009 | PA      | $1025.42       | 0.00%             | 2033-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 7/39 #AC2169                                                                           | CUSIP: 31417LMT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4154 | PA      | $4074.10       | 0.00%             | 2039-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 2/26 #331672                                                                           | CUSIP: 31375DMV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          12 | PA      | $12.41         | 0.00%             | 2026-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.00% 12/37 #A69815                                                                          | CUSIP: 3128L13Y4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       23678 | PA      | $24992.39      | 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        |       76733 | PA      | $79312.98      | 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        |      218814 | PA      | $203930.26     | 0.00%             | 2047-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 12/01/2045#BC0532                                                                    | CUSIP: 3140EUSW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       13121 | PA      | $12652.69      | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 7/37 #671315                                                                           | CUSIP: 36295HYL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         391 | PA      | $402.09        | 0.00%             | 2037-07-15      | Fixed         | 0.06%                 | 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        |       93632 | PA      | $91183.57      | 0.00%             | 2041-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 03/44#AW1829                                                                       | CUSIP: 3138XRA74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       28181 | PA      | $28696.40      | 0.00%             | 2044-03-01      | Fixed         | 0.05%                 | 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        |      104197 | PA      | $93140.96      | 0.00%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/29 #781031                                                                           | CUSIP: 36225BEC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         108 | PA      | $109.59        | 0.00%             | 2029-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/28 #465792                                                                           | CUSIP: 36209ANH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          42 | PA      | $42.44         | 0.00%             | 2028-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| DELL INTERNATIONAL LLC / EMC CORP                                                  | DELL INTL/EMC CORP 5.3% 10/01/2029                                                                | CUSIP: 24703TAG1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    11000000 | PA      | $11358650.49   | 0.03%             | 2029-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SHELL FINANCE US INC                                                               | SHELL FINANCE US INC 4.375% 05/11/2045                                                            | CUSIP: 822905AA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     6392000 | PA      | $5584298.57    | 0.01%             | 2045-05-11      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OCP CLO 2018-15 LTD                                                                | OCP CLO 2018-15 LTD AR TSFR3M+125 01/20/2038 144A                                                 | CUSIP: 67112KAG4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    18401000 | PA      | $18428159.88   | 0.04%             | 2038-01-20      | Variable      | 0.06%                 | 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        |       17515 | PA      | $17838.84      | 0.00%             | 2035-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 01/20/2044#MA1600                                                                    | CUSIP: 36179NX52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       20123 | PA      | $18976.00      | 0.00%             | 2044-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 8/38 #690135                                                                           | CUSIP: 36296FV42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       44258 | PA      | $45583.76      | 0.00%             | 2038-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 8% 11/01/2031#                                                                          | CUSIP: 31287LNP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         886 | PA      | $932.03        | 0.00%             | 2031-11-01      | Fixed         | 0.08%                 | 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        |       55344 | PA      | $53684.09      | 0.00%             | 2031-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.0% 05/15/2043#AD6332                                                                  | CUSIP: 36180JA95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       42978 | PA      | $39376.84      | 0.00%             | 2043-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.50% 10/35 #643755                                                                          | CUSIP: 36292BE44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       12413 | PA      | $12966.74      | 0.00%             | 2035-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                                             | GSCM SWAP REC 3.887 09/17/30                                                                      | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |    12870000 | NC      | $413310.65     | 0.00%             |  |  |  | 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        |    18751319 | PA      | $19484184.01   | 0.05%             | 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        |     7506580 | PA      | $7413542.27    | 0.02%             | 2052-08-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 02/01/2041#                                                                          | CUSIP: 312945YK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       17968 | PA      | $18339.25      | 0.00%             | 2041-02-01      | Fixed         | 0.05%                 | 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        |    12540661 | PA      | $13030792.45   | 0.03%             | 2054-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/32 #582132                                                                           | CUSIP: 36201FVZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       15038 | PA      | $15595.33      | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | 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        |       29355 | PA      | $29604.51      | 0.00%             | 2029-06-25      | Fixed         | 0.06%                 | 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        |     1832879 | PA      | $1838916.98    | 0.00%             | 2052-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 06/44#AW6246                                                                       | CUSIP: 3138XV5G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       22388 | PA      | $22804.01      | 0.00%             | 2044-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 02/01/2052#BU9833                                                                    | CUSIP: 3140MB4T6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      394876 | PA      | $350415.89     | 0.00%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ALEXANDRIA REAL ESTATE EQUITIES INC                                                | ALEXANDRIA REAL EST EQUITS INC 2% 05/18/2032                                                      | CUSIP: 015271AW9<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |    19486000 | PA      | $16471273.59   | 0.04%             | 2032-05-18      | Fixed         | 0.02%                 | 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        |     2840389 | PA      | $2424995.05    | 0.01%             | 2050-03-01      | Fixed         | 0.03%                 | 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        |    20700000 | PA      | $20794621.77   | 0.05%             | 2029-02-15      | Fixed         | 0.06%                 | 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        |     5490859 | PA      | $5209627.82    | 0.01%             | 2041-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 2/40 #706789                                                                           | CUSIP: 36297BF63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       96668 | PA      | $94005.17      | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | 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        |     3570766 | PA      | $3442964.44    | 0.01%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 05/01/2047#RA7313                                                                  | CUSIP: 3133KPDS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3471767 | PA      | $3197859.77    | 0.01%             | 2047-05-01      | 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        |      924876 | PA      | $854146.12     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 1/28 #451746                                                                           | CUSIP: 31380VZK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         929 | PA      | $947.52        | 0.00%             | 2028-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 8/31 #769023                                                                           | CUSIP: 31404HLC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         868 | PA      | $907.17        | 0.00%             | 2031-08-01      | Fixed         | 0.07%                 | 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        |     7168538 | PA      | $7210443.26    | 0.02%             | 2028-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2025-5                                                  | VERUS SECURITIZATION TRUST 2025-5 A1 VAR 06/25/2070 144A                                          | CUSIP: 92540XAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     5981385 | PA      | $6030788.57    | 0.01%             | 2070-06-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5% 06/01/2052#BU8753                                                                    | CUSIP: 3140MAWP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      954916 | PA      | $962836.77     | 0.00%             | 2052-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.0% 05/15/2043#AE1959                                                                  | CUSIP: 36180UE88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       16030 | PA      | $14639.44      | 0.00%             | 2043-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 5/26 #303890                                                                           | CUSIP: 31373URK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          59 | PA      | $59.18         | 0.00%             | 2026-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 2% 07/01/2041#                                                                          | CUSIP: 3133KYVK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       17118 | PA      | $14890.99      | 0.00%             | 2041-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 10/01/2049#BO5404                                                                  | CUSIP: 3140K1AE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7667 | PA      | $7160.54       | 0.00%             | 2049-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 04/01/2044#AW1064                                                                  | CUSIP: 3138XQFE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       55570 | PA      | $55548.88      | 0.00%             | 2044-04-01      | Fixed         | 0.04%                 | 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        |    48607000 | PA      | $48712723.14   | 0.12%             | 2026-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 11/01/2051#SD7548                                                                  | CUSIP: 3132DVL52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2387241 | PA      | $2055275.62    | 0.00%             | 2051-11-01      | Fixed         | 0.03%                 | 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        |       55674 | PA      | $55842.05      | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OCP CLO 2025-44                                                                    | OCP CLO 2025-44 LTD A TSFR3M+130 10/24/2038 144A                                                  | CUSIP: 67570UAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    29697000 | PA      | $29750632.78   | 0.07%             | 2038-10-24      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                      | CITIGROUP INC 3.785%/VAR 03/17/2033                                                               | CUSIP: 172967NN7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    17500000 | PA      | $16624701.98   | 0.04%             | 2033-03-17      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                       | COMCAST CORP 3.9% 03/01/2038                                                                      | CUSIP: 20030NCJ8<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     5001000 | PA      | $4402406.96    | 0.01%             | 2038-03-01      | 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        |        5955 | PA      | $6054.94       | 0.00%             | 2034-05-01      | Fixed         | 0.05%                 | 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        |     6318000 | PA      | $6272546.29    | 0.01%             | 2026-08-01      | Fixed         | 0.04%                 | 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        |    14100000 | NC      | $-183892.20    | -0.00%            |  |  |  | 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: 3137HJFD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    16555630 | PA      | $16546504.32   | 0.04%             | 2055-02-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 9/29 #535762                                                                           | CUSIP: 31384WFB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         113 | PA      | $118.10        | 0.00%             | 2029-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                         | CAPITAL ONE FIN CORP 3.65% 05/11/2027                                                             | CUSIP: 14040HCE3<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    57194000 | PA      | $56738676.28   | 0.14%             | 2027-05-11      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 06/45#Q34074                                                                       | CUSIP: 3132QQQ47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       49770 | PA      | $46960.15      | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 3/42 #783550                                                                           | CUSIP: 36241L5K8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       19252 | PA      | $18182.08      | 0.00%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 1.5% 02/01/2041#RB5099                                                                  | CUSIP: 3133KYUY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1660438 | PA      | $1402846.27    | 0.00%             | 2041-02-01      | Fixed         | 0.01%                 | 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        |    36634000 | PA      | $36762658.61   | 0.09%             | 2037-04-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 3% 02/01/2037#C91912                                                                    | CUSIP: 3128P8DR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       33297 | PA      | $31830.02      | 0.00%             | 2037-02-01      | 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        |     5482000 | PA      | $5392708.25    | 0.01%             | 2035-02-15      | Fixed         | 0.05%                 | 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        |       56815 | PA      | $56635.44      | 0.00%             | 2060-08-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 8/35 #357953                                                                           | CUSIP: 31376KTJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       15385 | PA      | $16097.59      | 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        |     5048262 | PA      | $5097031.49    | 0.01%             | 2039-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 1/26 #330162                                                                           | CUSIP: 31375BWX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |           8 | PA      | $7.78          | 0.00%             | 2026-01-01      | Fixed         | 0.07%                 | 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        |      203993 | PA      | $204338.19     | 0.00%             | 2063-12-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 1/36 #850633                                                                           | CUSIP: 31408GBA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         612 | PA      | $649.30        | 0.00%             | 2036-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 