# EDGAR Filing Document

**Accession Number:** 0001738078
**File Stem:** 0001752724-23-039192
**Filing Date:** 2023-2
**Character Count:** 1324738
**Document Hash:** 590a24f6dadc0367f11f713c59e95075
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-039192.hdr.sgml**: 20230224

**ACCESSION NUMBER**: 0001752724-23-039192

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230224

**DATE AS OF CHANGE**: 20230224

**PERIOD START**: 20230930

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** BlackRock Funds V
- **CENTRAL INDEX KEY:** 0001738078
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0930

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-23339
- **FILM NUMBER:** 23665136

**BUSINESS ADDRESS:**
- **STREET 1:** 100 BELLEVUE PARKWAY
- **CITY:** WILMINGTON
- **STATE:** DE
- **ZIP:** 19809
- **BUSINESS PHONE:** 800-441-7762

**MAIL ADDRESS:**
- **STREET 1:** 100 BELLEVUE PARKWAY
- **CITY:** WILMINGTON
- **STATE:** DE
- **ZIP:** 19809

## Series and Classes Contracts Data

### BlackRock Core Bond Portfolio (Series ID: S000062362)

| Class ID   | Class Name           | Ticker Symbol   |
|:---|:---|:---|
| C000202289 | Investor A Shares    |  |
| C000202290 | Investor C Shares    |  |
| C000202291 | Institutional Shares |  |
| C000202292 | Class R Shares       |  |
| C000202293 | Class K Shares       |  |

## Nport-Ex

Schedule of Investments (unaudited)

December 01, 2023

BlackRock Core Bond Portfolio
(Percentages shown are based on Net Assets)

| Security | Fee (000) | Value | Security | Fee (000) | Value |
| --- | --- | --- | --- | --- | --- |
| Asset-Backed Securities |  |  | Asset-Backed Securities (continued) |  |  |
| KCC Funding OLD List *** |  |  | Anchorage Capital OLD 3TH List - Green |  |  |
| Schedule of Investments |  |  | 2018 2021, Class D, 1, 08/09 2022 3 Month 1 |  |  |
| Securities | 1,000.00 | 1,000.00 | 1,000.00 | 1,000.00 | 1,000.00 |
| Securities | 1,000.00 | 1,000.00 | 1,000.00 | 1,000.00 | 1,000.00 |
| Securities | 1,000.00 | 1,000.00 | 1,000.00 | 1,000.00 | 1,000.00 |
| Securities | 1,000.00 | 1,000.00 |  |  |  |
| Securities | 1,000.00 | 1,000.00 |  |  |  |
| Securities | 1,000.00 | 1,000.00 |  |  |  |
| Securities | 1,000.00 | 1,000.00 |  |  |  |

2

3

(unpublished) (continued)

December 01, 2023

| ACTRICS Commercial Funds Ltd. (Gross) | Pre. 2022 | 2021 | Amount (Gross) = 1.00% - 0.67% - 15.00% | Pre. 2022 | 2021 |
| --- | --- | --- | --- | --- | --- |
| AMERICAN TOBACCO (International) | 128 | 126,850 | AMERICAN TOBACCO (International) | 300 | 109,333 |
| AMERICAN TOBACCO (International) |  |  | AMERICAN TOBACCO (International) |  |  |
| AMERICAN TOBACCO (International) |  |  | AMERICAN TOBACCO (International) |  |  |
| Group (Gross) of A.M. & M. (Gross) = 1.00% | 1,730 | 1,684,920 | AMERICAN TOBACCO (International) | 420 | 413,345 |
| AMERICAN TOBACCO (International) | 100 | 100,000 | AMERICAN TOBACCO (International) | 1,000 | 1,000,000 |
| AMERICAN TOBACCO (International) |  |  | AMERICAN TOBACCO (International) |  |  |
| AMERICAN TOBACCO (International) |  |  | AMERICAN TOBACCO (International) | 250 | 240,000 |
| AMERICAN TOBACCO (International) |  |  | AMERICAN TOBACCO (International) | 1,000 | 1,000,000 |

Schedule of Investments

(unaudited) (continued)

BlackRock Core Bond Portfolio

(Percentages shown are based on last 6 years)

December 31, 2012[{"box_2d": [5, 36, 477, 91], "label": "table", "caption": "

| Description | 1,000 | 1,000,000 | Percentage Change (in % of Total) (Note: 1% of Total) | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |
| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |
| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

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| --- | --- | --- | --- | --- | --- |

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| --- | --- | --- | --- | --- | --- |

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| --- | --- | --- | --- | --- | --- |

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| --- | --- | --- | --- | --- | --- |

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| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

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| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Prepaid Stock | 1,000 | 1,000,000 | 1.0% | 1,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

<table><tr><td>Prepaid Stock</td><td>1,000</td><td>1,000,000</td><td>1.0%</td

# Schedule of Investments

(unaudited) (continued)

# BlackRock Core Bond Portfolio

(Percentages shown are based on last 4 years)

December 31, 2022[{"box_2d": [0, 32, 476, 92], "label": "table", "caption": "

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

| Description | 1st Quarter | 2nd Quarter | 3rd Quarter |
| --- | --- | --- | --- |
| Cash and cash equivalents at end of year | 1,000 | 1,000,000 | 1,000 |

<table><thead><tr><th>Description</th

# Schedule of Investments

(unaudited) (continued)

# BlackRock Core Bond Portfolio
(Percentages shown are based on fact sheets)

December 31, 2012

| Description | Amount | Amount |
| --- | --- | --- |
| 1. Stockholders' Equity | 1,000 | 1,000,000 |
| 2. Stockholders' Equity | 1,000 | 1,000,000 |
| 3. Stockholders' Equity | 1,000 | 1,000,000 |
| 4. Stockholders' Equity | 1,000 | 1,000,000 |
| 5. Stockholders' Equity | 1,000 | 1,000,000 |
| 6. Stockholders' Equity | 1,000 | 1,000,000 |
| 7. Stockholders' Equity | 1,000 | 1,000,000 |
| 8. Stockholders' Equity | 1,000 | 1,000,000 |
| 9. Stockholders' Equity | 1,000 | 1,000,000 |
| 10. Stockholders' Equity | 1,000 | 1,000,000 |

6

Schedule of Investments

(unaudited) (continued)

BlackRock Core Bond Portfolio

(Percentages shown are based on last 4 years)

December 31, 2012

| 1. 2017年1月1日,公司实现营业收入3,456.9万元,较2016年增长10.4% | 1,000,000.00 | 1,000,000.00 | 1,000,000.00 | 1,000,000.00 |
| --- | --- | --- | --- | --- |
| 2. 2017年1月2日,公司实现营业收入3,456.9万元,较2016年增长10.4% | 1,000,000.00 | 1,000,000.00 | 1,000,000.00 | 1,000,000.00 |
| 3. 2017年1月3日,公司实现营业收入3,456.9万元,较2016年增长10.4% | 1,000,000.00 | 1,000,000.00 | 1,000,000.00 | 1,000,000.00 |
| 4. 2017年1月4日,公司实现营业收入3,456.9万元,较2016年增长10.4% | 1,000,000.00 | 1,000,000.00 | 1,000,000.00 | 1,000,000.00 |
| 5. 2017年1月5日,公司实现营业收入3,456.9万元,较2016年增长10.4% | 1,000,000.00 | 1,000,000.00 | 1,000,000.00 | 1,000,000.00 |
| 6. 2017年1月6日,公司实现营业收入3,456.9万元,较2016年增长10.4% | 1,000,000.00 | 1,000,000.00 | 1,000,000.00 | 1,000,000.00 |
| 7. 2017年1月7日,公司实现营业收入3,456.9万元,较2016年增长10.4% | 1,000,000.00 | 1,000,000.00 | 1,000,000.00 | 1,000,000.00 |
| 8. 2017年1月8日,公司实现营业收入3,456.9万元,较2016年增长10.4% | 1,000,000.00 | 1,000,000.00 | 1,000,000.00 | 1,000,000.00 |
| 9. 2017年1月9日,公司实现营业收入3,456.9万元,较2016年增长10.4% | 1,000,000.00 | 1,000,000.00 | 1,000,000.00 | 1,000,000.00 |
| 10. 2017年1月10日,公司实现营业收入3,456.9万元,较2016年增长10.4% | 1,000,000.00 | 1,000,000.00 | 1,000,000.00 | 1,000,000.00 |
| 11. 2017年1月11日,公司实现营业收入3,456.9万元,较2016年增长10.4% | 1,000,000.00 | 1,000,000.00 | 1,000,000.00 | 1,000,000.00 |
| 12. 2017年1月12日,公司实现营业收入3,456.9万元,较2016年增长10.4% | 1,000,000.00 | 1,000,000.00 | 1,000,000.00 | 1,000,000.00 |
| 13. 2017年1月13日,公司实现营业收入3,456.9万元,较2016年增长10.4% | 1,000,000.00 | 1,000,000.00 | 1,000,000.00 | 1,000,000.00 |
| 14. 2017年1月14日,公司实现营业收入3,456.9万元,较2016年增长10.4% | 1,000,000.00 | 1,000,000.00 | 1,000,000.00 | 1,000,000.00 |
| 15. 2017年1月15日,公司实现营业收入3,456.9万元,较2016年增长10.4% | 1,000,000.00 | 1,000,000.00 | 1,000,000.00 | 1,000,000.00 |
| 16. 2017年1月16日,公司实现营业收入3,456.9万元,较2016年增长10.4% | 1,000,000.00 | 1,000,000.00 | 1,000,000.00 | 1,000,000.00 |
| 17. 2017年1月17日,公司实现营业收入3,456.9万元,较2016年增长10.4% | 1,000,000.00 | 1,000,000.00 | 1,000,000.00 | 1,000,000.00 |
| 18. 2017年1月18日,公司实现营业收入3,456.9万元,较2016年增长10.4% | 1,000,000.00 | 1,000,000.00 | 1,000,000.00 | 1,000,000.00 |
| 19. 2017年1月19日,公司实现营业收入3,456.9万元,较2016年增长10.4% | 1,000,000.00 | 1,000,000.00 | 1,000,000.00 | 1,000,000.00 |
| 20. 2017年1月20日,公司实现营业收入3,456.9万元,较2016年增长10.4% | 1,000,000.00 | 1,000,000.00 | 1,000,000.00 | 1,000,000.00 |

7

# Schedule of Investments

(unaudited) (continued)

# BlackRock Core Bond Portfolio
(Percentages shown are based on last 6 years)

December 31, 2022

| 1. 2023 | 1,871.50 | 1. 2022 | 1. 2021 |
| --- | --- | --- | --- |
| 2. 2022 | 1,871.50 | 2. 2021 | 2. 2020 |
| 3. 2021 | 1,871.50 | 3. 2020 | 3. 2019 |
| 4. 2020 | 1,871.50 | 4. 2019 | 4. 2018 |
| 5. 2019 | 1,871.50 | 5. 2018 | 5. 2017 |
| 6. 2018 | 1,871.50 | 6. 2017 | 6. 2016 |
| 7. 2017 | 1,871.50 | 7. 2016 | 7. 2015 |
| 8. 2016 | 1,871.50 | 8. 2015 | 8. 2014 |
| 9. 2015 | 1,871.50 | 9. 2014 | 9. 2013 |
| 10. 2014 | 1,871.50 | 10. 2013 | 10. 2012 |
| 11. 2013 | 1,871.50 | 11. 2012 | 11. 2011 |
| 12. 2012 | 1,871.50 | 12. 2011 | 12. 2010 |
| 13. 2011 | 1,871.50 | 13. 2010 | 13. 2009 |
| 14. 2010 | 1,871.50 | 14. 2009 | 14. 2008 |
| 15. 2009 | 1,871.50 | 15. 2008 | 15. 2007 |
| 16. 2008 | 1,871.50 | 16. 2007 | 16. 2006 |
| 17. 2007 | 1,871.50 | 17. 2006 | 17. 2005 |
| 18. 2006 | 1,871.50 | 18. 2005 | 18. 2004 |
| 19. 2005 | 1,871.50 | 19. 2004 | 19. 2003 |
| 20. 2004 | 1,871.50 | 20. 2003 | 20. 2002 |
| 21. 2003 | 1,871.50 | 21. 2002 | 21. 2001 |
| 22. 2002 | 1,871.50 | 22. 2001 | 22. 2000 |
| 23. 2001 | 1,871.50 | 23. 2000 | 23. 2009 |
| 24. 2000 | 1,871.50 | 24. 2009 | 24. 2008 |
| 25. 2009 | 1,871.50 | 25. 2008 | 25. 2007 |
| 26. 2008 | 1,871.50 | 26. 2007 | 26. 2006 |
| 27. 2007 | 1,871.50 | 27. 2006 | 27. 2005 |
| 28. 2006 | 1,871.50 | 28. 2005 | 28. 2004 |
| 29. 2005 | 1,871.50 | 29. 2004 | 29. 2003 |
| 30. 2004 | 1,871.50 | 30. 2003 | 30. 2002 |
| 31. 2003 | 1,871.50 | 31. 2002 | 31. 2001 |
| 32. 2002 | 1,871.50 | 32. 2001 | 32. 2000 |
| 33. 2001 | 1,871.50 | 33. 2000 | 33. 2009 |
| 34. 2000 | 1,871.50 | 34. 2009 | 34. 2008 |
| 35. 2009 | 1,871.50 | 35. 2008 | 35. 2007 |
| 36. 2008 | 1,871.50 | 36. 2007 | 36. 2006 |
| 37. 2007 | 1,871.50 | 37. 2006 | 37. 2005 |
| 38. 2006 | 1,871.50 | 38. 2005 | 38. 2004 |
| 39. 2005 | 1,871.50 | 39. 2004 | 39. 2003 |
| 40. 2004 | 1,871.50 | 40. 2003 | 40. 2002 |
| 41. 2003 | 1,871.50 | 41. 2002 | 41. 2001 |
| 42. 2002 | 1,871.50 | 42. 2001 | 42. 2000 |
| 43. 2001 | 1,871.50 | 43. 2000 | 43. 2009 |
| 44. 2000 | 1,871.50 | 44. 2009 | 44. 2008 |
| 45. 2009 | 1,871.50 | 45. 2008 | 45. 2007 |
| 46. 2008 | 1,871.50 | 46. 2007 | 46. 2006 |
| 47. 2007 | 1,871.50 | 47. 2006 | 47. 2005 |
| 48. 2006 | 1,871.50 | 48. 2005 | 48. 2004 |
| 49. 2005 | 1,871.50 | 49. 2004 | 49. 2003 |
| 50. 2004 | 1,871.50 | 50. 2003 | 50. 2002 |
| 51. 2003 | 1,871.50 | 51. 2002 | 51. 2001 |
| 52. 2002 | 1,871.50 | 52. 2001 | 52. 2000 |
| 53. 2001 | 1,871.50 | 53. 2000 | 53. 2009 |
| 54. 2000 | 1,871.50 | 54. 2009 | 54. 2008 |
| 55. 2009 | 1,871.50 | 55. 2008 | 55. 2007 |
| 56. 2008 | 1,871.50 | 56. 2007 | 56. 2006 |
| 57. 2007 | 1,871.50 | 57. 2006 | 57. 2005 |
| 58. 2006 | 1,871.50 | 58. 2005 | 58. 2004 |
| 59. 2005 | 1,871.50 | 59. 2004 | 59. 2003 |
| 60. 2004 | 1,871.50 | 60. 2003 | 60. 2002 |
| 61. 2003 | 1,871.50 | 61. 2002 | 61. 2001 |
| 62. 2002 | 1,871.50 | 62. 2001 | 62. 2000 |
| 63. 2001 | 1,871.50 | 63. 2000 | 63. 2009 |
| 64. 2000 | 1,871.50 | 64. 2009 | 64. 2008 |
| 65. 2009 | 1,871.50 | 65. 2008 | 65. 2007 |
| 66. 2008 | 1,871.50 | 66. 2007 | 66. 2006 |
| 67. 2007 | 1,871.50 | 67. 2006 | 67. 2005 |
| 68. 2006 | 1,871.50 | 68. 2005 | 68. 2004 |
| 69. 2005 | 1,871.50 | 69. 2004 | 69. 2003 |
| 70. 2004 | 1,871.50 | 70. 2003 | 70. 2002 |
| 71. 2003 | 1,871.50 | 71. 2002 | 71. 2001 |
| 72. 2002 | 1,871.50 | 72. 2001 | 72. 2000 |
| 73. 2001 | 1,871.50 | 73. 2000 | 73. 2009 |
| 74. 2000 | 1,871.50 | 74. 2009 | 74. 2008 |
| 75. 2009 | 1,871.50 | 75. 2008 | 75. 2007 |
| 76. 2008 | 1,871.50 | 76. 2007 | 76. 2006 |
| 77. 2007 | 1,871.50 | 77. 2006 | 77. 2005 |
| 78. 2006 | 1,871.50 | 78. 2005 | 78. 2004 |
| 79. 2005 | 1,871.50 | 79. 2004 | 79. 2003 |
| 80. 2004 | 1,871.50 | 80. 2003 | 80. 2002 |
| 81. 2003 | 1,871.50 | 81. 2002 | 81. 2001 |
| 82. 2002 | 1,871.50 | 82. 2001 | 82. 2000 |
| 83. 2001 | 1,871.50 | 83. 2000 | 83. 2009 |
| 84. 2000 | 1,871.50 | 84. 2009 | 84. 2008 |
| 85. 2009 | 1,871.50 | 85. 2008 | 85. 2007 |
| 86. 2008 | 1,871.50 | 86. 2007 | 86. 2006 |
| 87. 2007 | 1,871.50 | 87. 2006 | 87. 2005 |
| 88. 2006 | 1,871.50 | 88. 2005 | 88. 2004 |
| 89. 2005 | 1,871.50 | 89. 2004 | 89. 2003 |
| 90. 2004 | 1,871.50 | 90. 2003 | 90. 2002 |
| 91. 2003 | 1,871.50 | 91. 2002 | 91. 2001 |
| 92. 2002 | 1,871.50 | 92. 2001 | 92. 2000 |
| 93. 2001 | 1,871.50 | 93. 2000 | 93. 2009 |
| 94. 2000 | 1,871.50 | 94. 2009 | 94. 2008 |
| 95. 2009 | 1,871.50 | 95. 2008 | 95. 2007 |
| 96. 2008 | 1,871.50 | 96. 2007 | 96. 2006 |
| 97. 2007 | 1,871.50 | 97. 2006 | 97. 2005 |
| 98. 2006 | 1,871.50 | 98. 2005 | 98. 2004 |
| 99. 2005 | 1,871.50 | 99. 2004 | 99. 2003 |
| 100. 2004 | 1,871.50 | 100. 2003 | 100. 2002 |

6

Schedule of Investments

(unaudited) (continued)

BlackRock Core Bond Portfolio

(Percentages shown are based on last 6 months)

December 31, 2012

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |
| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| 1,000 | 1,000,000 | 1,000 | 1,000,000 |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |
| 1,000 | 1,000,000 | 1,000 | 1,000,000 |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |
| 1,000 | 1,000,000 | 1,000 | 1,000,000 |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

</table>

| 1,000 | 1,000,000 | 1,000 | 1,000,000 |
| --- | --- | --- | --- |

9

Schedule of Investments

(unaudited) (continued)

BlackRock Core Bond Portfolio
(Percentages shown are based on last 6 years)

December 31, 2022[{"box_2d": [0, 34, 476, 93], "label": "table", "caption": "

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |
| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| 1.000 | 1,000,000 | 1.000 | 1,000,000 |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |
| 1.000 | 1,000,000 | 1.000 | 1,000,000 |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |
| 1.000 | 1,000,000 | 1.000 | 1,000,000 |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

| 1.000 | 1,000,000 | 1.000 | 1,000,000 |
| --- | --- | --- | --- |

<table><tr><td>1.000</td><td>1,000,000</td><td>1.000</td><td>1,000,000</td></tr></

Schedule of Investments

(unaudited) (continued)

BlackRock Core Bond Portfolio

(Percentages shown are based on last 4 years)

December 31, 2012

| Description | Amount | Rate |
| --- | --- | --- |
| Stockholders' equity | 1,000,000.00 | 1.00% |
| Stockholders' equity | 1,000,000.00 | 1.00% |
| Stockholders' equity | 1,000,000.00 | 1.00% |
| Stockholders' equity | 1,000,000.00 | 1.00% |
| Stockholders' equity | 1,000,000.00 | 1.00% |

ii

Schedule of Investments

(unaudited) (continued)

BlackRock Core Bond Portfolio
(Percentages shown are based on last 6 years)

December 31, 2012[{"box_2d": [0, 34, 476, 92], "label": "table", "caption": "

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |
| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |
| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
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| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
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| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
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| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
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| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
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| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
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| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
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| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
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| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
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| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
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| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
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| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
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| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
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| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |

<table><tr><td>1. 2013</td><td>1. 2014</td><td>1. 2015</td><td>1. 2016</td><td>1. 2017</td><td>1. 2018</td><td>1. 2019</td><td>1.

# Schedule of Investments

(unaudited) (continued)

# BlackRock Core Bond Portfolio

(Percentages shown are based on last 4 years)

December 31, 2012

| 1.00 | 1.00 | 1.00 | 1.00 |
| --- | --- | --- | --- |
| 1.00 | 1.00 | 1.00 | 1.00 |
| 1.00 | 1.00 | 1.00 | 1.00 |
| 1.00 | 1.00 | 1.00 | 1.00 |
| 1.00 | 1.00 | 1.00 | 1.00 |

13

Schedule of Investments

(unaudited) (continued)

BlackRock Core Bond Portfolio
(Percentages shown are based on last 6 years)

December 31, 2012

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 |
| --- | --- | --- | --- | --- |
| 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 |
| 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 |
| 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 | 1. 2021 |
| 1. 2018 | 1. 2019 | 1. 2020 | 1. 2021 | 1. 2022 |
| 1. 2019 | 1. 2020 | 1. 2021 | 1. 2022 | 1. 2023 |
| 1. 2020 | 1. 2021 | 1. 2022 | 1. 2023 | 1. 2024 |
| 1. 2021 | 1. 2022 | 1. 2023 | 1. 2024 | 1. 2025 |
| 1. 2022 | 1. 2023 | 1. 2024 | 1. 2025 | 1. 2026 |
| 1. 2023 | 1. 2024 | 1. 2025 | 1. 2026 | 1. 2027 |
| 1. 2024 | 1. 2025 | 1. 2026 | 1. 2027 | 1. 2028 |
| 1. 2025 | 1. 2026 | 1. 2027 | 1. 2028 | 1. 2029 |
| 1. 2026 | 1. 2027 | 1. 2028 | 1. 2029 | 1. 2030 |
| 1. 2027 | 1. 2028 | 1. 2029 | 1. 2030 | 1. 2031 |
| 1. 2028 | 1. 2029 | 1. 2030 | 1. 2031 | 1. 2032 |
| 1. 2029 | 1. 2030 | 1. 2031 | 1. 2032 | 1. 2033 |
| 1. 2030 | 1. 2031 | 1. 2032 | 1. 2033 | 1. 2034 |
| 1. 2031 | 1. 2032 | 1. 2033 | 1. 2034 | 1. 2035 |
| 1. 2032 | 1. 2033 | 1. 2034 | 1. 2035 | 1. 2036 |
| 1. 2033 | 1. 2034 | 1. 2035 | 1. 2036 | 1. 2037 |
| 1. 2034 | 1. 2035 | 1. 2036 | 1. 2037 | 1. 2038 |
| 1. 2035 | 1. 2036 | 1. 2037 | 1. 2038 | 1. 2039 |
| 1. 2036 | 1. 2037 | 1. 2038 | 1. 2039 | 1. 2040 |
| 1. 2037 | 1. 2038 | 1. 2039 | 1. 2040 | 1. 2041 |
| 1. 2038 | 1. 2039 | 1. 2040 | 1. 2041 | 1. 2042 |
| 1. 2039 | 1. 2040 | 1. 2041 | 1. 2042 | 1. 2043 |
| 1. 2040 | 1. 2041 | 1. 2042 | 1. 2043 | 1. 2044 |
| 1. 2041 | 1. 2042 | 1. 2043 | 1. 2044 | 1. 2045 |
| 1. 2042 | 1. 2043 | 1. 2044 | 1. 2045 | 1. 2046 |
| 1. 2043 | 1. 2044 | 1. 2045 | 1. 2046 | 1. 2047 |
| 1. 2044 | 1. 2045 | 1. 2046 | 1. 2047 | 1. 2048 |
| 1. 2045 | 1. 2046 | 1. 2047 | 1. 2048 | 1. 2049 |
| 1. 2046 | 1. 2047 | 1. 2048 | 1. 2049 | 1. 2050 |
| 1. 2047 | 1. 2048 | 1. 2049 | 1. 2050 | 1. 2051 |
| 1. 2048 | 1. 2049 | 1. 2050 | 1. 2051 | 1. 2052 |
| 1. 2049 | 1. 2050 | 1. 2051 | 1. 2052 | 1. 2053 |
| 1. 2050 | 1. 2051 | 1. 2052 | 1. 2053 | 1. 2054 |
| 1. 2051 | 1. 2052 | 1. 2053 | 1. 2054 | 1. 2055 |
| 1. 2052 | 1. 2053 | 1. 2054 | 1. 2055 | 1. 2056 |
| 1. 2053 | 1. 2054 | 1. 2055 | 1. 2056 | 1. 2057 |
| 1. 2054 | 1. 2055 | 1. 2056 | 1. 2057 | 1. 2058 |
| 1. 2055 | 1. 2056 | 1. 2057 | 1. 2058 | 1. 2059 |
| 1. 2056 | 1. 2057 | 1. 2058 | 1. 2059 | 1. 2060 |
| 1. 2057 | 1. 2058 | 1. 2059 | 1. 2060 | 1. 2061 |
| 1. 2058 | 1. 2059 | 1. 2060 | 1. 2061 | 1. 2062 |
| 1. 2059 | 1. 2060 | 1. 2061 | 1. 2062 | 1. 2063 |
| 1. 2060 | 1. 2061 | 1. 2062 | 1. 2063 | 1. 2064 |
| 1. 2061 | 1. 2062 | 1. 2063 | 1. 2064 | 1. 2065 |
| 1. 2062 | 1. 2063 | 1. 2064 | 1. 2065 | 1. 2066 |
| 1. 2063 | 1. 2064 | 1. 2065 | 1. 2066 | 1. 2067 |
| 1. 2064 | 1. 2065 | 1. 2066 | 1. 2067 | 1. 2068 |
| 1. 2065 | 1. 2066 | 1. 2067 | 1. 2068 | 1. 2069 |
| 1. 2066 | 1. 2067 | 1. 2068 | 1. 2069 | 1. 2070 |
| 1. 2067 | 1. 2068 | 1. 2069 | 1. 2070 | 1. 2071 |
| 1. 2068 | 1. 2069 | 1. 2070 | 1. 2071 | 1. 2072 |
| 1. 2069 | 1. 2070 | 1. 2071 | 1. 2072 | 1. 2073 |
| 1. 2070 | 1. 2071 | 1. 2072 | 1. 2073 | 1. 2074 |
| 1. 2071 | 1. 2072 | 1. 2073 | 1. 2074 | 1. 2075 |
| 1. 2072 | 1. 2073 | 1. 2074 | 1. 2075 | 1. 2076 |
| 1. 2073 | 1. 2074 | 1. 2075 | 1. 2076 | 1. 2077 |
| 1. 2074 | 1. 2075 | 1. 2076 | 1. 2077 | 1. 2078 |
| 1. 2075 | 1. 2076 | 1. 2077 | 1. 2078 | 1. 2079 |
| 1. 2076 | 1. 2077 | 1. 2078 | 1. 2079 | 1. 2080 |
| 1. 2077 | 1. 2078 | 1. 2079 | 1. 2080 | 1. 2081 |
| 1. 2078 | 1. 2079 | 1. 2080 | 1. 2081 | 1. 2082 |
| 1. 2079 | 1. 2080 | 1. 2081 | 1. 2082 | 1. 2083 |
| 1. 2080 | 1. 2081 | 1. 2082 | 1. 2083 | 1. 2084 |
| 1. 2081 | 1. 2082 | 1. 2083 | 1. 2084 | 1. 2085 |
| 1. 2082 | 1. 2083 | 1. 2084 | 1. 2085 | 1. 2086 |
| 1. 2083 | 1. 2084 | 1. 2085 | 1. 2086 | 1. 2087 |
| 1. 2084 | 1. 2085 | 1. 2086 | 1. 2087 | 1. 2088 |
| 1. 2085 | 1. 2086 | 1. 2087 | 1. 2088 | 1. 2089 |
| 1. 2086 | 1. 2087 | 1. 2088 | 1. 2089 | 1. 2090 |
| 1. 2087 | 1. 2088 | 1. 2089 | 1. 2090 | 1. 2091 |
| 1. 2088 | 1. 2089 | 1. 2090 | 1. 2091 | 1. 2092 |
| 1. 2089 | 1. 2090 | 1. 2091 | 1. 2092 | 1. 2093 |
| 1. 2090 | 1. 2091 | 1. 2092 | 1. 2093 | 1. 2094 |
| 1. 2091 | 1. 2092 | 1. 2093 | 1. 2094 | 1. 2095 |
| 1. 2092 | 1. 2093 | 1. 2094 | 1. 2095 | 1. 2096 |
| 1. 2093 | 1. 2094 | 1. 2095 | 1. 2096 | 1. 2097 |
| 1. 2094 | 1. 2095 | 1. 2096 | 1. 2097 | 1. 2098 |
| 1. 2095 | 1. 2096 | 1. 2097 | 1. 2098 | 1. 2099 |
| 1. 2096 | 1. 2097 | 1. 2098 | 1. 2099 | 1. 2100 |

14

# Schedule of Investments

(unaudited) (continued)

# BlackRock Core Bond Portfolio
(Percentages shown are based on last 4 years)

December 31, 2012

| 1 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 |
| --- | --- | --- | --- | --- | --- |
| 2 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 |
| 3 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 |
| 4 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 |
| 5 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 |
| 6 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 |
| 7 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 |
| 8 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 |
| 9 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 |
| 10 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 |

15

Schedule of Investments

(unaudited) (continued)

BlackRock Core Bond Portfolio
(Percentages shown are based on last 6 years)

December 31, 2022

| Corporate Shareholders' Equity | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 |
| --- | --- | --- | --- | --- | --- |
| Corporate Shareholders' Equity | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 |
| Corporate Shareholders' Equity | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 |
| Corporate Shareholders' Equity | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 |

16

# Schedule of Investments

(unaudited) (continued)

# BlackRock Core Bond Portfolio
(Percentages shown are based on last 4 years)

December 31, 2022[{"box_2d": [0, 32, 476, 93], "label": "table", "caption": "

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |
| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |
| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |
| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |
| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |
| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |
| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |
| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

| Cashflows | 1.0% | 1.0% | Cashflows | 1.0% | 1.0% |
| --- | --- | --- | --- | --- | --- |

<table><tr><td>Cashflows</td><td>1.0%</td><td>1.0

Schedule of Investments

(unaudited) (continued)

BlackRock Core Bond Portfolio
(Percentages shown are based on last 6 years)

December 31, 2022

| 2nd Qtr. 2022 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 |
| --- | --- | --- | --- | --- | --- |
| 2nd Qtr. 2021 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 |
| 2nd Qtr. 2020 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 |
| 2nd Qtr. 2019 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 |
| 2nd Qtr. 2018 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 |
| 2nd Qtr. 2017 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 |
| 2nd Qtr. 2016 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 |
| 2nd Qtr. 2015 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 |
| 2nd Qtr. 2014 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 |
| 2nd Qtr. 2013 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 |
| 2nd Qtr. 2012 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 |
| 2nd Qtr. 2011 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 |
| 2nd Qtr. 2010 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 |

18

Schedule of Investments

(unaudited) (continued)

BlackRock Core Bond Portfolio

(Percentages shown are based on last 6 years)

December 31, 2012

![img-0.jpeg](img-0.jpeg)

10

Schedule of Investments

(unaudited) (continued)

BlackRock Core Bond Portfolio
(Percentages shown are based on last 6 years)

December 31, 2012

| 1. 2. 3. 4. 5. 6. 7. 8. 9. 10. 11. 12. 13. 14. 15. 16. 17. 18. 19. 20. 21. 22. 23. 24. 25. 26. 27. 28. 29. 30. 31. 32. 33. 34. 35. 36. 37. 38. 39. 40. 41. 42. 43. 44. 45. 46. 47. 48. 49. 50. 51. 52. 53. 54. 55. 56. 57. 58. 59. 60. 61. 62. 63. 64. 65. 66. 67. 68. 69. 70. 71. 72. 73. 74. 75. 76. 77. 78. 79. 80. 81. 82. 83. 84. 85. 86. 87. 88. 89. 90. 91. 92. 93. 94. 95. 96. 97. 98. 99. 100. 101. 102. 103. 104. 105. 106. 107. 108. 109. 110. 111. 112. 113. 114. 115. 116. 117. 118. 119. 120. 121. 122. 123. 124. 125. 126. 127. 128. 129. 130. 131. 132. 133. 134. 135. 136. 137. 138. 139. 140. 141. 142. 143. 144. 145. 146. 147. 148. 149. 150. 151. 152. 153. 154. 155. 156. 157. 158. 159. 160. 161. 162. 163. 164. 165. 166. 167. 168. 169. 170. 171. 172. 173. 174. 175. 176. 177. 178. 179. 180. 181. 182. 183. 184. 185. 186. 187. 188. 189. 190. 191. 192. 193. 194. 195. 196. 197. 198. 199. 200. 201. 202. 203. 204. 205. 206. 207. 208. 209. 210. 211. 212. 213. 214. 215. 216. 217. 218. 219. 220. 221. 222. 223. 224. 225. 226. 227. 228. 229. 230. 231. 232. 233. 234. 235. 236. 237. 238. 239. 240. 241. 242. 243. 244. 245. 246. 247. 248. 249. 250. 251. 252. 253. 254. 255. 256. 257. 258. 259. 260. 261. 262. 263. 264. 265. 266. 267. 268. 269. 270. 271. 272. 273. 274. 275. 276. 277. 278. 279. 280. 281. 282. 283. 284. 285. 286. 287. 288. 289. 290. 291. 292. 293. 294. 295. 296. 297. 298. 299. 300. 301. 302. 303. 304. 305. 306. 307. 308. 309. 310. 311. 312. 313. 314. 315. 316. 317. 318. 319. 320. 321. 322. 323. 324. 325. 326. 327. 328. 329. 330. 331. 332. 333. 334. 335. 336. 337. 338. 339. 340. 341. 342. 343. 344. 345. 346. 347. 348. 349. 350. 351. 352. 353. 354. 355. 356. 357. 358. 359. 360. 361. 362. 363. 364. 365. 366. 367. 368. 369. 370. 371. 372. 373. 374. 375. 376. 377. 378. 379. 380. 381. 382. 383. 384. 385. 386. 387. 388. 389. 390. 391. 392. 393. 394. 395. 396. 397. 398. 399. 400. 401. 402. 403. 404. 405. 406. 407. 408. 409. 410. 411. 412. 413. 414. 415. 416. 417. 418. 419. 420. 421. 422. 423. 424. 425. 426. 427. 428. 429. 430. 431. 432. 433. 434. 435. 436. 437. 438. 439. 440. 441. 442. 443. 444. 445. 446. 447. 448. 449. 450. 451. 452. 453. 454. 455. 456. 457. 458. 459. 460. 461. 462. 463. 464. 465. 466. 467. 468. 469. 470. 471. 472. 473. 474. 475. 476. 477. 478. 479. 480. 481. 482. 483. 484. 485. 486. 487. 488. 489. 490. 491. 492. 493. 494. 495. 496. 497. 498. 499. 500. 501. 502. 503. 504. 505. 506. 507. 508. 509. 510. 511. 512. 513. 514. 515. 516. 517. 518. 519. 520. 521. 522. 523. 524. 525. 526. 527. 528. 529. 530. 531. 532. 533. 534. 535. 536. 537. 538. 539. 540. 541. 542. 543. 544. 545. 546. 547. 548. 549. 550. 551. 552. 553. 554. 555. 556. 557. 558. 559. 560. 561. 562. 563. 564. 565. 566. 567. 568. 569. 570. 571. 572. 573. 574. 575. 576. 577. 578. 579. 580. 581. 582. 583. 584. 585. 586. 587. 588. 589. 590. 591. 592. 593. 594. 595. 596. 597. 598. 599. 600. 601. 602. 603. 604. 605. 606. 607. 608. 609. 610. 611. 612. 613. 614. 615. 616. 617. 618. 619. 620. 621. 622. 623. 624. 625. 626. 627. 628. 629. 630. 631. 632. 633. 634. 635. 636. 637. 638. 639. 640. 641. 642. 643. 644. 645. 646. 647. 648. 649. 650. 651. 652. 653. 654. 655. 656. 657. 658. 659. 660. 661. 662. 663. 664. 665. 666. 667. 668. 669. 670. 671. 672. 673. 674. 675. 676. 677. 678. 679. 680. 681. 682. 683. 684. 685. 686. 687. 688. 689. 690. 691. 692. 693. 694. 695. 696. 697. 698. 699. 700. 701. 702. 703. 704. 705. 706. 707. 708. 709. 710. 711. 712. 713. 714. 715. 716. 717. 718. 719. 720. 721. 722. 723. 724. 725. 726. 727. 728. 729. 730. 731. 732. 733. 734. 735. 736. 737. 738. 739. 740. 741. 742. 743. 744. 745. 746. 747. 748. 749. 750. 751. 752. 753. 754. 755. 756. 757. 758. 759. 760. 761. 762. 763. 764. 765. 766. 767. 768. 769. 770. 771. 772. 773. 774. 775. 776. 777. 778. 779. 780. 781. 782. 783. 784. 785. 786. 787. 788. 789. 790. 791. 792. 793. 794. 795. 796. 797. 798. 799. 800. 801. 802. 803. 804. 805. 806. 807. 808. 809. 810. 811. 812. 813. 814. 815. 816. 817. 818. 819. 820. 821. 822. 823. 824. 825. 826. 827. 828. 829. 830. 831. 832. 833. 834. 835. 836. 837. 838. 839. 840. 841. 842. 843. 844. 845. 846. 847. 848. 849. 850. 851. 852. 853. 854. 855. 856. 857. 858. 859. 860. 861. 862. 863. 864. 865. 866. 867. 868. 869. 870. 871. 872. 873. 874. 875. 876. 877. 878. 879. 880. 881. 882. 883. 884. 885. 886. 887. 888. 889. 890. 891. 892. 893. 894. 895. 896. 897. 898. 899. 900. 901. 902. 903. 904. 905. 906. 907. 908. 909. 910. 911. 912. 913. 914. 915. 916. 917. 918. 919. 920. 921. 922. 923. 924. 925. 926. 927. 928. 929. 930. 931. 932. 933. 934. 935. 936. 937. 938. 939. 940. 941. 942. 943. 944. 945. 946. 947. 948. 949. 950. 951. 952. 953. 954. 955. 956. 957. 958. 959. 960. 961. 962. 963. 964. 965. 966. 967. 968. 969. 970. 971. 972. 973. 974. 975. 976. 977. 978. 979. 980. 981. 982. 983. 984. 985. 986. 987. 988. 989. 990. 991. 992. 993. 994. 995. 996. 997. 998. 999. 1000. |
| --- |

26

Schedule of Investments

(unaudited) (continued)

BlackRock Core Bond Portfolio
(Percentages shown are based on last 6 years)

December 31, 2012

| 1. 2013 | 1. 2014 | 1. 2015 | 1. 2016 | 1. 2017 | 1. 2018 | 1. 2019 | 1. 2020 |
| --- | --- | --- | --- | --- | --- | --- | --- |
| 2. 2014 | 2. 2015 | 2. 2016 | 2. 2017 | 2. 2018 | 2. 2019 | 2. 2020 | 2. 2021 |
| 3. 2015 | 3. 2016 | 3. 2017 | 3. 2018 | 3. 2019 | 3. 2020 | 3. 2021 | 3. 2022 |
| 4. 2016 | 4. 2017 | 4. 2018 | 4. 2019 | 4. 2020 | 4. 2021 | 4. 2022 | 4. 2023 |
| 5. 2017 | 5. 2018 | 5. 2019 | 5. 2020 | 5. 2021 | 5. 2022 | 5. 2023 | 5. 2024 |
| 6. 2018 | 6. 2019 | 6. 2020 | 6. 2021 | 6. 2022 | 6. 2023 | 6. 2024 | 6. 2025 |
| 7. 2019 | 7. 2020 | 7. 2021 | 7. 2022 | 7. 2023 | 7. 2024 | 7. 2025 | 7. 2026 |
| 8. 2020 | 8. 2021 | 8. 2022 | 8. 2023 | 8. 2024 | 8. 2025 | 8. 2026 | 8. 2027 |
| 9. 2021 | 9. 2022 | 9. 2023 | 9. 2024 | 9. 2025 | 9. 2026 | 9. 2027 | 9. 2028 |
| 10. 2022 | 10. 2023 | 10. 2024 | 10. 2025 | 10. 2026 | 10. 2027 | 10. 2028 | 10. 2029 |
| 11. 2023 | 11. 2024 | 11. 2025 | 11. 2026 | 11. 2027 | 11. 2028 | 11. 2029 | 11. 2030 |
| 12. 2024 | 12. 2025 | 12. 2026 | 12. 2027 | 12. 2028 | 12. 2029 | 12. 2030 | 12. 2031 |
| 13. 2025 | 13. 2026 | 13. 2027 | 13. 2028 | 13. 2029 | 13. 2030 | 13. 2031 | 13. 2032 |
| 14. 2026 | 14. 2027 | 14. 2028 | 14. 2029 | 14. 2030 | 14. 2031 | 14. 2032 | 14. 2033 |
| 15. 2027 | 15. 2028 | 15. 2029 | 15. 2030 | 15. 2031 | 15. 2032 | 15. 2033 | 15. 2034 |
| 16. 2028 | 16. 2029 | 16. 2030 | 16. 2031 | 16. 2032 | 16. 2033 | 16. 2034 | 16. 2035 |
| 17. 2029 | 17. 2030 | 17. 2031 | 17. 2032 | 17. 2033 | 17. 2034 | 17. 2035 | 17. 2036 |
| 18. 2030 | 18. 2031 | 18. 2032 | 18. 2033 | 18. 2034 | 18. 2035 | 18. 2036 | 18. 2037 |
| 19. 2031 | 19. 2032 | 19. 2033 | 19. 2034 | 19. 2035 | 19. 2036 | 19. 2037 | 19. 2038 |
| 20. 2032 | 20. 2033 | 20. 2034 | 20. 2035 | 20. 2036 | 20. 2037 | 20. 2038 | 20. 2039 |
| 21. 2033 | 21. 2034 | 21. 2035 | 21. 2036 | 21. 2037 | 21. 2038 | 21. 2039 | 21. 2040 |
| 22. 2034 | 22. 2035 | 22. 2036 | 22. 2037 | 22. 2038 | 22. 2039 | 22. 2040 | 22. 2041 |
| 23. 2035 | 23. 2036 | 23. 2037 | 23. 2038 | 23. 2039 | 23. 2040 | 23. 2041 | 23. 2042 |
| 24. 2036 | 24. 2037 | 24. 2038 | 24. 2039 | 24. 2040 | 24. 2041 | 24. 2042 | 24. 2043 |
| 25. 2037 | 25. 2038 | 25. 2039 | 25. 2040 | 25. 2041 | 25. 2042 | 25. 2043 | 25. 2044 |
| 26. 2038 | 26. 2039 | 26. 2040 | 26. 2041 | 26. 2042 | 26. 2043 | 26. 2044 | 26. 2045 |
| 27. 2039 | 27. 2040 | 27. 2041 | 27. 2042 | 27. 2043 | 27. 2044 | 27. 2045 | 27. 2046 |
| 28. 2040 | 28. 2041 | 28. 2042 | 28. 2043 | 28. 2044 | 28. 2045 | 28. 2046 | 28. 2047 |
| 29. 2041 | 29. 2042 | 29. 2043 | 29. 2044 | 29. 2045 | 29. 2046 | 29. 2047 | 29. 2048 |
| 30. 2042 | 30. 2043 | 30. 2044 | 30. 2045 | 30. 2046 | 30. 2047 | 30. 2048 | 30. 2049 |
| 31. 2043 | 31. 2044 | 31. 2045 | 31. 2046 | 31. 2047 | 31. 2048 | 31. 2049 | 31. 2050 |
| 32. 2044 | 32. 2045 | 32. 2046 | 32. 2047 | 32. 2048 | 32. 2049 | 32. 2050 | 32. 2051 |
| 33. 2045 | 33. 2046 | 33. 2047 | 33. 2048 | 33. 2049 | 33. 2050 | 33. 2051 | 33. 2052 |
| 34. 2046 | 34. 2047 | 34. 2048 | 34. 2049 | 34. 2050 | 34. 2051 | 34. 2052 | 34. 2053 |
| 35. 2047 | 35. 2048 | 35. 2049 | 35. 2050 | 35. 2051 | 35. 2052 | 35. 2053 | 35. 2054 |
| 36. 2048 | 36. 2049 | 36. 2050 | 36. 2051 | 36. 2052 | 36. 2053 | 36. 2054 | 36. 2055 |
| 37. 2049 | 37. 2050 | 37. 2051 | 37. 2052 | 37. 2053 | 37. 2054 | 37. 2055 | 37. 2056 |
| 38. 2050 | 38. 2051 | 38. 2052 | 38. 2053 | 38. 2054 | 38. 2055 | 38. 2056 | 38. 2057 |
| 39. 2051 | 39. 2052 | 39. 2053 | 39. 2054 | 39. 2055 | 39. 2056 | 39. 2057 | 39. 2058 |
| 40. 2052 | 40. 2053 | 40. 2054 | 40. 2055 | 40. 2056 | 40. 2057 | 40. 2058 | 40. 2059 |
| 41. 2053 | 41. 2054 | 41. 2055 | 41. 2056 | 41. 2057 | 41. 2058 | 41. 2059 | 41. 2060 |
| 42. 2054 | 42. 2055 | 42. 2056 | 42. 2057 | 42. 2058 | 42. 2059 | 42. 2060 | 42. 2061 |
| 43. 2055 | 43. 2056 | 43. 2057 | 43. 2058 | 43. 2059 | 43. 2060 | 43. 2061 | 43. 2062 |
| 44. 2056 | 44. 2057 | 44. 2058 | 44. 2059 | 44. 2060 | 44. 2061 | 44. 2062 | 44. 2063 |
| 45. 2057 | 45. 2058 | 45. 2059 | 45. 2060 | 45. 2061 | 45. 2062 | 45. 2063 | 45. 2064 |
| 46. 2058 | 46. 2059 | 46. 2060 | 46. 2061 | 46. 2062 | 46. 2063 | 46. 2064 | 46. 2065 |
| 47. 2059 | 47. 2060 | 47. 2061 | 47. 2062 | 47. 2063 | 47. 2064 | 47. 2065 | 47. 2066 |
| 48. 2060 | 48. 2061 | 48. 2062 | 48. 2063 | 48. 2064 | 48. 2065 | 48. 2066 | 48. 2067 |
| 49. 2061 | 49. 2062 | 49. 2063 | 49. 2064 | 49. 2065 | 49. 2066 | 49. 2067 | 49. 2068 |
| 50. 2062 | 50. 2063 | 50. 2064 | 50. 2065 | 50. 2066 | 50. 2067 | 50. 2068 | 50. 2069 |

21

# Schedule of Investments

(unaudited) (continued)

# BlackRock Core Bond Portfolio
(Percentages shown are based on Net Assets)

December 31, 2022

| 1. 2023 | 1,000,000 | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- |
| 2. 2024 | 1,000,000 | 1,000,000 | 1,000,000 |
| 3. 2025 | 1,000,000 | 1,000,000 | 1,000,000 |
| 4. 2026 | 1,000,000 | 1,000,000 | 1,000,000 |
| 5. 2027 | 1,000,000 | 1,000,000 | 1,000,000 |
| 6. 2028 | 1,000,000 | 1,000,000 | 1,000,000 |
| 7. 2029 | 1,000,000 | 1,000,000 | 1,000,000 |
| 8. 2030 | 1,000,000 | 1,000,000 | 1,000,000 |
| 9. 2031 | 1,000,000 | 1,000,000 | 1,000,000 |
| 10. 2032 | 1,000,000 | 1,000,000 | 1,000,000 |
| 11. 2033 | 1,000,000 | 1,000,000 | 1,000,000 |
| 12. 2034 | 1,000,000 | 1,000,000 | 1,000,000 |
| 13. 2035 | 1,000,000 | 1,000,000 | 1,000,000 |
| 14. 2036 | 1,000,000 | 1,000,000 | 1,000,000 |
| 15. 2037 | 1,000,000 | 1,000,000 | 1,000,000 |
| 16. 2038 | 1,000,000 | 1,000,000 | 1,000,000 |
| 17. 2039 | 1,000,000 | 1,000,000 | 1,000,000 |
| 18. 2040 | 1,000,000 | 1,000,000 | 1,000,000 |
| 19. 2041 | 1,000,000 | 1,000,000 | 1,000,000 |
| 20. 2042 | 1,000,000 | 1,000,000 | 1,000,000 |
| 21. 2043 | 1,000,000 | 1,000,000 | 1,000,000 |
| 22. 2044 | 1,000,000 | 1,000,000 | 1,000,000 |
| 23. 2045 | 1,000,000 | 1,000,000 | 1,000,000 |
| 24. 2046 | 1,000,000 | 1,000,000 | 1,000,000 |
| 25. 2047 | 1,000,000 | 1,000,000 | 1,000,000 |
| 26. 2048 | 1,000,000 | 1,000,000 | 1,000,000 |
| 27. 2049 | 1,000,000 | 1,000,000 | 1,000,000 |
| 28. 2050 | 1,000,000 | 1,000,000 | 1,000,000 |
| 29. 2051 | 1,000,000 | 1,000,000 | 1,000,000 |
| 30. 2052 | 1,000,000 | 1,000,000 | 1,000,000 |
| 31. 2053 | 1,000,000 | 1,000,000 | 1,000,000 |
| 32. 2054 | 1,000,000 | 1,000,000 | 1,000,000 |
| 33. 2055 | 1,000,000 | 1,000,000 | 1,000,000 |
| 34. 2056 | 1,000,000 | 1,000,000 | 1,000,000 |
| 35. 2057 | 1,000,000 | 1,000,000 | 1,000,000 |
| 36. 2058 | 1,000,000 | 1,000,000 | 1,000,000 |
| 37. 2059 | 1,000,000 | 1,000,000 | 1,000,000 |
| 38. 2060 | 1,000,000 | 1,000,000 | 1,000,000 |
| 39. 2061 | 1,000,000 | 1,000,000 | 1,000,000 |
| 40. 2062 | 1,000,000 | 1,000,000 | 1,000,000 |
| 41. 2063 | 1,000,000 | 1,000,000 | 1,000,000 |
| 42. 2064 | 1,000,000 | 1,000,000 | 1,000,000 |
| 43. 2065 | 1,000,000 | 1,000,000 | 1,000,000 |
| 44. 2066 | 1,000,000 | 1,000,000 | 1,000,000 |
| 45. 2067 | 1,000,000 | 1,000,000 | 1,000,000 |
| 46. 2068 | 1,000,000 | 1,000,000 | 1,000,000 |
| 47. 2069 | 1,000,000 | 1,000,000 | 1,000,000 |
| 48. 2070 | 1,000,000 | 1,000,000 | 1,000,000 |
| 49. 2071 | 1,000,000 | 1,000,000 | 1,000,000 |
| 50. 2072 | 1,000,000 | 1,000,000 | 1,000,000 |
| 51. 2073 | 1,000,000 | 1,000,000 | 1,000,000 |
| 52. 2074 | 1,000,000 | 1,000,000 | 1,000,000 |
| 53. 2075 | 1,000,000 | 1,000,000 | 1,000,000 |
| 54. 2076 | 1,000,000 | 1,000,000 | 1,000,000 |
| 55. 2077 | 1,000,000 | 1,000,000 | 1,000,000 |
| 56. 2078 | 1,000,000 | 1,000,000 | 1,000,000 |
| 57. 2079 | 1,000,000 | 1,000,000 | 1,000,000 |
| 58. 2080 | 1,000,000 | 1,000,000 | 1,000,000 |
| 59. 2081 | 1,000,000 | 1,000,000 | 1,000,000 |
| 60. 2082 | 1,000,000 | 1,000,000 | 1,000,000 |
| 61. 2083 | 1,000,000 | 1,000,000 | 1,000,000 |
| 62. 2084 | 1,000,000 | 1,000,000 | 1,000,000 |
| 63. 2085 | 1,000,000 | 1,000,000 | 1,000,000 |
| 64. 2086 | 1,000,000 | 1,000,000 | 1,000,000 |
| 65. 2087 | 1,000,000 | 1,000,000 | 1,000,000 |
| 66. 2088 | 1,000,000 | 1,000,000 | 1,000,000 |
| 67. 2089 | 1,000,000 | 1,000,000 | 1,000,000 |
| 68. 2090 | 1,000,000 | 1,000,000 | 1,000,000 |
| 69. 2091 | 1,000,000 | 1,000,000 | 1,000,000 |
| 70. 2092 | 1,000,000 | 1,000,000 | 1,000,000 |
| 71. 2093 | 1,000,000 | 1,000,000 | 1,000,000 |
| 72. 2094 | 1,000,000 | 1,000,000 | 1,000,000 |
| 73. 2095 | 1,000,000 | 1,000,000 | 1,000,000 |
| 74. 2096 | 1,000,000 | 1,000,000 | 1,000,000 |
| 75. 2097 | 1,000,000 | 1,000,000 | 1,000,000 |
| 76. 2098 | 1,000,000 | 1,000,000 | 1,000,000 |
| 77. 2099 | 1,000,000 | 1,000,000 | 1,000,000 |
| 78. 2100 | 1,000,000 | 1,000,000 | 1,000,000 |

22

# Schedule of Investments

(unaudited) (continued)

# BlackRock Core Bond Portfolio
(Percentages shown are based on last 4 years)

December 31, 2022[{"box_2d": [0, 32, 476, 92], "label": "table", "caption": "

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

| Description | 2022 | 2021 | 2020 |
| --- | --- | --- | --- |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |
| Preliminary Stock Ownership | 1,000 | 1,000,000 | 1,000,000 |

<table><thead><tr><th>Description</

Schedule of Investments

(unaudited) (continued)

BlackRock Core Bond Portfolio
(Percentages shown are based on last 6 years)

December 31, 2012

| 1. Stockholders' Equity | 1.000 | 1.000 |
| --- | --- | --- |
| 2. Stockholders' Equity | 1.000 | 1.000 |
| 3. Stockholders' Equity | 1.000 | 1.000 |
| 4. Stockholders' Equity | 1.000 | 1.000 |
| 5. Stockholders' Equity | 1.000 | 1.000 |
| 6. Stockholders' Equity | 1.000 | 1.000 |
| 7. Stockholders' Equity | 1.000 | 1.000 |
| 8. Stockholders' Equity | 1.000 | 1.000 |
| 9. Stockholders' Equity | 1.000 | 1.000 |
| 10. Stockholders' Equity | 1.000 | 1.000 |

24

Schedule of Investments

(unaudited) (continued)

BlackRock Core Bond Portfolio

December 31, 2022

Affiliates

| 1. The Stockholders' Equity of the Bank of America, Inc. (the "funded") | 1,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- |
| 2. The Stockholders' Equity of the Bank of America, Inc. (the "funded") | 1,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| 3. The Stockholders' Equity of the Bank of America, Inc. (the "funded") | 1,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| 4. The Stockholders' Equity of the Bank of America, Inc. (the "funded") | 1,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| 5. The Stockholders' Equity of the Bank of America, Inc. (the "funded") | 1,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| 6. The Stockholders' Equity of the Bank of America, Inc. (the "funded") | 1,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| 7. The Stockholders' Equity of the Bank of America, Inc. (the "funded") | 1,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| 8. The Stockholders' Equity of the Bank of America, Inc. (the "funded") | 1,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| 9. The Stockholders' Equity of the Bank of America, Inc. (the "funded") | 1,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| 10. The Stockholders' Equity of the Bank of America, Inc. (the "funded") | 1,000 | 1,000,000 | 1,000,000 | 1,000,000 |

25

Schedule of Investments

(unaudited) (continued)

BlackRock Core Bond Portfolio

December 31, 2012

| Outstanding Personal Investments Outstanding as of Period End |  |  |  |
| --- | --- | --- | --- |
| 2012 | 2013 | 2014 | 2015 |
| 2016 | 2017 | 2018 | 2019 |
| 2020 | 2021 | 2022 | 2023 |
| 2025 | 2026 | 2027 | 2028 |
| 2030 | 2031 | 2032 | 2033 |
| 2035 | 2036 | 2037 | 2038 |
| 2040 | 2041 | 2042 | 2043 |
| 2045 | 2046 | 2047 | 2048 |
| 2050 | 2051 | 2052 | 2053 |
| 2055 | 2056 | 2057 | 2058 |
| 2060 | 2061 | 2062 | 2063 |
| 2065 | 2066 | 2067 | 2068 |
| 2070 | 2071 | 2072 | 2073 |
| 2075 | 2076 | 2077 | 2078 |
| 2080 | 2081 | 2082 | 2083 |
| 2085 | 2086 | 2087 | 2088 |
| 2090 | 2091 | 2092 | 2093 |
| 2095 | 2096 | 2097 | 2098 |
| 2100 | 2101 | 2102 | 2103 |

26

Schedule of Investments

(unaudited) (continued)

BlackRock Core Bond Portfolio

December 31, 2022

| Incorporated by the Company of the Company of the Company of the Company of the Company of the Company of the Company of the Company of the Company of the Company of the Company of the Company of the Company of the Company of the Company of the Company of the Company of the Company of the Company of the Company of the Company of the Company of the Company of the Company of the Company of the Company of the Company of the Company of the Company of the Company of the Company of the Company of the Company of the Company |
| --- |

27

Schedule of Investments

(unaudited) (continued)

BlackRock Core Bond Portfolio

December 31, 2012

| CPC International Subsidiary (B) (2013) | 100,000 | Dividend Funds | 10,000,000 | 10,000,000 | 10,000,000 | 10,000,000 |
| --- | --- | --- | --- | --- | --- | --- |
| 1. The following is a member of the United States | 1,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| 2. The following is a member of the United States | 1,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| 3. The following is a member of the United States | 1,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| 4. The following is a member of the United States | 1,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| 5. The following is a member of the United States | 1,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| 6. The following is a member of the United States | 1,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| 7. The following is a member of the United States | 1,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| 8. The following is a member of the United States | 1,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| 9. The following is a member of the United States | 1,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| 10. The following is a member of the United States | 1,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |

26

Schedule of Investments

(unaudited) (continued)

BlackRock Core Bond Portfolio

December 31, 2012

| 1. 2014年1月1日,公司召开2014年第二次临时股东大会,审议通过了《关于使用部分闲置募集资金进行现金管理的议案》,同意公司使用不超过人民币3,000万元的闲置募集资金进行现金管理。 |
| --- |
| 2. 2014年1月1日,公司召开2014年第三次临时股东大会,审议通过了《关于使用部分闲置募集资金进行现金管理的议案》,同意公司使用不超过人民币3,000万元的闲置募集资金进行现金管理。 |
| 3. 2014年1月1日,公司召开2014年第二次临时股东大会,审议通过了《关于使用部分闲置募集资金进行现金管理的议案》,同意公司使用不超过人民币3,000万元的闲置募集资金进行现金管理。 |
| 4. 2014年1月1日,公司召开2014年第三次临时股东大会,审议通过了《关于使用部分闲置募集资金进行现金管理的议案》,同意公司使用不超过人民币3,000万元的闲置募集资金进行现金管理。 |
| 5. 2014年1月1日,公司召开2014年第二次临时股东大会,审议通过了《关于使用部分闲置募集资金进行现金管理的议案》,同意公司使用不超过人民币3,000万元的闲置募集资金进行现金管理。 |
| 6. 2014年1月1日,公司召开2014年第三次临时股东大会,审议通过了《关于使用部分闲置募集资金进行现金管理的议案》,同意公司使用不超过人民币3,000万元的闲置募集资金进行现金管理。 |
| 7. 2014年1月1日,公司召开2014年第二次临时股东大会,审议通过了《关于使用部分闲置募集资金进行现金管理的议案》,同意公司使用不超过人民币3,000万元的闲置募集资金进行现金管理。 |
| 8. 2014年1月1日,公司召开2014年第三次临时股东大会,审议通过了《关于使用部分闲置募集资金进行现金管理的议案》,同意公司使用不超过人民币3,000万元的闲置募集资金进行现金管理。 |
| 9. 2014年1月1日,公司召开2014年第二次临时股东大会,审议通过了《关于使用部分闲置募集资金进行现金管理的议案》,同意公司使用不超过人民币3,000万元的闲置募集资金进行现金管理。 |
| 10. 2014年1月1日,公司召开2014年第三次临时股东大会,审议通过了《关于使用部分闲置募集资金进行现金管理的议案》,同意公司使用不超过人民币3,000万元的闲置募集资金进行现金管理。 |
| 11. 2014年1月1日,公司召开2014年第二次临时股东大会,审议通过了《关于使用部分闲置募集资金进行现金管理的议案》,同意公司使用不超过人民币3,000万元的闲置募集资金进行现金管理。 |
| 12. 2014年1月1日,公司召开2014年第三次临时股东大会,审议通过了《关于使用部分闲置募集资金进行现金管理的议案》,同意公司使用不超过人民币3,000万元的闲置募集资金进行现金管理。 |
| 13. 2014年1月1日,公司召开2014年第二次临时股东大会,审议通过了《关于使用部分闲置募集资金进行现金管理的议案》,同意公司使用不超过人民币3,000万元的闲置募集资金进行现金管理。 |
| 14. 2014年1月1日,公司召开2014年第三次临时股东大会,审议通过了《关于使用部分闲置募集资金进行现金管理的议案》,同意公司使用不超过人民币3,000万元的闲置募集资金进行现金管理。 |
| 15. 2014年1月1日,公司召开2014年第二次临时股东大会,审议通过了《关于使用部分闲置募集资金进行现金管理的议案》,同意公司使用不超过人民币3,000万元的闲置募集资金进行现金管理。 |
| 16. 2014年1月1日,公司召开2014年第三次临时股东大会,审议通过了《关于使用部分闲置募集资金进行现金管理的议案》,同意公司使用不超过人民币3,000万元的闲置募集资金进行现金管理。 |
| 17. 2014年1月1日,公司召开2014年第二次临时股东大会,审议通过了《关于使用部分闲置募集资金进行现金管理的议案》,同意公司使用不超过人民币3,000万元的闲置募集资金进行现金管理。 |
| 18. 2014年1月1日,公司召开2014年第三次临时股东大会,审议通过了《关于使用部分闲置募集资金进行现金管理的议案》,同意公司使用不超过人民币3,000万元的闲置募集资金进行现金管理。 |
| 19. 2014年1月1日,公司召开2014年第二次临时股东大会,审议通过了《关于使用部分闲置募集资金进行现金管理的议案》,同意公司使用不超过人民币3,000万元的闲置募集资金进行现金管理。 |
| 20. 2014年1月1日,公司召开2014年第三次临时股东大会,审议通过了《关于使用部分闲置募集资金进行现金管理的议案》,同意公司使用不超过人民币3,000万元的闲置募集资金进行现金管理。 |

20

Schedule of Investments

(continued) (continued)

BlackRock Core Bond Portfolio

December 31, 2022

| CIC Credit Deficit Range - Sell Protection (continued) |  |  |  |  |  |  |  |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| 1 | 2 | 3 | 4 | 5 | 6 | 7 | 8 | 9 | 10 |
| 1.5 | 1.5 | 1.5 | 1.5 | 1.5 | 1.5 | 1.5 | 1.5 | 1.5 | 1.5 |
| 1.5 | 1.5 | 1.5 | 1.5 | 1.5 | 1.5 | 1.5 | 1.5 | 1.5 | 1.5 |
| 1.5 | 1.5 | 1.5 | 1.5 | 1.5 | 1.5 | 1.5 | 1.5 | 1.5 | 1.5 |
| 1.5 | 1.5 | 1.5 | 1.5 | 1.5 | 1.5 | 1.5 | 1.5 | 1.5 |  |
| 1.5 | 1.5 | 1.5 | 1.5 | 1.5 | 1.5 | 1.5 | 1.5 | 1.5 | 1.5 |
| 1.5 | 1.5 | 1.5 | 1.5 | 1.5 | 1.5 | 1.5 | 1.5 | 1.5 | 1.5 |
| 1.5 | 1.5 | 1.5 | 1.5 | 1.5 | 1.5 | 1.5 | 1.5 | 1.5 |  |

38

Schedule of Investments

(unaudited) (continued)

BlackRock Core Bond Portfolio

December 31, 2012

Fair Value Hierarchy as of Period End[{"box_2d": [7, 38, 475, 93], "label": "table", "caption": "<table><tr><td>1. 2017年1月1日, 2018年1月1日, 2019年1月1日, 2020年1月1日, 2021年1月1日, 2022年1月1日, 2023年1月1日, 2024年1月1日, 2025年1月1日, 2026年1月1日, 2027年1月1日, 2028年1月1日, 2029年1月1日, 2030年1月1日, 2031年1月1日, 2032年1月1日, 2033年1月1日, 2034年1月1日, 2035年1月1日, 2036年1月1日, 2037年1月1日, 2038年1月1日, 2039年1月1日, 2040年1月1日, 2041年1月1日, 2042年1月1日, 2043年1月1日, 2044年1月1日, 2045年1月1日, 2046年1月1日, 2047年1月1日, 2048年1月1日, 2049年1月1日, 2050年1月1日, 2051年1月1日, 2052年1月1日, 2053年1月1日, 2054年1月1日, 2055年1月1日, 2056年1月1日, 2057年1月1日, 2058年1月1日, 2059年1月1日, 2060年1月1日, 2061年1月1日, 2062年1月1日, 2063年1月1日, 2064年1月1日, 2065年1月1日, 2066年1月1日, 2067年1月1日, 2068年1月1日, 2069年1月1日, 2070年1月1日, 2071年1月1日, 2072年1月1日, 2073年1月1日, 2074年1月1日, 2075年1月1日, 2076年1月1日, 2077年1月1日, 2078年1月1日, 2079年1月1日, 2080年1月1日, 2081年1月1日, 2082年1月1日, 2083年1月1日, 2084年1月1日, 2085年1月1日, 2086年1月1日, 2087年1月1日, 2088年1月1日, 2089年1月1日, 2090年1月1日, 2091年1月1日, 2092年1月1日, 2093年1月1日, 2094年1月1日, 2095年1月1日, 2096年1月1日, 2097年1月1日, 2098年1月1日, 2099年1月1日, 2100年1月1日, 2101年1月1日, 2102年1月1日, 2103年1月1日, 2104年1月1日, 2105年1月1日, 2106年1月1日, 2107年1月1日, 2108年1月1日, 2109年1月1日, 2110年1月1日, 2111年1月1日, 2112年1月1日, 2113年1月1日, 2114年1月1日, 2115年1月1日, 2116年1月1日, 2117年1月1日, 2118年1月1日, 2119年1月1日, 2120年1月1日, 2121年1月1日, 2122年1月1日, 2123年1月1日, 2124年1月1日, 2125年1月1日, 2126年1月1日, 2127年1月1日, 2128年1月1日, 2129年1月1日, 2130年1月1日, 2131年1月1日, 2132年1月1日, 2133年1月1日, 2134年1月1日, 2135年1月1日, 2136年1月1日, 2137年1月1日, 2138年1月1日, 2139年1月1日, 2140年1月1日, 2141年1月1日, 2142年1月1日, 2143年1月1日, 2144年1月1日, 2145年1月1日, 2146年1月1日, 2147年1月1日, 2148年1月1日, 2149年1月1日, 2150年1月1日, 2151年1月1日, 2152年1月1日, 2153年1月1日, 2154年1月1日, 2155年1月1日, 2156年1月1日, 2157年1月1日, 2158年1月1日, 2159年1月1日, 2160年1月1日, 2161年1月1日, 2162年1月1日, 2163年1月1日, 2164年1月1日, 2165年1月1日, 2166年1月1日, 2167年1月1日, 2168年1月1日, 2169年1月1日, 2170年1月1日, 2171年1月1日, 2172年1月1日, 2173年1月1日, 2174年1月1日, 2175年1月1日, 2176年1月1日, 2177年1月1日, 2178年1月1日, 2179年1月1日, 2180年1月1日, 2181年1月1日, 2182年1月1日, 2183年1月1日, 2184年1月1日, 2185年1月1日, 2186年1月1日, 2187年1月1日, 2188年1月1日, 2189年1月1日, 2190年1月1日, 2191年1月1日, 2192年1月1日, 2193年1月1日, 2194年1月1日, 2195年1月1日, 2196年1月1日, 2197年1月1日, 2198年1月1日, 2199年1月1日, 2200年1月1日, 2201年1月1日, 2202年1月1日, 2203年1月1日, 2204年1月1日, 2205年1月1日, 2206年1月1日, 2207年1月1日, 2208年1月1日, 2209年1月1日, 2210年1月1日, 2211年1月1日, 2212年1月1日, 2213年1月1日, 2214年1月1日, 2215年1月1日, 2216年1月1日, 2217年1月1日, 2218年1月1日, 2219年1月1日, 2220年1月1日, 2221年1月1日, 2222年1月1日, 2223年1月1日, 2224年1月1日, 2225年1月1日, 2226年1月1日, 2227年1月1日, 2228年1月1日, 2229年1月1日, 2230年1月1日, 2231年1月1日, 2232年1月1日, 2233年1月1日, 2234年1月1日, 2235年1月1日, 2236年1月1日, 2237年1月1日, 2238年1月1日, 2239年1月1日, 2240年1月1日, 2241年1月1日, 2242年1月1日, 2243年1月1日, 2244年1月1日, 2245年1月1日, 2246年1月1日, 2247年1月1日, 2248年1月1日, 2249年1月1日, 2250年1月1日, 2251年1月1日, 2252年1月1日, 2253年1月1日, 2254年1月1日, 2255年1月1日, 2256年1月1日, 2257年1月1日, 2258年1月1日, 2259年1月1日, 2260年1月1日, 2261年1月1日, 2262年1月1日, 2263年1月1日, 2264年1月1日, 2265年1月1日, 2266年1月1日, 2267年1月1日, 2268年1月1日, 2269年1月1日, 2270年1月1日, 2271年1月1日, 2272年1月1日, 2273年1月1日, 2274年1月1日, 2275年1月1日, 2276年1月1日, 2277年1月1日, 2278年1月1日, 2279年1月1日, 2280年1月1日, 2281年1月1日, 2282年1月1日, 2283年1月1日, 2284年1月1日, 2285年1月1日, 2286年1月1日, 2287年1月1日, 2288年1月1日, 2289年1月1日, 2290年1月1日, 2291年1月1日, 2292年1月1日, 2293年1月1日, 2294年1月1日, 2295年1月1日, 2296年1月1日, 2297年1月1日, 2298年1月1日, 2299年1月1日, 2300年1月1日, 2301年1月1日, 2302年1月1日, 2303年1月1日, 2304年1月1日, 2305年1月1日, 2306年1月1日, 2307年1月1日, 2308年1月1日, 2309年1月1日, 2310年1月1日, 2311年1月1日, 2312年1月1日, 2313年1月1日, 2314年1月1日, 2315年1月1日, 2316年1月1日, 2317年1月1日, 2318年1月1日, 2319年1月1日, 2320年1月1日, 2321年1月1日, 2322年1月1日, 2323年1月1日, 2324年1月1日, 2325年1月1日, 2326年1月1日, 2327年1月1日, 2328年1月1日, 2329年1月1日, 2330年1月1日, 2331年1月1日, 2332年1月1日, 2333年1月1日, 2334年1月1日, 2335年1月1日, 2336年1月1日, 2337年1月1日, 2338年1月1日, 2339年1月1日, 2340年1月1日, 2341年1月1日, 2342年1月1日, 2343年1月1日, 2344年1月1日, 2345年1月1日, 2346年1月1日, 2347年1月1日, 2348年1月1日, 2349年1月1日, 2350年1月1日, 2351年1月1日, 2352年1月1日, 2353年1月1日, 2354年1月1日, 2355年1月1日, 2356年1月1日, 2357年1月1日, 2358年1月1日, 2359年1月1日, 2360年1月1日, 2361年1月1日, 2362年1月1日, 2363年1月1日, 2364年1月1日, 2365年1月1日, 2366年1月1日, 2367年1月1日, 2368年1月1日, 2369年1月1日, 2370年1月1日, 2371年1月1日, 2372年1月1日, 2373年1月1日, 2374年1月1日, 2375年1月1日, 2376年1月1日, 2377年1月1日, 2378年1月1日, 2379年1月1日, 2380年1月1日, 2381年1月1日, 2382年1月1日, 2383年1月1日, 2384年1月1日, 2385年1月1日, 2386年1月1日, 2387年1月1日, 2388年1月1日, 2389年1月1日, 2390年1月1日, 2391年1月1日, 2392年1月1日, 2393年1月1日, 2394年1月1日, 2395年1月1日, 2396年1月1日, 2397年1月1日, 2398年1月1日, 2399年1月1日, 2400年1月1日, 2401年1月1日, 2402年1月1日, 2403年1月1日, 2404年1月1日, 2405年1月1日, 2406年1月1日, 2407年1月1日, 2408年1月1日, 2409年1月1日, 2410年1月1日, 2411年1月1日, 2412年1月1日, 2413年1月1日, 2414年1月1日, 2415年1月1日, 2416年1月1日, 2417年1月1日, 2418年1月1日, 2419年1月1日, 2420年1月1日, 2421年1月1日, 2422年1月1日, 2423年1月1日, 2424年1月1日, 2425年1月1日, 2426年1月1日, 2427年1月1日, 2428年1月1日, 2429年1月1日, 2430年1月1日, 2431年1月1日, 2432年1月1日, 2433年1月1日, 2434年1月1日, 2435年1月1日, 2436年1月1日, 2437年1月1日, 2438年1月1日, 2439年1月1日, 2440年1月1日, 2441年1月1日, 2442年1月1日, 2443年1月1日, 2444年1月1日, 2445年1月1日, 2446年1月1日, 2447年1月1日, 2448年1月1日, 2449年1月1日, 2450年1月1日, 2451年1月1日, 2452年1月1日, 2453年1月1日, 2454年1月1日, 2455年1月1日, 2456年1月1日, 2457年1月1日, 2458年1月1日, 2459年1月1日, 2460年1月1日, 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+ (k) + (l) + (m) + (n) + (o) + (p) + (q) + (r) + (s) + (t) + (u) + (v) + (w) + (x) + (y) + (z) + (a) + (b) + (c) + (d) + (e) + (f) + (g) + (h) + (i) + (j) + (k) + (l) + (m) + (n) + (o) + (p) + (q) + (r) + (s) + (t) + (u) + (v) + (w) + (x) + (y) + (z) + (a) + (b) + (c) + (d) + (e) + (f) + (g) + (h) + (i) + (j) + (k) + (l) + (m) + (n) + (o) + (p) + (q) + (r) + (s) + (t) + (u) + (v) + (w) + (x) + (y) + (z) + (a) + (b) + (c) + (d) + (e) + (f) + (g) + (h) + (i) + (j) + (k) + (l) + (m) + (n) + (o) + (p) + (q) + (r) + (s) + (t) + (u) + (v) + (w) + (x) + (y) + (z) + (a) + (b) + (c) + (d) + (e) + (f) + (g) + (h) + (i) + (j) + (k) + (l) + (m) + (n) + (o) + (p) + (q) + (r) + (s) + (t) + (u) + (v) + (w) + (x) + (y) + (z) + (a) + (b) + (c) + (d) + (e) + (f) + (g) + (h) + (i) + (j) + (k) + (l) + (m) + (n) + (o) + (p) + (q) + (r) + (s) + (t) + (u) + (v) + (w) + (x) + (y) + (z) + (a) + (b) + (c) + (d) + (e) + (f) + (g) + (h) + (i) + (j) + (k) + (l) + (m) + (n) + (o) + (p) + (q) + (r) + (s) + (t) + (u) + (v) + (w) + (x) + (y) + (z) + (a) + (b) + (c) + (d) + (e) + (f) + (g) + (h) + (i) + (j) + (k) + (l) + (m) + (n) + (o) + (p) + (q) + (r) + (s) + (t) + (u) + (v) + (w) + (x) + (y) + (z) + (a) + (b) + (c) + (d) + (e) + (f) + (g) + (h) + (i) + (j) + (k) + (l) + (m) + (n) + (o) + (p) + (q) + (r) + (s) + (t) + (u) + (v) + (w) + (x) + (y) + (z) + (a) + (b) + (c) + (d) + (e)