12/01/2033#                                                                          | CUSIP: 31296RHY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       11937 | PA      | $12138.75      | 0.00%             | 2033-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 4/42 #AO0004                                                                           | CUSIP: 3138LQAE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       19989 | PA      | $19484.86      | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2001-31 ZC 6.5% 7/31                                                                          | CUSIP: 313920CW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       15518 | PA      | $15765.65      | 0.00%             | 2031-07-25      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/31 #539796                                                                           | CUSIP: 36212PUV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          28 | PA      | $28.35         | 0.00%             | 2031-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 08/01/2044#Q27808                                                                  | CUSIP: 3132M8KV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       30514 | PA      | $29773.08      | 0.00%             | 2044-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2024-XL4                                                            | BX COML MTG TR 2024-XL4 TSFR1M+194.132 02/15/2039 144A                                            | CUSIP: 05611VAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4568717 | PA      | $4580139.01    | 0.01%             | 2039-02-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 5.00% 10/29 #MA0214                                                                          | CUSIP: 31417YGY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4042 | PA      | $4082.50       | 0.00%             | 2029-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 03/01/2045#AL6541                                                                  | CUSIP: 3138EPHT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2491049 | PA      | $2417034.37    | 0.01%             | 2045-03-01      | Fixed         | 0.04%                 | 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        |      252860 | PA      | $242091.92     | 0.00%             | 2049-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 4% 09/15/2047                                                      | CUSIP: 3137FAZ43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     6843343 | PA      | $1381434.18    | 0.00%             | 2047-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 05/01/2043#AB9341                                                                  | CUSIP: 31417GLX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       93737 | PA      | $86521.98      | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                              | BOAM SWAP PAY 3.565 09/15/26                                                                      | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    15730000 | NC      | $527914.06     | 0.00%             |  |  |  | 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        |      508377 | PA      | $506737.35     | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 3/32 #634294                                                                           | CUSIP: 31389SUT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         274 | PA      | $287.75        | 0.00%             | 2032-03-01      | Fixed         | 0.07%                 | 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        |      116121 | PA      | $113455.33     | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.00% 6/42 #MA0155                                                                        | CUSIP: 36179ME48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        8984 | PA      | $8729.09       | 0.00%             | 2042-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 7.5% 07/01/2026#                                                                        | CUSIP: 31335GN43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          54 | PA      | $54.55         | 0.00%             | 2026-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 11/41 #489790                                                                          | CUSIP: 36210EC31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2858 | PA      | $2697.56       | 0.00%             | 2041-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 2.875% 05/15/2032                                                                       | CUSIP: 91282CEP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   763588000 | PA      | $717892030.63  | 1.71%             | 2032-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 8/35 #837316                                                                           | CUSIP: 31407QGZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         180 | PA      | $188.90        | 0.00%             | 2035-08-01      | Fixed         | 0.06%                 | 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        |    22147000 | PA      | $22147000.00   | 0.05%             | 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        |     2905134 | PA      | $2904321.93    | 0.01%             | 2037-08-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AR1276                                                                  | CUSIP: 3138NXM20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       70459 | PA      | $65579.69      | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                     | MORGAN STANLEY 6.342%/VAR 10/18/2033                                                              | CUSIP: 61747YEY7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    58000000 | PA      | $63744404.10   | 0.15%             | 2033-10-18      | Variable      | 0.06%                 | 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        |       15592 | PA      | $15640.59      | 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        |     1649722 | PA      | $1612053.68    | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 10/26 #250701                                                                          | CUSIP: 31371FNS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          12 | PA      | $12.02         | 0.00%             | 2026-10-01      | Fixed         | 0.07%                 | 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        |     8847000 | PA      | $8786873.22    | 0.02%             | 2029-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PUGET ENERGY INC                                                                   | PUGET ENERGY INC 4.1% 06/15/2030                                                                  | CUSIP: 745310AK8<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |    25767000 | PA      | $25164006.85   | 0.06%             | 2030-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 08/01/2048#BK4763                                                                  | CUSIP: 3140HJJH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      241563 | PA      | $249714.72     | 0.00%             | 2048-08-01      | 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 5180 KA 2.5% 10/25/2047                                            | CUSIP: 3137H5BG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     2496741 | PA      | $2263578.60    | 0.01%             | 2047-10-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 9/27 #449474                                                                           | CUSIP: 36208FJT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         990 | PA      | $1009.05       | 0.00%             | 2027-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 5.5% 10/01/2055 #TBA                                                                    | CUSIP: 01F0526A5<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |   -10900000 | PA      | $-10990691.27  | -0.03%            | 2055-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| EXELON CORP                                                                        | EXELON CORP 4.7% 04/15/2050                                                                       | CUSIP: 30161NAY7<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |     3246000 | PA      | $2802304.23    | 0.01%             | 2050-04-15      | Fixed         | 0.05%                 | 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        |      785244 | PA      | $742637.93     | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 08/01/2055#RJ4642                                                                    | CUSIP: 3142GVEQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    17775632 | PA      | $18460643.94   | 0.04%             | 2055-08-01      | Fixed         | 0.06%                 | 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        |    10131457 | PA      | $9884965.53    | 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        |      269330 | PA      | $269095.37     | 0.00%             | 2034-04-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NAKILAT INC                                                                        | NAKILAT INC 6.067% 12/31/2033 144A                                                                | CUSIP: 62983PAA3<br>LEI: 2549006RMTDJWLLWF072 | Long             | DBT              | CORP              | MH        |     5352228 | PA      | $5668812.63    | 0.01%             | 2033-12-31      | Fixed         | 0.06%                 | 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        |    33197000 | PA      | $33236172.46   | 0.08%             | 2035-04-18      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                             | US 5YR NOTE (CBT) FUT DEC25 FVZ5                                                                  | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |        -708 | NC      | $173690.79     | 0.00%             |  |  |  | No            |                  1 | 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        |       36424 | PA      | $37918.67      | 0.00%             | 2042-10-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 07/01/2043#V80168                                                                    | CUSIP: 3132L5FH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3185835 | PA      | $2944976.02    | 0.01%             | 2043-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 04/46#BC3920                                                                         | CUSIP: 3140EYLA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      110003 | PA      | $106006.24     | 0.00%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 06/01/2045#AZ1709                                                                  | CUSIP: 3138YS3T1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      156085 | PA      | $155251.39     | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | 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        |      218540 | PA      | $206138.72     | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 7/42 #AO9368                                                                           | CUSIP: 3138M1MS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       47557 | PA      | $45109.65      | 0.00%             | 2042-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 7/39 #704628                                                                           | CUSIP: 36296XYZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       39036 | PA      | $39681.64      | 0.00%             | 2039-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MTG LN TR                                                               | LONG BEACH MTG LN TR TSFR1M+123.948 07/25/2033                                                    | CUSIP: 542514EA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      344790 | PA      | $343079.61     | 0.00%             | 2033-07-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 01/01/2045#G61419                                                                  | CUSIP: 31335BSG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      231227 | PA      | $219722.22     | 0.00%             | 2045-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 4/37 #916708                                                                           | CUSIP: 31411WNZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1144 | PA      | $1221.13       | 0.00%             | 2037-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2% 06/01/2035#QN2507                                                                    | CUSIP: 3133G8YC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    35621619 | PA      | $33093730.81   | 0.08%             | 2035-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 5/34 #623459                                                                           | CUSIP: 36291BTQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         835 | PA      | $854.17        | 0.00%             | 2034-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 05/01/2034#ZN6003                                                                  | CUSIP: 3131YCU46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      340858 | PA      | $324699.96     | 0.00%             | 2034-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 3/32 #636867                                                                           | CUSIP: 31389VQU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         105 | PA      | $111.27        | 0.00%             | 2032-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 12/27 #455358                                                                          | CUSIP: 36208MZX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          13 | PA      | $13.17         | 0.00%             | 2027-12-15      | Fixed         | 0.07%                 | 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        |     1242958 | PA      | $1147464.24    | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 11/40 #AE9949                                                                          | CUSIP: 31419MBT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       38534 | PA      | $37497.78      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/29 #434145                                                                           | CUSIP: 36207KHW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1182 | PA      | $1204.09       | 0.00%             | 2029-01-15      | Fixed         | 0.07%                 | 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        |       19594 | PA      | $20336.87      | 0.00%             | 2032-04-25      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 04/01/2045#Q32568                                                                  | CUSIP: 3132QN2A6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       14219 | PA      | $12922.21      | 0.00%             | 2045-04-01      | Fixed         | 0.03%                 | 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        |      254138 | PA      | $250875.16     | 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        |        4293 | PA      | $4362.90       | 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        |     1299001 | PA      | $1223688.22    | 0.00%             | 2045-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/28 #433858                                                                           | CUSIP: 36207J5T6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4204 | PA      | $4263.89       | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 12/27 #461139                                                                          | CUSIP: 36208UHQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         296 | PA      | $301.71        | 0.00%             | 2027-12-15      | Fixed         | 0.07%                 | 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        |     3804936 | PA      | $3677377.50    | 0.01%             | 2046-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                          | BOEING CO 6.858% 05/01/2054                                                                       | CUSIP: 097023DT9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    13529000 | PA      | $15432572.24   | 0.04%             | 2054-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/32 #582240                                                                           | CUSIP: 36201FZD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         862 | PA      | $888.13        | 0.00%             | 2032-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 12/01/2042#AL2860                                                                  | CUSIP: 3138EKFA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       71007 | PA      | $65673.96      | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | 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        |      498426 | PA      | $499784.15     | 0.00%             | 2041-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 01/15/2042#778794                                                                  | CUSIP: 36176W7F2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4802 | PA      | $4538.51       | 0.00%             | 2042-01-15      | 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        |    15724000 | PA      | $14692328.23   | 0.04%             | 2029-09-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK 2018-BNK10                                                                    | BANK 2017-BNK4 3.428% 02/15/2061                                                                  | CUSIP: 065404BA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9802942 | PA      | $9634238.66    | 0.02%             | 2061-02-15      | 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        |    29420000 | NC      | $1096910.28    | 0.00%             |  |  |  | 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        |    47500000 | PA      | $43575508.20   | 0.10%             | 2033-02-24      | Variable      | 0.03%                 | 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        |     2441806 | PA      | $2188798.77    | 0.01%             | 2041-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 03/01/2046#Q39250                                                                  | CUSIP: 3132QWH44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       21572 | PA      | $20226.30      | 0.00%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 8.5% 01/01/2028#                                                                        | CUSIP: 31283G7J0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          10 | PA      | $10.38         | 0.00%             | 2028-01-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.0% 01/46#MA3377                                                                         | CUSIP: 36179RXE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       46591 | PA      | $44923.58      | 0.00%             | 2046-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 01/01/2052#RA6604                                                                    | CUSIP: 3133KNKR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1529748 | PA      | $1357510.14    | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.5% 8/44#AS3037                                                                             | CUSIP: 3138WCLT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       41456 | PA      | $39017.94      | 0.00%             | 2044-08-01      | Fixed         | 0.04%                 | 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        |      538183 | PA      | $516926.68     | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 12/41 #AJ7472                                                                          | CUSIP: 3138E0JS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       26141 | PA      | $25513.15      | 0.00%             | 2041-12-01      | Fixed         | 0.04%                 | 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        |    11022200 | PA      | $11008422.01   | 0.03%             | 2039-02-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 3/41 #A97528                                                                           | CUSIP: 312946LH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       78557 | PA      | $78771.89      | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SBNA AUTO LEASE TRUST 2024-B                                                       | SBNA AUTO LEASE TRUST 2024-B 5.56% 11/22/2027 144A                                                | CUSIP: 78437VAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    15300000 | PA      | $15403935.96   | 0.04%             | 2027-11-22      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 11/29 #518019                                                                          | CUSIP: 36211NPC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1634 | PA      | $1676.19       | 0.00%             | 2029-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/32 #534007                                                                           | CUSIP: 36212HGQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         532 | PA      | $551.12        | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | 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        |     6410077 | PA      | $6042659.62    | 0.01%             | 2059-10-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 7/39 #670624                                                                           | CUSIP: 36295HAZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       19377 | PA      | $19962.57      | 0.00%             | 2039-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 8/33 #729713                                                                           | CUSIP: 31402HVE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6152 | PA      | $6165.91       | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 12/39 #AC6795                                                                          | CUSIP: 31417TRR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      283383 | PA      | $283975.20     | 0.00%             | 2039-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 09/01/2035#                                                                          | CUSIP: 31297S6M2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         266 | PA      | $270.63        | 0.00%             | 2035-09-01      | Fixed         | 0.05%                 | 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        |     1471382 | PA      | $1420525.22    | 0.00%             | 2047-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VENTAS RLTY LTD PARTNERSHIP                                                        | VENTAS RLTY LTD PARTNERSHIP 4.375% 02/01/2045                                                     | CUSIP: 92277GAF4<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |     3802000 | PA      | $3206886.25    | 0.01%             | 2045-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 3/26 #422511                                                                           | CUSIP: 36206VKY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          10 | PA      | $10.10         | 0.00%             | 2026-03-15      | Fixed         | 0.07%                 | 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        |    10307675 | PA      | $9792399.06    | 0.02%             | 2039-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.0% 01/20/2045#MA2522                                                                    | CUSIP: 36179QYT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      397273 | PA      | $384187.29     | 0.00%             | 2045-01-20      | Fixed         | 0.04%                 | 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        |     1034537 | PA      | $147267.14     | 0.00%             | 2045-06-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 08/01/2042#AL2266                                                                  | CUSIP: 3138EJQU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      901321 | PA      | $856101.37     | 0.00%             | 2042-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 06/01/2052#QE4073                                                                    | CUSIP: 3133BDQ24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1155557 | PA      | $1165141.14    | 0.00%             | 2052-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE REMIC TR 2007-075                                                       | GNR 2015-H17 GZ 4.4518% 05/65                                                                     | CUSIP: 38376REM4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |       65080 | PA      | $63839.58      | 0.00%             | 2065-05-20      | Variable      | 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        |       55217 | PA      | $53989.26      | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 02/01/2033#ZS8685                                                                  | CUSIP: 3132A9UJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       24949 | PA      | $23966.77      | 0.00%             | 2033-02-01      | Fixed         | 0.03%                 | 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        |    11063000 | PA      | $11501124.56   | 0.03%             | 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        |     1158194 | PA      | $1034390.18    | 0.00%             | 2042-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 7.50% 11/30 #C01086                                                                          | CUSIP: 31292HF33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          12 | PA      | $12.43         | 0.00%             | 2030-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| WESTERN GAS PARTNERS LP                                                            | WESTERN GAS PARTNERS LP 6.35% 01/15/2029                                                          | CUSIP: 958667AF4<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |    13343000 | PA      | $14037329.82   | 0.03%             | 2029-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 11/01/2044#Q29663                                                                  | CUSIP: 3132MAML2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      401138 | PA      | $399874.11     | 0.00%             | 2044-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/32 #582099                                                                           | CUSIP: 36201FUY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1066 | PA      | $1104.51       | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 3.0% 8/45#Q35578                                                                             | CUSIP: 3132QSFU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       39645 | PA      | $36358.78      | 0.00%             | 2045-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 05/01/2030#ZK7367                                                                  | CUSIP: 3131XBFG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       24178 | PA      | $23543.88      | 0.00%             | 2030-05-01      | Fixed         | 0.03%                 | 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        |     3136670 | PA      | $3066137.32    | 0.01%             | 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        |     2554471 | PA      | $2315035.37    | 0.01%             | 2047-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/31 #543989                                                                           | CUSIP: 36212UKA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       10372 | PA      | $10641.71      | 0.00%             | 2031-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 8/41 #773093                                                                           | CUSIP: 36176QUS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        8652 | PA      | $8796.53       | 0.00%             | 2041-08-15      | 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        |    28432000 | PA      | $28504757.49   | 0.07%             | 2037-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 3.625% 08/31/2029                                                                       | CUSIP: 91282CLK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   153000000 | PA      | $152629452.36  | 0.36%             | 2029-08-31      | Fixed         | 0.04%                 | 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        |      120893 | PA      | $118277.41     | 0.00%             | 2031-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MSWF COMMERCIAL MORTGAGE TRUST 23-2                                                | MSWF COMMERCIAL MORTGAGE TRUST 23-2 VAR 12/15/2056 144A                                           | CUSIP: 55361AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8200000 | PA      | $1549461.34    | 0.00%             | 2056-12-15      | Variable      | 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        |         219 | PA      | $222.59        | 0.00%             | 2027-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 2.625% 07/31/2029                                                                       | CUSIP: 91282CFC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   273317000 | PA      | $263046260.98  | 0.63%             | 2029-07-31      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 5% 10/01/2055 #TBA                                                                      | CUSIP: 01F0506A9<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |   -82700000 | PA      | $-82011911.19  | -0.20%            | 2055-10-01      | Fixed         | 0.05%                 | 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        |     2589495 | PA      | $2531172.99    | 0.01%             | 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        |        1112 | PA      | $1131.29       | 0.00%             | 2027-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 3.50% 10/42 #Q11886                                                                          | CUSIP: 3132HNCX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      411859 | PA      | $391267.82     | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 03/01/2050#RA2362                                                                  | CUSIP: 3133KHTT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        8805 | PA      | $8107.14       | 0.00%             | 2050-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 2% 10/25/2047                                                      | CUSIP: 3136BLES5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    26963349 | PA      | $24012032.69   | 0.06%             | 2047-10-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 06/01/2039#AW0113                                                                    | CUSIP: 3138XPDT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      454339 | PA      | $444957.98     | 0.00%             | 2039-06-01      | Fixed         | 0.04%                 | 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        |     9119905 | PA      | $7914552.58    | 0.02%             | 2041-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/29 #487516                                                                           | CUSIP: 36210BSD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3067 | PA      | $3137.49       | 0.00%             | 2029-06-15      | 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        |       38113 | PA      | $38067.65      | 0.00%             | 2039-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 09/01/2047#BH6749                                                                  | CUSIP: 3140GVQB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       56729 | PA      | $52891.87      | 0.00%             | 2047-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 11/27 #412374                                                                          | CUSIP: 36206JCK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          42 | PA      | $42.84         | 0.00%             | 2027-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MARSH and MCLENNAN COS INC                                                         | MARSH and MCLENNAN COS INC 4.75% 03/15/2039                                                       | CUSIP: 571748BH4<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |     9035000 | PA      | $8702928.97    | 0.02%             | 2039-03-15      | Fixed         | 0.05%                 | 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        |         116 | PA      | $121.79        | 0.00%             | 2028-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 10/40 #737532                                                                          | CUSIP: 3620ARLM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       25571 | PA      | $24835.69      | 0.00%             | 2040-10-15      | Fixed         | 0.04%                 | 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        |      860917 | PA      | $824075.26     | 0.00%             | 2040-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 3.472% 12/01/2040#AE0653                                                                 | CUSIP: 31419AWP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      548416 | PA      | $571517.55     | 0.00%             | 2040-12-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                                              | LCH OIS SOFRV3.5% MAC 12/17/27                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |  -362713000 | NC      | $1343764.88    | 0.00%             |  |  |  | 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        |    11022200 | PA      | $11008422.00   | 0.03%             | 2039-02-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 12/01/2042#AQ8767                                                                  | CUSIP: 3138MQW58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       31800 | PA      | $29648.17      | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | 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        |       34163 | PA      | $34727.50      | 0.00%             | 2033-06-01      | Variable      | 0.06%                 | 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        |     2517012 | PA      | $2233056.57    | 0.01%             | 2049-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/31 #538864                                                                           | CUSIP: 36212NTV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1255 | PA      | $1296.17       | 0.00%             | 2031-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 5/29 #252492                                                                           | CUSIP: 31371HNH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         629 | PA      | $653.18        | 0.00%             | 2029-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL    | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 