Schedule of Investments

(unaudited) (continued)

BlackRock Core Bond Portfolio

December 31, 2022

![img-0.jpeg](img-0.jpeg)

32

1. 2017年,公司与上海浦东发展银行股份有限公司签订了《关于使用部分闲置募集资金进行现金管理的协议》,同意公司使用不超过人民币5,000万元的闲置募集资金进行现金管理。

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| --- |

| 1. 2017年1月1日 | 2017年1月1日 | 2017年1月1日 | 2017年1月1日 | 2017年1月1日 | 2017年1月1日 | 2017年1月1日 | 2017年1月1日 | 2017年1月1日 | 2017年1月1日 | 2017年1月1日 |
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| 2. 2017年1月1日 | 2017年1月1日 | 2017年1月1日 | 2017年1月1日 | 2017年1月1日 | 2017年1月1日 | 2017年1月1日 | 2017年1月1日 | 2017年1月1日 | 2017年1月1日 | 2017 |
| 3. 2017年1月1日 | 2017年1月1日 | 2017年1月1日 | 2017年1月1日 | 2017年1月1日 | 2017年1月1日 | 2017年1月1日 | 2017年1月1日 | 2017年1月1日 | 2017年1月1日 |  |
| 4. 2017年1月1日 | 2017年1月1日 | 2017年1月1日 | 2017年1月1日 | 2017年1月1日 | 2017年1月1日 | 2017年1月1日 | 2017年1月1日 | 2017年1月1日 | 2017年1月1日 |  |
| 5. 2017年1月1日 | 2017年1月1日 | 2017年1月1日 | 2017年1月1日 | 2017年1月1日 | 2017年1月1日 | 2017年1月1日 | 2017年1月1日 | 2017年1月1日 | 2017年1月1日 |  |
| 6. 2017年1月1日 | 2017年1月1日 | 2017年1月1日 | 2017年1月1日 | 2017年1月1日 | 2017年1月1日 | 2017年1月1日 | 2017年1月1日 | 2017年1月1日 | 2017年1月1日 |  |
| 7. 2017年1月1日 | 2017年1月1日 | 2017年1月1日 | 2017年1月1日 | 2017年1月1日 | 2017年1月1日 | 2017年1月1日 | 2017年1月1日 | 2017年1月1日 | 2017年1月1 |  |
| 8. 2017年1月1日 | 2017年1月1日 | 2017年1月1日 | 2017年1月1日 | 2017年1月1日 | 2017年1月1日 | 2017年1月1日 | 2017年1月1日 | 2017年1月1日 | 2017年1月1 |  |
| 9. 2017年1月1日 | 2017年1月1日 | 2017年1月1日 | 2017年1月1日 | 2017年1月1日 | 2017年1月1日 | 2017年1月1日 | 2017年1月1日 | 2017年1月1日 | 2017年1月1 |  |
| 10. 2017年1月1日 | 2017年1月1日 | 2017年1月1日 | 2017年1月1日 | 2017年1月1日 | 2017年1月1日 | 2017年1月1日 | 2017年1月1日 | 2017年1月1日 | 2017年1 |  |
| 11. 2017年1月1日 | 2017年1月1日 | 2017年1月1日 | 2017年1月1日 | 2017年1月1日 | 2017年1月1日 | 2017年1月1日 | 2017年1月1日 | 2017年1月1日 | 2017年1 |  |
| 12. 2017年1月1日 | 2017年1月1日 | 2017年1月1日 | 2017年1月1日 | 2017年1月1日 | 2017年1月1日 | 2017年1月1日 | 2017年1月1日 | 2017年1月1日 | 2017年1 |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** BlackRock Funds V

- **b. Investment Company Act file number:** 811-23339

- **c. CIK number of Registrant:** 0001738078

- **d. LEI of Registrant:** 54930077DSFQPJDWM487

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

  - **Street Address 1:** 100 Bellevue Parkway

  - **City:** Wilmington

  - **State:** DE

  - **Foreign country:** US

  - **Zip / Postal Code:** 19809

  - **Telephone number:** 800-441-7762

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

- **a. Name of Series:** BlackRock Core Bond Portfolio

- **b. EDGAR series identifier (if any):** S000062362

- **c. LEI of Series:** BOMMBZZPNQ6DHYXK5N47

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

- **a. Date of fiscal year-end:** 2023-09-30

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $3950145744.86

**Total Liabilities:** $557930209.68

**Net Assets:** $3392215535.18

**Cash Not Reported:** $7786378.84

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 92567.42000000 | **1-Year:** 27085.33000000 | **5-Year:** 574686.56000000 | **10-Year:** 572951.56000000 | **30-Year:** 320945.74000000

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

- **3-Month:** 716.73000000 | **1-Year:** 45452.32000000 | **5-Year:** -21741.66000000 | **10-Year:** -55561.18000000 | **30-Year:** -4543.71000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000202291 | -1.35%               | 4.02%                | -0.51%               |
| Class ID C000202289 | -1.37%               | 4.00%                | -0.53%               |
| Class ID C000202293 | -1.22%               | 4.01%                | -0.63%               |
| Class ID C000202290 | -1.31%               | 3.82%                | -0.60%               |
| Class ID C000202292 | -1.27%               | 3.85%                | -0.56%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-31176008.66            | $-11393088.11                              |
| Month 2  | $-20310426.91            | $131736759.23                              |
| Month 3  | $-3674684.14             | $-22709616.91                              |

**Designated Index Information**

- **Index Name:** Fund`s Designated Reference Portfolio is the Fund`s Securities Portfolio

- **Index Identifier:** Fund`s Designated Reference Portfolio is the Fund`s Securities Portfolio

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| American Airlines Pass-Through Trust                                      | American Airlines Pass-Through Trust, Series 2019-1, Class AA                                                                 | CUSIP: 02377LAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     981127 | PA      | $811936.43    | 0.02%             | 2032-02-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| MidOcean Credit CLO III                                                   | MidOcean Credit CLO III, Series 2014-3A, Class A3A2                                                                           | CUSIP: 59802UAX7<br>LEI: 549300XSCUX0ONI5KZ96 | Long             | ABS-CBDO         | CORP              | KY        |     472234 | PA      | $463305.77    | 0.01%             | 2031-04-21      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                                      | Charter Communications Operating LLC                                                                                          | CUSIP: 161175BY9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1100000 | PA      | $636196.40    | 0.02%             | 2061-04-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| General Motors Financial Co., Inc.                                        | General Motors Financial Co., Inc.                                                                                            | CUSIP: 37045XCZ7<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    1257000 | PA      | $1228164.45   | 0.04%             | 2023-08-18      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                                 | HCA, Inc.                                                                                                                     | CUSIP: 404119BT5<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     329000 | PA      | $325028.81    | 0.01%             | 2026-06-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Great Lakes CLO V Ltd.                                                    | Great Lakes CLO V Ltd., Series 2021-5A, Class A                                                                               | CUSIP: 39055VAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     540000 | PA      | $517879.87    | 0.02%             | 2033-04-15      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| Broadcom, Inc.                                                            | Broadcom, Inc.                                                                                                                | CUSIP: 11135FBH3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     422000 | PA      | $332375.13    | 0.01%             | 2031-02-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| General Motors Co.                                                        | General Motors Co.                                                                                                            | CUSIP: 37045VAY6<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |    1024000 | PA      | $977200.87    | 0.03%             | 2029-10-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138XUUR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     308265 | PA      | $295671.49    | 0.01%             | 2029-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31418D6B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7717975 | PA      | $6290640.71   | 0.19%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| AEP Texas, Inc.                                                           | AEP Texas, Inc.                                                                                                               | CUSIP: 00108WAQ3<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |     508000 | PA      | $485786.97    | 0.01%             | 2052-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                  | JP Morgan Mortgage Trust, Series 2021-INV7, Class A3A                                                                         | CUSIP: 46654CAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10683964 | PA      | $9133539.00   | 0.27%             | 2052-02-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        | 1005912227 | PA      | $371047.09    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd.                                                    | Palmer Square CLO Ltd., Series 2020-3A, Class A1AR                                                                            | CUSIP: 69701RAL1<br>LEI: 549300IUW4WDDDVSMS20 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $245359.70    | 0.01%             | 2031-11-15      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138WJEP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     248070 | PA      | $231964.82    | 0.01%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| OZLM XXIV Ltd.                                                            | OZLM XXIV Ltd., Series 2019-24A, Class A2AR                                                                                   | CUSIP: 67113DBC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $236187.10    | 0.01%             | 2032-07-20      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Refi Loan Trust                                 | Navient Private Education Refi Loan Trust, Series 2021-DA, Class C                                                            | CUSIP: 63942CAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     950000 | PA      | $796105.61    | 0.02%             | 2060-04-15      | Fixed         | 3.48%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                         | Wells Fargo & Co.                                                                                                             | CUSIP: 95000U2U6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    1005000 | PA      | $846609.77    | 0.02%             | 2033-03-02      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DWBB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7455222 | PA      | $6089676.12   | 0.18%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association Variable Rate Notes, Series 2015-22                                                  | CUSIP: 38379KCT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1017928 | PA      | $17632.34     | 0.00%             | 2055-03-16      | Variable      | 0.53%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Trust                                          | OneMain Financial Issuance Trust, Series 2020-1A, Class A                                                                     | CUSIP: 68269LAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1260251 | PA      | $1251060.17   | 0.04%             | 2032-05-14      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| Suzano Austria GmbH                                                       | Suzano Austria GmbH                                                                                                           | CUSIP: 86964WAJ1<br>LEI: 254900287ZNSGVP1R341 | Long             | DBT              | CORP              | AT        |     295000 | PA      | $246288.13    | 0.01%             | 2031-01-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138WJQF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     425354 | PA      | $394581.40    | 0.01%             | 2036-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179XBQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3078011 | PA      | $2669021.67   | 0.08%             | 2052-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding XLV Ltd.                                             | Madison Park Funding XLV Ltd., Series 2020-45A, Class AR                                                                      | CUSIP: 55820BAJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1050000 | PA      | $1026241.76   | 0.03%             | 2034-07-15      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140J7MC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     429390 | PA      | $390540.77    | 0.01%             | 2031-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                      | JPMorgan Chase & Co.                                                                                                          | CUSIP: 46625HRY8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    7631000 | PA      | $7129606.44   | 0.21%             | 2028-02-01      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO XII Ltd.                                                      | Elmwood CLO XII Ltd., Series 2021-5A, Class A                                                                                 | CUSIP: 29002YAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $243619.55    | 0.01%             | 2035-01-20      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Symphony CLO XXVI Ltd.                                                    | Symphony CLO XXVI Ltd., Series 2021-26A, Class AR                                                                             | CUSIP: 87190GAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     514000 | PA      | $500959.36    | 0.01%             | 2033-04-20      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138EQU26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14743 | PA      | $13823.40     | 0.00%             | 2030-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31410K3E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43368 | PA      | $44742.41     | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138WFG26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     322554 | PA      | $302451.04    | 0.01%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QLLD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     379691 | PA      | $355916.66    | 0.01%             | 2036-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Biogen, Inc.                                                              | Biogen, Inc.                                                                                                                  | CUSIP: 09062XAH6<br>LEI: W8J5WZB5IY3K0NDQT671 | Long             | DBT              | CORP              | US        |    1936000 | PA      | $1577242.09   | 0.05%             | 2030-05-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                  | JP Morgan Mortgage Trust, Series 2021-INV7, Class A4A                                                                         | CUSIP: 46654CAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4033941 | PA      | $2702819.94   | 0.08%             | 2052-02-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-2121.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DM2T1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1589778 | PA      | $1308698.38   | 0.04%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 21H032613<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   20620000 | PA      | $18941845.84  | 0.56%             | 2053-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138ERA91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29581 | PA      | $26519.75     | 0.00%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BlueMountain CLO Ltd.                                                     | BlueMountain CLO Ltd., Series 2015-3A, Class A1R                                                                              | CUSIP: 09628JAL5<br>LEI: 5493009UJ1T6R11V4458 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $246822.10    | 0.01%             | 2031-04-20      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Apple, Inc.                                                               | Apple, Inc.                                                                                                                   | CUSIP: 037833DW7<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |     963000 | PA      | $637125.18    | 0.02%             | 2050-05-11      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-965.95      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Trestles CLO IV Ltd.                                                      | Trestles CLO IV Ltd., Series 2021-4A, Class A                                                                                 | CUSIP: 89532WAA7<br>LEI: 254900EO5I6CR0IOWS98 | Long             | ABS-CBDO         | CORP              | KY        |    1550000 | PA      | $1505303.12   | 0.04%             | 2034-07-21      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138WJC97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     129395 | PA      | $121001.84    | 0.00%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179WLQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11411735 | PA      | $10216190.60  | 0.30%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| American Airlines Pass-Through Trust                                      | American Airlines Pass-Through Trust, Series 2017-2, Class AA                                                                 | CUSIP: 02376AAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     611968 | PA      | $528304.18    | 0.02%             | 2029-10-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140X83B1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     994021 | PA      | $923383.18    | 0.03%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Whitebox CLO I Ltd.                                                       | Whitebox CLO I Ltd., Series 2019-1A, Class CR                                                                                 | CUSIP: 96467FAQ3<br>LEI: 549300E4AC0513DYO913 | Long             | ABS-CBDO         | CORP              | KY        |     900000 | PA      | $836557.20    | 0.02%             | 2032-07-24      | Floating      | 7.37%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                        | United Airlines Pass-Through Trust, Series 2015-1, Class AA                                                                   | CUSIP: 90932LAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     826276 | PA      | $734756.24    | 0.02%             | 2027-12-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| JPMCC Commercial Mortgage Securities Trust                                | JPMCC Commercial Mortgage Securities Trust, Series 2019-COR5, Class A3                                                        | CUSIP: 46591EAS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     390000 | PA      | $345897.79    | 0.01%             | 2052-06-13      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                              | Oracle Corp.                                                                                                                  | CUSIP: 68389XBF1<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    3335000 | PA      | $2515162.52   | 0.07%             | 2045-05-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138WHFL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     112513 | PA      | $100888.75    | 0.00%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO XV Ltd.                                                   | Sound Point CLO XV Ltd., Series 2017-1A, Class ARR                                                                            | CUSIP: 83609RAL5<br>LEI: 549300YVZ0M0XDDYS744 | Long             | ABS-CBDO         | CORP              | KY        |     231484 | PA      | $229042.48    | 0.01%             | 2029-01-23      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| College Avenue Student Loans LLC                                          | College Avenue Student Loans LLC, Series 2021-B, Class B                                                                      | CUSIP: 19425AAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     250000 | PA      | $203522.58    | 0.01%             | 2052-06-25      | Fixed         | 2.42%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31419EJ67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     111206 | PA      | $110241.65    | 0.00%             | 2040-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| State of California                                                       | State of California, Series 2018                                                                                              | CUSIP: 13063DGE2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    4110000 | PA      | $3854163.23   | 0.11%             | 2038-04-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Natixis Commercial Mortgage Securities Trust                              | Natixis Commercial Mortgage Securities Trust, Series 2018-SOX, Class A                                                        | CUSIP: 63874NAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     886000 | PA      | $802998.90    | 0.02%             | 2038-06-17      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                              | GS Mortgage Securities Trust, Series 2014-GC20, Class B                                                                       | CUSIP: 36252WBC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     400000 | PA      | $377628.56    | 0.01%             | 2047-04-10      | Variable      | 4.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $24803.10     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Apple, Inc.                                                               | Apple, Inc.                                                                                                                   | CUSIP: 037833EE6<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |     468000 | PA      | $330735.72    | 0.01%             | 2041-02-08      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| State Street Corp.                                                        | State Street Corp., Series F                                                                                                  | CUSIP: 857477AQ6<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |     370000 | PA      | $368991.49    | 0.01%             | 2023-03-15      | Floating      | 8.37%                 | No            |                  2 | On Loan: No      |
| Trestles CLO III Ltd.                                                     | Trestles CLO III Ltd., Series 2020-3A, Class A1                                                                               | CUSIP: 89532TAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1830000 | PA      | $1806265.45   | 0.05%             | 2033-01-20      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138XSGK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     558007 | PA      | $533581.10    | 0.02%             | 2029-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140XFA43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1330772 | PA      | $1146544.95   | 0.03%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Alabama Power Co.                                                         | Alabama Power Co.                                                                                                             | CUSIP: 010392FT0<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |     522000 | PA      | $376033.49    | 0.01%             | 2049-10-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140XFFP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1520416 | PA      | $1251116.96   | 0.04%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Raytheon Technologies Corp.                                               | Raytheon Technologies Corp.                                                                                                   | CUSIP: 75513ECP4<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    1740000 | PA      | $1179630.88   | 0.03%             | 2052-03-15      | Fixed         | 3.03%                 | No            |                  2 | On Loan: No      |
| Global Payments, Inc.                                                     | Global Payments, Inc.                                                                                                         | CUSIP: 891906AF6<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |     360000 | PA      | $334961.67    | 0.01%             | 2028-06-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31410G4B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     138465 | PA      | $143646.55    | 0.00%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31385H3P5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        239 | PA      | $243.41       | 0.00%             | 2031-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| General Motors Financial Co., Inc.                                        | General Motors Financial Co., Inc.                                                                                            | CUSIP: 37045XBK1<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |     491000 | PA      | $488569.72    | 0.01%             | 2023-05-09      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31412QHF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     207763 | PA      | $215453.82    | 0.01%             | 2039-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3133KNCZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6693211 | PA      | $5723936.56   | 0.17%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DVMA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19665134 | PA      | $17464222.33  | 0.51%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Verizon Communications, Inc.                                              | Verizon Communications, Inc.                                                                                                  | CUSIP: 92343VFT6<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    3017000 | PA      | $2036426.09   | 0.06%             | 2040-11-20      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Arbor Multifamily Mortgage Securities Trust                               | Arbor Multifamily Mortgage Securities Trust, Series 2020-MF1, Class D                                                         | CUSIP: 03881BAQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1080000 | PA      | $603048.35    | 0.02%             | 2053-05-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QNFD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     544116 | PA      | $466837.59    | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138Y9BM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1066789 | PA      | $1027551.57   | 0.03%             | 2029-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Tampa Electric Co.                                                        | Tampa Electric Co.                                                                                                            | CUSIP: 875127BF8<br>LEI: WS423EPRKJIIJUITXD73 | Long             | DBT              | CORP              | US        |     394000 | PA      | $325073.06    | 0.01%             | 2049-06-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                      | JPMorgan Chase & Co.                                                                                                          | CUSIP: 46647PBX3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     745000 | PA      | $569868.48    | 0.02%             | 2032-02-04      | Variable      | 1.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $4284.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $2012.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179WG44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9470893 | PA      | $8475108.06   | 0.25%             | 2051-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36202FVH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     431579 | PA      | $438907.87    | 0.01%             | 2041-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AIG CLO LLC                                                               | AIG CLO LLC, Series 2018-1A, Class A1R                                                                                        | CUSIP: 00141UAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     280000 | PA      | $274501.30    | 0.01%             | 2032-04-20      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31417S3V0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     233728 | PA      | $238833.47    | 0.01%             | 2039-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132KE3D5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     475786 | PA      | $446659.95    | 0.01%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Signal Peak CLO 2 LLC                                                     | Signal Peak CLO 2 LLC, Series 2015-1A, Class BR2                                                                              | CUSIP: 56844XBJ7<br>LEI: 549300SC4HK60KIV1S28 | Long             | ABS-CBDO         | CORP              | US        |    1466000 | PA      | $1436538.53   | 0.04%             | 2029-04-20      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding XXV Ltd.                                             | Madison Park Funding XXV Ltd., Series 2017-25A, Class A2R                                                                     | CUSIP: 55820RAL6<br>LEI: 254900B0583OW8RQ8N33 | Long             | ABS-CBDO         | CORP              | KY        |     320000 | PA      | $310628.16    | 0.01%             | 2029-04-25      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138WFG91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     267909 | PA      | $256282.02    | 0.01%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                                     | United Mexican States                                                                                                         | CUSIP: 91087BAM2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    4749000 | PA      | $3837192.00   | 0.11%             | 2031-05-24      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| Raytheon Technologies Corp.                                               | Raytheon Technologies Corp.                                                                                                   | CUSIP: 75513EAC5<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |     456000 | PA      | $319214.28    | 0.01%             | 2050-07-01      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   41785000 | PA      | $3668300.03   | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| Madison Park Funding XXXIII Ltd.                                          | Madison Park Funding XXXIII Ltd., Series 2019-33A, Class BR                                                                   | CUSIP: 55819JAQ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     280000 | PA      | $269665.51    | 0.01%             | 2032-10-15      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140XFGS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3503271 | PA      | $2995923.03   | 0.09%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO II Ltd.                                       | Benefit Street Partners CLO II Ltd., Series 2013-IIA, Class A2R2                                                              | CUSIP: 08179XBA2<br>LEI: 549300PVYNJC7QL0GC48 | Long             | ABS-CBDO         | CORP              | KY        |    1250000 | PA      | $1229959.00   | 0.04%             | 2029-07-15      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2022-LBA6, Class D                                                                                           | CUSIP: 12433EAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     530000 | PA      | $490159.42    | 0.01%             | 2039-01-15      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| Omnicom Group, Inc.                                                       | Omnicom Group, Inc.                                                                                                           | CUSIP: 681919BB1<br>LEI: HKUPACFHSSASQK8HLS17 | Long             | DBT              | CORP              | US        |     409000 | PA      | $338742.87    | 0.01%             | 2030-04-30      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3133KPKT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3340048 | PA      | $3219116.63   | 0.09%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp. Trust                                        | GS Mortgage Securities Corp. Trust, Series 2022-ECI, Class A                                                                  | CUSIP: 36265XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     980000 | PA      | $968804.97    | 0.03%             | 2039-08-15      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| Ares LVI CLO Ltd.                                                         | Ares LVI CLO Ltd., Series 2020-56A, Class AR                                                                                  | CUSIP: 04018NAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     410000 | PA      | $397581.35    | 0.01%             | 2034-10-25      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| BDS LLC                                                                   | BDS LLC, Series 2022-FL11, Class ATS                                                                                          | CUSIP: 054980AA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2144000 | PA      | $2082925.59   | 0.06%             | 2039-03-19      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140XDS49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3094122 | PA      | $2547072.11   | 0.08%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | U.S. Treasury 10 Year Note                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -446 | NC      | $632579.26    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Whitebox CLO II Ltd.                                                      | Whitebox CLO II Ltd., Series 2020-2A, Class BR                                                                                | CUSIP: 96466CAQ1<br>LEI: 549300C89ZJ5IWOT1F21 | Long             | ABS-CBDO         | CORP              | KY        |     280000 | PA      | $270674.71    | 0.01%             | 2034-10-24      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| AEP Texas, Inc.                                                           | AEP Texas, Inc., Series H                                                                                                     | CUSIP: 00108WAK6<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |    1619000 | PA      | $1143749.54   | 0.03%             | 2050-01-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Woodmont Trust                                                            | Woodmont Trust, Series 2017-2A, Class A1R                                                                                     | CUSIP: 97988QAL8<br>LEI: 254900PE376ILSXG5546 | Long             | ABS-CBDO         | CORP              | US        |    2030000 | PA      | $1929992.46   | 0.06%             | 2033-04-20      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| Rad CLO 5 Ltd.                                                            | Rad CLO 5 Ltd., Series 2019-5A, Class AR                                                                                      | CUSIP: 74923EAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     800000 | PA      | $780177.36    | 0.02%             | 2032-07-24      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36180DSX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     154972 | PA      | $145744.62    | 0.00%             | 2043-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| New York State Dormitory Authority                                        | New York State Dormitory Authority, Series 2010H                                                                              | CUSIP: 6499022F9<br>LEI: 549300C8XO7EXTX2XU71 | Long             | DBT              | MUN               | US        |     320000 | PA      | $323109.50    | 0.01%             | 2040-03-15      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QNNX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2009957 | PA      | $1652686.00   | 0.05%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36202FM78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     416066 | PA      | $402008.90    | 0.01%             | 2040-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132D9B86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2706526 | PA      | $2620888.73   | 0.08%             | 2035-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bonds                                                                                                           | CUSIP: 912810RZ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   35670000 | PA      | $27823993.27  | 0.82%             | 2047-11-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group, Inc.                                                  | UnitedHealth Group, Inc.                                                                                                      | CUSIP: 91324PDV1<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    1111000 | PA      | $869138.48    | 0.03%             | 2059-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3133KJVE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1536895 | PA      | $1362565.77   | 0.04%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bonds                                                                                                           | CUSIP: 912810RB6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6784000 | PA      | $5537175.02   | 0.16%             | 2043-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                                              | AbbVie, Inc.                                                                                                                  | CUSIP: 00287YAR0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    2824000 | PA      | $2615886.62   | 0.08%             | 2035-05-14      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman Loan Advisers CLO 26 Ltd.                                | Neuberger Berman Loan Advisers CLO 26 Ltd., Series 2017-26A, Class AR                                                         | CUSIP: 64131QAJ9<br>LEI: 549300P0MOXZPIM3AS61 | Long             | ABS-CBDO         | CORP              | KY        |    1430000 | PA      | $1406316.34   | 0.04%             | 2030-10-18      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36202FLN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     268947 | PA      | $259862.22    | 0.01%             | 2040-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Entergy Louisiana LLC                                                     | Entergy Louisiana LLC                                                                                                         | CUSIP: 29364WBB3<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |    1581000 | PA      | $1293627.08   | 0.04%             | 2048-09-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                     | Bank of America Corp.                                                                                                         | CUSIP: 06051GJL4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    4177000 | PA      | $3190759.34   | 0.09%             | 2031-10-24      | Variable      | 1.92%                 | No            |                  2 | On Loan: No      |
| Consumers Energy Co.                                                      | Consumers Energy Co.                                                                                                          | CUSIP: 210518DE3<br>LEI: 7NKTFWJ1G6MELP9TU740 | Long             | DBT              | CORP              | US        |    1096000 | PA      | $854064.83    | 0.03%             | 2050-02-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36178EK65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      30444 | PA      | $28631.95     | 0.00%             | 2043-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Raytheon Technologies Corp.                                               | Raytheon Technologies Corp.                                                                                                   | CUSIP: 75513ECK5<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |     400000 | PA      | $340190.68    | 0.01%             | 2047-04-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| National Retail Properties, Inc.                                          | National Retail Properties, Inc.                                                                                              | CUSIP: 637417AL0<br>LEI: 5493008JKH5SOTI0JS97 | Long             | DBT              | CORP              | US        |     419000 | PA      | $388723.73    | 0.01%             | 2028-10-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-5906.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Leidos, Inc.                                                              | Leidos, Inc.                                                                                                                  | CUSIP: 52532XAH8<br>LEI: 5493006I78VIN6J1BQ95 | Long             | DBT              | CORP              | US        |     995000 | PA      | $762225.20    | 0.02%             | 2031-02-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36181D7A8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     288591 | PA      | $271477.41    | 0.01%             | 2043-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ServiceNow, Inc.                                                          | ServiceNow, Inc.                                                                                                              | CUSIP: 81762PAE2<br>LEI: 549300HJTQM36M0E1G39 | Long             | DBT              | CORP              | US        |    3630000 | PA      | $2777010.19   | 0.08%             | 2030-09-01      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                          | SMB Private Education Loan Trust, Series 2020-PTA, Class B                                                                    | CUSIP: 78449VAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1540000 | PA      | $1192195.00   | 0.04%             | 2054-09-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                           | CUSIP: 9128286B1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    8146000 | PA      | $7528685.94   | 0.22%             | 2029-02-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                            | Morgan Stanley Capital I Trust, Series 2019-L2, Class A4                                                                      | CUSIP: 61768HAW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     347000 | PA      | $320236.69    | 0.01%             | 2052-03-15      | Fixed         | 4.07%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd.                                                         | CIFC Funding Ltd., Series 2017-1A, Class B                                                                                    | CUSIP: 12551AAC9<br>LEI: 549300X1SKS4LNS5LQ62 | Long             | ABS-CBDO         | CORP              | KY        |     340000 | PA      | $332754.46    | 0.01%             | 2029-04-23      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                                  | Benchmark Mortgage Trust, Series 2021-B23, Class XA                                                                           | CUSIP: 08162RAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5770771 | PA      | $389135.78    | 0.01%             | 2054-02-15      | Variable      | 1.27%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138WEF61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57845 | PA      | $54241.26     | 0.00%             | 2030-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| NBK Tier 1 Ltd.                                                           | NBK Tier 1 Ltd.                                                                                                               | CUSIP: 62879NAA5<br>LEI: 5493000G4QCCEE8YHF19 | Long             | DBT              | CORP              | AE        |     619000 | PA      | $538839.50    | 0.02%             | 2026-08-24      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| Crown Castle, Inc.                                                        | Crown Castle, Inc.                                                                                                            | CUSIP: 22822VAR2<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |    2366000 | PA      | $2069760.73   | 0.06%             | 2030-07-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 31335B2J4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     890699 | PA      | $881905.13    | 0.03%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179TV51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18076 | PA      | $16836.34     | 0.00%             | 2048-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDS                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    1287000 | PA      | $-12835.57    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140HHWE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     434096 | PA      | $415956.62    | 0.01%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| L3Harris Technologies, Inc.                                               | L3Harris Technologies, Inc.                                                                                                   | CUSIP: 502431AM1<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |    4166000 | PA      | $3987761.19   | 0.12%             | 2028-06-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DMRM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     915291 | PA      | $879618.09    | 0.03%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Grippen Park CLO Ltd.                                                     | Grippen Park CLO Ltd., Series 2017-1A, Class D                                                                                | CUSIP: 39862EAD6<br>LEI: 549300P7KR0IARP7PG22 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $231505.58    | 0.01%             | 2030-01-20      | Floating      | 7.54%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                           | Goldman Sachs Group, Inc. (The)                                                                                               | CUSIP: 38141GYJ7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    5968000 | PA      | $4630623.06   | 0.14%             | 2032-07-21      | Variable      | 2.38%                 | No            |                  2 | On Loan: No      |
| Apple, Inc.                                                               | Apple, Inc.                                                                                                                   | CUSIP: 037833EA4<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |     886000 | PA      | $536120.71    | 0.02%             | 2060-08-20      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd.                                                    | Palmer Square CLO Ltd., Series 2013-2A, Class A1A3                                                                            | CUSIP: 69688AAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     650000 | PA      | $637187.07    | 0.02%             | 2031-10-17      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Piedmont Natural Gas Co., Inc.                                            | Piedmont Natural Gas Co., Inc.                                                                                                | CUSIP: 720186AH8<br>LEI: VXB4M3BDPKF3I2AZ3G89 | Long             | DBT              | CORP              | US        |     587000 | PA      | $501703.28    | 0.01%             | 2034-09-18      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| General Motors Financial Co., Inc.                                        | General Motors Financial Co., Inc.                                                                                            | CUSIP: 37045XDV5<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    1260000 | PA      | $1128589.43   | 0.03%             | 2029-04-06      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                                       | Petroleos Mexicanos                                                                                                           | CUSIP: 71643VAB1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | NUSS              | MX        |     507000 | PA      | $397361.25    | 0.01%             | 2032-02-16      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| Williams Cos., Inc. (The)                                                 | Williams Cos., Inc. (The)                                                                                                     | CUSIP: 88339WAA4<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    1041000 | PA      | $708455.07    | 0.02%             | 2051-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GoldenTree Loan Opportunities IX Ltd.                                     | GoldenTree Loan Opportunities IX Ltd., Series 2014-9A, Class BR2                                                              | CUSIP: 38123HAS3<br>LEI: 549300IOBSI2NBFBJX90 | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $488448.35    | 0.01%             | 2029-10-29      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DVLH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     744966 | PA      | $615182.79    | 0.02%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Commonwealth Edison Co.                                                   | Commonwealth Edison Co., Series 130                                                                                           | CUSIP: 202795JT8<br>LEI: D8YOXB8L2ZDC8P7Q0771 | Long             | DBT              | CORP              | US        |     479000 | PA      | $330506.86    | 0.01%             | 2051-03-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Bank of America Merrill Lynch Commercial Mortgage Trust                   | Bank of America Merrill Lynch Commercial Mortgage Trust, Series 2017-BNK3, Class XB                                           | CUSIP: 06427DAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4185000 | PA      | $90493.51     | 0.00%             | 2050-02-15      | Variable      | 0.59%                 | No            |                  2 | On Loan: No      |
| Barclays plc                                                              | Barclays plc                                                                                                                  | CUSIP: 06738EBV6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     920000 | PA      | $700656.75    | 0.02%             | 2032-11-24      | Variable      | 2.89%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd.                                                         | CIFC Funding Ltd., Series 2020-1A, Class DR                                                                                   | CUSIP: 12555QAW6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     380000 | PA      | $354976.73    | 0.01%             | 2036-07-15      | Floating      | 7.18%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                                     | United Mexican States                                                                                                         | CUSIP: N/A<br>LEI: 254900EGTWEU67VP6075       | Long             | DBT              | NUSS              | MX        |     339000 | PA      | $1648059.46   | 0.05%             | 2038-11-18      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| ORIX Corp.                                                                | ORIX Corp.                                                                                                                    | CUSIP: 686330AP6<br>LEI: 35380016EMHNBOVYE123 | Long             | DBT              | CORP              | JP        |     179000 | PA      | $158755.07    | 0.00%             | 2032-04-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    2112000 | PA      | $8346.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QMLV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1700941 | PA      | $1403370.42   | 0.04%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Florida Power & Light Co.                                                 | Florida Power & Light Co.                                                                                                     | CUSIP: 341081GE1<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |     508000 | PA      | $340687.22    | 0.01%             | 2051-12-04      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QEN57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1343904 | PA      | $1155625.26   | 0.03%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132M7YQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      37448 | PA      | $35115.43     | 0.00%             | 2044-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| OHA Credit Funding 4 Ltd.                                                 | OHA Credit Funding 4 Ltd., Series 2019-4A, Class AR                                                                           | CUSIP: 67098DAS2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $241706.80    | 0.01%             | 2036-10-22      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| OHA Loan Funding Ltd.                                                     | OHA Loan Funding Ltd., Series 2015-1A, Class AR3                                                                              | CUSIP: 67109BDC5<br>LEI: 25490072LQI0R2J4XC93 | Long             | ABS-CBDO         | CORP              | KY        |    1170000 | PA      | $1139749.42   | 0.03%             | 2037-01-19      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                          | SMB Private Education Loan Trust, Series 2021-C, Class D                                                                      | CUSIP: 83208AAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     100000 | PA      | $88456.00     | 0.00%             | 2053-01-15      | Fixed         | 3.93%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2019-OC11, Class D                                                                                           | CUSIP: 05606FAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1832000 | PA      | $1459949.01   | 0.04%             | 2041-12-09      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| Carlyle C17 CLO Ltd.                                                      | Carlyle C17 CLO Ltd., Series C17A, Class A1AR                                                                                 | CUSIP: 14307PAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1860000 | PA      | $1839364.42   | 0.05%             | 2031-04-30      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36202E7F0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      65497 | PA      | $63283.48     | 0.00%             | 2039-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138WHNX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     157644 | PA      | $147417.16    | 0.00%             | 2031-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Cheniere Corpus Christi Holdings LLC                                      | Cheniere Corpus Christi Holdings LLC                                                                                          | CUSIP: 16412XAG0<br>LEI: 549300I7CIEWU1BBLQ53 | Long             | DBT              | CORP              | US        |    6374000 | PA      | $6297053.71   | 0.19%             | 2027-06-30      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DMKJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1860607 | PA      | $1777283.67   | 0.05%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MFA Trust                                                                 | MFA Trust, Series 2022-NQM3, Class A1                                                                                         | CUSIP: 55286EAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2000393 | PA      | $1962056.62   | 0.06%             | 2067-09-25      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| AIMCO CLO                                                                 | AIMCO CLO, Series 2017-AA, Class CR                                                                                           | CUSIP: 00900CAQ7<br>LEI: 549300MMTPNJGGRMPB33 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $234151.28    | 0.01%             | 2034-04-20      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                           | CUSIP: 912828U24<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   23375000 | PA      | $21611831.00  | 0.64%             | 2026-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Otis Worldwide Corp.                                                      | Otis Worldwide Corp.                                                                                                          | CUSIP: 68902VAK3<br>LEI: 549300ZLBKR8VSU25153 | Long             | DBT              | CORP              | US        |     421000 | PA      | $353723.91    | 0.01%             | 2030-02-15      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| Baltimore Gas & Electric Co.                                              | Baltimore Gas & Electric Co.                                                                                                  | CUSIP: 059165EJ5<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |     981000 | PA      | $756522.34    | 0.02%             | 2047-08-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Allegro CLO II-S Ltd.                                                     | Allegro CLO II-S Ltd., Series 2014-1RA, Class A1                                                                              | CUSIP: 01751EAC2<br>LEI: 635400R1GOVCHJ4SNX58 | Long             | ABS-CBDO         | CORP              | KY        |     854013 | PA      | $843802.83    | 0.02%             | 2028-10-21      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Discovery Communications LLC                                              | Discovery Communications LLC                                                                                                  | CUSIP: N/A<br>LEI: L2Z2MO2EQURH3BREWI15       | Long             | DBT              | CORP              | US        |    1685000 | PA      | $1627537.96   | 0.05%             | 2027-03-19      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association Variable Rate Notes, Series 2013-30                                                  | CUSIP: 38378KBK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     684947 | PA      | $9945.57      | 0.00%             | 2053-09-16      | Variable      | 0.53%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd.                                           | Palmer Square Loan Funding Ltd., Series 2022-2A, Class A2                                                                     | CUSIP: 69701NAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     340000 | PA      | $330982.69    | 0.01%             | 2030-10-15      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDSCMBX                                                                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     186277 | PA      | $-23411.37    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                              | Oracle Corp.                                                                                                                  | CUSIP: 68389XBW4<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    4003000 | PA      | $2936644.31   | 0.09%             | 2040-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140J7X91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27095 | PA      | $25640.45     | 0.00%             | 2030-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Crown Castle, Inc.                                                        | Crown Castle, Inc.                                                                                                            | CUSIP: 22822VAW1<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |     903000 | PA      | $711693.52    | 0.02%             | 2031-04-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Carlyle US CLO Ltd.                                                       | Carlyle US CLO Ltd., Series 2016-4A, Class A2R                                                                                | CUSIP: 143109AN6<br>LEI: 54930054F35TGSKQ6V76 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $244150.05    | 0.01%             | 2027-10-20      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| Wyeth LLC                                                                 | Wyeth LLC                                                                                                                     | CUSIP: 983024AG5<br>LEI: 549300Q9GR3WRH4N4836 | Long             | DBT              | CORP              | US        |     515000 | PA      | $577270.05    | 0.02%             | 2034-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                        | United Airlines Pass-Through Trust, Series 2019-1, Class AA                                                                   | CUSIP: 90931CAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     593823 | PA      | $525239.17    | 0.02%             | 2031-08-25      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QMZQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1957198 | PA      | $1673758.78   | 0.05%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Elevance Health, Inc.                                                     | Elevance Health, Inc.                                                                                                         | CUSIP: 036752AX1<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |     280000 | PA      | $298500.01    | 0.01%             | 2052-10-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | U.S. Treasury 10 Year Note                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         57 | NC      | $11578.13     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Petroleos Mexicanos                                                       | Petroleos Mexicanos, Series 13-2                                                                                              | CUSIP: N/A<br>LEI: 549300CAZKPF4HKMPX17       | Long             | DBT              | NUSS              | MX        |      71530 | PA      | $338924.60    | 0.01%             | 2024-09-12      | Fixed         | 7.19%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bonds                                                                                                           | CUSIP: 912810RD2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6784000 | PA      | $6358409.97   | 0.19%             | 2043-11-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                     | Wells Fargo Commercial Mortgage Trust, Series 2019-C49, Class B                                                               | CUSIP: 95001WBF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1688000 | PA      | $1455532.35   | 0.04%             | 2052-03-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DM7D1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3794264 | PA      | $3123430.94   | 0.09%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138XTT88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     228157 | PA      | $218123.73    | 0.01%             | 2029-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DMSG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3868340 | PA      | $3467348.43   | 0.10%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $12284.12     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Olympic Tower Mortgage Trust                                              | Olympic Tower Mortgage Trust, Series 2017-OT, Class XA                                                                        | CUSIP: 68162MAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10700000 | PA      | $161414.85    | 0.00%             | 2039-05-10      | Variable      | 0.38%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO XII Ltd.                                                  | Sound Point CLO XII Ltd., Series 2016-2A, Class CR2                                                                           | CUSIP: 83610CBA8<br>LEI: 549300EBWPUX52MGF160 | Long             | ABS-CBDO         | CORP              | KY        |     900000 | PA      | $863295.93    | 0.03%             | 2028-10-20      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| Huntington Ingalls Industries, Inc.                                       | Huntington Ingalls Industries, Inc.                                                                                           | CUSIP: 446413AZ9<br>LEI: 5TZLZ6WJTBVJ0QWBG121 | Long             | DBT              | CORP              | US        |     842000 | PA      | $694017.14    | 0.02%             | 2028-08-16      | Fixed         | 2.04%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2021-LBA, Class AV                                                                                           | CUSIP: 05609BAV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     243000 | PA      | $230968.41    | 0.01%             | 2036-02-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140JAQQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2388669 | PA      | $2356128.27   | 0.07%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Flatiron CLO 21 Ltd.                                                      | Flatiron CLO 21 Ltd., Series 2021-1A, Class A1                                                                                | CUSIP: 33883PAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3150000 | PA      | $3075144.35   | 0.09%             | 2034-07-19      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QNNU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5290282 | PA      | $4335726.50   | 0.13%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138Y4BK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      54938 | PA      | $53005.29     | 0.00%             | 2029-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3133BJEZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1029166 | PA      | $990549.34    | 0.03%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                       | Citigroup Commercial Mortgage Trust, Series 2015-GC27, Class B                                                                | CUSIP: 17323CAK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     240000 | PA      | $218638.49    | 0.01%             | 2048-02-10      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| Ecopetrol SA                                                              | Ecopetrol SA                                                                                                                  | CUSIP: 279158AN9<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | NUSS              | CO        |    1358000 | PA      | $1228990.00   | 0.04%             | 2030-04-29      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO XXIII                                                     | Sound Point CLO XXIII, Series 2019-2A, Class AR                                                                               | CUSIP: 83614BAQ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4180000 | PA      | $4030818.73   | 0.12%             | 2034-07-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Capital Certificates                               | Credit Suisse Mortgage Capital Certificates, Series 2020-NET, Class D                                                         | CUSIP: 126438AJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     600000 | PA      | $529161.72    | 0.02%             | 2037-08-15      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31417TM62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      87102 | PA      | $90219.47     | 0.00%             | 2039-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding XXXVII Ltd.                                          | Madison Park Funding XXXVII Ltd., Series 2019-37A, Class AR                                                                   | CUSIP: 55817EAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     410000 | PA      | $403819.87    | 0.01%             | 2033-07-15      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                           | Goldman Sachs Group, Inc. (The)                                                                                               | CUSIP: 38141GXJ8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    8051000 | PA      | $7742182.96   | 0.23%             | 2025-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| General Motors Financial Co., Inc.                                        | General Motors Financial Co., Inc.                                                                                            | CUSIP: 37045XDL7<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    2234000 | PA      | $1711635.93   | 0.05%             | 2031-06-10      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Long Point Park CLO Ltd.                                                  | Long Point Park CLO Ltd., Series 2017-1A, Class A2                                                                            | CUSIP: 542798AE3<br>LEI: 549300639DPKTBUSCC77 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $241844.68    | 0.01%             | 2030-01-17      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| General Motors Co.                                                        | General Motors Co.                                                                                                            | CUSIP: 37045VAZ3<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |    4443000 | PA      | $4127530.56   | 0.12%             | 2032-10-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140HP4C8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     113124 | PA      | $113067.39    | 0.00%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Romark WM-R Ltd.                                                          | Romark WM-R Ltd., Series 2018-1A, Class A1                                                                                    | CUSIP: 77587AAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     959929 | PA      | $942170.62    | 0.03%             | 2031-04-20      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Birch Grove CLO Ltd.                                                      | Birch Grove CLO Ltd., Series 19A, Class CR                                                                                    | CUSIP: 09075JAQ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $236482.25    | 0.01%             | 2031-06-15      | Floating      | 6.97%                 | No            |                  2 | On Loan: No      |
| Bristol Park CLO Ltd.                                                     | Bristol Park CLO Ltd., Series 2016-1A, Class BR                                                                               | CUSIP: 11014PAL9<br>LEI: 549300XRS6MFERKEPO61 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $241599.15    | 0.01%             | 2029-04-15      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        | -376258605 | PA      | $-4243754.54  | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| Moody's Corp.                                                             | Moody's Corp.                                                                                                                 | CUSIP: 615369AT2<br>LEI: 549300GCEDD8YCF5WU84 | Long             | DBT              | CORP              | US        |     825000 | PA      | $569640.55    | 0.02%             | 2050-05-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138WFZF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     254188 | PA      | $238316.46    | 0.01%             | 2030-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                                       | Petroleos Mexicanos                                                                                                           | CUSIP: 71654QCB6<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | NUSS              | MX        |     185000 | PA      | $175842.50    | 0.01%             | 2026-08-04      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Norfolk Southern Corp.                                                    | Norfolk Southern Corp.                                                                                                        | CUSIP: 655844CF3<br>LEI: 54930036C8MWP850MI84 | Long             | DBT              | CORP              | US        |    1683000 | PA      | $1127243.93   | 0.03%             | 2050-05-15      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $18802.08     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140XGVN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     785474 | PA      | $696959.37    | 0.02%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| National Retail Properties, Inc.                                          | National Retail Properties, Inc.                                                                                              | CUSIP: 637417AN6<br>LEI: 5493008JKH5SOTI0JS97 | Long             | DBT              | CORP              | US        |    1035000 | PA      | $838933.02    | 0.02%             | 2030-04-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2021-SOAR, Class D                                                                       | CUSIP: 05608WAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2113986 | PA      | $1992005.93   | 0.06%             | 2038-06-15      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132QMHE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21046 | PA      | $20244.20     | 0.00%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Suzano Austria GmbH                                                       | Suzano Austria GmbH, Series DM3N                                                                                              | CUSIP: 86964WAK8<br>LEI: 254900287ZNSGVP1R341 | Long             | DBT              | CORP              | AT        |     568000 | PA      | $442330.00    | 0.01%             | 2032-01-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp. Trust                                        | GS Mortgage Securities Corp. Trust, Series 2021-DM, Class A                                                                   | CUSIP: 36265AAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     749000 | PA      | $723581.26    | 0.02%             | 2036-11-15      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138LSK41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     135797 | PA      | $130411.54    | 0.00%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 312942F34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      43013 | PA      | $41353.50     | 0.00%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140XFGB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2691669 | PA      | $2294560.44   | 0.07%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138WJDN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     391995 | PA      | $366550.36    | 0.01%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDSCMBX                                                                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     440000 | PA      | $68926.33     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Generate CLO 3 Ltd.                                                       | Generate CLO 3 Ltd., Series 3A, Class AR                                                                                      | CUSIP: 98625UAU6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     494005 | PA      | $489479.62    | 0.01%             | 2029-10-20      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| Trestles CLO III Ltd.                                                     | Trestles CLO III Ltd., Series 2020-3A, Class B1                                                                               | CUSIP: 89532TAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     530000 | PA      | $510891.49    | 0.02%             | 2033-01-20      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| BWAY Mortgage Trust                                                       | BWAY Mortgage Trust, Series 2013-1515, Class E                                                                                | CUSIP: 05604FAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $86383.23     | 0.00%             | 2033-03-10      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179NBB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     588544 | PA      | $554504.92    | 0.02%             | 2043-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bonds                                                                                                           | CUSIP: 912810QD3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1764000 | PA      | $1839314.53   | 0.05%             | 2039-11-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Florida Power & Light Co.                                                 | Florida Power & Light Co.                                                                                                     | CUSIP: 341081FU6<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |    2391000 | PA      | $2004562.92   | 0.06%             | 2049-03-01      | Fixed         | 3.99%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 31307MR32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      81740 | PA      | $76728.37     | 0.00%             | 2030-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Assurant CLO Ltd.                                                         | Assurant CLO Ltd., Series 2018-2A, Class A                                                                                    | CUSIP: 04623TAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $244449.85    | 0.01%             | 2031-04-20      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2022-VAMF, Class A                                                                                           | CUSIP: 05609TAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     300000 | PA      | $286467.63    | 0.01%             | 2039-01-15      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179NJB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      41013 | PA      | $39618.40     | 0.00%             | 2043-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Variable Rate Notes, Series 2018-K80, Class B                                                | CUSIP: 30307RAE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     235000 | PA      | $215195.82    | 0.01%             | 2050-08-25      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDS                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     500000 | PA      | $1566.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OZLM Funding IV Ltd.                                                      | OZLM Funding IV Ltd., Series 2013-4A, Class A1R                                                                               | CUSIP: 67108FAN6<br>LEI: 549300788AI08GTXXH35 | Long             | ABS-CBDO         | CORP              | KY        |    9021835 | PA      | $8891560.54   | 0.26%             | 2030-10-22      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QE2C5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1385676 | PA      | $1324666.44   | 0.04%             | 2050-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| IMT Trust                                                                 | IMT Trust, Series 2017-APTS, Class DFX                                                                                        | CUSIP: 44974ABC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     730000 | PA      | $680030.26    | 0.02%             | 2034-06-15      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd.                                                         | CIFC Funding Ltd., Series 2019-5A, Class A1R1                                                                                 | CUSIP: 12554XAJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $243344.33    | 0.01%             | 2035-01-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| VICI Properties LP                                                        | VICI Properties LP                                                                                                            | CUSIP: 92564RAJ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     858000 | PA      | $836344.85    | 0.02%             | 2027-02-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance Trust                                        | Regional Management Issuance Trust, Series 2022-2B, Class A                                                                   | CUSIP: 75907JAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1915000 | PA      | $1925638.97   | 0.06%             | 2032-11-17      | Fixed         | 7.10%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DMRF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     405431 | PA      | $374110.47    | 0.01%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  990105034 | PA      | $362946.49    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140J8F24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     123188 | PA      | $124592.59    | 0.00%             | 2045-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140J75N1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      83116 | PA      | $78700.28     | 0.00%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Cigna Corp.                                                               | Cigna Corp.                                                                                                                   | CUSIP: 125523CM0<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |     874000 | PA      | $715267.25    | 0.02%             | 2031-03-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| GUSAP III LP                                                              | GUSAP III LP                                                                                                                  | CUSIP: N/A<br>LEI: 549300WY05UJ7WTHIN64       | Long             | DBT              | CORP              | US        |     259000 | PA      | $239299.81    | 0.01%             | 2030-01-21      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138LTFX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15723 | PA      | $14707.74     | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Union Pacific Corp.                                                       | Union Pacific Corp.                                                                                                           | CUSIP: 907818FG8<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |     915000 | PA      | $706820.66    | 0.02%             | 2060-03-20      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| Hartford Financial Services Group, Inc. (The)                             | Hartford Financial Services Group, Inc. (The)                                                                                 | CUSIP: 416515BE3<br>LEI: IU7C3FTM7Y3BQM112U94 | Long             | DBT              | CORP              | US        |     509000 | PA      | $435745.69    | 0.01%             | 2029-08-19      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Rogers Communications, Inc.                                               | Rogers Communications, Inc.                                                                                                   | CUSIP: 775109CD1<br>LEI: 54930030NVF3Y2OL0A78 | Long             | DBT              | CORP              | CA        |     438000 | PA      | $339575.29    | 0.01%             | 2052-03-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138W9F88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      76296 | PA      | $72242.78     | 0.00%             | 2028-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31418XDE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10266 | PA      | $10225.46     | 0.00%             | 2025-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140XFM40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3861551 | PA      | $3311019.58   | 0.10%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3128MFCX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     648012 | PA      | $608244.14    | 0.02%             | 2031-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| KLA Corp.                                                                 | KLA Corp.                                                                                                                     | CUSIP: 482480AM2<br>LEI: 549300H0BF5JCG96TJ81 | Long             | DBT              | CORP              | US        |     745000 | PA      | $691921.80    | 0.02%             | 2052-07-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Amgen, Inc.                                                               | Amgen, Inc.                                                                                                                   | CUSIP: 031162DC1<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |     481000 | PA      | $306991.52    | 0.01%             | 2052-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Enterprise Products Operating LLC                                         | Enterprise Products Operating LLC                                                                                             | CUSIP: 29379VCB7<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |     476000 | PA      | $316626.59    | 0.01%             | 2053-02-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 3620A6DC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     146674 | PA      | $150144.20    | 0.00%             | 2039-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                           | Goldman Sachs Group, Inc. (The)                                                                                               | CUSIP: 38141GYB4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    2648000 | PA      | $2111755.72   | 0.06%             | 2032-04-22      | Variable      | 2.62%                 | No            |                  2 | On Loan: No      |