4.4% 04/01/2033   | CUSIP: 161175CJ1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    11421000 | PA      | $10832798.63   | 0.03%             | 2033-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 02/46#Q38879                                                                         | CUSIP: 3132QV2M2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       12999 | PA      | $12558.40      | 0.00%             | 2046-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 3/40 #727324                                                                           | CUSIP: 3620AEAZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        5993 | PA      | $6092.16       | 0.00%             | 2040-03-15      | Fixed         | 0.05%                 | 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        |          70 | PA      | $71.37         | 0.00%             | 2033-02-01      | Variable      | 0.06%                 | 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        |      150081 | PA      | $149789.10     | 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        |     8370175 | PA      | $8663241.94    | 0.02%             | 2054-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3.5% 06/01/2030#J31908                                                                  | CUSIP: 31307NDM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       16419 | PA      | $16260.36      | 0.00%             | 2030-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 06/46#AS7009                                                                         | CUSIP: 36193SYE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      113716 | PA      | $105506.21     | 0.00%             | 2046-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 02/01/2043#AR2943                                                                  | CUSIP: 3138W0HV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      104046 | PA      | $96136.04      | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | 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        |     1854749 | PA      | $1812197.56    | 0.00%             | 2042-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 9/38 #988684                                                                           | CUSIP: 31415TJ50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       30206 | PA      | $31884.67      | 0.00%             | 2038-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 11/01/2051#                                                                        | CUSIP: 3140QNGZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       87491 | PA      | $80588.12      | 0.00%             | 2051-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 10/01/2048#CA2506                                                                  | CUSIP: 3140Q9YC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1104869 | PA      | $1145224.85    | 0.00%             | 2048-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 5/32 #646414                                                                           | CUSIP: 31390HDT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         408 | PA      | $428.44        | 0.00%             | 2032-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 5/32 #645346                                                                           | CUSIP: 31390F5F2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          81 | PA      | $85.55         | 0.00%             | 2032-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 01/01/2052#BV2214                                                                    | CUSIP: 3140MFN82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      428618 | PA      | $380493.15     | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | 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        |    28541000 | PA      | $29496839.23   | 0.07%             | 2029-01-09      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/26 #780299                                                                           | CUSIP: 36225AKL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |           2 | PA      | $2.45          | 0.00%             | 2026-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/28 #438403                                                                           | CUSIP: 36207QAC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         287 | PA      | $288.59        | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | 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        |    37187000 | PA      | $37263939.90   | 0.09%             | 2038-01-15      | Variable      | 0.06%                 | 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        |        5023 | PA      | $5114.50       | 0.00%             | 2029-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 08/01/2043#AU0597                                                                  | CUSIP: 3138WZUX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       37251 | PA      | $34268.22      | 0.00%             | 2043-08-01      | Fixed         | 0.03%                 | 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        |    22814824 | PA      | $22820276.81   | 0.05%             | 2033-04-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 09/01/2040#G06023                                                                    | CUSIP: 3128M8AY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       34779 | PA      | $34037.99      | 0.00%             | 2040-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 9/40 #AE3950                                                                           | CUSIP: 31419EL80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       26329 | PA      | $25703.14      | 0.00%             | 2040-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GENERAL MILLS INC                                                                  | GENERAL MILLS INC 2.875% 04/15/2030                                                               | CUSIP: 370334CL6<br>LEI: 2TGYMUGI08PO8X8L6150 | Long             | DBT              | CORP              | US        |     3013000 | PA      | $2827839.19    | 0.01%             | 2030-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 08/01/2032#J37452                                                                    | CUSIP: 31307UH50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       83199 | PA      | $81196.03      | 0.00%             | 2032-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 10/41 #748242                                                                          | CUSIP: 3620C4HT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       26302 | PA      | $25512.46      | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                             | US LONG BOND(CBT) FUT DEC25 USZ5                                                                  | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |         574 | NC      | $1458673.81    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| LONDON CLEARING HOUSE                                                              | LCH OIS SOFRV3.75% MAC 12/17/29                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |   -94804000 | NC      | $753858.66     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 11/01/2042#AQ4673                                                                  | CUSIP: 3138MLFP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       87910 | PA      | $81420.98      | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 3.50% 4/42 #G06993                                                                           | CUSIP: 3128M9C67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      148347 | PA      | $141276.25     | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 04/01/2042#BV7699                                                                  | CUSIP: 3140MMRV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1281149 | PA      | $1144743.98    | 0.00%             | 2042-04-01      | Fixed         | 0.03%                 | 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        |      811288 | PA      | $783301.76     | 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        |     4665593 | PA      | $4061806.28    | 0.01%             | 2041-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.0% 05/15/2045#AL1539                                                                  | CUSIP: 36183WV82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2694 | PA      | $2439.49       | 0.00%             | 2045-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 10/28 #481840                                                                          | CUSIP: 31382GHR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          44 | PA      | $46.48         | 0.00%             | 2028-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.00% 7/27 #451326                                                                           | CUSIP: 36208HLF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         194 | PA      | $196.01        | 0.00%             | 2027-07-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 04/01/2050#FM3830                                                                    | CUSIP: 3140X7HG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    40454780 | PA      | $36212772.58   | 0.09%             | 2050-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 5% 02/01/2038#BX6069                                                                    | CUSIP: 3140NAW74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      634694 | PA      | $642928.02     | 0.00%             | 2038-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                       | COMCAST CORP 3.4% 04/01/2030                                                                      | CUSIP: 20030NDG3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     6970000 | PA      | $6743195.99    | 0.02%             | 2030-04-01      | Fixed         | 0.03%                 | 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        |      189027 | PA      | $182177.95     | 0.00%             | 2045-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3% 02/20/2050#BS8922                                                                      | CUSIP: 3617MK4F3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     8230160 | PA      | $7352053.29    | 0.02%             | 2050-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 07/20/2052#MA8149                                                                    | CUSIP: 36179XBS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    30198034 | PA      | $27670993.35   | 0.07%             | 2052-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 4/28 #418412                                                                           | CUSIP: 31379FYH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          88 | PA      | $92.33         | 0.00%             | 2028-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                         | FANNIEMAE 30YR 6.5% 07/01/2054#FA0028                                                             | CUSIP: 3140W0A62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3166253 | PA      | $3322133.56    | 0.01%             | 2054-07-01      | Fixed         | 0.07%                 | 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        |    42652000 | PA      | $42770018.08   | 0.10%             | 2037-01-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 02/01/2044#Q24572                                                                  | CUSIP: 3132M4W92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       37255 | PA      | $37269.81      | 0.00%             | 2044-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4% 04/20/2047#MA4383                                                                      | CUSIP: 36179S2Q9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     3850768 | PA      | $3705724.98    | 0.01%             | 2047-04-20      | Fixed         | 0.04%                 | 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        |       51986 | PA      | $53553.98      | 0.00%             | 2036-12-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 04/01/2046#AS7009                                                                  | CUSIP: 3138WGYF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      621477 | PA      | $581961.34     | 0.00%             | 2046-04-01      | Fixed         | 0.04%                 | 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        |    19817000 | PA      | $19819358.22   | 0.05%             | 2035-04-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 10/28 #323327                                                                          | CUSIP: 31374TD89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         808 | PA      | $844.77        | 0.00%             | 2028-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 02/01/2041#AH6520                                                                  | CUSIP: 3138A8G67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       11397 | PA      | $11133.33      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 04/01/2047#AS9459                                                                  | CUSIP: 3138WKQM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       40733 | PA      | $40285.90      | 0.00%             | 2047-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/28 #458877                                                                           | CUSIP: 36208RXE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         214 | PA      | $217.98        | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | 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        |      584271 | PA      | $557339.28     | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 7/26 #352776                                                                           | CUSIP: 31376D2H4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |           5 | PA      | $5.07          | 0.00%             | 2026-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| DELL INTERNATIONAL LLC / EMC CORP                                                  | DELL INTL/EMC CORP 4.5% 02/15/2031                                                                | CUSIP: 24703DBS9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    39739000 | PA      | $39647134.16   | 0.09%             | 2031-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2005-102 CO 0% 11/35                                                                          | CUSIP: 31394UHV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       19819 | PA      | $17236.41      | 0.00%             | 2035-11-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 2/41 #738002                                                                           | CUSIP: 3620AR3K5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       88425 | PA      | $85869.74      | 0.00%             | 2041-02-15      | 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        |    10631649 | PA      | $9086785.17    | 0.02%             | 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        |      140742 | PA      | $134034.46     | 0.00%             | 2047-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 07/45#Q34946                                                                       | CUSIP: 3132QRP87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      177581 | PA      | $162056.79     | 0.00%             | 2045-07-01      | Fixed         | 0.03%                 | 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        |      201120 | PA      | $189519.55     | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 1.5% 12/01/2050#BQ9522                                                                  | CUSIP: 3140KVSL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      127958 | PA      | $99605.29      | 0.00%             | 2050-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3% 05/20/2052#MA8043                                                                      | CUSIP: 36179W5C8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    69967311 | PA      | $62529561.92   | 0.15%             | 2052-05-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 07/15/2046#AT7623                                                                    | CUSIP: 36194GPG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      215499 | PA      | $205969.68     | 0.00%             | 2046-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/29 #513680                                                                           | CUSIP: 36211HUD1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         128 | PA      | $131.04        | 0.00%             | 2029-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                                                     | HOME DEPOT INC 2.5% 04/15/2027                                                                    | CUSIP: 437076CA8<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |     3139000 | PA      | $3077254.52    | 0.01%             | 2027-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2005-73 SA SOFR30A+1725.235 8/35                                                              | CUSIP: 31394EB64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        3820 | PA      | $4030.86       | 0.00%             | 2035-08-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                       | UBS GROUP AG 4.55% 04/17/2026                                                                     | CUSIP: 902613BB3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     