| Wisconsin Power and Light Co.                                             | Wisconsin Power and Light Co.                                                                                                 | CUSIP: 976826BQ9<br>LEI: JWBYHVQVMY66CVCOSO49 | Long             | DBT              | CORP              | US        |     644000 | PA      | $589383.67    | 0.02%             | 2032-09-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd.                                                         | CIFC Funding Ltd., Series 2020-1A, Class BR                                                                                   | CUSIP: 12555QAS5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     740000 | PA      | $706609.28    | 0.02%             | 2036-07-15      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| Baltimore Gas & Electric Co.                                              | Baltimore Gas & Electric Co.                                                                                                  | CUSIP: 059165EH9<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |    1060000 | PA      | $786085.12    | 0.02%             | 2046-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                           | CUSIP: 912828Y87<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   25233000 | PA      | $24135955.96  | 0.71%             | 2024-07-31      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31329KW83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      85202 | PA      | $79033.80     | 0.00%             | 2037-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                          | SMB Private Education Loan Trust, Series 2021-A, Class D1                                                                     | CUSIP: 78448YAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1064000 | PA      | $955632.98    | 0.03%             | 2053-01-15      | Fixed         | 3.86%                 | No            |                  2 | On Loan: No      |
| Bay Area Toll Authority                                                   | Bay Area Toll Authority, Series 2010S-1                                                                                       | CUSIP: 072024NV0<br>LEI: 5493001FUZGUQMIP5D78 | Long             | DBT              | MUN               | US        |    1925000 | PA      | $2365516.90   | 0.07%             | 2050-04-01      | Fixed         | 7.04%                 | No            |                  2 | On Loan: No      |
| JPMCC Commercial Mortgage Securities Trust                                | JPMCC Commercial Mortgage Securities Trust, Series 2017-JP7, Class B                                                          | CUSIP: 465968AK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      90000 | PA      | $77357.79     | 0.00%             | 2050-09-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QEQC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1192117 | PA      | $1093987.29   | 0.03%             | 2050-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    1525200 | PA      | $-8924.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Crown Castle, Inc.                                                        | Crown Castle, Inc.                                                                                                            | CUSIP: 22822VAN1<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |    1908000 | PA      | $1663101.05   | 0.05%             | 2029-11-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138WD7A3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8784 | PA      | $8236.45      | 0.00%             | 2030-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| KLA Corp.                                                                 | KLA Corp.                                                                                                                     | CUSIP: 482480AN0<br>LEI: 549300H0BF5JCG96TJ81 | Long             | DBT              | CORP              | US        |    2170000 | PA      | $2083794.62   | 0.06%             | 2062-07-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Oncor Electric Delivery Co. LLC                                           | Oncor Electric Delivery Co. LLC                                                                                               | CUSIP: 68233JBR4<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |    1574000 | PA      | $1114050.25   | 0.03%             | 2049-09-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Dryden 45 Senior Loan Fund                                                | Dryden 45 Senior Loan Fund, Series 2016-45A, Class BR                                                                         | CUSIP: 26244MAQ5<br>LEI: 54930046L20VLJKPVV31 | Long             | ABS-CBDO         | CORP              | KY        |     630000 | PA      | $605382.75    | 0.02%             | 2030-10-15      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series K-151, Class A2                     | CUSIP: 3137H9JG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1135000 | PA      | $1071296.54   | 0.03%             | 2032-10-25      | Variable      | 3.80%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140J5JU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     607100 | PA      | $563576.34    | 0.02%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Sherwin-Williams Co. (The)                                                | Sherwin-Williams Co. (The)                                                                                                    | CUSIP: 824348BJ4<br>LEI: Z15BMIOX8DDH0X2OBP21 | Long             | DBT              | CORP              | US        |     442000 | PA      | $386920.36    | 0.01%             | 2029-08-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 31335AAT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     437841 | PA      | $434619.22    | 0.01%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                                           | CSAIL Commercial Mortgage Trust, Series 2016-C5, Class B                                                                      | CUSIP: 12636LBD1<br>LEI: 549300FU8TZDHFLQZL50 | Long             | ABS-MBS          | CORP              | US        |     510000 | PA      | $469782.37    | 0.01%             | 2048-11-15      | Variable      | 4.46%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                                  | Benchmark Mortgage Trust, Series 2018-B5, Class A3                                                                            | CUSIP: 08160BAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1110000 | PA      | $1039646.98   | 0.03%             | 2051-07-15      | Fixed         | 3.94%                 | No            |                  2 | On Loan: No      |
| NSTAR Electric Co.                                                        | NSTAR Electric Co.                                                                                                            | CUSIP: 67021CAP2<br>LEI: 54930080R72Y2Z31UR68 | Long             | DBT              | CORP              | US        |     425000 | PA      | $399518.50    | 0.01%             | 2030-04-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| AMMC CLO XIII Ltd.                                                        | AMMC CLO XIII Ltd., Series 2013-13A, Class A1R2                                                                               | CUSIP: 00176DAQ2<br>LEI: 549300R4YQWFRASHVE93 | Long             | ABS-CBDO         | CORP              | KY        |     536381 | PA      | $530807.54    | 0.02%             | 2029-07-24      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138X6T70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1290648 | PA      | $1271307.06   | 0.04%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DMRK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4859381 | PA      | $4666789.16   | 0.14%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Trust                                          | OneMain Financial Issuance Trust, Series 2020-2A, Class C                                                                     | CUSIP: 682696AC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     550000 | PA      | $458786.79    | 0.01%             | 2035-09-14      | Fixed         | 2.76%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 31335BCH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     322441 | PA      | $317311.69    | 0.01%             | 2047-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd.                                           | Palmer Square Loan Funding Ltd., Series 2022-2A, Class B                                                                      | CUSIP: 69701NAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $238510.15    | 0.01%             | 2030-10-15      | Floating      | 6.06%                 | No            |                  2 | On Loan: No      |
| Oncor Electric Delivery Co. LLC                                           | Oncor Electric Delivery Co. LLC                                                                                               | CUSIP: 68233JCG7<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |     558000 | PA      | $510062.90    | 0.02%             | 2052-06-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| OHA Credit Funding 3 Ltd.                                                 | OHA Credit Funding 3 Ltd., Series 2019-3A, Class BR                                                                           | CUSIP: 67112RAU8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     668000 | PA      | $639029.24    | 0.02%             | 2035-07-02      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                       | Citigroup Commercial Mortgage Trust, Series 2018-C6, Class A4                                                                 | CUSIP: 17327GAY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     460000 | PA      | $437292.56    | 0.01%             | 2051-11-10      | Fixed         | 4.41%                 | No            |                  2 | On Loan: No      |
| Battalion CLO XX Ltd.                                                     | Battalion CLO XX Ltd., Series 2021-20A, Class A                                                                               | CUSIP: 07134UAA5<br>LEI: 549300CDYR56PY734566 | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $973892.10    | 0.03%             | 2034-07-15      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36202FTM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      47271 | PA      | $48073.99     | 0.00%             | 2041-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                     | Wells Fargo Commercial Mortgage Trust, Series 2019-C50, Class XA                                                              | CUSIP: 95001XBF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12005016 | PA      | $746679.57    | 0.02%             | 2052-05-15      | Variable      | 1.41%                 | No            |                  2 | On Loan: No      |
| Fresnillo plc                                                             | Fresnillo plc                                                                                                                 | CUSIP: N/A<br>LEI: 549300JXWH1UV5J0XV81       | Long             | DBT              | CORP              | GB        |     834000 | PA      | $655107.00    | 0.02%             | 2050-10-02      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138EPQP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     143492 | PA      | $137974.40    | 0.00%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36178N7H6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      86400 | PA      | $81253.11     | 0.00%             | 2042-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                                 | Commercial Mortgage Trust, Series 2016-667M, Class D                                                                          | CUSIP: 12636GAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     440000 | PA      | $333864.56    | 0.01%             | 2036-10-10      | Variable      | 3.18%                 | No            |                  2 | On Loan: No      |
| Thermo Fisher Scientific, Inc.                                            | Thermo Fisher Scientific, Inc.                                                                                                | CUSIP: 883556CL4<br>LEI: HCHV7422L5HDJZCRFL38 | Long             | DBT              | CORP              | US        |     777000 | PA      | $629268.45    | 0.02%             | 2031-10-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132D9DQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1755432 | PA      | $1628540.71   | 0.05%             | 2038-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140F5BJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     124223 | PA      | $112620.90    | 0.00%             | 2031-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                           | CUSIP: 91282CEP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     977600 | PA      | $900919.50    | 0.03%             | 2032-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Diamondback Energy, Inc.                                                  | Diamondback Energy, Inc.                                                                                                      | CUSIP: 25278XAQ2<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |    1243000 | PA      | $946895.10    | 0.03%             | 2051-03-24      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Battalion CLO VIII Ltd.                                                   | Battalion CLO VIII Ltd., Series 2015-8A, Class A1R2                                                                           | CUSIP: 07132ACC5<br>LEI: 549300WH2OE0BGHQQP83 | Long             | ABS-CBDO         | CORP              | KY        |    1313732 | PA      | $1291257.15   | 0.04%             | 2030-07-18      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDS                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    1438802 | PA      | $-8257.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    1748400 | PA      | $-49737.73    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  -52894085 | PA      | $-665881.42   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                           | CUSIP: 912828J27<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   16322000 | PA      | $15530128.05  | 0.46%             | 2025-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132XWBS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     142694 | PA      | $133430.42    | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Beast Mortgage Trust                                                      | Beast Mortgage Trust, Series 2021-SSCP, Class A                                                                               | CUSIP: 05601PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     309000 | PA      | $296011.80    | 0.01%             | 2036-04-15      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| SLM Private Education Loan Trust                                          | SLM Private Education Loan Trust, Series 2010-C, Class A5                                                                     | CUSIP: 78445QAE1<br>LEI: 549300JEA36NHBYED811 | Long             | ABS-O            | CORP              | US        |    3144622 | PA      | $3372607.43   | 0.10%             | 2041-10-15      | Floating      | 9.07%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                                 | Commercial Mortgage Trust, Series 2018-COR3, Class XD                                                                         | CUSIP: 12595VAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     770000 | PA      | $54288.93     | 0.00%             | 2051-05-10      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd.                                                         | CIFC Funding Ltd., Series 2018-1A, Class A                                                                                    | CUSIP: 12551RAA6<br>LEI: 635400VBVF8AYJQBI411 | Long             | ABS-CBDO         | CORP              | KY        |    2380000 | PA      | $2343138.32   | 0.07%             | 2031-04-18      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDSCMBX                                                                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | DE        |      17683 | PA      | $1255.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bluemountain Euro CLO DAC                                                 | Bluemountain Euro CLO DAC, Series 2021-2A, Class B1                                                                           | CUSIP: N/A<br>LEI: 635400FUA3XKDDGLJL55       | Long             | ABS-CBDO         | CORP              | IE        |     660000 | PA      | $652925.94    | 0.02%             | 2035-10-15      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132JN3G0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     542917 | PA      | $534053.26    | 0.02%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                          | SMB Private Education Loan Trust, Series 2021-C, Class C                                                                      | CUSIP: 83208AAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     160000 | PA      | $133534.56    | 0.00%             | 2053-01-15      | Fixed         | 3.00%                 | No            |                  3 | On Loan: No      |
| Cox Communications, Inc.                                                  | Cox Communications, Inc.                                                                                                      | CUSIP: 224044CH8<br>LEI: 5493001NEDZNIFRP2R92 | Long             | DBT              | CORP              | US        |    1304000 | PA      | $1254924.03   | 0.04%             | 2024-08-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31418CS47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     393094 | PA      | $364513.18    | 0.01%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                           | CUSIP: 912828YM6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   85581000 | PA      | $81084654.71  | 2.39%             | 2024-10-31      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Raytheon Technologies Corp.                                               | Raytheon Technologies Corp.                                                                                                   | CUSIP: 913017CA5<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |     580000 | PA      | $483514.68    | 0.01%             | 2045-05-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Public Service Electric & Gas Co.                                         | Public Service Electric & Gas Co.                                                                                             | CUSIP: 74456QCJ3<br>LEI: 549300RUHPVD434XUK18 | Long             | DBT              | CORP              | US        |     564000 | PA      | $493006.82    | 0.01%             | 2032-03-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138EP4Z4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     207494 | PA      | $198484.51    | 0.01%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TICP CLO IX Ltd.                                                          | TICP CLO IX Ltd., Series 2017-9A, Class A                                                                                     | CUSIP: 87249AAA3<br>LEI: 549300T5OQR4UD880D68 | Long             | ABS-CBDO         | CORP              | KY        |     670000 | PA      | $662698.14    | 0.02%             | 2031-01-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                                            | Mariner Finance Issuance Trust, Series 2020-AA, Class B                                                                       | CUSIP: 56848MAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     260000 | PA      | $235040.99    | 0.01%             | 2034-08-21      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138XUBT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     144086 | PA      | $137846.40    | 0.00%             | 2029-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Vista Point Securitization Trust                                          | Vista Point Securitization Trust, Series 2020-2, Class A3                                                                     | CUSIP: 92838TAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     568556 | PA      | $474033.00    | 0.01%             | 2065-04-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                          | SMB Private Education Loan Trust, Series 2021-A, Class C                                                                      | CUSIP: 78448YAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2870000 | PA      | $2396841.47   | 0.07%             | 2053-01-15      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| Cameron LNG LLC                                                           | Cameron LNG LLC                                                                                                               | CUSIP: 133434AA8<br>LEI: 549300C39FLHGVD73K22 | Long             | DBT              | CORP              | US        |    2009000 | PA      | $1694688.47   | 0.05%             | 2031-07-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 31335BJX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     543327 | PA      | $510481.20    | 0.02%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Generate CLO 3 Ltd.                                                       | Generate CLO 3 Ltd., Series 3A, Class BR                                                                                      | CUSIP: 98625UAW2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     930000 | PA      | $908897.37    | 0.03%             | 2029-10-20      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36178EDP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      73942 | PA      | $69537.92     | 0.00%             | 2043-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Natixis Commercial Mortgage Securities Trust                              | Natixis Commercial Mortgage Securities Trust, Series 2018-FL1, Class A                                                        | CUSIP: 63874MAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      93939 | PA      | $90671.22     | 0.00%             | 2035-06-15      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                                             | UBS Commercial Mortgage Trust, Series 2018-C12, Class B                                                                       | CUSIP: 90353DBD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1160000 | PA      | $1029172.88   | 0.03%             | 2051-08-15      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| General Motors Financial Co., Inc.                                        | General Motors Financial Co., Inc.                                                                                            | CUSIP: 37046UPF2<br>LEI: 5493008B6JBRUJ90QL97 | Long             | STIV             | CORP              | US        |    3626000 | PA      | $3602164.60   | 0.11%             | 2023-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| OHA Credit Funding 3 Ltd.                                                 | OHA Credit Funding 3 Ltd., Series 2019-3A, Class AR                                                                           | CUSIP: 67112RAS3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1450000 | PA      | $1415234.37   | 0.04%             | 2035-07-02      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                            | Morgan Stanley                                                                                                                | CUSIP: 6174468T9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    4870000 | PA      | $4855707.82   | 0.14%             | 2023-11-10      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| RIAL Issuer Ltd.                                                          | RIAL Issuer Ltd., Series 2022-FL8, Class A                                                                                    | CUSIP: 76243NAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |    2512000 | PA      | $2451080.66   | 0.07%             | 2037-01-19      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DMRZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1033103 | PA      | $989561.69    | 0.03%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Trust                                          | OneMain Financial Issuance Trust, Series 2022-2A, Class B                                                                     | CUSIP: 68268VAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1471000 | PA      | $1426586.54   | 0.04%             | 2034-10-14      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140Q83N3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2898798 | PA      | $2859305.14   | 0.08%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Commercial Mortgage Securities Trust                       | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2018-AON, Class A                                                 | CUSIP: 46649XAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     413000 | PA      | $386865.03    | 0.01%             | 2031-07-05      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138ERQ52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     719815 | PA      | $707118.49    | 0.02%             | 2045-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Moody's Corp.                                                             | Moody's Corp.                                                                                                                 | CUSIP: 615369AX3<br>LEI: 549300GCEDD8YCF5WU84 | Long             | DBT              | CORP              | US        |     799000 | PA      | $502862.16    | 0.01%             | 2061-11-29      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 01F020414<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   35484500 | PA      | $31553857.81  | 0.93%             | 2038-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $3963.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO XII Ltd.                                      | Benefit Street Partners CLO XII Ltd., Series 2017-12A, Class B                                                                | CUSIP: 08179HAC4<br>LEI: 549300CIOPBDYOSN3T91 | Long             | ABS-CBDO         | CORP              | KY        |     310000 | PA      | $293191.15    | 0.01%             | 2030-10-15      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| Nucor Corp.                                                               | Nucor Corp.                                                                                                                   | CUSIP: 670346AP0<br>LEI: 549300GGJCRSI2TIEJ46 | Long             | DBT              | CORP              | US        |    2035000 | PA      | $1922408.33   | 0.06%             | 2028-05-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Mexico City Airport Trust                                                 | Mexico City Airport Trust                                                                                                     | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | MX        |     308000 | PA      | $292465.25    | 0.01%             | 2026-10-31      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138EQZA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      98095 | PA      | $96843.20     | 0.00%             | 2045-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138WFK47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     220563 | PA      | $211000.53    | 0.01%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Kinder Morgan Energy Partners LP                                          | Kinder Morgan Energy Partners LP                                                                                              | CUSIP: 494550BP0<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |     940000 | PA      | $802895.16    | 0.02%             | 2043-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 31307NV50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      49114 | PA      | $46847.60     | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                           | CUSIP: 91282CBS9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2811000 | PA      | $2443154.28   | 0.07%             | 2028-03-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Pioneer Natural Resources Co.                                             | Pioneer Natural Resources Co.                                                                                                 | CUSIP: 723787AQ0<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |     468000 | PA      | $366500.43    | 0.01%             | 2030-08-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Russian Federation                                                        | Russian Federation                                                                                                            | CUSIP: N/A<br>LEI: 5493004EHVGF71PDBU58       | Long             | DBT              | NUSS              | RU        |  102831000 | PA      | $376466.03    | 0.01%             | 2035-07-18      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                           | CUSIP: 9128284S6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   13062000 | PA      | $12965055.40  | 0.38%             | 2023-05-31      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Trans-Allegheny Interstate Line Co.                                       | Trans-Allegheny Interstate Line Co.                                                                                           | CUSIP: 893045AE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3808000 | PA      | $3675739.63   | 0.11%             | 2025-06-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138WKLB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     150534 | PA      | $140754.09    | 0.00%             | 2032-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138WJEZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     372015 | PA      | $338355.53    | 0.01%             | 2031-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                           | CUSIP: 912828XB1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   14360000 | PA      | $13645926.60  | 0.40%             | 2025-05-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2021-VIV5, Class A                                                                       | CUSIP: 05605VAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2214000 | PA      | $1766626.10   | 0.05%             | 2044-03-09      | Variable      | 2.84%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140KYYM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3792704 | PA      | $3098037.08   | 0.09%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Dryden 76 CLO Ltd.                                                        | Dryden 76 CLO Ltd., Series 2019-76A, Class A1R                                                                                | CUSIP: 26252WAU3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $240919.98    | 0.01%             | 2034-10-20      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Dryden 87 CLO Ltd.                                                        | Dryden 87 CLO Ltd., Series 2021-87A, Class A1                                                                                 | CUSIP: 26246GAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     520000 | PA      | $507294.42    | 0.01%             | 2034-05-20      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| Motorola Solutions, Inc.                                                  | Motorola Solutions, Inc.                                                                                                      | CUSIP: 620076BN8<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | DBT              | CORP              | US        |    1738000 | PA      | $1654102.64   | 0.05%             | 2029-05-23      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   63591000 | PA      | $-20039.03    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Trust                                          | OneMain Financial Issuance Trust, Series 2019-2A, Class A                                                                     | CUSIP: 68269BAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3140000 | PA      | $2802082.31   | 0.08%             | 2036-10-14      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO Ltd.                                                | Anchorage Capital CLO Ltd., Series 2018-1RA, Class A1                                                                         | CUSIP: 03328YAA2<br>LEI: 549300L8BI45FDIJHO17 | Long             | ABS-CBDO         | CORP              | KY        |    2240000 | PA      | $2211210.18   | 0.07%             | 2031-04-13      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QMMP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3843951 | PA      | $3395923.37   | 0.10%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association                                                                                         | CUSIP: 31371KRN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7060 | PA      | $7234.46      | 0.00%             | 2032-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd.                                                              | OCP CLO Ltd., Series 2020-19A, Class BR                                                                                       | CUSIP: 670881AP6<br>LEI: 254900ZMV4RGFPV8TK42 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $238613.50    | 0.01%             | 2034-10-20      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140EW4R3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      91288 | PA      | $85364.86     | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138X54U8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     273070 | PA      | $268252.51    | 0.01%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    9342500 | PA      | $19963.90     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Babson CLO Ltd.                                                           | Babson CLO Ltd., Series 2015-IA, Class BR                                                                                     | CUSIP: 056162AQ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $242120.75    | 0.01%             | 2031-01-20      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| Republic Services, Inc.                                                   | Republic Services, Inc.                                                                                                       | CUSIP: 760759AT7<br>LEI: NKNQHM6BLECKVOQP7O46 | Long             | DBT              | CORP              | US        |     581000 | PA      | $551877.53    | 0.02%             | 2028-05-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Tricon American Homes                                                     | Tricon American Homes, Series 2020-SFR1, Class D                                                                              | CUSIP: 89613GAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2225000 | PA      | $1929890.69   | 0.06%             | 2038-07-17      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Penske Truck Leasing Co. LP                                               | Penske Truck Leasing Co. LP                                                                                                   | CUSIP: 709599BJ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1090000 | PA      | $1042868.97   | 0.03%             | 2025-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GoldentTree Loan Management US CLO 1 Ltd.                                 | GoldentTree Loan Management US CLO 1 Ltd., Series 2021-11A, Class A                                                           | CUSIP: 38138KAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1050000 | PA      | $1016128.26   | 0.03%             | 2034-10-20      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179TLT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     643111 | PA      | $617448.58    | 0.02%             | 2047-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                              | Oracle Corp.                                                                                                                  | CUSIP: 68389XCA1<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    1447000 | PA      | $1030899.59   | 0.03%             | 2051-03-25      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                         | HSBC Holdings plc                                                                                                             | CUSIP: 404280DH9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    3877000 | PA      | $3590191.52   | 0.11%             | 2033-08-11      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| Transcontinental Gas Pipe Line Co. LLC                                    | Transcontinental Gas Pipe Line Co. LLC                                                                                        | CUSIP: 893574AM5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1184000 | PA      | $984043.04    | 0.03%             | 2048-03-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Duke Energy Florida LLC                                                   | Duke Energy Florida LLC                                                                                                       | CUSIP: 26444HAH4<br>LEI: 7MOHLM3DKE63RX2ZCN83 | Long             | DBT              | CORP              | US        |   11238000 | PA      | $9604170.79   | 0.28%             | 2029-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $8915.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO 4-R Ltd.                                            | Anchorage Capital CLO 4-R Ltd., Series 2014-4RA, Class A                                                                      | CUSIP: 03328LAA0<br>LEI: 549300MP4QPQUMB6AD63 | Long             | ABS-CBDO         | CORP              | KY        |     901157 | PA      | $891040.83    | 0.03%             | 2031-01-28      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| AEP Texas, Inc.                                                           | AEP Texas, Inc.                                                                                                               | CUSIP: 00108WAF7<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |     505000 | PA      | $366927.27    | 0.01%             | 2047-10-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2020-VIV4, Class A                                                                       | CUSIP: 05608MAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3048902 | PA      | $2464275.04   | 0.07%             | 2044-03-09      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| Ohio Power Co.                                                            | Ohio Power Co., Series G                                                                                                      | CUSIP: 677415CF6<br>LEI: 06ZODLC132CY1O2Y7D77 | Long             | DBT              | CORP              | US        |     441000 | PA      | $464308.44    | 0.01%             | 2033-02-15      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd.                                                         | CIFC Funding Ltd., Series 2021-5A, Class A                                                                                    | CUSIP: 12565EAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     330000 | PA      | $322160.29    | 0.01%             | 2034-07-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Trinitas CLO IV Ltd.                                                      | Trinitas CLO IV Ltd., Series 2016-4A, Class A2L2                                                                              | CUSIP: 89640XBM7<br>LEI: 635400UFTIJ9NEWTCB16 | Long             | ABS-CBDO         | CORP              | KY        |     220000 | PA      | $212957.80    | 0.01%             | 2031-10-18      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132KEYV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     110620 | PA      | $105948.22    | 0.00%             | 2030-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Autodesk, Inc.                                                            | Autodesk, Inc.                                                                                                                | CUSIP: 052769AH9<br>LEI: FRKKVKAIQEF3FCSTPG55 | Long             | DBT              | CORP              | US        |    1096000 | PA      | $875510.67    | 0.03%             | 2031-12-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                     | Wells Fargo Commercial Mortgage Trust, Series 2018-1745, Class A                                                              | CUSIP: 94990DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     110000 | PA      | $93972.11     | 0.00%             | 2036-06-15      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDS                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     575000 | PA      | $-4426.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                                  | Benchmark Mortgage Trust, Series 2021-B24, Class XA                                                                           | CUSIP: 08163CBE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   19392213 | PA      | $1181453.10   | 0.03%             | 2054-03-15      | Variable      | 1.15%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138XWUY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     387806 | PA      | $380627.22    | 0.01%             | 2029-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Whitebox CLO II Ltd.                                                      | Whitebox CLO II Ltd., Series 2020-2A, Class DR                                                                                | CUSIP: 96466CAU2<br>LEI: 549300C89ZJ5IWOT1F21 | Long             | ABS-CBDO         | CORP              | KY        |     280000 | PA      | $253853.24    | 0.01%             | 2034-10-24      | Floating      | 7.67%                 | No            |                  2 | On Loan: No      |
| Suzano Austria GmbH                                                       | Suzano Austria GmbH                                                                                                           | CUSIP: 86964WAH5<br>LEI: 254900287ZNSGVP1R341 | Long             | DBT              | CORP              | AT        |     619000 | PA      | $579074.50    | 0.02%             | 2030-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Highbridge Loan Management Ltd.                                           | Highbridge Loan Management Ltd., Series 12A-18, Class A1B                                                                     | CUSIP: 44330QAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $240712.48    | 0.01%             | 2031-07-18      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140XFK67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   23069200 | PA      | $18872215.93  | 0.56%             | 2041-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Pikes Peak CLO                                                            | Pikes Peak CLO 11, Series 2022-11A, Class A1                                                                                  | CUSIP: 72132KAA3<br>LEI: 5493008O059R6VFBVX94 | Long             | ABS-CBDO         | CORP              | KY        |     971000 | PA      | $947830.39    | 0.03%             | 2034-07-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138WFG83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     249618 | PA      | $238808.74    | 0.01%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Global Payments, Inc.                                                     | Global Payments, Inc.                                                                                                         | CUSIP: 37940XAB8<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    5927000 | PA      | $5038254.65   | 0.15%             | 2029-08-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                       | Citigroup Commercial Mortgage Trust, Series 2020-420K, Class X                                                                | CUSIP: 17328QAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10100000 | PA      | $510498.44    | 0.02%             | 2042-11-10      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| Prodigy Finance DAC                                                       | Prodigy Finance DAC, Series 2021-1A, Class B                                                                                  | CUSIP: 742855AB5<br>LEI: 635400HTAZNW3LYYMQ40 | Long             | ABS-O            | CORP              | IE        |     280000 | PA      | $274288.92    | 0.01%             | 2051-07-25      | Floating      | 6.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDS                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     892790 | PA      | $-8646.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                            | Morgan Stanley                                                                                                                | CUSIP: 61747YEY7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    2948000 | PA      | $3088928.08   | 0.09%             | 2033-10-18      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140XDY42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1018836 | PA      | $836911.02    | 0.02%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd.                                                              | OCP CLO Ltd., Series 2019-16A, Class AR                                                                                       | CUSIP: 67570QAK7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     280000 | PA      | $274544.23    | 0.01%             | 2033-04-10      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp.                                                          | CVS Health Corp.                                                                                                              | CUSIP: 126650DJ6<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    4005000 | PA      | $3631184.67   | 0.11%             | 2030-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DMY58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1523010 | PA      | $1249133.74   | 0.04%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Delta Air Lines Pass-Through Trust                                        | Delta Air Lines Pass-Through Trust, Series 2019-1, Class AA                                                                   | CUSIP: 24737BAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2311000 | PA      | $2252442.73   | 0.07%             | 2024-04-25      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| AREIT LLC                                                                 | AREIT LLC, Series 2022-CRE7, Class A                                                                                          | CUSIP: 00217VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     918000 | PA      | $902739.81    | 0.03%             | 2039-06-17      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36180DQD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     118826 | PA      | $111779.30    | 0.00%             | 2043-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138AEY49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45510 | PA      | $45115.14     | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 21H022614<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13718100 | PA      | $11884786.50  | 0.35%             | 2053-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3133KNDA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3537805 | PA      | $3033173.37   | 0.09%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DM2S3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1304886 | PA      | $1071885.44   | 0.03%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138WF4T0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13902 | PA      | $13642.45     | 0.00%             | 2045-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Altria Group, Inc.                                                        | Altria Group, Inc.                                                                                                            | CUSIP: 02209SAV5<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |     994000 | PA      | $664634.40    | 0.02%             | 2046-09-16      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Homeward Opportunities Fund I Trust                                       | Homeward Opportunities Fund I Trust, Series 2020-2, Class A2                                                                  | CUSIP: 43789XAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1733333 | PA      | $1670183.00   | 0.05%             | 2065-05-25      | Variable      | 2.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-7413.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| State of Illinois                                                         | State of Illinois, Series 2003                                                                                                | CUSIP: 452151LF8<br>LEI: 54930048FV8RWPR02D67 | Long             | DBT              | MUN               | US        |    4725000 | PA      | $4518492.13   | 0.13%             | 2033-06-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140JSAE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     735204 | PA      | $605455.08    | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36202FB47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      81517 | PA      | $82880.23     | 0.00%             | 2039-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                                  | Benchmark Mortgage Trust, Series 2021-B29, Class A5                                                                           | CUSIP: 08163JAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     576000 | PA      | $465688.57    | 0.01%             | 2054-09-15      | Fixed         | 2.39%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31411XVB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          2 | PA      | $2.52         | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| American Airlines Pass-Through Trust                                      | American Airlines Pass-Through Trust, Series 2017-1, Class AA                                                                 | CUSIP: 023761AA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     332389 | PA      | $295745.15    | 0.01%             | 2029-02-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36180DQE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      86961 | PA      | $81780.29     | 0.00%             | 2043-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Aon Corp.                                                                 | Aon Corp.                                                                                                                     | CUSIP: 037389BC6<br>LEI: LTS3U8DGK38SETRUWX71 | Long             | DBT              | CORP              | US        |     938000 | PA      | $865252.18    | 0.03%             | 2029-05-02      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                                              | Barclays Mortgage Loan Trust, Series 2022-NQM1, Class A1                                                                      | CUSIP: 06744DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2327249 | PA      | $2229334.38   | 0.07%             | 2052-07-25      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| Equinix, Inc.                                                             | Equinix, Inc.                                                                                                                 | CUSIP: 29444UBE5<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |    1816000 | PA      | $1580685.04   | 0.05%             | 2029-11-18      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179SLS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     114831 | PA      | $107412.45    | 0.00%             | 2046-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31416WLG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      95137 | PA      | $94312.29     | 0.00%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138ERRX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      77027 | PA      | $76044.41     | 0.00%             | 2045-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CFCRE Commercial Mortgage Trust                                           | CFCRE Commercial Mortgage Trust, Series 2016-C4, Class XB                                                                     | CUSIP: 12531YAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2030000 | PA      | $42271.75     | 0.00%             | 2058-05-10      | Variable      | 0.69%                 | No            |                  2 | On Loan: No      |
| Paramount Global                                                          | Paramount Global                                                                                                              | CUSIP: 124857AK9<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |     639000 | PA      | $466691.29    | 0.01%             | 2044-08-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36180DVA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     282650 | PA      | $265815.35    | 0.01%             | 2043-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138XHBF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     374189 | PA      | $367661.43    | 0.01%             | 2044-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $1220.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2022-CSMO, Class C                                                                       | CUSIP: 05610MAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     322000 | PA      | $318370.29    | 0.01%             | 2027-06-15      | Floating      | 8.22%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138WEBP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     551376 | PA      | $497284.68    | 0.01%             | 2045-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-2744.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Amgen, Inc.                                                               | Amgen, Inc.                                                                                                                   | CUSIP: 031162DH0<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $2803571.94   | 0.08%             | 2029-08-18      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138E7AT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     622243 | PA      | $594785.48    | 0.02%             | 2042-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138YXK95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     108762 | PA      | $103932.93    | 0.00%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CenterPoint Energy Houston Electric LLC                                   | CenterPoint Energy Houston Electric LLC, Series AE                                                                            | CUSIP: 15189XAV0<br>LEI: 549300S8SEQBOJLKHW63 | Long             | DBT              | CORP              | US        |    1317000 | PA      | $1092059.61   | 0.03%             | 2031-04-01      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3133KNQV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     481218 | PA      | $392063.99    | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179VSF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8565088 | PA      | $7236514.66   | 0.21%             | 2050-08-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Air Canada Pass-Through Trust                                             | Air Canada Pass-Through Trust, Series 2017-1, Class B                                                                         | CUSIP: 00908PAC1<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |       6085 | PA      | $5546.35      | 0.00%             | 2026-01-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Barings CLO Ltd.                                                          | Barings CLO Ltd., Series 2018-3A, Class A1                                                                                    | CUSIP: 06760PAC5<br>LEI: 5493000D71NBEM2WZE67 | Long             | ABS-CBDO         | CORP              | KY        |     157892 | PA      | $156537.20    | 0.00%             | 2029-07-20      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp. Trust                                        | GS Mortgage Securities Corp. Trust, Series 2022-SHIP, Class A                                                                 | CUSIP: 36269CAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1188000 | PA      | $1171370.97   | 0.03%             | 2036-08-15      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| College Avenue Student Loans LLC                                          | College Avenue Student Loans LLC, Series 2021-B, Class C                                                                      | CUSIP: 19425AAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     100000 | PA      | $80112.96     | 0.00%             | 2052-06-25      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                        | Energy Transfer LP                                                                                                            | CUSIP: 86765BAK5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     541000 | PA      | $496057.24    | 0.01%             | 2042-02-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                     | Bank of America Corp.                                                                                                         | CUSIP: 06051GHX0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     779000 | PA      | $651691.96    | 0.02%             | 2030-10-22      | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDSCMBX                                                                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     288000 | PA      | $39350.70     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Mariner CLO LLC                                                           | Mariner CLO LLC, Series 2016-3A, Class CR2                                                                                    | CUSIP: 56845AAY4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1125000 | PA      | $1074875.29   | 0.03%             | 2029-07-23      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DMSH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1580151 | PA      | $1500811.89   | 0.04%             | 2050-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DBUBS Mortgage Trust                                                      | DBUBS Mortgage Trust, Series 2017-BRBK, Class A                                                                               | CUSIP: 23305JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     531000 | PA      | $499153.59    | 0.01%             | 2034-10-10      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bonds                                                                                                           | CUSIP: 912810QC5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1764000 | PA      | $1870460.15   | 0.06%             | 2039-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138EQLB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1882648 | PA      | $1914432.55   | 0.06%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36176DHP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     201799 | PA      | $195348.57    | 0.01%             | 2041-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140X9WD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7868159 | PA      | $7295827.73   | 0.22%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Signal Peak CLO 8 Ltd.                                                    | Signal Peak CLO 8 Ltd., Series 2020-8A, Class A                                                                               | CUSIP: 56845NAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     640000 | PA      | $625254.21    | 0.02%             | 2033-04-20      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO XVI-S Ltd.                                           | Neuberger Berman CLO XVI-S Ltd., Series 2017-16SA, Class AR                                                                   | CUSIP: 64131TAN4<br>LEI: 549300UHUHCR3388B324 | Long             | ABS-CBDO         | CORP              | KY        |     570000 | PA      | $555398.42    | 0.02%             | 2034-04-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QNEL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5416920 | PA      | $4446780.56   | 0.13%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                           | CUSIP: 9128285M8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5507000 | PA      | $5252516.35   | 0.15%             | 2028-11-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                             | Comcast Corp.                                                                                                                 | CUSIP: 20030NDA6<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    4109000 | PA      | $3554772.78   | 0.10%             | 2030-02-01      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Newmont Corp.                                                             | Newmont Corp.                                                                                                                 | CUSIP: 651639AY2<br>LEI: 549300VSP3RIX7FGDZ51 | Long             | DBT              | CORP              | US        |    1029000 | PA      | $827048.17    | 0.02%             | 2030-10-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                     | Bank of America Corp.                                                                                                         | CUSIP: 06051GGR4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    5017000 | PA      | $4618596.57   | 0.14%             | 2028-07-21      | Variable      | 3.59%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 01F052623<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   18700000 | PA      | $18733707.50  | 0.55%             | 2053-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Steele Creek CLO Ltd.                                                     | Steele Creek CLO Ltd., Series 2017-1A, Class A                                                                                | CUSIP: 85816VAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1070000 | PA      | $1051354.93   | 0.03%             | 2030-10-15      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Moody's Corp.                                                             | Moody's Corp.                                                                                                                 | CUSIP: 615369AQ8<br>LEI: 549300GCEDD8YCF5WU84 | Long             | DBT              | CORP              | US        |      56000 | PA      | $50547.95     | 0.00%             | 2048-12-17      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Race Point IX CLO Ltd.                                                    | Race Point IX CLO Ltd., Series 2015-9A, Class A1A2                                                                            | CUSIP: 74982WAA4<br>LEI: 549300C3570PBQ31OI09 | Long             | ABS-CBDO         | CORP              | KY        |    1026000 | PA      | $1009684.04   | 0.03%             | 2030-10-15      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| OHA Loan Funding Ltd.                                                     | OHA Loan Funding Ltd., Series 2013-2A, Class AR                                                                               | CUSIP: 67104LAE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4495000 | PA      | $4425056.90   | 0.13%             | 2031-05-23      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| Generate CLO 6 Ltd.                                                       | Generate CLO 6 Ltd., Series 6A, Class CR                                                                                      | CUSIP: 37148JAG8<br>LEI: 254900V675MOVWK0HA08 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $234393.73    | 0.01%             | 2035-01-22      | Floating      | 6.77%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31419A4H7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      59681 | PA      | $61725.95     | 0.00%             | 2040-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Commonwealth Edison Co.                                                   | Commonwealth Edison Co.                                                                                                       | CUSIP: 202795JS0<br>LEI: D8YOXB8L2ZDC8P7Q0771 | Long             | DBT              | CORP              | US        |     695000 | PA      | $476886.09    | 0.01%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Norfolk Southern Corp.                                                    | Norfolk Southern Corp.                                                                                                        | CUSIP: 655844BQ0<br>LEI: 54930036C8MWP850MI84 | Long             | DBT              | CORP              | US        |     461000 | PA      | $397966.00    | 0.01%             | 2045-06-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3133KJSE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1124678 | PA      | $868919.36    | 0.03%             | 2050-08-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31371K3A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     483041 | PA      | $496914.54    | 0.01%             | 2033-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140EW4P7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43972 | PA      | $41115.19     | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Cold Storage Trust                                                        | Cold Storage Trust, Series 2020-ICE5, Class A                                                                                 | CUSIP: 193051AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1014446 | PA      | $986426.40    | 0.03%             | 2037-11-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Targa Resources Partners LP                                               | Targa Resources Partners LP                                                                                                   | CUSIP: 87612BBU5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     500000 | PA      | $420695.00    | 0.01%             | 2032-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Bank of New York Mellon Corp. (The)                                       | Bank of New York Mellon Corp. (The), Series F                                                                                 | CUSIP: 064058AF7<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |    1089000 | PA      | $928633.86    | 0.03%             | 2026-09-20      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| RELX Capital, Inc.                                                        | RELX Capital, Inc.                                                                                                            | CUSIP: 74949LAD4<br>LEI: 2R15C3RTKJN1RCBOV146 | Long             | DBT              | CORP              | US        |    1366000 | PA      | $1164033.23   | 0.03%             | 2030-05-22      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp., Series 1591, Class PK                                                                       | CUSIP: 3133T1VW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20771 | PA      | $20808.51     | 0.00%             | 2023-10-15      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                           | CUSIP: 91282CCB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1114000 | PA      | $936847.89    | 0.03%             | 2031-05-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                              | Pacific Gas and Electric Co.                                                                                                  | CUSIP: 694308KG1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    2060000 | PA      | $2010127.30   | 0.06%             | 2032-06-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Apple, Inc.                                                               | Apple, Inc.                                                                                                                   | CUSIP: 037833EG1<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |     785000 | PA      | $496634.54    | 0.01%             | 2061-02-08      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179RQ28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     108196 | PA      | $100902.03    | 0.00%             | 2045-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                              | GS Mortgage Securities Trust, Series 2015-GC32, Class C                                                                       | CUSIP: 36250PAL9<br>LEI: 54930066YOFVQE068N73 | Long             | ABS-MBS          | CORP              | US        |     316000 | PA      | $282398.42    | 0.01%             | 2048-07-10      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| City of San Antonio Electric & Gas Systems                                | City of San Antonio Electric & Gas Systems, Series 2010A                                                                      | CUSIP: 796253Y30<br>LEI: 5493002G2FEH20Q4GQ04 | Long             | DBT              | MUN               | US        |    1095000 | PA      | $1151350.75   | 0.03%             | 2041-02-01      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| 245 Park Avenue Trust                                                     | 245 Park Avenue Trust, Series 2017-245P, Class XA                                                                             | CUSIP: 90187LAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11000000 | PA      | $79094.40     | 0.00%             | 2037-06-05      | Variable      | 0.15%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140H4SG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22202 | PA      | $21779.77     | 0.00%             | 2047-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO 7 Ltd.                                              | Anchorage Capital CLO 7 Ltd., Series 2015-7A, Class AR2                                                                       | CUSIP: 03328TBA2<br>LEI: 54930014PVHLSZJQK139 | Long             | ABS-CBDO         | CORP              | KY        |     930000 | PA      | $917910.47    | 0.03%             | 2031-01-28      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   41785000 | PA      | $3581993.17   | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| Gaci First Investment Co.                                                 | Gaci First Investment Co.                                                                                                     | CUSIP: N/A<br>LEI: 558600TU1PWGNLZ3XM88       | Long             | DBT              | CORP              | KY        |    1650000 | PA      | $1650231.00   | 0.05%             | 2027-10-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                                                   | Hyundai Capital America                                                                                                       | CUSIP: 44891ABR7<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |     397000 | PA      | $377670.20    | 0.01%             | 2024-01-08      | Fixed         | 0.80%                 | No            |                  2 | On Loan: No      |
| General Motors Co.                                                        | General Motors Co.                                                                                                            | CUSIP: 37045VAH3<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |    1293000 | PA      | $1113403.27   | 0.03%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Lowe's Cos., Inc.                                                         | Lowe's Cos., Inc.                                                                                                             | CUSIP: 548661DR5<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |    1845000 | PA      | $1704653.10   | 0.05%             | 2029-04-05      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2020-VIV3, Class B                                                                       | CUSIP: 05608EAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1157000 | PA      | $931133.12    | 0.03%             | 2044-03-09      | Variable      | 3.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $21619.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Global Payments, Inc.                                                     | Global Payments, Inc.                                                                                                         | CUSIP: 37940XAR3<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |     509000 | PA      | $460217.92    | 0.01%             | 2052-08-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDS                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     509000 | PA      | $-4884.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                           | Citigroup, Inc.                                                                                                               | CUSIP: 172967PA3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    3061000 | PA      | $3157856.01   | 0.09%             | 2033-11-17      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3133KYWN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     539407 | PA      | $454678.01    | 0.01%             | 2042-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 21H030617<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   15781790 | PA      | $14048661.60  | 0.41%             | 2053-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Pikes Peak CLO 8                                                          | Pikes Peak CLO 8, Series 2021-8A, Class A                                                                                     | CUSIP: 72133CAA0<br>LEI: 549300NJA5BS4BQQJL72 | Long             | ABS-CBDO         | CORP              | KY        |    1570000 | PA      | $1509591.90   | 0.04%             | 2034-07-20      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| NXP BV                                                                    | NXP BV                                                                                                                        | CUSIP: 62954HAY4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3976000 | PA      | $3417620.50   | 0.10%             | 2030-05-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140XFGW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2332129 | PA      | $1912324.38   | 0.06%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                                  | Angel Oak Mortgage Trust, Series 2020-3, Class A3                                                                             | CUSIP: 03465LAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     593161 | PA      | $530932.21    | 0.02%             | 2065-04-25      | Variable      | 2.87%                 | No            |                  2 | On Loan: No      |
| Hewlett Packard Enterprise Co.                                            | Hewlett Packard Enterprise Co.                                                                                                | CUSIP: 42824CAY5<br>LEI: 549300BX44RGX6ANDV88 | Long             | DBT              | CORP              | US        |     444000 | PA      | $442835.06    | 0.01%             | 2045-10-15      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                     | Wells Fargo Commercial Mortgage Trust, Series 2017-C42, Class B                                                               | CUSIP: 95001GAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1500000 | PA      | $1287006.30   | 0.04%             | 2050-12-15      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31418NYJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19614 | PA      | $19566.83     | 0.00%             | 2025-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36180KJT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     196940 | PA      | $185262.14    | 0.01%             | 2043-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2019-XL, Class D                                                                         | CUSIP: 056054AG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3604000 | PA      | $3489429.95   | 0.10%             | 2036-10-15      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                     | Wells Fargo Commercial Mortgage Trust, Series 2020-C56, Class A5                                                              | CUSIP: 95002RAX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     138000 | PA      | $114616.15    | 0.00%             | 2053-06-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding XXIV Ltd.                                            | Madison Park Funding XXIV Ltd., Series 2016-24A, Class BR                                                                     | CUSIP: 55820NAQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $244149.28    | 0.01%             | 2029-10-20      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| Atmos Energy Corp.                                                        | Atmos Energy Corp.                                                                                                            | CUSIP: 049560AQ8<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |     671000 | PA      | $548747.40    | 0.02%             | 2049-03-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Battalion CLO VIII Ltd.                                                   | Battalion CLO VIII Ltd., Series 2015-8A, Class A2R2                                                                           | CUSIP: 07132ACE1<br>LEI: 549300WH2OE0BGHQQP83 | Long             | ABS-CBDO         | CORP              | KY        |     666000 | PA      | $645483.14    | 0.02%             | 2030-07-18      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| Verizon Communications, Inc.                                              | Verizon Communications, Inc.                                                                                                  | CUSIP: 92343VGN8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    3294000 | PA      | $2611160.65   | 0.08%             | 2032-03-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  593572000 | PA      | $182508.87    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                           | CUSIP: 912828YB0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7213000 | PA      | $6259249.82   | 0.18%             | 2029-08-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3133KMW84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4966745 | PA      | $4048199.95   | 0.12%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| INTOWN Mortgage Trust                                                     | INTOWN Mortgage Trust, Series 2022-STAY, Class A                                                                              | CUSIP: 46117NAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1079000 | PA      | $1071905.14   | 0.03%             | 2039-08-15      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31389FXJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         42 | PA      | $42.31        | 0.00%             | 2032-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd.                                           | Palmer Square Loan Funding Ltd., Series 2021-2A, Class A2                                                                     | CUSIP: 69702DAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     260000 | PA      | $250369.89    | 0.01%             | 2029-05-20      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                     | Bank of America Corp., Series FF                                                                                              | CUSIP: 060505FL3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    1306000 | PA      | $1150141.96   | 0.03%             | 2028-03-15      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| SG Commercial Mortgage Securities Trust                                   | SG Commercial Mortgage Securities Trust, Series 2019-PREZ, Class D                                                            | CUSIP: 78430EAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     460000 | PA      | $346385.98    | 0.01%             | 2039-09-15      | Variable      | 3.48%                 | No            |                  2 | On Loan: No      |
| Rad CLO 15 Ltd.                                                           | Rad CLO 15 Ltd., Series 2021-15A, Class B                                                                                     | CUSIP: 750103AC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $240773.55    | 0.01%             | 2034-01-20      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DMRY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2028640 | PA      | $1961106.07   | 0.06%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31371KLT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         88 | PA      | $91.10        | 0.00%             | 2032-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138M8YB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28745 | PA      | $27453.39     | 0.00%             | 2027-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 01F020612<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   23826520 | PA      | $19381927.15  | 0.57%             | 2053-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Carlyle US CLO Ltd.                                                       | Carlyle US CLO Ltd., Series 2018-4A, Class B                                                                                  | CUSIP: 14315RAG6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $236793.60    | 0.01%             | 2031-01-20      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DMRJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2365003 | PA      | $2300797.09   | 0.07%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QGS24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     193978 | PA      | $185587.37    | 0.01%             | 2051-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138X55F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     156505 | PA      | $153744.45    | 0.00%             | 2043-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140H4Q72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11897 | PA      | $11664.93     | 0.00%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Commercial Mortgage Securities Corp.                       | JPMorgan Chase Commercial Mortgage Securities Corp., Series 2022-CGSS, Class A                                                | CUSIP: 466304AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     813000 | PA      | $811444.49    | 0.02%             | 2036-12-15      | Floating      | 6.77%                 | No            |                  2 | On Loan: No      |
| Alabama Power Co.                                                         | Alabama Power Co., Series A                                                                                                   | CUSIP: 010392FS2<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |    1264000 | PA      | $1051009.07   | 0.03%             | 2048-07-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QEBM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3918269 | PA      | $3366481.51   | 0.10%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                        | United Airlines Pass-Through Trust, Series 2018-1, Class AA                                                                   | CUSIP: 909318AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     517833 | PA      | $447054.90    | 0.01%             | 2030-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Penta CLO DAC                                                             | Penta CLO DAC, Series 2022-11A, Class B                                                                                       | CUSIP: N/A<br>LEI: 5493006SWLDNT2XZHH97       | Long             | ABS-CBDO         | CORP              | IE        |     530000 | PA      | $546084.13    | 0.02%             | 2034-11-15      | Floating      | 2.45%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                                            | Southern California Edison Co.                                                                                                | CUSIP: 842400HT3<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    3591000 | PA      | $3794246.87   | 0.11%             | 2032-11-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDSCMBX                                                                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |       6653 | PA      | $992.76       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Realty Income Corp.                                                       | Realty Income Corp.                                                                                                           | CUSIP: 756109AX2<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |     928000 | PA      | $804730.11    | 0.02%             | 2031-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Microsoft Corp.                                                           | Microsoft Corp.                                                                                                               | CUSIP: 594918CA0<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |     619000 | PA      | $580358.55    | 0.02%             | 2047-02-06      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36200M2Y8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1077 | PA      | $1127.38      | 0.00%             | 2033-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132Y4AU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2762561 | PA      | $2718633.48   | 0.08%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Republic of Indonesia                                                     | Republic of Indonesia                                                                                                         | CUSIP: 455780CW4<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |    2624000 | PA      | $1896128.64   | 0.06%             | 2051-03-12      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                           | Citigroup, Inc.                                                                                                               | CUSIP: 172967MV0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    1095000 | PA      | $933487.50    | 0.03%             | 2026-02-18      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138EGCG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3667 | PA      | $3738.22      | 0.00%             | 2039-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Atrium IX                                                                 | Atrium IX, Series 9A, Class AR2                                                                                               | CUSIP: 55821CAA2<br>LEI: 549300UTF8S11AHH4P70 | Long             | ABS-CBDO         | CORP              | KY        |     984882 | PA      | $971988.62    | 0.03%             | 2030-05-28      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| BHG Securitization Trust                                                  | BHG Securitization Trust, Series 2022-C, Class B                                                                              | CUSIP: 08860DAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     302000 | PA      | $296767.34    | 0.01%             | 2035-10-17      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| ACRES Commercial Realty Ltd.                                              | ACRES Commercial Realty Ltd., Series 2021-FL1, Class A                                                                        | CUSIP: 00103CAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     129000 | PA      | $124492.45    | 0.00%             | 2036-06-15      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3128LXBH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     520455 | PA      | $532088.33    | 0.02%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DVLU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3102058 | PA      | $2560403.53   | 0.08%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Raytheon Technologies Corp.                                               | Raytheon Technologies Corp.                                                                                                   | CUSIP: 913017CY3<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    3761000 | PA      | $3599682.02   | 0.11%             | 2028-11-16      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                                            | Bayview Commercial Asset Trust, Series 2005-3A, Class A1                                                                      | CUSIP: 07324SCB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     214790 | PA      | $195563.43    | 0.01%             | 2035-11-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortgage Loan Trust                               | MF1 Multifamily Housing Mortgage Loan Trust, Series 2022-FL10, Class A                                                        | CUSIP: 55285BAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     668000 | PA      | $664635.48    | 0.02%             | 2037-09-17      | Floating      | 6.96%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31418CRC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     651522 | PA      | $603034.22    | 0.02%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                           | CUSIP: 9128282A7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   18942000 | PA      | $17265337.13  | 0.51%             | 2026-08-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO III Ltd.                                      | Benefit Street Partners CLO III Ltd., Series 2013-IIIA, Class A2R2                                                            | CUSIP: 08180EBL7<br>LEI: 549300Y1V90IQ456QX97 | Long             | ABS-CBDO         | CORP              | KY        |     400000 | PA      | $393741.12    | 0.01%             | 2029-07-20      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| Municipal Electric Authority of Georgia                                   | Municipal Electric Authority of Georgia, Series 2010-A                                                                        | CUSIP: 626207YF5<br>LEI: JA0WNILDDF2KUPS83B16 | Long             | DBT              | MUN               | US        |     674000 | PA      | $722246.29    | 0.02%             | 2057-04-01      | Fixed         | 6.64%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DMRE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2187055 | PA      | $2047014.64   | 0.06%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140XBJE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3054957 | PA      | $2897424.86   | 0.09%             | 2051-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Prima Capital CRE Securitization Ltd.                                     | Prima Capital CRE Securitization Ltd., Series 2015-4A, Class C                                                                | CUSIP: 74165GAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     344065 | PA      | $332689.56    | 0.01%             | 2049-08-24      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MTN Commercial Mortgage Trust                                             | MTN Commercial Mortgage Trust, Series 2022-LPFL, Class A                                                                      | CUSIP: 62475WAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1178000 | PA      | $1148040.40   | 0.03%             | 2039-03-15      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance Trust                                        | Regional Management Issuance Trust, Series 2020-1, Class C                                                                    | CUSIP: 75907QAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     269000 | PA      | $240690.36    | 0.01%             | 2030-10-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO 8 Ltd.                                              | Anchorage Capital CLO 8 Ltd., Series 2016-8A, Class BR2                                                                       | CUSIP: 03329KBC6<br>LEI: 549300PKM3N9LK4JM015 | Long             | ABS-CBDO         | CORP              | KY        |     650000 | PA      | $620718.54    | 0.02%             | 2034-10-27      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2020-VIV2, Class C                                                                       | CUSIP: 05605NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1450000 | PA      | $1133281.72   | 0.03%             | 2044-03-09      | Variable      | 3.54%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                      | JPMorgan Chase & Co.                                                                                                          | CUSIP: 46647PAF3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     782000 | PA      | $719608.60    | 0.02%             | 2028-05-01      | Variable      | 3.54%                 | No            |                  2 | On Loan: No      |
| Octagon 54 Ltd.                                                           | Octagon 54 Ltd., Series 2021-1A, Class D                                                                                      | CUSIP: 67577FAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $231309.23    | 0.01%             | 2034-07-15      | Floating      | 7.13%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                                | Verus Securitization Trust, Series 2020-INV1, Class A3                                                                        | CUSIP: 92537TAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $903061.70    | 0.03%             | 2060-03-25      | Variable      | 3.89%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 31307NXU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17931 | PA      | $16833.00     | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BWAY Mortgage Trust                                                       | BWAY Mortgage Trust, Series 2013-1515, Class A2                                                                               | CUSIP: 05604FAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     419026 | PA      | $399226.10    | 0.01%             | 2033-03-10      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDSCMBX                                                                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |      35000 | PA      | $-3355.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BAMLL Commercial Mortgage Securities Trust                                | BAMLL Commercial Mortgage Securities Trust, Series 2017-SCH, Class DL                                                         | CUSIP: 054966AW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1490000 | PA      | $1264350.88   | 0.04%             | 2032-11-15      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Commercial Mortgage Securities Trust                       | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2022-NXSS, Class A                                                | CUSIP: 465979AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1580000 | PA      | $1576025.04   | 0.05%             | 2039-08-15      | Floating      | 6.51%                 | No            |                  2 | On Loan: No      |
| Elevance Health, Inc.                                                     | Elevance Health, Inc.                                                                                                         | CUSIP: 036752AS2<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    1469000 | PA      | $1098065.07   | 0.03%             | 2051-03-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 312944SL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      45475 | PA      | $43752.20     | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BANK                                                                      | BANK, Series 2019-BN21, Class A5                                                                                              | CUSIP: 06540BBD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     251000 | PA      | $216906.09    | 0.01%             | 2052-10-17      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| American Airlines Pass-Through Trust                                      | American Airlines Pass-Through Trust, Series 2016-2, Class B                                                                  | CUSIP: 02376GAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     496800 | PA      | $474610.78    | 0.01%             | 2024-06-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179Q6P1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      38387 | PA      | $35827.13     | 0.00%             | 2045-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140XB2F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     538052 | PA      | $512831.62    | 0.02%             | 2050-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Transcontinental Gas Pipe Line Co. LLC                                    | Transcontinental Gas Pipe Line Co. LLC                                                                                        | CUSIP: 893574AR4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     412000 | PA      | $313281.76    | 0.01%             | 2050-05-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Signal Peak CLO 1 Ltd.                                                    | Signal Peak CLO 1 Ltd., Series 2014-1A, Class AR3                                                                             | CUSIP: 82666TAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5180000 | PA      | $5040467.38   | 0.15%             | 2034-04-17      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179F7F6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     134748 | PA      | $126719.96    | 0.00%             | 2043-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                        | United Airlines Pass-Through Trust, Series 2016-1, Class AA                                                                   | CUSIP: 90931LAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      50059 | PA      | $45128.15     | 0.00%             | 2028-07-07      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179TAL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     557596 | PA      | $535323.23    | 0.02%             | 2047-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Amazon.com, Inc.                                                          | Amazon.com, Inc.                                                                                                              | CUSIP: 023135CR5<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |   11943000 | PA      | $11821493.47  | 0.35%             | 2032-12-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| 1211 Avenue of the Americas Trust                                         | 1211 Avenue of the Americas Trust, Series 2015-1211, Class C                                                                  | CUSIP: 90117PAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $87647.70     | 0.00%             | 2035-08-10      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association                                                                                         | CUSIP: 31359MGK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGSE             | US        |    1500000 | PA      | $1758997.46   | 0.05%             | 2030-11-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Devon Energy Corp.                                                        | Devon Energy Corp.                                                                                                            | CUSIP: 25179MBB8<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |     300000 | PA      | $304084.58    | 0.01%             | 2023-08-01      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| 522 Funding CLO Ltd.                                                      | 522 Funding CLO Ltd., Series 2019-5A, Class AR                                                                                | CUSIP: 33829WAC3<br>LEI: 549300HKB0UTKU91DG08 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $240446.00    | 0.01%             | 2035-04-15      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| ARES LII CLO Ltd.                                                         | ARES LII CLO Ltd., Series 2019-52A, Class A1R                                                                                 | CUSIP: 04009AAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1770000 | PA      | $1744353.76   | 0.05%             | 2031-04-22      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138EGDR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11083 | PA      | $10987.01     | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Seagate HDD Cayman                                                        | Seagate HDD Cayman                                                                                                            | CUSIP: 81180WBC4<br>LEI: 529900BD50TRWEG1SF63 | Long             | DBT              | CORP              | KY        |     252000 | PA      | $208918.77    | 0.01%             | 2029-06-01      | Fixed         | 4.09%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                              | GS Mortgage Securities Trust, Series 2012-GCJ9, Class C                                                                       | CUSIP: 36192PAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      97565 | PA      | $97132.60     | 0.00%             | 2045-11-10      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| GCT Commercial Mortgage Trust                                             | GCT Commercial Mortgage Trust, Series 2021-GCT, Class C                                                                       | CUSIP: 36167RAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2060000 | PA      | $1800966.12   | 0.05%             | 2038-02-15      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                                           | CSAIL Commercial Mortgage Trust, Series 2019-C16, Class XA                                                                    | CUSIP: 12596WAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6705311 | PA      | $480353.71    | 0.01%             | 2052-06-15      | Variable      | 1.55%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                           | CUSIP: 912828Z94<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   10957000 | PA      | $9337418.44   | 0.28%             | 2030-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Kingdom of Saudi Arabia                                                   | Kingdom of Saudi Arabia                                                                                                       | CUSIP: N/A<br>LEI: 635400FMICXSM3SI3H65       | Long             | DBT              | NUSS              | SA        |     551000 | PA      | $392002.06    | 0.01%             | 2061-02-02      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140X83A3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3438947 | PA      | $3052621.81   | 0.09%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Oncor Electric Delivery Co. LLC                                           | Oncor Electric Delivery Co. LLC                                                                                               | CUSIP: 68233JBH6<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |     922000 | PA      | $869506.77    | 0.03%             | 2028-11-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bonds                                                                                                           | CUSIP: 912810SR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   13666000 | PA      | $8552994.29   | 0.25%             | 2040-05-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31402C4G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1018487 | PA      | $1050026.49   | 0.03%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Residential Mortgage Loan Trust                                           | Residential Mortgage Loan Trust, Series 2020-2, Class A2                                                                      | CUSIP: 76123MAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1500000 | PA      | $1425834.90   | 0.04%             | 2060-05-25      | Variable      | 2.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $19025.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Prologis LP                                                               | Prologis LP                                                                                                                   | CUSIP: 74340XCA7<br>LEI: GL16H1DHB0QSHP25F723 | Long             | DBT              | CORP              | US        |    2748000 | PA      | $2163208.75   | 0.06%             | 2031-02-01      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                             | Comcast Corp.                                                                                                                 | CUSIP: 20030NDG3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     808000 | PA      | $736767.81    | 0.02%             | 2030-04-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO Ltd.                                              | Bain Capital Credit CLO Ltd., Series 2017-1A, Class BR                                                                        | CUSIP: 05682QAU0<br>LEI: 549300GUKNMHLHIJO049 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $240585.83    | 0.01%             | 2030-07-20      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| American Airlines Pass-Through Trust                                      | American Airlines Pass-Through Trust, Series 2016-1, Class AA                                                                 | CUSIP: 02376UAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2178857 | PA      | $1944912.72   | 0.06%             | 2028-01-15      | Fixed         | 3.58%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO II Ltd.                                                       | Elmwood CLO II Ltd., Series 2019-2A, Class BR                                                                                 | CUSIP: 29001LAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $239587.15    | 0.01%             | 2034-04-20      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                              | Oracle Corp.                                                                                                                  | CUSIP: 68389XAM7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    1030000 | PA      | $945173.07    | 0.03%             | 2040-07-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Man GLG Euro CLO VI DAC                                                   | Man GLG Euro CLO VI DAC, Series 6A, Class DR                                                                                  | CUSIP: N/A<br>LEI: 635400D8TYQFYNLHNR61       | Long             | ABS-CBDO         | CORP              | IE        |     320000 | PA      | $306869.76    | 0.01%             | 2032-10-15      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140XFUY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     450780 | PA      | $374576.15    | 0.01%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Promigas SA ESP                                                           | Promigas SA ESP                                                                                                               | CUSIP: 74348DAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     479000 | PA      | $389786.25    | 0.01%             | 2029-10-16      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Dryden 43 Senior Loan Fund                                                | Dryden 43 Senior Loan Fund, Series 2016-43A, Class AR2                                                                        | CUSIP: 26245CBE2<br>LEI: 5493002P75UIPU4MC757 | Long             | ABS-CBDO         | CORP              | KY        |    1180000 | PA      | $1147465.98   | 0.03%             | 2034-04-20      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                            | Morgan Stanley                                                                                                                | CUSIP: 61747YED3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   15609000 | PA      | $11975130.99  | 0.35%             | 2032-07-21      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| Thermo Fisher Scientific, Inc.                                            | Thermo Fisher Scientific, Inc.                                                                                                | CUSIP: 883556CU4<br>LEI: HCHV7422L5HDJZCRFL38 | Long             | DBT              | CORP              | US        |    1646000 | PA      | $1669208.06   | 0.05%             | 2032-11-21      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                                              | AbbVie, Inc.                                                                                                                  | CUSIP: 00287YCY3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    2820000 | PA      | $2636923.09   | 0.08%             | 2035-03-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Consolidated Edison Co. of New York, Inc.                                 | Consolidated Edison Co. of New York, Inc.                                                                                     | CUSIP: 209111GD9<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |    3439000 | PA      | $3681584.72   | 0.11%             | 2052-11-15      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Enterprise Products Operating LLC                                         | Enterprise Products Operating LLC                                                                                             | CUSIP: 29379VCA9<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |     492000 | PA      | $322381.31    | 0.01%             | 2052-02-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| TICP CLO VI Ltd.                                                          | TICP CLO VI Ltd., Series 2016-6A, Class BR2                                                                                   | CUSIP: 87246MAU6<br>LEI: 254900JG2DPAYUCW8T83 | Long             | ABS-CBDO         | CORP              | KY        |    1360000 | PA      | $1298221.73   | 0.04%             | 2034-01-15      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDS                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     520000 | PA      | $-1320.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 31283HUA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1003 | PA      | $1037.88      | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QMH80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3832531 | PA      | $3150175.09   | 0.09%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                                           | CSAIL Commercial Mortgage Trust, Series 2017-CX10, Class XB                                                                   | CUSIP: 12595JAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3170000 | PA      | $33978.91     | 0.00%             | 2050-11-15      | Variable      | 0.17%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                          | Boeing Co. (The)                                                                                                              | CUSIP: 097023CX1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    1137000 | PA      | $1035743.58   | 0.03%             | 2060-05-01      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDSCMBX                                                                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | DE        |    2020000 | PA      | $-50527.63    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FS Rialto                                                                 | FS Rialto, Series 2021-FL3, Class A                                                                                           | CUSIP: 30323CAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3097000 | PA      | $2938120.54   | 0.09%             | 2036-11-16      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138WCKZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     452514 | PA      | $435161.30    | 0.01%             | 2029-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd.                                                   | Rockford Tower CLO Ltd., Series 2018-1A, Class A                                                                              | CUSIP: 77342JAA1<br>LEI: 549300KPFGDIQ0PMP224 | Long             | ABS-CBDO         | CORP              | KY        |     297000 | PA      | $292453.52    | 0.01%             | 2031-05-20      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| Scorpio European Loan Conduit No. 34 DAC                                  | Scorpio European Loan Conduit No. 34 DAC, Series 34A, Class C                                                                 | CUSIP: N/A<br>LEI: 635400WEAHNVFBOFYW26       | Long             | ABS-MBS          | CORP              | IE        |     252466 | PA      | $295321.70    | 0.01%             | 2029-05-17      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                                              | AbbVie, Inc.                                                                                                                  | CUSIP: 00287YDB2<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     590000 | PA      | $529846.61    | 0.02%             | 2045-03-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Takeda Pharmaceutical Co. Ltd.                                            | Takeda Pharmaceutical Co. Ltd.                                                                                                | CUSIP: 874060AX4<br>LEI: 549300ZLMVP4X0OGR454 | Long             | DBT              | CORP              | JP        |    3608000 | PA      | $2945027.62   | 0.09%             | 2030-03-31      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association, Series 2005-29, Class WB                                                               | CUSIP: 31394DGE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22163 | PA      | $21805.60     | 0.00%             | 2035-04-25      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-19884.19    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $3672.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132JQJH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     342582 | PA      | $331163.40    | 0.01%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132XCSC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3269043 | PA      | $3231983.52   | 0.10%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140J57D5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     887354 | PA      | $844466.28    | 0.02%             | 2032-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Republic of Peru                                                          | Republic of Peru                                                                                                              | CUSIP: 715638BU5<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     536000 | PA      | $513655.50    | 0.02%             | 2027-08-25      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bonds                                                                                                           | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     128000 | PA      | $89010.00     | 0.00%             | 2052-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140EW4N2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26847 | PA      | $25104.43     | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140HBPX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22693 | PA      | $22186.83     | 0.00%             | 2048-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association Variable Rate Notes, Series 2013-78                                                  | CUSIP: 38378KRX9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1121502 | PA      | $13874.55     | 0.00%             | 2054-10-16      | Variable      | 0.28%                 | No            |                  2 | On Loan: No      |
| OZLM VIII Ltd.                                                            | OZLM VIII Ltd., Series 2014-8A, Class BR3                                                                                     | CUSIP: 67107FBQ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     340000 | PA      | $324964.96    | 0.01%             | 2029-10-17      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                                  | Benchmark Mortgage Trust, Series 2020-B17, Class XB                                                                           | CUSIP: 08162MBA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1560000 | PA      | $44665.20     | 0.00%             | 2053-03-15      | Variable      | 0.53%                 | No            |                  2 | On Loan: No      |
| CD Mortgage Trust                                                         | CD Mortgage Trust, Series 2017-CD3, Class A4                                                                                  | CUSIP: 12515GAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     280000 | PA      | $260375.84    | 0.01%             | 2050-02-10      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                           | Citigroup, Inc.                                                                                                               | CUSIP: 172967NG2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    1475000 | PA      | $1329755.01   | 0.04%             | 2028-02-24      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman Loan Advisers CLO 26 Ltd.                                | Neuberger Berman Loan Advisers CLO 26 Ltd., Series 2017-26A, Class BR                                                         | CUSIP: 64131QAL4<br>LEI: 549300P0MOXZPIM3AS61 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $242180.33    | 0.01%             | 2030-10-18      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3133KYWE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     518492 | PA      | $437052.22    | 0.01%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Lockheed Martin Corp.                                                     | Lockheed Martin Corp., Series B                                                                                               | CUSIP: 539830AR0<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |     589000 | PA      | $638823.73    | 0.02%             | 2036-09-01      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Ameren Illinois Co.                                                       | Ameren Illinois Co.                                                                                                           | CUSIP: 02361DAU4<br>LEI: RC71E2BZ6UOMFPDJSE79 | Long             | DBT              | CORP              | US        |     811000 | PA      | $580444.44    | 0.02%             | 2050-03-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Verizon Communications, Inc.                                              | Verizon Communications, Inc.                                                                                                  | CUSIP: 92343VFL3<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    2768000 | PA      | $2151937.62   | 0.06%             | 2030-09-18      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Birch Grove CLO Ltd.                                                      | Birch Grove CLO Ltd., Series 19A, Class DR                                                                                    | CUSIP: 09075JAS8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $235387.35    | 0.01%             | 2031-06-15      | Floating      | 8.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | U.S. Treasury 30 Year Bond                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |          6 | NC      | $25406.25     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Whitebox CLO II Ltd.                                                      | Whitebox CLO II Ltd., Series 2020-2A, Class A1R                                                                               | CUSIP: 96466CAL2<br>LEI: 549300C89ZJ5IWOT1F21 | Long             | ABS-CBDO         | CORP              | KY        |     530000 | PA      | $511386.08    | 0.02%             | 2034-10-24      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd.                                                   | Rockford Tower CLO Ltd., Series 2017-2A, Class BR                                                                             | CUSIP: 77340GAL5<br>LEI: 549300G18KVCW7VUKI86 | Long             | ABS-CBDO         | CORP              | KY        |    1945000 | PA      | $1882633.77   | 0.06%             | 2029-10-15      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                                      | Charter Communications Operating LLC                                                                                          | CUSIP: 161175BC7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1104000 | PA      | $1018480.74   | 0.03%             | 2055-10-23      | Fixed         | 6.83%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                                                | AT&T, Inc.                                                                                                                    | CUSIP: 00206RKB7<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    3604000 | PA      | $2500315.80   | 0.07%             | 2060-06-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| DTE Electric Co.                                                          | DTE Electric Co., Series A                                                                                                    | CUSIP: 23338VAH9<br>LEI: 9N0FWODEJVKHC2DYLO03 | Long             | DBT              | CORP              | US        |    1937000 | PA      | $1609720.08   | 0.05%             | 2048-05-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Alexandria Real Estate Equities, Inc.                                     | Alexandria Real Estate Equities, Inc.                                                                                         | CUSIP: 015271AW9<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |     704000 | PA      | $539060.87    | 0.02%             | 2032-05-18      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Sutton Park CLO DAC                                                       | Sutton Park CLO DAC, Series 1X, Class BE                                                                                      | CUSIP: N/A<br>LEI: 54930099DP1YO0ZNSG73       | Long             | ABS-CBDO         | CORP              | IE        |     202000 | PA      | $202934.23    | 0.01%             | 2031-11-15      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| Kinder Morgan Energy Partners LP                                          | Kinder Morgan Energy Partners LP                                                                                              | CUSIP: 494550AV8<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |     706000 | PA      | $711344.14    | 0.02%             | 2037-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GLP Capital LP                                                            | GLP Capital LP                                                                                                                | CUSIP: 361841AP4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3725000 | PA      | $3262407.45   | 0.10%             | 2030-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Lehman Brothers Holdings Japan, Inc.                                      | Lehman Brothers Holdings Japan, Inc.                                                                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | JP        |    1630000 | PA      | $0.16         | 0.00%             | 2049-11-01      | Fixed         | 5.88%                 | No            |                  3 | On Loan: No      |
| Whitebox CLO III Ltd.                                                     | Whitebox CLO III Ltd., Series 2021-3A, Class D                                                                                | CUSIP: 96467HAJ5<br>LEI: 549300JXCQSPB1A61C68 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $233838.93    | 0.01%             | 2034-10-15      | Floating      | 7.43%                 | No            |                  2 | On Loan: No      |
| Apidos CLO XVIII                                                          | Apidos CLO XVIII, Series 2018-18A, Class A1                                                                                   | CUSIP: 03767NAC0<br>LEI: 549300LPFPUEJZX23R93 | Long             | ABS-CBDO         | CORP              | KY        |     350000 | PA      | $345500.51    | 0.01%             | 2030-10-22      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                            | Morgan Stanley                                                                                                                | CUSIP: 6174468X0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     631000 | PA      | $476106.24    | 0.01%             | 2032-04-28      | Variable      | 1.93%                 | No            |                  2 | On Loan: No      |
| MidAmerican Energy Co.                                                    | MidAmerican Energy Co.                                                                                                        | CUSIP: 595620AT2<br>LEI: NINLOILYRTLIMK26MZ18 | Long             | DBT              | CORP              | US        |    3613000 | PA      | $3378024.10   | 0.10%             | 2029-04-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138YLYN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     146372 | PA      | $131377.89    | 0.00%             | 2045-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd.                                                    | Palmer Square CLO Ltd., Series 2021-3A, Class A1                                                                              | CUSIP: 69688FAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $242100.10    | 0.01%             | 2035-01-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132QUZX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      81029 | PA      | $77990.71     | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Voya Euro CLO II DAC                                                      | Voya Euro CLO II DAC, Series 2A, Class CR                                                                                     | CUSIP: N/A<br>LEI: 635400URG3IUW6R6W254       | Long             | ABS-CBDO         | CORP              | IE        |     250000 | PA      | $247665.47    | 0.01%             | 2035-07-15      | Floating      | 3.53%                 | No            |                  2 | On Loan: No      |
| CSMC Trust                                                                | CSMC Trust, Series 2017-TIME, Class A                                                                                         | CUSIP: 12652XAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     230000 | PA      | $195729.49    | 0.01%             | 2039-11-13      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140XGR43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     877249 | PA      | $715088.68    | 0.02%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                          | Boeing Co. (The)                                                                                                              | CUSIP: 097023CB9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     570000 | PA      | $391246.32    | 0.01%             | 2048-11-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                             | Comcast Corp.                                                                                                                 | CUSIP: 20030NDN8<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    2652000 | PA      | $2064848.84   | 0.06%             | 2031-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| CarVal CLO II Ltd.                                                        | CarVal CLO II Ltd., Series 2019-1A, Class DR                                                                                  | CUSIP: 14686AAW9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1130000 | PA      | $1062272.09   | 0.03%             | 2032-04-20      | Floating      | 7.44%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132GTPY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18781 | PA      | $17599.73     | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Commercial Mortgage Securities Trust                       | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2020-609M, Class D                                                | CUSIP: 46652RAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1300000 | PA      | $1106488.89   | 0.03%             | 2033-10-15      | Floating      | 7.09%                 | No            |                  2 | On Loan: No      |
| RR 3 Ltd.                                                                 | RR 3 Ltd., Series 2018-3A, Class A1R2                                                                                         | CUSIP: 74988LAA2<br>LEI: 549300YH0VOGWM5JZF65 | Long             | ABS-CBDO         | CORP              | KY        |    1090000 | PA      | $1077824.48   | 0.03%             | 2030-01-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                             | Comcast Corp.                                                                                                                 | CUSIP: 20030NDL2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    1148000 | PA      | $724508.21    | 0.02%             | 2051-01-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140JARS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1255778 | PA      | $1244890.37   | 0.04%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Generate CLO 2 Ltd.                                                       | Generate CLO 2 Ltd., Series 2A, Class AR                                                                                      | CUSIP: 98625TAJ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1250000 | PA      | $1234599.13   | 0.04%             | 2031-01-22      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Great Lakes CLO Ltd.                                                      | Great Lakes CLO Ltd., Series 2019-1A, Class AR                                                                                | CUSIP: 390578AL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     970000 | PA      | $939885.77    | 0.03%             | 2031-07-15      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138WH3T7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     575769 | PA      | $538409.17    | 0.02%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                                 | Commercial Mortgage Trust, Series 2014-CR21, Class A3                                                                         | CUSIP: 12592RBF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     289727 | PA      | $278840.95    | 0.01%             | 2047-12-10      | Fixed         | 3.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-107950.68   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Marsh & McLennan Cos., Inc.                                               | Marsh & McLennan Cos., Inc.                                                                                                   | CUSIP: 571748BN1<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |    1547000 | PA      | $1266485.72   | 0.04%             | 2030-11-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Ares XXXVII CLO Ltd.                                                      | Ares XXXVII CLO Ltd., Series 2015-4A, Class A1R                                                                               | CUSIP: 04015NAG9<br>LEI: 635400YF4AHA6NB2CU53 | Long             | ABS-CBDO         | CORP              | KY        |     310000 | PA      | $306788.52    | 0.01%             | 2030-10-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138WTV37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      56461 | PA      | $54156.50     | 0.00%             | 2028-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                           | CUSIP: 912828YY0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   85581000 | PA      | $81235089.84  | 2.39%             | 2024-12-31      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Ares European CLO XII DAC                                                 | Ares European CLO XII DAC, Series 12A, Class B1R                                                                              | CUSIP: N/A<br>LEI: 635400XCOLUI5RNVIZ11       | Long             | ABS-CBDO         | CORP              | IE        |     297000 | PA      | $301584.50    | 0.01%             | 2032-04-20      | Floating      | 3.16%                 | No            |                  2 | On Loan: No      |
| CHC Commercial Mortgage Trust                                             | CHC Commercial Mortgage Trust, Series 2019-CHC, Class B                                                                       | CUSIP: 162665AG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1310989 | PA      | $1247288.03   | 0.04%             | 2034-06-15      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| National Retail Properties, Inc.                                          | National Retail Properties, Inc.                                                                                              | CUSIP: 637417AQ9<br>LEI: 5493008JKH5SOTI0JS97 | Long             | DBT              | CORP              | US        |     519000 | PA      | $347070.84    | 0.01%             | 2051-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group, Inc.                                                  | UnitedHealth Group, Inc.                                                                                                      | CUSIP: 91324PCD2<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     414000 | PA      | $367110.72    | 0.01%             | 2043-03-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Ladder Capital Commercial Mortgage Mortgage Trust                         | Ladder Capital Commercial Mortgage Mortgage Trust, Series 2013-GCP, Class XA                                                  | CUSIP: 50184BAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2823528 | PA      | $129950.62    | 0.00%             | 2036-02-15      | Variable      | 1.16%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                                      | Charter Communications Operating LLC                                                                                          | CUSIP: 161175BT0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3359000 | PA      | $2438462.89   | 0.07%             | 2050-03-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| NRG Energy, Inc.                                                          | NRG Energy, Inc.                                                                                                              | CUSIP: 629377CP5<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    4255000 | PA      | $3525500.80   | 0.10%             | 2027-12-02      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QMVL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1721168 | PA      | $1524708.36   | 0.04%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Trust                                          | OneMain Financial Issuance Trust, Series 2021-1A, Class C                                                                     | CUSIP: 68269MAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     100000 | PA      | $77190.60     | 0.00%             | 2036-06-16      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust                            | Morgan Stanley Residential Mortgage Loan Trust, Series 2014-1A, Class B3                                                      | CUSIP: 61763YAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     121109 | PA      | $107545.25    | 0.00%             | 2044-06-25      | Variable      | 5.03%                 | No            |                  2 | On Loan: No      |
| CSX Corp.                                                                 | CSX Corp.                                                                                                                     | CUSIP: 126408HG1<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |     408000 | PA      | $319935.47    | 0.01%             | 2066-11-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| American Municipal Power, Inc.                                            | American Municipal Power, Inc., Series 2010A                                                                                  | CUSIP: 02765UEK6<br>LEI: EARKGGZJJEMVD66XQ486 | Long             | DBT              | MUN               | US        |     765000 | PA      | $981561.79    | 0.03%             | 2050-02-15      | Fixed         | 8.08%                 | No            |                  2 | On Loan: No      |