5038000 | PA      | $5051369.69    | 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        |         288 | PA      | $293.12        | 0.00%             | 2028-11-01      | Fixed         | 0.07%                 | No            |                  2 | 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        |     4489333 | PA      | $3983868.66    | 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        |     1980637 | PA      | $1987279.87    | 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        |       13749 | PA      | $14374.03      | 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        |      927293 | PA      | $905148.93     | 0.00%             | 2031-10-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 12/27 #405830                                                                          | CUSIP: 31378QY39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         318 | PA      | $326.96        | 0.00%             | 2027-12-01      | Fixed         | 0.07%                 | 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        |       41180 | PA      | $36963.55      | 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        |     4588143 | PA      | $4805781.76    | 0.01%             | 2053-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GOVERNMENT NAT MTG AS REMIC PT TSFR1M+56.448 02/20/2049                                           | CUSIP: 38381RQS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     2695537 | PA      | $2652655.34    | 0.01%             | 2049-02-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHLMC MULTIFAM STRUCTURED PASS THROUGH K071 A2 3.286% 11/25/2027                                  | CUSIP: 3137FCLD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    18600000 | PA      | $18361114.62   | 0.04%             | 2027-11-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SEMPRA                                                                             | SEMPRA 6% 10/15/2039                                                                              | CUSIP: 816851AP4<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |     5386000 | PA      | $5601416.52    | 0.01%             | 2039-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 08/01/2044#AX2369                                                                  | CUSIP: 3138Y3T35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9570 | PA      | $9576.15       | 0.00%             | 2044-08-01      | Fixed         | 0.04%                 | 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        |       25617 | PA      | $25026.26      | 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        |      193640 | PA      | $188941.80     | 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        |    29471000 | PA      | $27206495.81   | 0.06%             | 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        |      414821 | PA      | $381742.98     | 0.00%             | 2043-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2% 10/01/2055 #TBA                                                                        | CUSIP: 21H0206A8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   364700000 | PA      | $301634726.61  | 0.72%             | 2055-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| TOYOTA MOTOR CREDIT CORP                                                           | TOYOTA MOTOR CREDIT CORP 3.375% 04/01/2030                                                        | CUSIP: 89236TGY5<br>LEI: Z2VZBHUMB7PWWJ63I008 | Long             | DBT              | CORP              | US        |     9583000 | PA      | $9279856.74    | 0.02%             | 2030-04-01      | Fixed         | 0.03%                 | 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        |     3044940 | PA      | $2791068.83    | 0.01%             | 2044-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 12/31 #614978                                                                          | CUSIP: 31388UFT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         654 | PA      | $689.12        | 0.00%             | 2031-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 7/40 #733784                                                                           | CUSIP: 3620AMFZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       18011 | PA      | $18316.69      | 0.00%             | 2040-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 5/42 #AO3760                                                                           | CUSIP: 3138LUFA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      698091 | PA      | $663762.71     | 0.00%             | 2042-05-01      | Fixed         | 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        |       34707 | PA      | $34816.22      | 0.00%             | 2033-08-01      | 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        |      117525 | PA      | $114753.40     | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALLY AUTO RECEIVABLES TRUST 2024-1                                                 | ALLY AUTO RECEIVABLES TRUST 2024-1 5.08% 12/15/2028                                               | CUSIP: 02008FAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    17014886 | PA      | $17124968.63   | 0.04%             | 2028-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/32 #562581                                                                           | CUSIP: 36213R6S1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         304 | PA      | $313.67        | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 01/20/2050#BR8993                                                                    | CUSIP: 3617M77E2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       86140 | PA      | $79005.49      | 0.00%             | 2050-01-20      | Fixed         | 0.04%                 | 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        |    19705046 | PA      | $16319030.99   | 0.04%             | 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        |     4356885 | PA      | $4262864.44    | 0.01%             | 2061-07-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/28 #467737                                                                           | CUSIP: 36209CS23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          15 | PA      | $15.22         | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 4/40 #727849                                                                           | CUSIP: 3620AETE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        9625 | PA      | $9590.27       | 0.00%             | 2040-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 5/26 #303884                                                                           | CUSIP: 31373URD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          21 | PA      | $21.01         | 0.00%             | 2026-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 6/35 #828064                                                                           | CUSIP: 31407D5Z4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3537 | PA      | $3704.76       | 0.00%             | 2035-06-01      | Fixed         | 0.06%                 | 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        |    10800000 | PA      | $10872621.36   | 0.03%             | 2028-04-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 06/15/2043#AE9860                                                                  | CUSIP: 36181D5V4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        7333 | PA      | $6888.65       | 0.00%             | 2043-06-15      | Fixed         | 0.04%                 | 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        |      595786 | PA      | $578726.96     | 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        |      501212 | PA      | $499018.89     | 0.00%             | 2038-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 9/42 #AP6523                                                                           | CUSIP: 3138MAG93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       30221 | PA      | $28771.67      | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 01/01/2041#AH1582                                                                  | CUSIP: 3138A2XL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9549 | PA      | $9348.16       | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/32 #565960                                                                           | CUSIP: 36213VWV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2000 | PA      | $2063.78       | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 2.375% 02/15/2042                                                     | CUSIP: 912810TF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    95700000 | PA      | $70869553.59   | 0.17%             | 2042-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 10/39 #723247                                                                          | CUSIP: 3620A9P88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4092 | PA      | $4086.04       | 0.00%             | 2039-10-15      | Fixed         | 0.04%                 | 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        |     8943198 | PA      | $8583798.10    | 0.02%             | 2063-10-25      | 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 2.5% 05/25/2049                                                    | CUSIP: 3137H5FF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     2161733 | PA      | $1911058.67    | 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        |       38973 | PA      | $39101.76      | 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        |      442311 | PA      | $450103.80     | 0.00%             | 2035-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 12/01/2040#AE0675                                                                  | CUSIP: 31419AXD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       57270 | PA      | $57349.25      | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MAGNE 2023-36A                                                                     | MAGNE 2023-36A AR TSFR3M+132 07/25/2038 144A                                                      | CUSIP: 559922AL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    28737000 | PA      | $28838240.45   | 0.07%             | 2038-07-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                     | MORGAN STANLEY 3.622%/VAR 04/01/2031                                                              | CUSIP: 6174468P7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    41803000 | PA      | $40561591.36   | 0.10%             | 2031-04-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 09/20/2043#MA1285                                                                    | CUSIP: 36179NNA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     4640766 | PA      | $4380428.47    | 0.01%             | 2043-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 08/01/2042#AP0495                                                                  | CUSIP: 3138M3RR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      128120 | PA      | $121386.24     | 0.00%             | 2042-08-01      | Fixed         | 0.04%                 | 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        |      240778 | PA      | $4575.45       | 0.00%             | 2027-09-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 07/01/2043#AU2962                                                                  | CUSIP: 3138X2JG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       24640 | PA      | $22756.57      | 0.00%             | 2043-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 10/39 #711463                                                                          | CUSIP: 36297GML1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       22193 | PA      | $22126.49      | 0.00%             | 2039-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LAKESIDE PK CLO LTD / LAKESIDE PK CLO LLC                                          | LAKESIDE PK CLO LTD / LLC A TSFR3M+115 04/15/2038 144A                                            | CUSIP: 51218YAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    20845000 | PA      | $20855172.36   | 0.05%             | 2038-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.50% 11/34 #605771                                                                          | CUSIP: 36200N6G1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4733 | PA      | $4871.88       | 0.00%             | 2034-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 02/01/2029#                                                                          | CUSIP: 31293JKZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         145 | PA      | $147.76        | 0.00%             | 2029-02-01      | Fixed         | 0.06%                 | 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        |    16043000 | PA      | $16456673.73   | 0.04%             | 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        |       68198 | PA      | $69436.27      | 0.00%             | 2035-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 10/27 #458667                                                                          | CUSIP: 36208RQU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         106 | PA      | $107.83        | 0.00%             | 2027-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                       | COMCAST CORP 3.3% 04/01/2027                                                                      | CUSIP: 20030NDK4<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     6795000 | PA      | $6729723.83    | 0.02%             | 2027-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 2/41 #A96876                                                                           | CUSIP: 312945T99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      102675 | PA      | $102990.31     | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 8/39 #698433                                                                           | CUSIP: 36296Q4S5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       35129 | PA      | $35713.58      | 0.00%             | 2039-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 10/39 #723228                                                                          | CUSIP: 3620A9PM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       13629 | PA      | $13854.58      | 0.00%             | 2039-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 11/01/2051#FM9632                                                                    | CUSIP: 3140XDV29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    10079154 | PA      | $8981327.94    | 0.02%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 05/01/2052#QE2376                                                                    | CUSIP: 3133BBT90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      369083 | PA      | $372144.70     | 0.00%             | 2052-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/31 #564706                                                                           | CUSIP: 36213UKT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |           5 | PA      | $5.57          | 0.00%             | 2031-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 3/41 #A97620                                                                           | CUSIP: 312946PD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       14917 | PA      | $14958.99      | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 3.50% 9/42 #Q11420                                                                           | CUSIP: 3132HMSH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       22015 | PA      | $20886.43      | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 03/01/2052#BV0350                                                                    | CUSIP: 3140MDL89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    10167890 | PA      | $9026240.55    | 0.02%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 10/28 #464231                                                                          | CUSIP: 36208XVY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1695 | PA      | $1725.37       | 0.00%             | 2028-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 7.5% 10/01/2027#                                                                        | CUSIP: 31292GTL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          75 | PA      | $76.34         | 0.00%             | 2027-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 12/25 #780453                                                                          | CUSIP: 36225AQE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          17 | PA      | $16.51         | 0.00%             | 2025-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 8/39 #718334                                                                           | CUSIP: 3620A4BB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4617 | PA      | $4693.75       | 0.00%             | 2039-08-15      | Fixed         | 0.05%                 | 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        |    28868628 | PA      | $23615418.42   | 0.06%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 12/01/2049#RA1859                                                                    | CUSIP: 3133KHB47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        5738 | PA      | $5111.30       | 0.00%             | 2049-12-01      | Fixed         | 0.03%                 | 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        |     6041371 | PA      | $5385229.68    | 0.01%             | 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        |    21306000 | PA      | $21291672.78   | 0.05%             | 2026-05-01      | Fixed         | 0.04%                 | 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        |      195827 | PA      | $195415.67     | 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        |       48629 | PA      | $50707.46      | 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        |     3958000 | PA      | $4143559.43    | 0.01%             | 2035-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                                              | TIME WARNER CABLE LLC 4.5% 09/15/2042                                                             | CUSIP: 88732JBD9<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    22976000 | PA      | $18460692.15   | 0.04%             | 2042-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/29 #502272                                                                           | CUSIP: 36210T6H4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         829 | PA      | $845.90        | 0.00%             | 2029-03-15      | Fixed         | 0.07%                 | 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        |     6204000 | PA      | $6219518.07    | 0.01%             | 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        |    16964731 | PA      | $17769454.30   | 0.04%             | 2054-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 6/26 #349340                                                                           | CUSIP: 31376ABH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          30 | PA      | $30.43         | 0.00%             | 2026-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CIFC FUNDING 2025-VI LTD                                                           | CIFC FUNDING 2025-VI LTD A1 TSFR3M+125 10/23/2038 144A                                            | CUSIP: 171933AA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    18542000 | PA      | $18550084.31   | 0.04%             | 2038-10-23      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 7/32 #639103                                                                           | CUSIP: 31389YAC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         119 | PA      | $125.87        | 0.00%             | 2032-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 5.12% 10/36 #1A1201                                                                      | CUSIP: 3128NFKN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       22822 | PA      | $23226.80      | 0.00%             | 2036-10-01      | Variable      | 0.06%                 | 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        |      175911 | PA      | $183905.56     | 0.00%             | 2036-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| OMEGA HEALTHCARE INVESTORS INC                                                     | OMEGA HEALTHCARE INVESTORS INC 5.25% 01/15/2026                                                   | CUSIP: 681936BH2<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |    28200000 | PA      | $28207346.10   | 0.07%             | 2026-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/31 #545159                                                                           | CUSIP: 36212VTQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       13031 | PA      | $13452.20      | 0.00%             | 2031-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/28 #450349                                                                           | CUSIP: 36208GH27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         489 | PA      | $497.54        | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 10/41 #479430                                                                          | CUSIP: 36209RST1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      402064 | PA      | $389930.33     | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 5/34 #572257                                                                           | CUSIP: 36200TWS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        7804 | PA      | $7996.39       | 0.00%             | 2034-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2019-GC38                                                           | GS MTG SECS TR 2019-GC38 A3 3.703% 02/10/2052                                                     | CUSIP: 36252SAU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1100000 | PA      | $1084909.87    | 0.00%             | 2052-02-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 03/01/2039#AS2011                                                                    | CUSIP: 3138WBGV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      980729 | PA      | $960644.35     | 0.00%             | 2039-03-01      | Fixed         | 0.04%                 | 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        |        7693 | PA      | $7823.90       | 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        |      231954 | PA      | $227150.17     | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 08/20/2043#MA1224                                                                    | CUSIP: 36179NLD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        5741 | PA      | $5421.96       | 0.00%             | 2043-08-20      | Fixed         | 0.04%                 | 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        |      168022 | PA      | $164056.38     | 0.00%             | 2036-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 07/15/2041#769171                                                                    | CUSIP: 36176LJQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         981 | PA      | $976.79        | 0.00%             | 2041-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                     | MORGAN STANLEY 2.943%/VAR 01/21/2033                                                              | CUSIP: 61747YEL5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    17500000 | PA      | $15910189.40   | 0.04%             | 2033-01-21      | Variable      | 0.03%                 | 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        |     1722549 | PA      | $1452432.55    | 0.00%             | 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        |        5665 | PA      | $5885.15       | 0.00%             | 2031-10-25      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 10/27 #401913                                                                          | CUSIP: 31378LN65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |           9 | PA      | $9.49          | 0.00%             | 2027-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SBA TOWER TR                                                                       | SBA TOWER TR 2.328% 07/15/2052 144A                                                               | CUSIP: 78403DAR1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     8041000 | PA      | $7641802.14    | 0.02%             | 2052-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 07/01/2050#CA6312                                                                    | CUSIP: 3140QEAN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4267002 | PA      | $3815572.01    | 0.01%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 8/36 #888034                                                                           | CUSIP: 31410FSX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5356 | PA      | $5608.28       | 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        |      137431 | PA      | $137691.29     | 0.00%             | 2041-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 8/29 #506458                                                                           | CUSIP: 31383LTP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          20 | PA      | $20.11         | 0.00%             | 2029-08-01      | Fixed         | 0.07%                 | 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        |      143905 | PA      | $140605.19     | 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        |    10999000 | PA      | $10981814.06   | 0.03%             | 2035-06-15      | Variable      | 0.06%                 | 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        |        3495 | PA      | $3699.10       | 0.00%             | 2032-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 7/37 #670111                                                                           | CUSIP: 36295GN40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2082 | PA      | $2141.25       | 0.00%             | 2037-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 06/01/2031#J34598                                                                    | CUSIP: 31307RDB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       96159 | PA      | $94038.10      | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 5% 10/01/2055 #TBA                                                                        | CUSIP: 21H0506A5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   292250000 | PA      | $290698298.63  | 0.69%             | 2055-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 3/41 #783276                                                                           | CUSIP: 36241LT97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       25925 | PA      | $25867.77      | 0.00%             | 2041-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 11/15/2041#778597                                                                  | CUSIP: 36176WX22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3549 | PA      | $3445.90       | 0.00%             | 2041-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL    | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 6.1% 06/01/2029   | CUSIP: 161175CQ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    20760000 | PA      | $21785403.87   | 0.05%             | 2029-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.00% 12/27 #461047                                                                          | CUSIP: 36208UEU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          78 | PA      | $78.68         | 0.00%             | 2027-12-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 4/42 #AK8237                                                                           | CUSIP: 3138EDEK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      942707 | PA      | $919757.30     | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 6/41 #738418                                                                           | CUSIP: 3620ASK73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        5181 | PA      | $5266.66       | 0.00%             | 2041-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 2/41 #AE9269                                                                           | CUSIP: 31419LJP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       13009 | PA      | $12724.20      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 12/01/2033#AL5321                                                                  | CUSIP: 3138EM4F5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       53547 | PA      | $53724.95      | 0.00%             | 2033-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 10/01/2040#A94586                                                                  | CUSIP: 312943CX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      135928 | PA      | $136310.55     | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 05/15/2043#AD9112                                                                  | CUSIP: 36180NDR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       34424 | PA      | $32577.96      | 0.00%             | 2043-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.00% 4/42 #Q07573                                                                           | CUSIP: 3132GSXA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       26852 | PA      | $26297.32      | 0.00%             | 2042-04-01      | 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        |        8040 | PA      | $7899.12       | 0.00%             | 2063-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 02/01/2046#Q39899                                                                    | CUSIP: 3132QW7M5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       23057 | PA      | $22262.01      | 0.00%             | 2046-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OMEGA HEALTHCARE INVESTORS INC                                                     | OMEGA HEALTHCARE INVESTORS INC 4.5% 04/01/2027                                                    | CUSIP: 681936BF6<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |    86567000 | PA      | $86807575.75   | 0.21%             | 2027-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 7% 04/01/2032#                                                                          | CUSIP: 31283HRL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        7567 | PA      | $7941.83       | 0.00%             | 2032-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 3/42 #794581                                                                           | CUSIP: 36177PCT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      122380 | PA      | $115878.44     | 0.00%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 03/01/2042#AK6743                                                                    | CUSIP: 3138EBP58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      103491 | PA      | $100907.73     | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | 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        |    32703000 | PA      | $32789172.41   | 0.08%             | 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        |      488648 | PA      | $487692.63     | 0.00%             | 2041-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2% 01/01/2037#FS0216                                                                    | CUSIP: 3140XFG21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     6895256 | PA      | $6386541.55    | 0.02%             | 2037-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 11/39 #710987                                                                          | CUSIP: 36297F2U5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       15020 | PA      | $15272.18      | 0.00%             | 2039-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 09/01/2043#AS0961                                                                  | CUSIP: 3138WAB71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      118850 | PA      | $109506.05     | 0.00%             | 2043-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/32 #552620                                                                           | CUSIP: 36213E4D5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         353 | PA      | $364.68        | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| DEERE and CO                                                                       | DEERE and CO 3.1% 04/15/2030                                                                      | CUSIP: 244199BJ3<br>LEI: PWFTNG3EI0Y73OXWDH08 | Long             | DBT              | CORP              | US        |     9897000 | PA      | $9487011.93    | 0.02%             | 2030-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 04/47#AS9614                                                                       | CUSIP: 3138WKVG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       96067 | PA      | $95014.00      | 0.00%             | 2047-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 9/35 #840657                                                                           | CUSIP: 31407T5S5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1534 | PA      | $1611.38       | 0.00%             | 2035-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                     | MORGAN STANLEY 5.192%/VAR 04/17/2031                                                              | CUSIP: 61747YFZ3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    26943000 | PA      | $27821139.46   | 0.07%             | 2031-04-17      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 4/40 #727850                                                                           | CUSIP: 3620AETF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       24100 | PA      | $24034.93      | 0.00%             | 2040-04-15      | Fixed         | 0.04%                 | 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        |     4856140 | PA      | $5088767.85    | 0.01%             | 2055-01-01      | 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        |      177262 | PA      | $173295.45     | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 5/40 #704984                                                                           | CUSIP: 36296YFZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       25049 | PA      | $25460.04      | 0.00%             | 2040-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 9/27 #451459                                                                           | CUSIP: 36208HQL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          13 | PA      | $12.74         | 0.00%             | 2027-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/30 #526311                                                                           | CUSIP: 36211XVC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         288 | PA      | $293.68        | 0.00%             | 2030-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.50% 2/37 #A57709                                                                           | CUSIP: 3128KLR66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        2273 | PA      | $2394.90       | 0.00%             | 2037-02-01      | Fixed         | 0.07%                 | 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        |     1933676 | PA      | $1868246.49    | 0.00%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NBC UNIVERSAL INC                                                                  | NBC UNVL INC 5.95% 04/01/2041                                                                     | CUSIP: 63946BAG5<br>LEI: VTBDOQJ6KOGQ6K786R46 | Long             | DBT              | CORP              | US        |     6541000 | PA      | $6861720.21    | 0.02%             | 2041-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP DEL                                                                   | CENTENE CORP 4.25% 12/15/2027                                                                     | CUSIP: 15135BAR2<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    19645000 | PA      | $19291730.84   | 0.05%             | 2027-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 3.54% 12/39 #AC8301                                                                      | CUSIP: 31417VGK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9920 | PA      | $10293.02      | 0.00%             | 2039-12-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 12/41 #709061                                                                          | CUSIP: 36297DWW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       18704 | PA      | $18183.32      | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 12/01/2045#Q37749                                                                  | CUSIP: 3132QUTF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      526158 | PA      | $477017.40     | 0.00%             | 2045-12-01      | 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        |     1400000 | NC      | $220607.38     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 02/01/2042#AK3402                                                                  | CUSIP: 3138E7X82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4829 | PA      | $4706.23       | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AT and T INC                                                                       | AT and T INC 4.75% 05/15/2046                                                                     | CUSIP: 00206RCQ3<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    10000000 | PA      | $8929735.30    | 0.02%             | 2046-05-15      | Fixed         | 0.05%                 | 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        |     1036837 | PA      | $981215.11     | 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        |     7032578 | PA      | $7059698.05    | 0.02%             | 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        |     1349000 | PA      | $1234807.99    | 0.00%             | 2047-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/28 #458374                                                                           | CUSIP: 36208RFP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         302 | PA      | $303.61        | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AFLAC INC                                                                          | AFLAC INC 3.6% 04/01/2030                                                                         | CUSIP: 001055BJ0<br>LEI: 549300N0B7DOGLXWPP39 | Long             | DBT              | CORP              | US        |     9937000 | PA      | $9736134.97    | 0.02%             | 2030-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 4/40 #733601                                                                           | CUSIP: 3620AMAA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1704 | PA      | $1733.15       | 0.00%             | 2040-04-15      | 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        |       23271 | PA      | $23376.79      | 0.00%             | 2035-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 7/35 #837280                                                                           | CUSIP: 31407QFV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1170 | PA      | $1225.22       | 0.00%             | 2035-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 6/40 #729548                                                                           | CUSIP: 3620AGP90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1714 | PA      | $1743.20       | 0.00%             | 2040-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DELL INTERNATIONAL LLC / EMC CORP                                                  | DELL INTL/EMC CORP 4.75% 10/06/2032                                                               | CUSIP: 24703DBT7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    26492000 | PA      | $26373571.22   | 0.06%             | 2032-10-06      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VLS COMMERCIAL MORTGAGE TRUST 2020                                                 | VLS COMMERCIAL MORTGAGE TRUST 2020 2.13% 10/10/2042 144A                                          | CUSIP: 92858TAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    29470000 | PA      | $25191863.68   | 0.06%             | 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        |     8399828 | PA      | $7171864.77    | 0.02%             | 2052-01-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 7.5% 05/01/2031#                                                                        | CUSIP: 31298VSX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         316 | PA      | $331.87        | 0.00%             | 2031-05-01      | Fixed         | 0.07%                 | 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        |     2773000 | PA      | $2759135.00    | 0.01%             | 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        |    38231000 | PA      | $38674431.81   | 0.09%             | 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        |       70970 | PA      | $68540.34      | 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        |      107953 | PA      | $104986.47     | 0.00%             | 2041-11-20      | Fixed         | 0.04%                 | 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        |      449267 | PA      | $431522.56     | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 11/01/2037#                                                                          | CUSIP: 3128L1GA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1420 | PA      | $1447.33       | 0.00%             | 2037-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 10/38 #889983                                                                          | CUSIP: 31410KXL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      101554 | PA      | $107089.91     | 0.00%             | 2038-10-01      | Fixed         | 0.06%                 | 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        |      251252 | PA      | $245548.33     | 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        |    16863000 | PA      | $16845641.73   | 0.04%             | 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        |     1974417 | PA      | $1750724.44    | 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        |     1029043 | PA      | $950570.01     | 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        |    31605000 | PA      | $31720927.14   | 0.08%             | 2037-04-18      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 08/01/2046#BD5247                                                                  | CUSIP: 3140FCZM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       18789 | PA      | $17570.81      | 0.00%             | 2046-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3% 10/01/2055 #TBA                                                                        | CUSIP: 21H0306A7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    75950000 | PA      | $67837256.45   | 0.16%             | 2055-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES                          | FNS 359 19 6% 7/35                                                                                | CUSIP: 3136FCUL8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |       12824 | PA      | $2214.10       | 0.00%             | 2035-07-25      | Variable      | 0.06%                 | 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        |      465407 | PA      | $435640.96     | 0.00%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/32 #552668                                                                           | CUSIP: 36213E6D3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         117 | PA      | $121.21        | 0.00%             | 2032-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 2/30 #517827                                                                           | CUSIP: 31384AHC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2682 | PA      | $2805.87       | 0.00%             | 2030-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 12/28 #490977                                                                          | CUSIP: 36210FM29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         657 | PA      | $670.21        | 0.00%             | 2028-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 9/40 #AC9247                                                                           | CUSIP: 31417WHZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5103 | PA      | $5107.47       | 0.00%             | 2040-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 6/1/52#CB3766                                                                        | CUSIP: 3140QPFG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4661829 | PA      | $4432702.91    | 0.01%             | 2052-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 5/26 #303913                                                                           | CUSIP: 31373USA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         109 | PA      | $109.17        | 0.00%             | 2026-05-01      | Fixed         | 0.07%                 | 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        |    10516000 | PA      | $10436285.57   | 0.02%             | 2050-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                                              | LCH OIS SOFRV3.5% MAC 12/17/28                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |  -508907000 | NC      | $2812572.03    | 0.01%             |  |  |  | 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        |       12574 | PA      | $12794.14      | 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        |    43849000 | PA      | $36084526.90   | 0.09%             | 2041-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 03/01/2049#BN5332                                                                  | CUSIP: 3140JM4S8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      979689 | PA      | $1011186.02    | 0.00%             | 2049-03-01      | 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        |     8072674 | PA      | $6899649.75    | 0.02%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 6/32 #648542                                                                           | CUSIP: 31390KP36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1395 | PA      | $1480.74       | 0.00%             | 2032-06-01      | Fixed         | 0.07%                 | 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        |    19262000 | PA      | $17600652.50   | 0.04%             | 2039-05-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| EXELON CORP                                                                        | EXELON CORP 2.75% 03/15/2027                                                                      | CUSIP: 30161NBB6<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |     6523000 | PA      | $6394668.65    | 0.02%             | 2027-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 21-M2S A3 VAR 10/25/2031                                           | CUSIP: 3136BJZQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      700000 | PA      | $613336.85     | 0.00%             | 2031-10-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 6/39 #714690                                                                           | CUSIP: 36297K7B1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1698 | PA      | $1746.93       | 0.00%             | 2039-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 05/01/2041#AI3147                                                                  | CUSIP: 3138AGP93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       10567 | PA      | $10577.55      | 0.00%             | 2041-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 03/01/2045#AY5719                                                                  | CUSIP: 3138YKK93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      191788 | PA      | $190944.26     | 0.00%             | 2045-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/28 #465988                                                                           | CUSIP: 36209AUM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         298 | PA      | $301.63        | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | 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        |      297663 | PA      | $297446.35     | 0.00%             | 2033-04-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 07/15/2043#AF1083                                                                  | CUSIP: 36181GFY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       27879 | PA      | $26220.31      | 0.00%             | 2043-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.00% 1/41#AH3161                                                                       | CUSIP: 3138A4QP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       29715 | PA      | $29015.80      | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 02/01/2043#AQ1281                                                                  | CUSIP: 3138MGM77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        8666 | PA      | $8002.79       | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/32 #587974                                                                           | CUSIP: 36201NFP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         584 | PA      | $594.84        | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 8/27 #452322                                                                           | CUSIP: 36208JPF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         578 | PA      | $578.53        | 0.00%             | 2027-08-15      | Fixed         | 0.07%                 | 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        |      148854 | PA      | $149094.08     | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | 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        |    12364312 | PA      | $11600573.06   | 0.03%             | 2046-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 4/29 #323645                                                                           | CUSIP: 31374TP60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          22 | PA      | $22.70         | 0.00%             | 2029-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BOFA AUTO TR 2024-1                                                                | BOFA AUTO TR 2024-1A A3 5.35% 11/15/2028 144A                                                     | CUSIP: 09709AAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     7012000 | PA      | $7081434.93    | 0.02%             | 2028-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/28 #427235                                                                           | CUSIP: 36207BSY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         233 | PA      | $236.13        | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | 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        |        7557 | PA      | $7419.31       | 0.00%             | 2040-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX 2024-CNYN                                                                       | BX 2024-CNYN TSFR1M+194.116 04/15/2041 144A                                                       | CUSIP: 05612HAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6100629 | PA      | $6108255.19    | 0.01%             | 2041-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| DCP MIDSTREAM OPERATING LP                                                         | DCP MIDSTREAM OPER LP 6.45% 11/03/2036 144A                                                       | CUSIP: 26439XAH6<br>LEI: 549300Y6CTBSE0QIPL28 | Long             | DBT              | CORP              | US        |    10621000 | PA      | $11205652.06   | 0.03%             | 2036-11-03      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/32 #584369                                                                           | CUSIP: 36201JFJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         465 | PA      | $479.87        | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 12/01/2042#AB7271                                                                  | CUSIP: 31417ECH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5633 | PA      | $5208.31       | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                        | ORACLE CORP 6.1% 09/26/2065                                                                       | CUSIP: 68389XDT9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    18241000 | PA      | $18207406.83   | 0.04%             | 2065-09-26      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.0% 04/01/2041#Q00409                                                                  | CUSIP: 3132GDN24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       34350 | PA      | $35058.90      | 0.00%             | 2041-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3% 04/20/2052#MA7988                                                                      | CUSIP: 36179W2V9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    24093065 | PA      | $21531894.69   | 0.05%             | 2052-04-20      | 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% 01/15/2033                                                      | CUSIP: 3137AXRF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       74999 | PA      | $4803.67       | 0.00%             | 2033-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 03/01/2041#AE1147                                                                  | CUSIP: 31419BHZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       56638 | PA      | $55206.54      | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 8/27 #443220                                                                           | CUSIP: 36207VK96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          30 | PA      | $29.57         | 0.00%             | 2027-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 11/40 #A95028                                                                          | CUSIP: 312943SR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       15666 | PA      | $15976.32      | 0.00%             | 2040-11-01      | Fixed         | 0.05%                 | 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        |      197817 | PA      | $193964.36     | 0.00%             | 2040-11-20      | Fixed         | 0.04%                 | 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        |     4477683 | PA      | $4485288.90    | 0.01%             | 2054-09-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.50% 10/34 #635855                                                                          | CUSIP: 36291RMC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       20121 | PA      | $20934.18      | 0.00%             | 2034-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 04/01/2043#Q16893                                                                  | CUSIP: 3132J8C73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       28371 | PA      | $26839.81      | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 12/01/2051#RA6579                                                                    | CUSIP: 3133KNJY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      190505 | PA      | $154469.39     | 0.00%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 10/01/2048#BK7888                                                                  | CUSIP: 3140HMXS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      373575 | PA      | $386519.92     | 0.00%             | 2048-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/28 #449952                                                                           | CUSIP: 36208FZR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         354 | PA      | $360.05        | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 01/01/2052#CB2539                                                                  | CUSIP: 3140QMZD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4533684 | PA      | $3879153.44    | 0.01%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 7/35 #826613                                                                           | CUSIP: 31407CK22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        8641 | PA      | $9059.66       | 0.00%             | 2035-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 7/35 #A36061                                                                           | CUSIP: 31297RWW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        2065 | PA      | $2102.88       | 0.00%             | 2035-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 11/41 #489787                                                                          | CUSIP: 36210ECY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      283269 | PA      | $268430.36     | 0.00%             | 2041-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/32 #582277                                                                           | CUSIP: 36201F2J5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        6599 | PA      | $6827.48       | 0.00%             | 2032-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 11/27 #313853                                                                          | CUSIP: 31374GTJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          49 | PA      | $49.54         | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 08/01/2043#AU3742                                                                  | CUSIP: 3138X3EQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4006 | PA      | $3795.01       | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 8/33 #726928                                                                           | CUSIP: 31402ESR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       26970 | PA      | $27060.16      | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 6.5% 8/31 #003120                                                                         | CUSIP: 36202DPD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         291 | PA      | $300.66        | 0.00%             | 2031-08-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 07/01/2052#FS5486                                                                  | CUSIP: 3140XMCY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4476159 | PA      | $4135599.79    | 0.01%             | 2052-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 5.5% 10/01/2055 #TBA                                                                    | CUSIP: 01F0526A5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   317275000 | PA      | $319914823.18  | 0.76%             | 2055-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6.5% 12/01/2053#SD4621                                                                  | CUSIP: 3132DSD25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2278212 | PA      | $2392295.51    | 0.01%             | 2053-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM 30YR 5.5% 11/01/2054#RJ2917                                                                  | CUSIP: 3142GTG34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    11631396 | PA      | $11761818.89   | 0.03%             | 2054-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.125% 10/31/2031                                                                       | CUSIP: 91282CLU3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   574600000 | PA      | $582994549.75  | 1.39%             | 2031-10-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 3/41 #750197                                                                           | CUSIP: 3620C6NN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3437 | PA      | $3428.15       | 0.00%             | 2041-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 10YR 2.5% 10/01/2029#MA3795                                                                  | CUSIP: 31418DGD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      278472 | PA      | $271993.49     | 0.00%             | 2029-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 3.5% 10/01/2035#AS6048                                                                  | CUSIP: 3138WFWJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      127233 | PA      | $123994.03     | 0.00%             | 2035-10-01      | Fixed         | 0.04%                 | 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        |     4151239 | PA      | $4236249.64    | 0.01%             | 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        |     8416000 | PA      | $8410724.85    | 0.02%             | 2039-12-15      | 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 4135 AB 1.75% 06/15/2042                                           | CUSIP: 3137AWAE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      175534 | PA      | $165191.76     | 0.00%             | 2042-06-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP I TR 2024-NSTB                                                  | MORGAN STANLEY CAP I TR 2024-NSTB A VAR 07/20/2032 144A                                           | CUSIP: 61690BAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    17861394 | PA      | $17568282.90   | 0.04%             | 2057-09-24      | Variable      | 0.04%                 | 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        |       65549 | PA      | $60280.22      | 0.00%             | 2043-06-15      | Fixed         | 0.03%                 | 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        |    18400710 | PA      | $18423700.30   | 0.04%             | 2040-12-09      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 10/27 #780651                                                                          | CUSIP: 36225AWL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1281 | PA      | $1292.97       | 0.00%             | 2027-10-15      | Fixed         | 0.07%                 | 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        |      161718 | PA      | $158323.49     | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 03/01/2044#V81065                                                                  | CUSIP: 3132L6FE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       28778 | PA      | $28767.26      | 0.00%             | 2044-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 03/01/2053#RA8778                                                                  | CUSIP: 3133KQXF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     8479230 | PA      | $8285569.97    | 0.02%             | 2053-03-01      | 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        |         486 | PA      | $497.76        | 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        |       31927 | PA      | $31083.00      | 0.00%             | 2039-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 5.00% 7/40 #AD9889                                                                           | CUSIP: 31418X7B8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       12961 | PA      | $13209.50      | 0.00%             | 2040-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 11/01/2040#V82091                                                                  | CUSIP: 3132L7KC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      428313 | PA      | $403729.71     | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 8.5% 05/01/2027#                                                                        | CUSIP: 31283GYN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |           7 | PA      | $6.89          | 0.00%             | 2027-05-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| HESS CORP                                                                          | HESS CORP 4.3% 04/01/2027                                                                         | CUSIP: 42809HAG2<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |    23059000 | PA      | $23135146.58   | 0.06%             | 2027-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 12/01/2040#A95413                                                                  | CUSIP: 312944AN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       42933 | PA      | $43031.87      | 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        |     2853545 | PA      | $2725778.96    | 0.01%             | 2052-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 04/01/2049#CA3384                                                                  | CUSIP: 3140QAXN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       85553 | PA      | $88303.56      | 0.00%             | 2049-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 12/27 #433517                                                                          | CUSIP: 36207JSE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          54 | PA      | $55.25         | 0.00%             | 2027-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 12/40 #AA4757                                                                          | CUSIP: 31416NJB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       85594 | PA      | $83694.79      | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 3.875% 08/15/2033                                                                       | CUSIP: 91282CHT1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  1134063000 | PA      | $1124671540.78 | 2.68%             | 2033-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 8.5% 05/01/2027#                                                                        | CUSIP: 31283GYU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          26 | PA      | $26.38         | 0.00%             | 2027-05-01      | Fixed         | 0.09%                 | 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        |       77188 | PA      | $77429.89      | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3% 05/20/2050#MA6656                                                                      | CUSIP: 36179VMD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1474678 | PA      | $1321025.51    | 0.00%             | 2050-05-20      | Fixed         | 0.03%                 | 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        |       30826 | PA      | $30694.11      | 0.00%             | 2062-12-20      | Variable      | 0.05%                 | 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        |      189130 | PA      | $197591.45     | 0.00%             | 2034-10-01      | Fixed         | 0.06%                 | 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        |     4160000 | PA      | $4093952.93    | 0.01%             | 2051-07-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/28 #463983                                                                           | CUSIP: 36208XM81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         353 | PA      | $358.91        | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 11/01/2042#AQ1886                                                                  | CUSIP: 3138MHCY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       21648 | PA      | $19883.29      | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | 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        |     7217556 | PA      | $6411117.23    | 0.02%             | 2051-01-01      | Fixed         | 0.03%                 | 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        |     3505579 | PA      | $3456909.48    | 0.01%             | 2040-09-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DELL INTERNATIONAL LLC / EMC CORP                                                  | DELL INTL/EMC CORP 4.15% 02/15/2029                                                               | CUSIP: 24703DBR1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    20070000 | PA      | $20021971.69   | 0.05%             | 2029-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 08/01/2035#                                                                          | CUSIP: 31297SW84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1165 | PA      | $1186.41       | 0.00%             | 2035-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 1/40 #A90893                                                                           | CUSIP: 3129387E7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      179451 | PA      | $183025.38     | 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        |     3042889 | PA      | $2973006.45    | 0.01%             | 2035-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/28 #436264                                                                           | CUSIP: 36207MTV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         112 | PA      | $113.87        | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 8/27 #353768                                                                           | CUSIP: 36203M6D7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         133 | PA      | $133.51        | 0.00%             | 2027-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 5/39 #670200                                                                           | CUSIP: 36295GRV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       21595 | PA      | $22230.69      | 0.00%             | 2039-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 04/01/2043#Q17578                                                                  | CUSIP: 3132J82L3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      325916 | PA      | $309582.32     | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-10-30

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

**Signature:** Laura M. Del Prato

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

**Title:** President and Treasurer