| Gilead Sciences, Inc.                                                     | Gilead Sciences, Inc.                                                                                                         | CUSIP: 375558AX1<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |    1151000 | PA      | $1055463.73   | 0.03%             | 2044-04-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138M1YD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39218 | PA      | $36706.72     | 0.00%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                                      | BBCMS Mortgage Trust, Series 2022-C17, Class A5                                                                               | CUSIP: 054976AE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     156000 | PA      | $148198.19    | 0.00%             | 2055-09-15      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| Norfolk Southern Corp.                                                    | Norfolk Southern Corp.                                                                                                        | CUSIP: 655844CM8<br>LEI: 54930036C8MWP850MI84 | Long             | DBT              | CORP              | US        |    1765000 | PA      | $1506900.66   | 0.04%             | 2032-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138WFNC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     203183 | PA      | $190514.22    | 0.01%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO X Ltd.                                                        | Elmwood CLO X Ltd., Series 2021-3A, Class A                                                                                   | CUSIP: 29002VAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1620000 | PA      | $1588056.68   | 0.05%             | 2034-10-20      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Boardwalk Pipelines LP                                                    | Boardwalk Pipelines LP                                                                                                        | CUSIP: 096630AJ7<br>LEI: 549300W6AQ2GHHCGL606 | Long             | DBT              | CORP              | US        |     617000 | PA      | $510565.34    | 0.02%             | 2032-09-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group, Inc.                                                  | UnitedHealth Group, Inc.                                                                                                      | CUSIP: 91324PEF5<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    2194000 | PA      | $1569888.97   | 0.05%             | 2051-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Cameron LNG LLC                                                           | Cameron LNG LLC                                                                                                               | CUSIP: 133434AB6<br>LEI: 549300C39FLHGVD73K22 | Long             | DBT              | CORP              | US        |    4157000 | PA      | $3346871.12   | 0.10%             | 2035-01-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Aon Corp.                                                                 | Aon Corp.                                                                                                                     | CUSIP: 037389BB8<br>LEI: LTS3U8DGK38SETRUWX71 | Long             | DBT              | CORP              | US        |    1804000 | PA      | $1739987.87   | 0.05%             | 2028-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TCW CLO AMR Ltd.                                                          | TCW CLO AMR Ltd., Series 2019-1A, Class ASNR                                                                                  | CUSIP: 87241EAQ8<br>LEI: 549300RWQDI4UTTLDE63 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $243362.45    | 0.01%             | 2034-08-16      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132WJTW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     394463 | PA      | $353207.54    | 0.01%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Rockford Tower Europe CLO DAC                                             | Rockford Tower Europe CLO DAC, Series 2018-1X, Class B                                                                        | CUSIP: N/A<br>LEI: 635400J1BXSISHD5XN53       | Long             | ABS-CBDO         | CORP              | IE        |     576000 | PA      | $585993.17    | 0.02%             | 2031-12-20      | Floating      | 3.90%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd.                                                         | CIFC Funding Ltd., Series 2017-1A, Class AR                                                                                   | CUSIP: 12551AAL9<br>LEI: 549300X1SKS4LNS5LQ62 | Long             | ABS-CBDO         | CORP              | KY        |    1115502 | PA      | $1104179.36   | 0.03%             | 2029-04-23      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp. Trust                                        | GS Mortgage Securities Corp. Trust, Series 2022-AGSS, Class A                                                                 | CUSIP: 36270DAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1650000 | PA      | $1653849.62   | 0.05%             | 2027-11-15      | Floating      | 7.03%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31383MMZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39400 | PA      | $40014.25     | 0.00%             | 2029-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Shell International Finance BV                                            | Shell International Finance BV                                                                                                | CUSIP: 822582CG5<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |     381000 | PA      | $334291.21    | 0.01%             | 2030-04-06      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Diameter Capital CLO 3 Ltd.                                               | Diameter Capital CLO 3 Ltd., Series 2022-3A, Class A1A                                                                        | CUSIP: 25255JAA5<br>LEI: 254900L1QJX98W5ORK78 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $242117.03    | 0.01%             | 2037-04-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDS                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    1000000 | PA      | $3620.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Trinitas CLO XIV Ltd.                                                     | Trinitas CLO XIV Ltd., Series 2020-14A, Class C                                                                               | CUSIP: 89641QAG5<br>LEI: 549300095MXHZZMH2053 | Long             | ABS-CBDO         | CORP              | KY        |     530000 | PA      | $503828.12    | 0.01%             | 2034-01-25      | Floating      | 7.36%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding XLII Ltd.                                            | Madison Park Funding XLII Ltd., Series 13A, Class C                                                                           | CUSIP: 04966HAG1<br>LEI: 549300BF3YFW8EHN6F75 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $235466.30    | 0.01%             | 2030-11-21      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| Galaxy XVIII CLO Ltd.                                                     | Galaxy XVIII CLO Ltd., Series 2018-28A, Class A1                                                                              | CUSIP: 36321JAC8<br>LEI: 549300QR0537E9AXFW42 | Long             | ABS-CBDO         | CORP              | KY        |     280000 | PA      | $275155.69    | 0.01%             | 2031-07-15      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36202FMA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     425460 | PA      | $411091.98    | 0.01%             | 2040-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners XVII Ltd.                                     | Octagon Investment Partners XVII Ltd., Series 2013-1A, Class A1R2                                                             | CUSIP: 67590GBG3<br>LEI: 54930007Y57X4ONHQV20 | Long             | ABS-CBDO         | CORP              | KY        |    2640000 | PA      | $2601384.98   | 0.08%             | 2031-01-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Venture 32 CLO Ltd.                                                       | Venture 32 CLO Ltd., Series 2018-32A, Class A2A                                                                               | CUSIP: 92325QAC1<br>LEI: 549300UP09C89Q3HWD39 | Long             | ABS-CBDO         | CORP              | KY        |     350000 | PA      | $340971.79    | 0.01%             | 2031-07-18      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31402RDH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2323035 | PA      | $2402339.55   | 0.07%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179VMF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     256251 | PA      | $245305.42    | 0.01%             | 2050-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Romania                                                                   | Romania Government Bond                                                                                                       | CUSIP: N/A<br>LEI: 315700IASY927EDWBK92       | Long             | DBT              | NUSS              | RO        |     367000 | PA      | $326388.97    | 0.01%             | 2028-03-07      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| Duke Energy Corp.                                                         | Duke Energy Corp.                                                                                                             | CUSIP: 26441CBS3<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    1092000 | PA      | $1050748.25   | 0.03%             | 2028-03-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140Q9ZV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1686985 | PA      | $1652678.84   | 0.05%             | 2033-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance Trust                                        | Regional Management Issuance Trust, Series 2022-1, Class A                                                                    | CUSIP: 75907DAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     794000 | PA      | $724307.52    | 0.02%             | 2032-03-15      | Fixed         | 3.07%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138WFYN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     193682 | PA      | $181599.50    | 0.01%             | 2030-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Anglo American Capital plc                                                | Anglo American Capital plc                                                                                                    | CUSIP: 034863AX8<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |    2297000 | PA      | $1867461.00   | 0.06%             | 2030-09-10      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| BXP Trust                                                                 | BXP Trust, Series 2017-CC, Class D                                                                                            | CUSIP: 05607CAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     210000 | PA      | $164463.12    | 0.00%             | 2037-08-13      | Variable      | 3.55%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                          | Boeing Co. (The)                                                                                                              | CUSIP: 097023CR4<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     771000 | PA      | $517742.04    | 0.02%             | 2059-08-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd.                                           | Palmer Square Loan Funding Ltd., Series 2020-1A, Class A2                                                                     | CUSIP: 69701EAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     990000 | PA      | $961841.03    | 0.03%             | 2028-02-20      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust                        | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C23, Class D                                                  | CUSIP: 61690QAS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     116000 | PA      | $98027.40     | 0.00%             | 2050-07-15      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| BBCMS Trust                                                               | BBCMS Trust, Series 2015-SRCH, Class XA                                                                                       | CUSIP: 05547HAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6801509 | PA      | $214991.95    | 0.01%             | 2035-08-10      | Variable      | 0.91%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                          | SMB Private Education Loan Trust, Series 2021-A, Class D2                                                                     | CUSIP: 78448YAL5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     730000 | PA      | $648199.85    | 0.02%             | 2053-01-15      | Fixed         | 3.86%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                              | GS Mortgage Securities Trust, Series 2015-GS1, Class A3                                                                       | CUSIP: 36252AAC0<br>LEI: 549300WZ62L3Y22NOZ64 | Long             | ABS-MBS          | CORP              | US        |     150000 | PA      | $142352.93    | 0.00%             | 2048-11-10      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $13840.48     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Madison Park Funding XIII Ltd.                                            | Madison Park Funding XIII Ltd., Series 2014-13A, Class AR2                                                                    | CUSIP: 55818MBA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1028680 | PA      | $1017364.63   | 0.03%             | 2030-04-19      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDSCMBX                                                                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    1000000 | PA      | $1.79         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138WJJ25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     327986 | PA      | $313480.96    | 0.01%             | 2046-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138XHT76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     439741 | PA      | $431984.86    | 0.01%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LoanCore Issuer Ltd.                                                      | LoanCore Issuer Ltd., Series 2022-CRE7, Class A                                                                               | CUSIP: 53946PAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4099000 | PA      | $3967901.68   | 0.12%             | 2037-01-17      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                          | SMB Private Education Loan Trust, Series 2015-B, Class B                                                                      | CUSIP: 78448QAE8<br>LEI: 549300ZLJ4U248VKSJ66 | Long             | ABS-O            | CORP              | US        |     990000 | PA      | $936983.03    | 0.03%             | 2040-12-17      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31418CPF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32929 | PA      | $31433.35     | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132GKD37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      65467 | PA      | $63152.96     | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31410KXL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      84484 | PA      | $88200.65     | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140GYJX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     300491 | PA      | $278451.15    | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Canyon CLO Ltd.                                                           | Canyon CLO Ltd., Series 2020-3A, Class B                                                                                      | CUSIP: 13876RAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     350000 | PA      | $335591.27    | 0.01%             | 2034-01-15      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| Waste Management, Inc.                                                    | Waste Management, Inc.                                                                                                        | CUSIP: 94106LBN8<br>LEI: 549300YX8JIID70NFS41 | Long             | DBT              | CORP              | US        |     404000 | PA      | $337445.27    | 0.01%             | 2028-03-15      | Fixed         | 1.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDSCMBX                                                                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | DE        |    1023355 | PA      | $-10711.49    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Sound Point CLO XXVI Ltd.                                                 | Sound Point CLO XXVI Ltd., Series 2020-1A, Class DR                                                                           | CUSIP: 83614XAW1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     320000 | PA      | $292941.60    | 0.01%             | 2034-07-20      | Floating      | 7.59%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                            | Morgan Stanley                                                                                                                | CUSIP: 61747YEH4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     720000 | PA      | $563444.10    | 0.02%             | 2032-10-20      | Variable      | 2.51%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132KFAJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      85983 | PA      | $82351.17     | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BPCRE Ltd.                                                                | BPCRE Ltd., Series 2022-FL2, Class A                                                                                          | CUSIP: 05602FAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |     829000 | PA      | $816067.60    | 0.02%             | 2037-01-16      | Floating      | 6.72%                 | No            |                  3 | On Loan: No      |
| Baltimore Gas and Electric Co.                                            | Baltimore Gas and Electric Co.                                                                                                | CUSIP: 059165EP1<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |     506000 | PA      | $446886.12    | 0.01%             | 2052-06-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140HBFN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2027802 | PA      | $2000174.19   | 0.06%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138EQA51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     295465 | PA      | $282657.06    | 0.01%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association Variable Rate Notes, Series 2015-37                                                  | CUSIP: 38379KFV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     126352 | PA      | $3339.93      | 0.00%             | 2056-10-16      | Variable      | 0.57%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138EPJ62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     247673 | PA      | $236934.85    | 0.01%             | 2030-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                            | Morgan Stanley Capital I Trust, Series 2019-L2, Class XA                                                                      | CUSIP: 61768HAX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2006273 | PA      | $95581.44     | 0.00%             | 2052-03-15      | Variable      | 1.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132D6NY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1727322 | PA      | $1540789.72   | 0.05%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust                                               | Extended Stay America Trust, Series 2021-ESH, Class B                                                                         | CUSIP: 30227FAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5456914 | PA      | $5244726.73   | 0.15%             | 2038-07-15      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31410GH22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      64489 | PA      | $66374.30     | 0.00%             | 2036-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| St. Paul's CLO XII DAC                                                    | St. Paul's CLO XII DAC, Series 12X, Class B1                                                                                  | CUSIP: N/A<br>LEI: 635400TG25DYCKV8CW74       | Long             | ABS-CBDO         | CORP              | IE        |     310000 | PA      | $310170.74    | 0.01%             | 2033-04-15      | Floating      | 2.98%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 01F040610<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -6342500 | PA      | $-5947108.17  | -0.18%            | 2053-01-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3133B3GW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1431417 | PA      | $1177430.83   | 0.03%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                              | Oracle Corp.                                                                                                                  | CUSIP: 68389XAH8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     387000 | PA      | $384937.37    | 0.01%             | 2039-07-08      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Sherwin-Williams Co. (The)                                                | Sherwin-Williams Co. (The)                                                                                                    | CUSIP: 824348BL9<br>LEI: Z15BMIOX8DDH0X2OBP21 | Long             | DBT              | CORP              | US        |     842000 | PA      | $692206.42    | 0.02%             | 2030-05-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Republic of Colombia                                                      | Republic of Colombia                                                                                                          | CUSIP: N/A<br>LEI: 549300MHDRBVRF6B9117       | Long             | DBT              | NUSS              | CO        | 1290500000 | PA      | $188010.92    | 0.01%             | 2031-03-26      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179V4U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17829075 | PA      | $15033478.99  | 0.44%             | 2051-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36202E4F3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13410 | PA      | $12962.20     | 0.00%             | 2039-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140JHYV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     649270 | PA      | $636207.59    | 0.02%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                                           | CSAIL Commercial Mortgage Trust, Series 2016-C5, Class C                                                                      | CUSIP: 12636LBE9<br>LEI: 549300FU8TZDHFLQZL50 | Long             | ABS-MBS          | CORP              | US        |    1410000 | PA      | $1269460.51   | 0.04%             | 2048-11-15      | Variable      | 4.64%                 | No            |                  2 | On Loan: No      |
| Duke Energy Progress LLC                                                  | Duke Energy Progress LLC                                                                                                      | CUSIP: 26442UAH7<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |    3888000 | PA      | $3578963.91   | 0.11%             | 2029-03-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Prologis LP                                                               | Prologis LP                                                                                                                   | CUSIP: 74340XBM2<br>LEI: GL16H1DHB0QSHP25F723 | Long             | DBT              | CORP              | US        |     434000 | PA      | $361571.54    | 0.01%             | 2030-04-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO 8 Ltd.                                              | Anchorage Capital CLO 8 Ltd., Series 2016-8A, Class AR2A                                                                      | CUSIP: 03329KAY9<br>LEI: 549300PKM3N9LK4JM015 | Long             | ABS-CBDO         | CORP              | KY        |     570000 | PA      | $553509.90    | 0.02%             | 2034-10-27      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                      | JPMorgan Chase & Co.                                                                                                          | CUSIP: 46647PDC7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    2362000 | PA      | $2186652.51   | 0.06%             | 2033-04-26      | Variable      | 4.59%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding XIX Ltd.                                             | Madison Park Funding XIX Ltd., Series 2015-19A, Class A1R2                                                                    | CUSIP: 55819QAY3<br>LEI: 254900END3IQSN7CTN87 | Long             | ABS-CBDO         | CORP              | KY        |    1128017 | PA      | $1116484.25   | 0.03%             | 2028-01-22      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Refi Loan Trust                                 | Navient Private Education Refi Loan Trust, Series 2021-DA, Class D                                                            | CUSIP: 63942CAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     300000 | PA      | $254025.57    | 0.01%             | 2060-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3128MAFB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     310533 | PA      | $314810.52    | 0.01%             | 2041-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Global Payments, Inc.                                                     | Global Payments, Inc.                                                                                                         | CUSIP: 37940XAN2<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |     898000 | PA      | $868159.88    | 0.03%             | 2029-08-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Armada Euro CLO III DAC                                                   | Armada Euro CLO III DAC, Series 3A, Class DR                                                                                  | CUSIP: N/A<br>LEI: 549300236OBWCGBX8R96       | Long             | ABS-CBDO         | CORP              | IE        |     287000 | PA      | $275492.17    | 0.01%             | 2031-07-15      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                                               | Capital One Financial Corp.                                                                                                   | CUSIP: 14040HCV5<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |     949000 | PA      | $903777.02    | 0.03%             | 2030-07-26      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31417FL48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10501 | PA      | $9992.19      | 0.00%             | 2028-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO Ltd.                                                | Anchorage Capital CLO Ltd., Series 2013-1A, Class A1R                                                                         | CUSIP: 033292AQ6<br>LEI: 5493008PWA7TS1SR9447 | Long             | ABS-CBDO         | CORP              | KY        |     670000 | PA      | $662470.81    | 0.02%             | 2030-10-13      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| BAE Systems plc                                                           | BAE Systems plc                                                                                                               | CUSIP: 05523RAD9<br>LEI: 8SVCSVKSGDWMW2QHOH83 | Long             | DBT              | CORP              | GB        |    2010000 | PA      | $1773651.32   | 0.05%             | 2030-04-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Union Pacific Corp.                                                       | Union Pacific Corp.                                                                                                           | CUSIP: 907818GA0<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |     685000 | PA      | $503642.24    | 0.01%             | 2072-02-14      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Arbor Multifamily Mortgage Securities Trust                               | Arbor Multifamily Mortgage Securities Trust, Series 2021-MF3, Class A5                                                        | CUSIP: 03882KAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     297000 | PA      | $240616.99    | 0.01%             | 2054-10-15      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 31307NM68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      54448 | PA      | $52144.57     | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31418MRR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     697335 | PA      | $718077.74    | 0.02%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  -62244700 | PA      | $-3264970.78  | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2021-VIEW, Class D                                                                                           | CUSIP: 05606GAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2110000 | PA      | $1941740.16   | 0.06%             | 2036-06-15      | Floating      | 7.22%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DVL78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1095185 | PA      | $977406.03    | 0.03%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDSCMBX                                                                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | DE        |     531000 | PA      | $-42862.04    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138ECKY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36395 | PA      | $34068.39     | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| EDvestinU Private Education Loan Issue No. LLC                            | EDvestinU Private Education Loan Issue No. LLC, Series 2022-A, Class A                                                        | CUSIP: 28165AAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     624150 | PA      | $605681.99    | 0.02%             | 2040-11-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36197MRR1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      82439 | PA      | $81501.65     | 0.00%             | 2047-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    1870000 | PA      | $87908.72     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                        | Energy Transfer LP                                                                                                            | CUSIP: 29273RAT6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     815000 | PA      | $673634.01    | 0.02%             | 2043-02-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140H3KJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      51259 | PA      | $49544.84     | 0.00%             | 2033-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Penta CLO DAC                                                             | Penta CLO DAC, Series 2022-11A, Class D                                                                                       | CUSIP: N/A<br>LEI: 5493006SWLDNT2XZHH97       | Long             | ABS-CBDO         | CORP              | IE        |     390000 | PA      | $382417.20    | 0.01%             | 2034-11-15      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Roper Technologies, Inc.                                                  | Roper Technologies, Inc.                                                                                                      | CUSIP: 776743AF3<br>LEI: 54930003T4SXCIWVXY35 | Long             | DBT              | CORP              | US        |     350000 | PA      | $338045.54    | 0.01%             | 2028-09-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDS                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     597000 | PA      | $1028.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Henley CLO IV DAC                                                         | Henley CLO IV DAC, Series 4X, Class B1                                                                                        | CUSIP: N/A<br>LEI: 6354009HFM8XXW6PPK55       | Long             | ABS-CBDO         | CORP              | IE        |     130000 | PA      | $127512.01    | 0.00%             | 2034-04-25      | Floating      | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138ELS79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     557883 | PA      | $581522.63    | 0.02%             | 2040-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138XHBK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     370724 | PA      | $358219.73    | 0.01%             | 2029-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freeport Indonesia PT                                                     | Freeport Indonesia PT                                                                                                         | CUSIP: 69377FAA4<br>LEI: 549300T4HTQHRKLNE619 | Long             | DBT              | CORP              | ID        |     380000 | PA      | $364366.80    | 0.01%             | 2027-04-14      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| Glencore Funding LLC                                                      | Glencore Funding LLC                                                                                                          | CUSIP: 378272AY4<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |    1474000 | PA      | $1196430.72   | 0.04%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132GTNL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     236609 | PA      | $228252.82    | 0.01%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138A5WW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2522 | PA      | $2502.88      | 0.00%             | 2041-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Philip Morris International, Inc.                                         | Philip Morris International, Inc.                                                                                             | CUSIP: 718172CV9<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    2724000 | PA      | $2743894.49   | 0.08%             | 2027-11-17      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140EXCP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21182 | PA      | $19766.02     | 0.00%             | 2031-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| LCM XIV LP                                                                | LCM XIV LP, Series 14A, Class AR                                                                                              | CUSIP: 50184VAR5<br>LEI: 549300NGJ6CPPJRPGL08 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $246184.68    | 0.01%             | 2031-07-20      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132QSGT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     429507 | PA      | $419690.28    | 0.01%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36198QTX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2900 | PA      | $2811.63      | 0.00%             | 2044-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                           | Goldman Sachs Group, Inc. (The)                                                                                               | CUSIP: 38141GYE8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    7815000 | PA      | $7518314.62   | 0.22%             | 2024-09-10      | Variable      | 0.66%                 | No            |                  2 | On Loan: No      |
| FactSet Research Systems, Inc.                                            | FactSet Research Systems, Inc.                                                                                                | CUSIP: 303075AB1<br>LEI: 549300ZSJE7NBK6K9P30 | Long             | DBT              | CORP              | US        |    2997000 | PA      | $2512690.16   | 0.07%             | 2032-03-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Nissan Motor Co. Ltd.                                                     | Nissan Motor Co. Ltd.                                                                                                         | CUSIP: 654744AD3<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |    3985000 | PA      | $3381956.88   | 0.10%             | 2030-09-17      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140HBRA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30302 | PA      | $29748.34     | 0.00%             | 2048-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                                            | Southern California Edison Co.                                                                                                | CUSIP: 842400GU1<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    2987000 | PA      | $2459960.64   | 0.07%             | 2030-06-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                     | Bank of America Corp.                                                                                                         | CUSIP: 06051GHG7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    1433000 | PA      | $1322264.70   | 0.04%             | 2029-03-05      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                                              | AbbVie, Inc.                                                                                                                  | CUSIP: 00287YAW9<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     368000 | PA      | $316270.42    | 0.01%             | 2046-05-14      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138X8QJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     962144 | PA      | $944352.47    | 0.03%             | 2028-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| S&P Global, Inc.                                                          | S&P Global, Inc.                                                                                                              | CUSIP: 78409VAY0<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |    2208000 | PA      | $2182215.46   | 0.06%             | 2028-08-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                                           | CSAIL Commercial Mortgage Trust, Series 2019-C15, Class A4                                                                    | CUSIP: 22945DAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     870000 | PA      | $804720.25    | 0.02%             | 2052-03-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31418DXJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3417768 | PA      | $2638968.98   | 0.08%             | 2051-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding XXVI Ltd.                                            | Madison Park Funding XXVI Ltd., Series 2017-26A, Class AR                                                                     | CUSIP: 55819YAA8<br>LEI: 549300FNRP3W5DX0O430 | Long             | ABS-CBDO         | CORP              | KY        |    1665000 | PA      | $1653709.30   | 0.05%             | 2030-07-29      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| WP Carey, Inc.                                                            | WP Carey, Inc.                                                                                                                | CUSIP: 92936UAJ8<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              | CORP              | US        |     452000 | PA      | $353197.00    | 0.01%             | 2032-02-01      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                          | Boeing Co. (The)                                                                                                              | CUSIP: 097023CK9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     680000 | PA      | $477472.17    | 0.01%             | 2049-05-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Textron, Inc.                                                             | Textron, Inc.                                                                                                                 | CUSIP: 883203CA7<br>LEI: 3PPKBHUG1HD6BO7RNR87 | Long             | DBT              | CORP              | US        |    2448000 | PA      | $2217272.30   | 0.07%             | 2029-09-17      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140J5YR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     375996 | PA      | $359153.40    | 0.01%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Salesforce, Inc.                                                          | Salesforce, Inc.                                                                                                              | CUSIP: 79466LAM6<br>LEI: RCGZFPDMRW58VJ54VR07 | Long             | DBT              | CORP              | US        |     913000 | PA      | $579732.35    | 0.02%             | 2061-07-15      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Kimco Realty Corp.                                                        | Kimco Realty Corp.                                                                                                            | CUSIP: 49446RBA6<br>LEI: 549300EA7I6T15IBYS12 | Long             | DBT              | CORP              | US        |     700000 | PA      | $640161.01    | 0.02%             | 2033-02-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| CSMC Trust                                                                | CSMC Trust, Series 2017-PFHP, Class A                                                                                         | CUSIP: 12595KAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     530000 | PA      | $508446.76    | 0.01%             | 2030-12-15      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31418DSH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1893120 | PA      | $1549018.65   | 0.05%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| L3Harris Technologies, Inc.                                               | L3Harris Technologies, Inc.                                                                                                   | CUSIP: 413875AW5<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |    2079000 | PA      | $1990051.73   | 0.06%             | 2028-06-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Reynolds American, Inc.                                                   | Reynolds American, Inc.                                                                                                       | CUSIP: 761713BB1<br>LEI: 02S2RPPVO9RP4NEU2740 | Long             | DBT              | CORP              | US        |    1002000 | PA      | $853500.47    | 0.03%             | 2045-08-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DMRH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      97741 | PA      | $93197.69     | 0.00%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Grippen Park CLO Ltd.                                                     | Grippen Park CLO Ltd., Series 2017-1A, Class A                                                                                | CUSIP: 39862EAA2<br>LEI: 549300P7KR0IARP7PG22 | Long             | ABS-CBDO         | CORP              | KY        |     228076 | PA      | $225823.47    | 0.01%             | 2030-01-20      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QNEK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2439614 | PA      | $2006737.36   | 0.06%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36177PPP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     168487 | PA      | $158456.34    | 0.00%             | 2042-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31418ECY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1263720 | PA      | $1065235.57   | 0.03%             | 2042-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31402CTT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12744 | PA      | $13157.24     | 0.00%             | 2034-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust                        | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C25, Class B                                                  | CUSIP: 61765TAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     620000 | PA      | $576652.20    | 0.02%             | 2048-10-15      | Variable      | 4.53%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36197MRS9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      45746 | PA      | $45376.52     | 0.00%             | 2047-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                             | Comcast Corp.                                                                                                                 | CUSIP: 20030NBM2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     364000 | PA      | $336047.27    | 0.01%             | 2034-08-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Barclays plc                                                              | Barclays plc                                                                                                                  | CUSIP: 06738EBZ7<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    1036000 | PA      | $1028255.09   | 0.03%             | 2026-08-09      | Variable      | 5.30%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31419EDS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      77408 | PA      | $76736.90     | 0.00%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| New Jersey Turnpike Authority                                             | New Jersey Turnpike Authority, Series 2009 F                                                                                  | CUSIP: 646139W35<br>LEI: 5493005YN67D71KSMI84 | Long             | DBT              | MUN               | US        |     665000 | PA      | $822420.20    | 0.02%             | 2040-01-01      | Fixed         | 7.41%                 | No            |                  2 | On Loan: No      |
| Lockheed Martin Corp.                                                     | Lockheed Martin Corp.                                                                                                         | CUSIP: 539830BC2<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |    1957000 | PA      | $1736989.75   | 0.05%             | 2035-03-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| FirstEnergy Transmission LLC                                              | FirstEnergy Transmission LLC                                                                                                  | CUSIP: 33767BAC3<br>LEI: 549300AINIIPOLYX2R63 | Long             | DBT              | CORP              | US        |    2252000 | PA      | $1822202.29   | 0.05%             | 2049-04-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Western Digital Corp.                                                     | Western Digital Corp.                                                                                                         | CUSIP: 958102AQ8<br>LEI: 549300QQXOOYEF89IC56 | Long             | DBT              | CORP              | US        |     686000 | PA      | $530737.62    | 0.02%             | 2029-02-01      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners XV Ltd.                                       | Octagon Investment Partners XV Ltd., Series 2013-1A, Class A2R                                                                | CUSIP: 67590EAS3<br>LEI: 549300VYCI9AZ4NZBX86 | Long             | ABS-CBDO         | CORP              | KY        |     320000 | PA      | $311277.76    | 0.01%             | 2030-07-19      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| Silver Creek CLO Ltd.                                                     | Silver Creek CLO Ltd., Series 2014-1A, Class AR                                                                               | CUSIP: 827551AL6<br>LEI: 549300LSJSAR2PPV4U78 | Long             | ABS-CBDO         | CORP              | KY        |     395113 | PA      | $390328.96    | 0.01%             | 2030-07-20      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| Signal Peak CLO LLC                                                       | Signal Peak CLO LLC, Series 2015-1A, Class AR2                                                                                | CUSIP: 56844XBG3<br>LEI: 549300SC4HK60KIV1S28 | Long             | ABS-CBDO         | CORP              | US        |     184003 | PA      | $181420.97    | 0.01%             | 2029-04-20      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                           | Goldman Sachs Group, Inc. (The)                                                                                               | CUSIP: 38141GXR0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    1256000 | PA      | $956841.60    | 0.03%             | 2032-01-27      | Variable      | 1.99%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                            | Morgan Stanley Capital I Trust, Series 2018-SUN, Class A                                                                      | CUSIP: 61691MAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     300000 | PA      | $293972.52    | 0.01%             | 2035-07-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| GLP Capital LP                                                            | GLP Capital LP                                                                                                                | CUSIP: 361841AQ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2571000 | PA      | $2205403.80   | 0.07%             | 2031-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Agilent Technologies, Inc.                                                | Agilent Technologies, Inc.                                                                                                    | CUSIP: 00846UAM3<br>LEI: QUIX8Y7A2WP0XRMW7G29 | Long             | DBT              | CORP              | US        |     975000 | PA      | $788908.04    | 0.02%             | 2030-06-04      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                                           | CSAIL Commercial Mortgage Trust, Series 2019-C16, Class C                                                                     | CUSIP: 12596WAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     649000 | PA      | $511386.30    | 0.02%             | 2052-06-15      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd.                                                    | Palmer Square CLO Ltd., Series 2015-1A, Class A1A4                                                                            | CUSIP: 69689ABJ8<br>LEI: 5493006ZPBFJJGSXB826 | Long             | ABS-CBDO         | CORP              | KY        |    5525000 | PA      | $5401516.80   | 0.16%             | 2034-05-21      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| BANK                                                                      | BANK, Series 2021-BN35, Class A5                                                                                              | CUSIP: 06540CBF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1279988 | PA      | $1029813.07   | 0.03%             | 2064-06-15      | Fixed         | 2.29%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140HHNE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29973 | PA      | $29379.93     | 0.00%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2019-XL, Class A                                                                         | CUSIP: 056054AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     413210 | PA      | $408115.41    | 0.01%             | 2036-10-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36202FP67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6508 | PA      | $6288.39      | 0.00%             | 2041-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31418DTP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2949652 | PA      | $2278925.94   | 0.07%             | 2050-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| WMRK Commercial Mortgage Trust                                            | WMRK Commercial Mortgage Trust, Series 2022-WMRK, Class A                                                                     | CUSIP: 929342AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1218000 | PA      | $1213415.20   | 0.04%             | 2027-11-15      | Floating      | 7.12%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138EJCD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     406389 | PA      | $405074.61    | 0.01%             | 2026-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                        | Energy Transfer LP                                                                                                            | CUSIP: 292480AH3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    2504000 | PA      | $2438699.09   | 0.07%             | 2024-05-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Cheniere Corpus Christi Holdings LLC                                      | Cheniere Corpus Christi Holdings LLC                                                                                          | CUSIP: 16412XAL9<br>LEI: 549300I7CIEWU1BBLQ53 | Long             | DBT              | CORP              | US        |    2987000 | PA      | $2309739.99   | 0.07%             | 2039-12-31      | Fixed         | 2.74%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140J5EJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38894 | PA      | $36369.04     | 0.00%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| NXP BV                                                                    | NXP BV                                                                                                                        | CUSIP: 62954HAJ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2464000 | PA      | $1916992.00   | 0.06%             | 2032-02-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                                | Verus Securitization Trust, Series 2020-4, Class M1                                                                           | CUSIP: 92538LAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     670000 | PA      | $516293.63    | 0.02%             | 2065-05-25      | Variable      | 3.29%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DVL60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11787843 | PA      | $9702868.43   | 0.29%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDS                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     309000 | PA      | $8841.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138EEHB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17772 | PA      | $16636.60     | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust I LLC                                            | Angel Oak Mortgage Trust I LLC, Series 2019-4, Class A3                                                                       | CUSIP: 03463UAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      51313 | PA      | $50927.99     | 0.00%             | 2049-07-26      | Variable      | 3.30%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QM4G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5303094 | PA      | $4535105.56   | 0.13%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Capital Certificates                               | Credit Suisse Mortgage Capital Certificates, Series 2019-ICE4, Class B                                                        | CUSIP: 12653VAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2658000 | PA      | $2611038.19   | 0.08%             | 2036-05-15      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| Mortgage Loan Resecuritization Trust                                      | Mortgage Loan Resecuritization Trust, Series 2009-RS1, Class A85                                                              | CUSIP: 61914WAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1925360 | PA      | $1794761.07   | 0.05%             | 2036-04-16      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                        | United Airlines Pass-Through Trust, Series 2016-2, Class AA                                                                   | CUSIP: 90932EAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     414929 | PA      | $352797.90    | 0.01%             | 2028-10-07      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36202FUG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     794053 | PA      | $807546.88    | 0.02%             | 2041-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO                                                   | Bain Capital Credit CLO, Series 2018-2A, Class B                                                                              | CUSIP: 05682VAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $238718.53    | 0.01%             | 2031-07-19      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| Deer Creek CLO Ltd.                                                       | Deer Creek CLO Ltd., Series 2017-1A, Class A                                                                                  | CUSIP: 24380LAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1500000 | PA      | $1483650.15   | 0.04%             | 2030-10-20      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| KLA Corp.                                                                 | KLA Corp.                                                                                                                     | CUSIP: 482480AG5<br>LEI: 549300H0BF5JCG96TJ81 | Long             | DBT              | CORP              | US        |     749000 | PA      | $722671.30    | 0.02%             | 2029-03-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Global Payments, Inc.                                                     | Global Payments, Inc.                                                                                                         | CUSIP: 37940XAP7<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    3006000 | PA      | $2915827.94   | 0.09%             | 2027-08-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3133A7KE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     782037 | PA      | $670399.53    | 0.02%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138YTRT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37584 | PA      | $35860.73     | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                           | CHL Mortgage Pass-Through Trust, Series 2004-29, Class 1A1                                                                    | CUSIP: 12669GHY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     161805 | PA      | $143132.52    | 0.00%             | 2035-02-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| FirstEnergy Corp.                                                         | FirstEnergy Corp., Series C                                                                                                   | CUSIP: 337932AM9<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |     411000 | PA      | $271177.80    | 0.01%             | 2050-03-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| BlueMountain CLO XXII Ltd.                                                | BlueMountain CLO XXII Ltd., Series 2018-22A, Class B                                                                          | CUSIP: 09629PAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     870000 | PA      | $840384.50    | 0.02%             | 2031-07-15      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36180UFX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     139758 | PA      | $131434.67    | 0.00%             | 2043-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    6020000 | PA      | $10014.21     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132GVGT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     350442 | PA      | $328624.17    | 0.01%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140J7MK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     671910 | PA      | $611150.45    | 0.02%             | 2032-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| RRE 9 Loan Management DAC                                                 | RRE 9 Loan Management DAC, Series 9A, Class A2                                                                                | CUSIP: N/A<br>LEI: 635400OCZYFV6RF6GS55       | Long             | ABS-CBDO         | CORP              | IE        |     650000 | PA      | $648073.73    | 0.02%             | 2036-10-15      | Floating      | 1.70%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140FEB29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1136701 | PA      | $1084666.85   | 0.03%             | 2031-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Metropolitan Transportation Authority                                     | Metropolitan Transportation Authority, Series 2010                                                                            | CUSIP: 59259YGF0<br>LEI: 5493000TKYODLXADQD60 | Long             | DBT              | MUN               | US        |     730000 | PA      | $789148.64    | 0.02%             | 2040-11-15      | Fixed         | 6.81%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 01F030611<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -1893000 | PA      | $-1660860.01  | -0.05%            | 2053-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138WFZG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     207267 | PA      | $194341.98    | 0.01%             | 2030-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QLN44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9575547 | PA      | $7808721.89   | 0.23%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                                           | CSAIL Commercial Mortgage Trust, Series 2019-C17, Class XB                                                                    | CUSIP: 12597BAX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4040000 | PA      | $121142.55    | 0.00%             | 2052-09-15      | Variable      | 0.56%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO 6 Ltd.                                              | Anchorage Capital CLO 6 Ltd., Series 2015-6A, Class ARR                                                                       | CUSIP: 03328QAY7<br>LEI: 54930064GO7DB3TVDY21 | Long             | ABS-CBDO         | CORP              | KY        |    1219926 | PA      | $1203157.65   | 0.04%             | 2030-07-15      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140J55S4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     189229 | PA      | $185891.32    | 0.01%             | 2045-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138LQ2K9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      90378 | PA      | $84602.74     | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LCM XXI LP                                                                | LCM XXI LP, Series 21A, Class AR                                                                                              | CUSIP: 50189CAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     193421 | PA      | $191406.29    | 0.01%             | 2028-04-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| BAMLL Commercial Mortgage Securities Trust                                | BAMLL Commercial Mortgage Securities Trust, Series 2018-DSNY, Class C                                                         | CUSIP: 054967AJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $957161.10    | 0.03%             | 2034-09-15      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140XDQE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1176023 | PA      | $969015.34    | 0.03%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140GUMN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     430157 | PA      | $421435.25    | 0.01%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Variable Rate Notes, Series K120, Class X1  | CUSIP: 3137F72R5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   41145563 | PA      | $2466240.36   | 0.07%             | 2030-10-25      | Variable      | 1.04%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132M4QV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      39799 | PA      | $37267.12     | 0.00%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140X83C9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     879756 | PA      | $823539.66    | 0.02%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Duke Energy Carolinas LLC                                                 | Duke Energy Carolinas LLC                                                                                                     | CUSIP: 26442CAR5<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |     942000 | PA      | $740746.41    | 0.02%             | 2046-03-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 312943Q63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      47980 | PA      | $46285.25     | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140XFKC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1805729 | PA      | $1485345.48   | 0.04%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QGJ99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3786728 | PA      | $3474634.39   | 0.10%             | 2035-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ecolab, Inc.                                                              | Ecolab, Inc.                                                                                                                  | CUSIP: 278865BJ8<br>LEI: 82DYEISM090VG8LTLS26 | Long             | DBT              | CORP              | US        |    1186000 | PA      | $707733.21    | 0.02%             | 2055-08-18      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140Q9YZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     342272 | PA      | $335311.58    | 0.01%             | 2033-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                           | Goldman Sachs Group, Inc. (The)                                                                                               | CUSIP: 38141GXD1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     871000 | PA      | $864868.32    | 0.03%             | 2026-05-15      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| Burlington Northern Santa Fe LLC                                          | Burlington Northern Santa Fe LLC                                                                                              | CUSIP: 12189LAN1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     647000 | PA      | $579053.81    | 0.02%             | 2043-03-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179V7D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1433067 | PA      | $1201208.95   | 0.04%             | 2051-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140FNBD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     137170 | PA      | $134335.86    | 0.00%             | 2047-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners 18-R Ltd.                                     | Octagon Investment Partners 18-R Ltd., Series 2018-18A, Class A1A                                                             | CUSIP: 67576FAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1780000 | PA      | $1755492.60   | 0.05%             | 2031-04-16      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Piedmont Natural Gas Co., Inc.                                            | Piedmont Natural Gas Co., Inc.                                                                                                | CUSIP: 720186AN5<br>LEI: VXB4M3BDPKF3I2AZ3G89 | Long             | DBT              | CORP              | US        |      29000 | PA      | $23652.49     | 0.00%             | 2031-03-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| American Airlines Pass-Through Trust                                      | American Airlines Pass-Through Trust, Series 2015-2, Class B                                                                  | CUSIP: 02377BAC0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1488595 | PA      | $1463052.71   | 0.04%             | 2023-09-22      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Amazon.com, Inc.                                                          | Amazon.com, Inc.                                                                                                              | CUSIP: 023135BM7<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |     602000 | PA      | $517068.21    | 0.02%             | 2057-08-22      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Meta Platforms, Inc.                                                      | Meta Platforms, Inc.                                                                                                          | CUSIP: 30303M8J4<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    3861000 | PA      | $3068146.47   | 0.09%             | 2052-08-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| OBX Trust                                                                 | OBX Trust, Series 2022-NQM7, Class A1                                                                                         | CUSIP: 67117DAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1568172 | PA      | $1538363.78   | 0.05%             | 2062-08-25      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138ELS87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     138051 | PA      | $144124.14    | 0.00%             | 2041-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd.                                                    | Palmer Square CLO Ltd., Series 2015-1A, Class A2R4                                                                            | CUSIP: 69689ABL3<br>LEI: 5493006ZPBFJJGSXB826 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $238139.95    | 0.01%             | 2034-05-21      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179NJA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      31997 | PA      | $30146.61     | 0.00%             | 2043-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31418D7E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5714828 | PA      | $4659247.08   | 0.14%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QFBX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1217029 | PA      | $1118965.77   | 0.03%             | 2035-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 21H050615<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5345000 | PA      | $5295447.68   | 0.16%             | 2053-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd.                                                   | Rockford Tower CLO Ltd., Series 2019-2A, Class BR                                                                             | CUSIP: 77341GAL4<br>LEI: 549300IG5M07NI4QKK80 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $240544.03    | 0.01%             | 2032-08-20      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Commercial Mortgage Securities Trust                       | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2022-OPO, Class D                                                 | CUSIP: 46655AAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     684000 | PA      | $491674.04    | 0.01%             | 2039-01-05      | Variable      | 3.45%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2021-ARIA, Class D                                                                                           | CUSIP: 05608RAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1604000 | PA      | $1483325.15   | 0.04%             | 2036-10-15      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding XXIII Ltd.                                           | Madison Park Funding XXIII Ltd., Series 2017-23A, Class CR                                                                    | CUSIP: 55820TAN8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $238370.93    | 0.01%             | 2031-07-27      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36181GFM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     546480 | PA      | $514084.90    | 0.02%             | 2043-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140XEA38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1547584 | PA      | $1273492.57   | 0.04%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36241LVF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     305333 | PA      | $312488.14    | 0.01%             | 2040-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fidelity Grand Harbour CLO DAC                                            | Fidelity Grand Harbour CLO DAC, Series 2021-1A, Class D                                                                       | CUSIP: N/A<br>LEI: 635400KPYNGCFZ6MDR25       | Long             | ABS-CBDO         | CORP              | IE        |     250000 | PA      | $228940.35    | 0.01%             | 2034-10-15      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                  | JP Morgan Mortgage Trust, Series 2021-INV7, Class A5A                                                                         | CUSIP: 46654CAP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2236750 | PA      | $1708753.61   | 0.05%             | 2052-02-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132KE6X8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     392685 | PA      | $368642.22    | 0.01%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 31335BEU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1042782 | PA      | $1026191.85   | 0.03%             | 2047-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AGL CLO 7 Ltd.                                                            | AGL CLO 7 Ltd., Series 2020-7A, Class AR                                                                                      | CUSIP: 008511AL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     540000 | PA      | $525105.67    | 0.02%             | 2034-07-15      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                                 | Commercial Mortgage Trust, Series 2013-GAM, Class E                                                                           | CUSIP: 12624UAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     210000 | PA      | $196468.52    | 0.01%             | 2028-02-10      | Variable      | 3.42%                 | No            |                  3 | On Loan: No      |
| United Mexican States                                                     | United Mexican States                                                                                                         | CUSIP: 91087BAG5<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    5805000 | PA      | $4416516.56   | 0.13%             | 2050-01-31      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138YJDE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     215079 | PA      | $194307.15    | 0.01%             | 2045-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36176Q4Q4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      62629 | PA      | $58899.33     | 0.00%             | 2042-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Regatta VIII Funding Ltd.                                                 | Regatta VIII Funding Ltd., Series 2017-1A, Class B                                                                            | CUSIP: 75888KAC8<br>LEI: 2549002R0TTC87W9EH67 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $242590.53    | 0.01%             | 2030-10-17      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| NVIDIA Corp.                                                              | NVIDIA Corp.                                                                                                                  | CUSIP: 67066GAH7<br>LEI: 549300S4KLFTLO7GSQ80 | Long             | DBT              | CORP              | US        |     695000 | PA      | $524556.55    | 0.02%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                     | Bank of America Corp.                                                                                                         | CUSIP: 06051GJS9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    1168000 | PA      | $1023303.94   | 0.03%             | 2027-07-22      | Variable      | 1.73%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36177MZY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      71737 | PA      | $67465.48     | 0.00%             | 2042-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138X55B9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     265346 | PA      | $260664.79    | 0.01%             | 2043-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Devon Energy Corp.                                                        | Devon Energy Corp.                                                                                                            | CUSIP: 25179MAN3<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |    1652000 | PA      | $1398396.03   | 0.04%             | 2042-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138M7PZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     234465 | PA      | $230149.23    | 0.01%             | 2027-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd.                                                              | OCP CLO Ltd., Series 2017-14A, Class B                                                                                        | CUSIP: 67097QAG0<br>LEI: 25490025Q5WQX513IQ05 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $237471.90    | 0.01%             | 2030-11-20      | Floating      | 6.63%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140GW4M2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27931 | PA      | $27399.94     | 0.00%             | 2047-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDS                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     509000 | PA      | $-4240.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132GEB41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     190608 | PA      | $189167.98    | 0.01%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO XXII Ltd.                                            | Neuberger Berman CLO XXII Ltd., Series 2016-22A, Class BR                                                                     | CUSIP: 64131BAH6<br>LEI: 549300FFV1EYI8ON7P41 | Long             | ABS-CBDO         | CORP              | KY        |     400000 | PA      | $388125.16    | 0.01%             | 2030-10-17      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140E0V36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50866 | PA      | $48657.62     | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Crown Castle, Inc.                                                        | Crown Castle, Inc.                                                                                                            | CUSIP: 22822VAY7<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |    1176000 | PA      | $947687.02    | 0.03%             | 2031-07-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31418CR89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     653693 | PA      | $604600.61    | 0.02%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31418DUF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2558180 | PA      | $1976462.76   | 0.06%             | 2050-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| CFCRE Commercial Mortgage Trust                                           | CFCRE Commercial Mortgage Trust, Series 2016-C3, Class A3                                                                     | CUSIP: 12531WBB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     110000 | PA      | $104677.54    | 0.00%             | 2048-01-10      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| Taubman Centers Commercial Mortgage Trust                                 | Taubman Centers Commercial Mortgage Trust, Series 2022-DPM, Class A                                                           | CUSIP: 87666YAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1330000 | PA      | $1291416.43   | 0.04%             | 2037-05-15      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3128M7CL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     288007 | PA      | $285390.50    | 0.01%             | 2039-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31418CZN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      97941 | PA      | $98045.61     | 0.00%             | 2048-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CAMB Commercial Mortgage Trust                                            | CAMB Commercial Mortgage Trust, Series 2019-LIFE, Class D                                                                     | CUSIP: 12482HAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     814500 | PA      | $785855.01    | 0.02%             | 2037-12-15      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2022-GPA, Class D                                                                                            | CUSIP: 05608UAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     360000 | PA      | $355517.28    | 0.01%             | 2039-10-15      | Floating      | 8.40%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140H3H82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      82784 | PA      | $80022.41     | 0.00%             | 2032-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 01F022410<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -393000 | PA      | $-359547.02   | -0.01%            | 2038-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| AGL Static CLO 18 Ltd.                                                    | AGL Static CLO 18 Ltd., Series 2022-18A, Class B                                                                              | CUSIP: 00850BAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |     260000 | PA      | $247150.12    | 0.01%             | 2031-04-21      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| American Airlines Pass-Through Trust                                      | American Airlines Pass-Through Trust, Series 2015-2, Class AA                                                                 | CUSIP: 02377BAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     291371 | PA      | $261351.69    | 0.01%             | 2027-09-22      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Lam Research Corp.                                                        | Lam Research Corp.                                                                                                            | CUSIP: 512807AT5<br>LEI: 549300I4GMO6D34U1T02 | Long             | DBT              | CORP              | US        |     689000 | PA      | $652305.84    | 0.02%             | 2049-03-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Leidos, Inc.                                                              | Leidos, Inc.                                                                                                                  | CUSIP: 52532XAF2<br>LEI: 5493006I78VIN6J1BQ95 | Long             | DBT              | CORP              | US        |    1969000 | PA      | $1775563.61   | 0.05%             | 2030-05-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    1979000 | PA      | $2023.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AGL CLO 7 Ltd.                                                            | AGL CLO 7 Ltd., Series 2020-7A, Class DR                                                                                      | CUSIP: 008511AS6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $232114.05    | 0.01%             | 2034-07-15      | Floating      | 7.18%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QAAJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      66877 | PA      | $63860.74     | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                                  | Benchmark Mortgage Trust, Series 2019-B9, Class XA                                                                            | CUSIP: 08160JAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3025684 | PA      | $143034.07    | 0.00%             | 2052-03-15      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategies CLO Ltd.                                 | Carlyle Global Market Strategies CLO Ltd., Series 2014-1A, Class A1R2                                                         | CUSIP: 14310MAW7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     797575 | PA      | $786398.42    | 0.02%             | 2031-04-17      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Public Service Electric & Gas Co.                                         | Public Service Electric & Gas Co.                                                                                             | CUSIP: 74456QBX3<br>LEI: 549300RUHPVD434XUK18 | Long             | DBT              | CORP              | US        |    2089000 | PA      | $1965959.88   | 0.06%             | 2028-09-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| DTE Electric Co.                                                          | DTE Electric Co., Series B                                                                                                    | CUSIP: 23338VAP1<br>LEI: 9N0FWODEJVKHC2DYLO03 | Long             | DBT              | CORP              | US        |     498000 | PA      | $356287.65    | 0.01%             | 2051-04-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                                       | Petroleos Mexicanos                                                                                                           | CUSIP: 71654QBE1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | NUSS              | MX        |     167000 | PA      | $96860.00     | 0.00%             | 2044-06-27      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Alexandria Real Estate Equities, Inc.                                     | Alexandria Real Estate Equities, Inc.                                                                                         | CUSIP: 015271AY5<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |    2372000 | PA      | $1922521.44   | 0.06%             | 2034-03-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 3622A2AE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2523402 | PA      | $2507491.98   | 0.07%             | 2042-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    6832000 | PA      | $6390.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QFNP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3038515 | PA      | $2632245.41   | 0.08%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Republic of Panama                                                        | Republic of Panama                                                                                                            | CUSIP: 698299BF0<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |    1275000 | PA      | $1203121.88   | 0.04%             | 2028-03-17      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| IMT Trust                                                                 | IMT Trust, Series 2017-APTS, Class AFX                                                                                        | CUSIP: 44974AAS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     440000 | PA      | $419460.40    | 0.01%             | 2034-06-15      | Fixed         | 3.48%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3133KYWH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2819463 | PA      | $2376596.91   | 0.07%             | 2042-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| QUALCOMM, Inc.                                                            | QUALCOMM, Inc.                                                                                                                | CUSIP: 747525BS1<br>LEI: H1J8DDZKZP6H7RWC0H53 | Long             | DBT              | CORP              | US        |    2108000 | PA      | $2194680.16   | 0.06%             | 2033-05-20      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3133KMVG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1768458 | PA      | $1563547.47   | 0.05%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GLP Capital LP                                                            | GLP Capital LP                                                                                                                | CUSIP: 361841AR0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3389000 | PA      | $2709115.09   | 0.08%             | 2032-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Prologis LP                                                               | Prologis LP                                                                                                                   | CUSIP: 74340XBS9<br>LEI: GL16H1DHB0QSHP25F723 | Long             | DBT              | CORP              | US        |     761000 | PA      | $588141.40    | 0.02%             | 2031-03-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31402TTQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     224328 | PA      | $215466.97    | 0.01%             | 2033-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                                | Verus Securitization Trust, Series 2020-5, Class M1                                                                           | CUSIP: 92538CAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1700000 | PA      | $1350800.28   | 0.04%             | 2065-05-25      | Variable      | 2.60%                 | No            |                  2 | On Loan: No      |
| Global Payments, Inc.                                                     | Global Payments, Inc.                                                                                                         | CUSIP: 37940XAE2<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    3689000 | PA      | $3215543.71   | 0.09%             | 2026-03-01      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| ICG US CLO Ltd.                                                           | ICG US CLO Ltd., Series 2015-1A, Class A1R                                                                                    | CUSIP: 44931AAJ8<br>LEI: 254900IL8TH4VLG5DO47 | Long             | ABS-CBDO         | CORP              | KY        |     584925 | PA      | $577028.86    | 0.02%             | 2028-10-19      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140HHWM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      75031 | PA      | $72123.32     | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Florida Power & Light Co.                                                 | Florida Power & Light Co.                                                                                                     | CUSIP: 341081FP7<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |     806000 | PA      | $646173.55    | 0.02%             | 2047-12-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                     | Bank of America Corp.                                                                                                         | CUSIP: 06051GHQ5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    2041000 | PA      | $1853696.86   | 0.05%             | 2030-02-07      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DMQ73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     192396 | PA      | $184797.70    | 0.01%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp.                                                          | CVS Health Corp.                                                                                                              | CUSIP: 126650CN8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    1693000 | PA      | $1543008.33   | 0.05%             | 2045-07-20      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                                           | CSAIL Commercial Mortgage Trust, Series 2018-CX12, Class A4                                                                   | CUSIP: 12595XAT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      90000 | PA      | $84732.86     | 0.00%             | 2051-08-15      | Variable      | 4.22%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd.                                                         | CIFC Funding Ltd., Series 2020-3A, Class A1R                                                                                  | CUSIP: 12560EAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1350000 | PA      | $1305291.24   | 0.04%             | 2034-10-20      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138WFAF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25463 | PA      | $23874.32     | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                      | JPMorgan Chase & Co.                                                                                                          | CUSIP: 46647PBE5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    1146000 | PA      | $961053.99    | 0.03%             | 2030-10-15      | Variable      | 2.74%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage Trust                                      | Deephaven Residential Mortgage Trust, Series 2020-2, Class A3                                                                 | CUSIP: 24380NAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2000000 | PA      | $1917006.80   | 0.06%             | 2065-05-25      | Fixed         | 2.86%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132G0B58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     120159 | PA      | $113958.76    | 0.00%             | 2027-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  593572000 | PA      | $183606.69    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QKWM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     191506 | PA      | $179482.80    | 0.01%             | 2036-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Regatta XVI Funding Ltd.                                                  | Regatta XVI Funding Ltd., Series 2019-2A, Class B                                                                             | CUSIP: 75888TAE5<br>LEI: 254900XPJFGKL5R4O429 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $240728.78    | 0.01%             | 2033-01-15      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31417AYD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     486481 | PA      | $467178.16    | 0.01%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140J5XZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45340 | PA      | $43180.81     | 0.00%             | 2031-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132M9GM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      60899 | PA      | $57105.24     | 0.00%             | 2044-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                                              | AbbVie, Inc.                                                                                                                  | CUSIP: 00287YCB3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     922000 | PA      | $765154.10    | 0.02%             | 2049-11-21      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO 5-R Ltd.                                            | Anchorage Capital CLO 5-R Ltd., Series 2014-5RA, Class C                                                                      | CUSIP: 03329AAG0<br>LEI: 549300687XYK5L55VX28 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $240368.23    | 0.01%             | 2030-01-15      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3128MEK91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     378451 | PA      | $361789.99    | 0.01%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Glencore Funding LLC                                                      | Glencore Funding LLC                                                                                                          | CUSIP: 378272AV0<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |     429000 | PA      | $411161.05    | 0.01%             | 2029-03-12      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Dryden XXVI Senior Loan Fund                                              | Dryden XXVI Senior Loan Fund, Series 2013-26A, Class AR                                                                       | CUSIP: 26250UAQ8<br>LEI: 549300ENU7ZZLTPT3E22 | Long             | ABS-CBDO         | CORP              | KY        |     297258 | PA      | $293877.43    | 0.01%             | 2029-04-15      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO X Ltd.                                                        | Elmwood CLO X Ltd., Series 2021-3A, Class C                                                                                   | CUSIP: 29002VAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $235304.85    | 0.01%             | 2034-10-20      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132AACD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     719555 | PA      | $689668.12    | 0.02%             | 2034-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDS                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     821796 | PA      | $4495.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Charles Schwab Corp. (The)                                                | Charles Schwab Corp. (The), Series H                                                                                          | CUSIP: 808513BJ3<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |    1998000 | PA      | $1593305.10   | 0.05%             | 2030-12-01      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                                | Verus Securitization Trust, Series 2020-4, Class A3                                                                           | CUSIP: 92538LAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     539894 | PA      | $489207.76    | 0.01%             | 2065-05-25      | Variable      | 2.32%                 | No            |                  2 | On Loan: No      |
| FS Rialto Issuer LLC                                                      | FS Rialto Issuer LLC, Series 2022-FL5, Class A                                                                                | CUSIP: 30327MAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1226000 | PA      | $1210910.27   | 0.04%             | 2037-06-19      | Floating      | 6.63%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140X83E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     668035 | PA      | $639326.64    | 0.02%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BlueMountain Fuji Eur CLO V DAC                                           | BlueMountain Fuji Eur CLO V DAC, Series 5X, Class C                                                                           | CUSIP: N/A<br>LEI: 635400IYPG2G6NM3OV52       | Long             | ABS-CBDO         | CORP              | IE        |     340000 | PA      | $338631.91    | 0.01%             | 2033-01-15      | Floating      | 2.45%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31418CV35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      59414 | PA      | $56801.68     | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Assurant CLO I Ltd.                                                       | Assurant CLO I Ltd., Series 2017-1A, Class CR                                                                                 | CUSIP: 33836JAG4<br>LEI: 635400A6LSLGJQHVOZ36 | Long             | ABS-CBDO         | CORP              | KY        |     330000 | PA      | $301742.89    | 0.01%             | 2034-10-20      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                                                | AT&T, Inc.                                                                                                                    | CUSIP: 00206RGQ9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    3615000 | PA      | $3403872.36   | 0.10%             | 2030-02-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                             | Comcast Corp.                                                                                                                 | CUSIP: 20030NCU3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     374000 | PA      | $357787.69    | 0.01%             | 2030-10-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fidelity National Information Services, Inc.                              | Fidelity National Information Services, Inc.                                                                                  | CUSIP: 31620MBM7<br>LEI: 6WQI0GK1PRFVBA061U48 | Long             | DBT              | CORP              | US        |    2131000 | PA      | $1896402.86   | 0.06%             | 2028-12-03      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179QWD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21296 | PA      | $19469.97     | 0.00%             | 2044-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140H6PA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1349043 | PA      | $1249952.50   | 0.04%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Virginia Electric & Power Co.                                             | Virginia Electric & Power Co.                                                                                                 | CUSIP: 927804FL3<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |     354000 | PA      | $286244.99    | 0.01%             | 2043-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                                             | UBS Commercial Mortgage Trust, Series 2019-C17, Class XA                                                                      | CUSIP: 90278MBB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6667240 | PA      | $468227.57    | 0.01%             | 2052-10-15      | Variable      | 1.47%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132KEXZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      90284 | PA      | $86908.63     | 0.00%             | 2030-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                     | Wells Fargo Commercial Mortgage Trust, Series 2018-C48, Class B                                                               | CUSIP: 95001RBB4<br>LEI: 549300REQJRID6TODX95 | Long             | ABS-MBS          | CORP              | US        |     766000 | PA      | $680109.34    | 0.02%             | 2052-01-15      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| Ares XLVIII CLO Ltd.                                                      | Ares XLVIII CLO Ltd., Series 2018-48A, Class B                                                                                | CUSIP: 04017FAE9<br>LEI: 5493005WFBSWHJ1WGQ35 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $241395.48    | 0.01%             | 2030-07-20      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        | -376258605 | PA      | $-4243754.54  | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 31335BAA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      66242 | PA      | $63686.36     | 0.00%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Duke Energy Corp.                                                         | Duke Energy Corp.                                                                                                             | CUSIP: 26441CBV6<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    1055000 | PA      | $1052713.85   | 0.03%             | 2025-12-08      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Metropolitan Transportation Authority                                     | Metropolitan Transportation Authority, Series 2010A                                                                           | CUSIP: 59259YBY4<br>LEI: 5493000TKYODLXADQD60 | Long             | DBT              | MUN               | US        |     270000 | PA      | $284851.07    | 0.01%             | 2039-11-15      | Fixed         | 6.67%                 | No            |                  2 | On Loan: No      |
| Alfa SAB de CV                                                            | Alfa SAB de CV                                                                                                                | CUSIP: N/A<br>LEI: 549300ZCGJ6T8YDJ4M34       | Long             | DBT              | CORP              | MX        |     212000 | PA      | $210118.50    | 0.01%             | 2024-03-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DMRT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5691246 | PA      | $5178803.89   | 0.15%             | 2044-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                     | Wells Fargo Commercial Mortgage Trust, Series 2016-BNK1, Class XD                                                             | CUSIP: 95000GAA2<br>LEI: 549300DNBJ7A0SEFVK31 | Long             | ABS-MBS          | CORP              | US        |    1180000 | PA      | $43255.51     | 0.00%             | 2049-08-15      | Variable      | 1.25%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QGRN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     785841 | PA      | $674950.37    | 0.02%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3133KJUF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2990443 | PA      | $2663081.77   | 0.08%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $1884.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Entergy Mississippi LLC                                                   | Entergy Mississippi LLC                                                                                                       | CUSIP: 29366WAA4<br>LEI: 54930043I78H35DVVW89 | Long             | DBT              | CORP              | US        |     499000 | PA      | $380853.68    | 0.01%             | 2049-06-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132KFAD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     519891 | PA      | $488030.40    | 0.01%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Broadcom, Inc.                                                            | Broadcom, Inc.                                                                                                                | CUSIP: 11135FBL4<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    2290000 | PA      | $1826807.45   | 0.05%             | 2034-04-15      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2022-GPA, Class XCP                                                                                          | CUSIP: 05608UAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   19914000 | PA      | $125981.94    | 0.00%             | 2039-10-15      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DM2Q7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     599036 | PA      | $492069.98    | 0.01%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Moody's Corp.                                                             | Moody's Corp.                                                                                                                 | CUSIP: 615369AP0<br>LEI: 549300GCEDD8YCF5WU84 | Long             | DBT              | CORP              | US        |    1156000 | PA      | $1105860.87   | 0.03%             | 2029-02-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138EGVA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      83363 | PA      | $84416.08     | 0.00%             | 2041-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Carlyle US CLO Ltd.                                                       | Carlyle US CLO Ltd., Series 2021-6A, Class A1                                                                                 | CUSIP: 143133AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     800000 | PA      | $781541.76    | 0.02%             | 2034-07-15      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| 522 Funding CLO Ltd.                                                      | 522 Funding CLO Ltd., Series 2019-4A, Class DR                                                                                | CUSIP: 33834WAG7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     470000 | PA      | $426421.32    | 0.01%             | 2030-04-20      | Floating      | 7.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-23226.28    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36202FKM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17133 | PA      | $16553.38     | 0.00%             | 2040-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Union Pacific Corp.                                                       | Union Pacific Corp.                                                                                                           | CUSIP: 907818FN3<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |    1892000 | PA      | $1215304.76   | 0.04%             | 2062-09-16      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                                      | Charter Communications Operating LLC                                                                                          | CUSIP: 161175BL7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3700000 | PA      | $2902437.44   | 0.09%             | 2047-05-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| SG Residential Mortgage Trust                                             | SG Residential Mortgage Trust, Series 2022-2, Class A1                                                                        | CUSIP: 78434KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     497098 | PA      | $488365.26    | 0.01%             | 2062-08-25      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36196FZH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     232584 | PA      | $216648.97    | 0.01%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners 51 Ltd.                                       | Octagon Investment Partners 51 Ltd., Series 2021-1A, Class A                                                                  | CUSIP: 67578JAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1910000 | PA      | $1842896.54   | 0.05%             | 2034-07-20      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140Q8D36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1020720 | PA      | $1001865.74   | 0.03%             | 2048-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132M4QU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     124893 | PA      | $117115.73    | 0.00%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179VKP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     185002 | PA      | $181399.66    | 0.01%             | 2050-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138XBKL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20585 | PA      | $19723.02     | 0.00%             | 2028-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                           | Citigroup, Inc.                                                                                                               | CUSIP: 17308CC53<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    5441000 | PA      | $4574932.09   | 0.13%             | 2030-11-05      | Variable      | 2.98%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 3617BFTR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     223579 | PA      | $219540.58    | 0.01%             | 2048-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2019-OC11, Class A                                                                                           | CUSIP: 05606FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      71000 | PA      | $59396.82     | 0.00%             | 2041-12-09      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| CNH Industrial Capital LLC                                                | CNH Industrial Capital LLC                                                                                                    | CUSIP: 12592BAJ3<br>LEI: 549300PNSJ5B81UMVO28 | Long             | DBT              | CORP              | US        |    2985000 | PA      | $2942142.98   | 0.09%             | 2024-01-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| DXC Technology Co.                                                        | DXC Technology Co.                                                                                                            | CUSIP: 23355LAM8<br>LEI: 549300DOVZ3EDJB7O259 | Long             | DBT              | CORP              | US        |     541000 | PA      | $455340.30    | 0.01%             | 2028-09-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Florida Power & Light Co.                                                 | Florida Power & Light Co.                                                                                                     | CUSIP: 341081FX0<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |    2531000 | PA      | $1823024.88   | 0.05%             | 2049-10-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| CVC Cordatus Loan Fund IV DAC                                             | CVC Cordatus Loan Fund IV DAC, Series 4X, Class BR1                                                                           | CUSIP: N/A<br>LEI: 2138005AFEIY5AMT4165       | Long             | ABS-CBDO         | CORP              | IE        |     260000 | PA      | $257737.93    | 0.01%             | 2034-02-22      | Floating      | 3.12%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140X9MV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39351 | PA      | $37319.27     | 0.00%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Commercial Mortgage Securities Trust                       | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class XB                                               | CUSIP: 46639YAT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4040000 | PA      | $6393.30      | 0.00%             | 2046-04-15      | Variable      | 0.58%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QEJX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5293936 | PA      | $4552256.19   | 0.13%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Enterprise Products Operating LLC                                         | Enterprise Products Operating LLC                                                                                             | CUSIP: 29379VBV4<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |     693000 | PA      | $610150.20    | 0.02%             | 2029-07-31      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Apple, Inc.                                                               | Apple, Inc.                                                                                                                   | CUSIP: 037833ER7<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |     891000 | PA      | $740610.27    | 0.02%             | 2062-08-08      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |  124489400 | PA      | $740362.43    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 31307NN26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      67719 | PA      | $63573.86     | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                          | SMB Private Education Loan Trust, Series 2021-C, Class B                                                                      | CUSIP: 83208AAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     190000 | PA      | $162577.30    | 0.00%             | 2053-01-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                                  | Benchmark Mortgage Trust, Series 2020-B16, Class A5                                                                           | CUSIP: 08161NAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     224000 | PA      | $192492.27    | 0.01%             | 2053-02-15      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132KFAC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     269227 | PA      | $252721.75    | 0.01%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                       | Citigroup Commercial Mortgage Trust, Series 2019-PRM, Class D                                                                 | CUSIP: 29429JAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1800000 | PA      | $1780799.94   | 0.05%             | 2036-05-10      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable LLC                                                     | Time Warner Cable LLC                                                                                                         | CUSIP: 88732JAY4<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |     994000 | PA      | $865999.47    | 0.03%             | 2040-11-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Bardot CLO Ltd.                                                           | Bardot CLO Ltd., Series 2019-2A, Class DR                                                                                     | CUSIP: 06744NBN6<br>LEI: 549300KP12IHV6MTDK86 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $232295.05    | 0.01%             | 2032-10-22      | Floating      | 7.32%                 | No            |                  2 | On Loan: No      |
| Bristol-Myers Squibb Co.                                                  | Bristol-Myers Squibb Co.                                                                                                      | CUSIP: 110122CR7<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    2570000 | PA      | $2208503.41   | 0.07%             | 2049-10-26      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding XIII Ltd.                                            | Madison Park Funding XIII Ltd., Series 2014-13A, Class BR2                                                                    | CUSIP: 55818MBC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     960000 | PA      | $940315.49    | 0.03%             | 2030-04-19      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                            | Morgan Stanley                                                                                                                | CUSIP: 6174468L6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    6286000 | PA      | $5194415.23   | 0.15%             | 2031-01-22      | Variable      | 2.70%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                                 | HCA, Inc.                                                                                                                     | CUSIP: 404119CC1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    2568000 | PA      | $1999003.77   | 0.06%             | 2031-07-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Republic of Colombia                                                      | Republic of Colombia                                                                                                          | CUSIP: 195325DT9<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |     284000 | PA      | $170275.75    | 0.01%             | 2051-05-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138WJC71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     245887 | PA      | $229903.96    | 0.01%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BB-UBS Trust                                                              | BB-UBS Trust, Series 2012-SHOW, Class XA                                                                                      | CUSIP: 05538UAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   65905000 | PA      | $660783.30    | 0.02%             | 2036-11-05      | Variable      | 0.60%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132QUZV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      96584 | PA      | $94158.15     | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-12064.46    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CSX Corp.                                                                 | CSX Corp.                                                                                                                     | CUSIP: 126408HK2<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |    1254000 | PA      | $1064437.26   | 0.03%             | 2048-03-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| FS Rialto Issuer LLC                                                      | FS Rialto Issuer LLC, Series 2022-FL7, Class A                                                                                | CUSIP: 30329XAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     954500 | PA      | $947824.51    | 0.03%             | 2039-10-19      | Floating      | 6.81%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bonds                                                                                                           | CUSIP: 912810ST6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   13666000 | PA      | $8884501.52   | 0.26%             | 2040-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Microsoft Corp.                                                           | Microsoft Corp.                                                                                                               | CUSIP: 594918CC6<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |    1734000 | PA      | $1141056.91   | 0.03%             | 2050-06-01      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132Y1WP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     920241 | PA      | $908699.69    | 0.03%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                                            | Bayview Commercial Asset Trust, Series 2005-4A, Class A1                                                                      | CUSIP: 07324SCR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1521287 | PA      | $1384677.03   | 0.04%             | 2036-01-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140XFUZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     456837 | PA      | $376220.47    | 0.01%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QNNT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2885041 | PA      | $2368351.48   | 0.07%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| COLT Mortgage Loan Trust                                                  | COLT Mortgage Loan Trust, Series 2020-2, Class M1                                                                             | CUSIP: 19688JAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1283000 | PA      | $1115003.85   | 0.03%             | 2065-03-25      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 31298EYB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        109 | PA      | $111.97       | 0.00%             | 2029-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                       | Citigroup Commercial Mortgage Trust, Series 2013-375P, Class C                                                                | CUSIP: 17320QAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     245000 | PA      | $225620.60    | 0.01%             | 2035-05-10      | Variable      | 3.52%                 | No            |                  2 | On Loan: No      |
| Commonwealth Edison Co.                                                   | Commonwealth Edison Co.                                                                                                       | CUSIP: 202795JJ0<br>LEI: D8YOXB8L2ZDC8P7Q0771 | Long             | DBT              | CORP              | US        |     929000 | PA      | $705601.93    | 0.02%             | 2046-06-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3133A7UC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     204837 | PA      | $184197.38    | 0.01%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                     | Bank of America Corp.                                                                                                         | CUSIP: 06051GKD0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    7390000 | PA      | $5787865.37   | 0.17%             | 2032-10-20      | Variable      | 2.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | U.S. Treasury 30 Year Bond                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         -6 | NC      | $-13406.25    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179WDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8498822 | PA      | $7402003.64   | 0.22%             | 2051-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Diamondback Energy, Inc.                                                  | Diamondback Energy, Inc.                                                                                                      | CUSIP: 25278XAN9<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |   11483000 | PA      | $10074281.75  | 0.30%             | 2029-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                                      | BBCMS Mortgage Trust, Series 2018-TALL, Class A                                                                               | CUSIP: 05548WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     232000 | PA      | $214302.78    | 0.01%             | 2037-03-15      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Cassia SRL                                                                | Cassia SRL, Series 2022-1A, Class A                                                                                           | CUSIP: N/A<br>LEI: 815600A9D6ADF4638276       | Long             | ABS-MBS          | CORP              | IT        |    1468159 | PA      | $1465828.96   | 0.04%             | 2034-05-22      | Floating      | 2.89%                 | No            |                  2 | On Loan: No      |
| Birch Grove CLO 2 Ltd.                                                    | Birch Grove CLO 2 Ltd., Series 2021-2A, Class A1                                                                              | CUSIP: 09077LAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $243174.25    | 0.01%             | 2034-10-19      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| BBCMS Trust                                                               | BBCMS Trust, Series 2015-SRCH, Class A1                                                                                       | CUSIP: 05547HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     789301 | PA      | $740368.87    | 0.02%             | 2035-08-10      | Fixed         | 3.31%                 | No            |                  2 | On Loan: No      |
| Newmont Corp.                                                             | Newmont Corp.                                                                                                                 | CUSIP: 651639AX4<br>LEI: 549300VSP3RIX7FGDZ51 | Long             | DBT              | CORP              | US        |     781000 | PA      | $663955.41    | 0.02%             | 2029-10-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Residential Mortgage Loan Trust                                           | Residential Mortgage Loan Trust, Series 2020-2, Class M1                                                                      | CUSIP: 76123MAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1680000 | PA      | $1398236.11   | 0.04%             | 2060-05-25      | Variable      | 3.57%                 | No            |                  2 | On Loan: No      |
| AGL Core CLO 2 Ltd.                                                       | AGL Core CLO 2 Ltd., Series 2019-2A, Class A1                                                                                 | CUSIP: 001200AA2<br>LEI: 549300EIBQDZ5WXOZ105 | Long             | ABS-CBDO         | CORP              | KY        |    1320000 | PA      | $1299718.20   | 0.04%             | 2032-04-20      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| TRESTLES CLO V Ltd.                                                       | TRESTLES CLO V Ltd., Series 2021-5A, Class A1                                                                                 | CUSIP: 89532UAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1380000 | PA      | $1336343.29   | 0.04%             | 2034-10-20      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Centene Corp.                                                             | Centene Corp.                                                                                                                 | CUSIP: 15135BAW1<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    3317000 | PA      | $2719108.20   | 0.08%             | 2030-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                        | United Airlines Pass-Through Trust, Series 2016-2, Class B                                                                    | CUSIP: 90933JAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      71470 | PA      | $62993.87     | 0.00%             | 2025-10-07      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Global Payments, Inc.                                                     | Global Payments, Inc.                                                                                                         | CUSIP: 37940XAD4<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    1290000 | PA      | $1056983.91   | 0.03%             | 2030-05-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| QUALCOMM, Inc.                                                            | QUALCOMM, Inc.                                                                                                                | CUSIP: 747525BR3<br>LEI: H1J8DDZKZP6H7RWC0H53 | Long             | DBT              | CORP              | US        |    1133000 | PA      | $992241.89    | 0.03%             | 2052-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Verizon Communications, Inc.                                              | Verizon Communications, Inc.                                                                                                  | CUSIP: 92343VGJ7<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    1508000 | PA      | $1240116.71   | 0.04%             | 2031-03-21      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3133A7UM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      25676 | PA      | $23187.84     | 0.00%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Diamondback Energy, Inc.                                                  | Diamondback Energy, Inc.                                                                                                      | CUSIP: 25278XAM1<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |    4846000 | PA      | $4507250.74   | 0.13%             | 2026-12-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                          | Deutsche Bank AG                                                                                                              | CUSIP: 251526CG2<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |     364000 | PA      | $338065.23    | 0.01%             | 2025-04-01      | Variable      | 1.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDSCMBX                                                                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    1559871 | PA      | $-17405.53    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                             | Comcast Corp.                                                                                                                 | CUSIP: 20030NAC5<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     893000 | PA      | $1028466.06   | 0.03%             | 2033-03-15      | Fixed         | 7.05%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QA4A5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4981152 | PA      | $4959110.73   | 0.15%             | 2049-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                            | Morgan Stanley Capital I Trust, Series 2017-H1, Class C                                                                       | CUSIP: 61691JBA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      45000 | PA      | $39600.00     | 0.00%             | 2050-06-15      | Variable      | 4.28%                 | No            |                  3 | On Loan: No      |
| T-Mobile USA, Inc.                                                        | T-Mobile USA, Inc.                                                                                                            | CUSIP: 87264ABT1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    3113000 | PA      | $2572359.69   | 0.08%             | 2031-02-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                         | HSBC Holdings plc                                                                                                             | CUSIP: 404280BT5<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     924000 | PA      | $850658.86    | 0.03%             | 2029-06-19      | Variable      | 4.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  878017672 | PA      | $321988.07    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36197MQM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      56488 | PA      | $55891.86     | 0.00%             | 2047-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Aetna, Inc.                                                               | Aetna, Inc.                                                                                                                   | CUSIP: 00817YAP3<br>LEI: 549300QKBENKLBXQ8968 | Long             | DBT              | CORP              | US        |     394000 | PA      | $346949.52    | 0.01%             | 2044-03-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DWCH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     650435 | PA      | $530196.36    | 0.02%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31416WSC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     250795 | PA      | $248620.82    | 0.01%             | 2039-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140XAY55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2759196 | PA      | $2620766.80   | 0.08%             | 2051-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Penske Truck Leasing Co. LP                                               | Penske Truck Leasing Co. LP                                                                                                   | CUSIP: 709599BL7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     376000 | PA      | $330836.96    | 0.01%             | 2025-11-15      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| NXP BV                                                                    | NXP BV                                                                                                                        | CUSIP: 62954HAV0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4734000 | PA      | $4386346.88   | 0.13%             | 2029-06-18      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDSCMBX                                                                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | DE        |     197000 | PA      | $-18299.97    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| General Motors Financial Co., Inc.                                        | General Motors Financial Co., Inc.                                                                                            | CUSIP: 37045XDE3<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |     458000 | PA      | $345338.71    | 0.01%             | 2031-01-08      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140HLPX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20939 | PA      | $20512.06     | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LCM XX LP                                                                 | LCM XX LP, Series 20A, Class BR                                                                                               | CUSIP: 50188WAF5<br>LEI: 549300VQTTD2PAP2Y421 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $246721.85    | 0.01%             | 2027-10-20      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138ERM49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     175896 | PA      | $168260.21    | 0.00%             | 2031-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                                                | AT&T, Inc.                                                                                                                    | CUSIP: 00206RFU1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     279000 | PA      | $252677.86    | 0.01%             | 2050-02-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138YD3M9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39816 | PA      | $36179.25     | 0.00%             | 2045-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | NDIRS                                                                                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        | 6530622000 | PA      | $382867.17    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3128MJMD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     136410 | PA      | $141610.00    | 0.00%             | 2039-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DMX75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3666613 | PA      | $3174056.87   | 0.09%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Workday, Inc.                                                             | Workday, Inc.                                                                                                                 | CUSIP: 98138HAJ0<br>LEI: 549300J0DYC0N31V7G13 | Long             | DBT              | CORP              | US        |     615000 | PA      | $542883.20    | 0.02%             | 2032-04-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    2606000 | PA      | $-79261.81    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138WFBM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     806258 | PA      | $725881.31    | 0.02%             | 2045-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2021-LBA, Class AJV                                                                                          | CUSIP: 05609BCD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1126000 | PA      | $1070248.70   | 0.03%             | 2036-02-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QETF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     604409 | PA      | $567252.72    | 0.02%             | 2035-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                     | Bank of America Corp.                                                                                                         | CUSIP: 06051GKK4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   14262000 | PA      | $11489733.61  | 0.34%             | 2033-02-04      | Variable      | 2.97%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                     | Bank of America Corp.                                                                                                         | CUSIP: 06051GKQ1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    7611000 | PA      | $6961802.71   | 0.21%             | 2033-04-27      | Variable      | 4.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        | 1009796057 | PA      | $373711.89    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140XFGV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2340726 | PA      | $1918100.39   | 0.06%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                           | CUSIP: 9128282N9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   13062000 | PA      | $12563501.05  | 0.37%             | 2024-07-31      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| GoldenTree Loan Management US CLO 3 Ltd.                                  | GoldenTree Loan Management US CLO 3 Ltd., Series 2018-3A, Class B1                                                            | CUSIP: 38138BAG5<br>LEI: 549300TB55YBQBSW5Z77 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $243139.20    | 0.01%             | 2030-04-20      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                         | Wells Fargo & Co.                                                                                                             | CUSIP: 95000U2J1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    2137000 | PA      | $1769577.62   | 0.05%             | 2031-02-11      | Variable      | 2.57%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31417F2C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25085 | PA      | $23823.19     | 0.00%             | 2028-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Union Pacific Railroad Co. Pass-Through Trust                             | Union Pacific Railroad Co. Pass-Through Trust, Series 2014-1                                                                  | CUSIP: 907825AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1218393 | PA      | $1156248.08   | 0.03%             | 2026-05-14      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| Exelon Corp.                                                              | Exelon Corp.                                                                                                                  | CUSIP: 30161NAY7<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |    2163000 | PA      | $1884119.13   | 0.06%             | 2050-04-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Targa Resources Partners LP                                               | Targa Resources Partners LP                                                                                                   | CUSIP: 87612BBL5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1926000 | PA      | $1938210.76   | 0.06%             | 2027-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Public Service Electric & Gas Co.                                         | Public Service Electric & Gas Co.                                                                                             | CUSIP: 74456QCC8<br>LEI: 549300RUHPVD434XUK18 | Long             | DBT              | CORP              | US        |     590000 | PA      | $412562.87    | 0.01%             | 2050-01-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd.                                                         | CIFC Funding Ltd., Series 2020-1A, Class A1R                                                                                  | CUSIP: 12555QAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     300000 | PA      | $291810.54    | 0.01%             | 2036-07-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36180E4C6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     153523 | PA      | $144377.35    | 0.00%             | 2043-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140JAUJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     992351 | PA      | $993406.30    | 0.03%             | 2049-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AIMCO CLO                                                                 | AIMCO CLO, Series 2018-BA, Class AR                                                                                           | CUSIP: 00900PAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1290000 | PA      | $1266942.54   | 0.04%             | 2032-01-15      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QM4E1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2894953 | PA      | $2482001.50   | 0.07%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Loan Trust                                      | Navient Private Education Loan Trust, Series 2020-A, Class A2B                                                                | CUSIP: 63941FAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     374262 | PA      | $367322.32    | 0.01%             | 2068-11-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO II Ltd.                                                       | Elmwood CLO II Ltd., Series 2019-2A, Class AR                                                                                 | CUSIP: 29001LAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $974697.50    | 0.03%             | 2034-04-20      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| AEP Transmission Co. LLC                                                  | AEP Transmission Co. LLC, Series M                                                                                            | CUSIP: 00115AAM1<br>LEI: 549300X123Z1I0LA3Y84 | Long             | DBT              | CORP              | US        |    1092000 | PA      | $832867.80    | 0.02%             | 2050-04-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Northrop Grumman Corp.                                                    | Northrop Grumman Corp.                                                                                                        | CUSIP: 666807BP6<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |     611000 | PA      | $506324.93    | 0.01%             | 2047-10-15      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| FS Rialto Issuer LLC                                                      | FS Rialto Issuer LLC, Series 2022-FL4, Class A                                                                                | CUSIP: 30326MAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3787000 | PA      | $3689055.68   | 0.11%             | 2039-01-19      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                                            | Bayview Commercial Asset Trust, Series 2006-4A, Class A1                                                                      | CUSIP: 07325BAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     322033 | PA      | $297831.23    | 0.01%             | 2036-12-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138A5V66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      70982 | PA      | $71874.98     | 0.00%             | 2041-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Romania                                                                   | Romania Government Bond                                                                                                       | CUSIP: N/A<br>LEI: 315700IASY927EDWBK92       | Long             | DBT              | NUSS              | RO        |     211000 | PA      | $194921.45    | 0.01%             | 2028-05-26      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138EQD25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26570 | PA      | $25550.27     | 0.00%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CSMC Trust                                                                | CSMC Trust, Series 2017-CALI, Class C                                                                                         | CUSIP: 12652FAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     370000 | PA      | $316175.25    | 0.01%             | 2032-11-10      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Trust                                          | OneMain Financial Issuance Trust, Series 2021-1A, Class A2                                                                    | CUSIP: 68269MAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     365000 | PA      | $348748.05    | 0.01%             | 2036-06-16      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO V Ltd.                                                        | Elmwood CLO V Ltd., Series 2020-2A, Class CR                                                                                  | CUSIP: 29003BAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     541000 | PA      | $504549.48    | 0.01%             | 2034-10-20      | Floating      | 6.24%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                        | Energy Transfer LP                                                                                                            | CUSIP: 86765BAQ2<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    1592000 | PA      | $1350075.19   | 0.04%             | 2045-05-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| 1211 Avenue of the Americas Trust                                         | 1211 Avenue of the Americas Trust, Series 2015-1211, Class D                                                                  | CUSIP: 90117PAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1131000 | PA      | $950366.86    | 0.03%             | 2035-08-10      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138Y4T58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     266181 | PA      | $254661.51    | 0.01%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Edison International                                                      | Edison International                                                                                                          | CUSIP: 281020AW7<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |    2517000 | PA      | $2628456.01   | 0.08%             | 2029-11-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                                               | PRKCM Trust, Series 2022-AFC1, Class A1A                                                                                      | CUSIP: 69377CAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     324562 | PA      | $303905.84    | 0.01%             | 2057-04-25      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| Owl Rock CLO VI Ltd.                                                      | Owl Rock CLO VI Ltd., Series 2021-6A, Class A                                                                                 | CUSIP: 69120WAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $242376.30    | 0.01%             | 2032-06-21      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| Allegro CLO IV Ltd.                                                       | Allegro CLO IV Ltd., Series 2016-1A, Class BR2                                                                                | CUSIP: 01749TAQ3<br>LEI: 635400THLJMIHHPCEN50 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $244325.60    | 0.01%             | 2030-01-15      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                      | JPMorgan Chase & Co.                                                                                                          | CUSIP: 46647PBU9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    1190000 | PA      | $902101.61    | 0.03%             | 2031-11-19      | Variable      | 1.76%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138WFEW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     142284 | PA      | $133400.26    | 0.00%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                                  | Angel Oak Mortgage Trust, Series 2020-4, Class A3                                                                             | CUSIP: 03464LAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     234745 | PA      | $211984.13    | 0.01%             | 2065-06-25      | Variable      | 2.81%                 | No            |                  2 | On Loan: No      |
| FirstEnergy Corp.                                                         | FirstEnergy Corp., Series B                                                                                                   | CUSIP: 337932AP2<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |    1970000 | PA      | $1563589.00   | 0.05%             | 2030-09-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                         | HSBC Holdings plc                                                                                                             | CUSIP: 404280CC1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     381000 | PA      | $333483.25    | 0.01%             | 2030-05-22      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DWEC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     531530 | PA      | $511669.18    | 0.02%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Pfizer, Inc.                                                              | Pfizer, Inc.                                                                                                                  | CUSIP: 717081FB4<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | DBT              | CORP              | US        |    1692000 | PA      | $1358254.71   | 0.04%             | 2031-08-18      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138EPJ54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     303077 | PA      | $291423.72    | 0.01%             | 2030-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Rad CLO 15 Ltd.                                                           | Rad CLO 15 Ltd., Series 2021-15A, Class A                                                                                     | CUSIP: 750103AA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $243106.35    | 0.01%             | 2034-01-20      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140J5GJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     326739 | PA      | $305749.70    | 0.01%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd.                                                         | CIFC Funding Ltd., Series 2014-2RA, Class B1                                                                                  | CUSIP: 12548RAE4<br>LEI: 549300O8WGQU5B6HEB94 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $233390.48    | 0.01%             | 2030-04-24      | Floating      | 7.12%                 | No            |                  2 | On Loan: No      |
| Verizon Communications, Inc.                                              | Verizon Communications, Inc.                                                                                                  | CUSIP: 92343VFX7<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    4176000 | PA      | $3255070.02   | 0.10%             | 2030-10-30      | Fixed         | 1.68%                 | No            |                  2 | On Loan: No      |
| Virginia Electric & Power Co.                                             | Virginia Electric & Power Co., Series D                                                                                       | CUSIP: 927804FP4<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |     897000 | PA      | $787513.09    | 0.02%             | 2043-08-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Anheuser-Busch InBev Worldwide, Inc.                                      | Anheuser-Busch InBev Worldwide, Inc.                                                                                          | CUSIP: 035240AV2<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |     506000 | PA      | $460625.14    | 0.01%             | 2030-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDS                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     500000 | PA      | $1616.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3128KBBX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      37833 | PA      | $37975.54     | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COLT Mortgage Loan Trust                                                  | COLT Mortgage Loan Trust, Series 2020-3, Class A3                                                                             | CUSIP: 12597QAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     143610 | PA      | $134441.71    | 0.00%             | 2065-04-27      | Variable      | 2.38%                 | No            |                  2 | On Loan: No      |
| GLP Capital LP                                                            | GLP Capital LP                                                                                                                | CUSIP: 361841AK5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1430000 | PA      | $1402157.26   | 0.04%             | 2028-06-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140Q9W74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     143073 | PA      | $136418.33    | 0.00%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| American Tower Corp.                                                      | American Tower Corp.                                                                                                          | CUSIP: 03027XBG4<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |     546000 | PA      | $421345.27    | 0.01%             | 2030-10-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31417GQQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     555244 | PA      | $505202.92    | 0.01%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Devon Energy Corp.                                                        | Devon Energy Corp.                                                                                                            | CUSIP: 25179MBF9<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |    1227000 | PA      | $1142329.00   | 0.03%             | 2030-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| eBay, Inc.                                                                | eBay, Inc.                                                                                                                    | CUSIP: 278642BB8<br>LEI: OML71K8X303XQONU6T67 | Long             | DBT              | CORP              | US        |    1951000 | PA      | $2027157.97   | 0.06%             | 2032-11-22      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 312943WD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      45789 | PA      | $44171.92     | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Dell International LLC                                                    | Dell International LLC                                                                                                        | CUSIP: 24703TAD8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2284000 | PA      | $2330035.94   | 0.07%             | 2026-06-15      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bonds                                                                                                           | CUSIP: 912810SJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    8782000 | PA      | $6173471.56   | 0.18%             | 2049-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| ONE Gas, Inc.                                                             | ONE Gas, Inc.                                                                                                                 | CUSIP: 68235PAH1<br>LEI: 549300HXDWI0LATTX840 | Long             | DBT              | CORP              | US        |     893000 | PA      | $726081.75    | 0.02%             | 2030-05-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| American Tower Corp.                                                      | American Tower Corp.                                                                                                          | CUSIP: 03027XBC3<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    3182000 | PA      | $2518700.64   | 0.07%             | 2030-06-15      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| PECO Energy Co.                                                           | PECO Energy Co.                                                                                                               | CUSIP: 693304BA4<br>LEI: YH65D4JBECK76IFEJ279 | Long             | DBT              | CORP              | US        |    1450000 | PA      | $990507.76    | 0.03%             | 2051-03-15      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                             | Comcast Corp.                                                                                                                 | CUSIP: 20030NDU2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     626000 | PA      | $387134.24    | 0.01%             | 2056-11-01      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179RJE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      42384 | PA      | $39499.75     | 0.00%             | 2045-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31419AL70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     372516 | PA      | $387092.90    | 0.01%             | 2040-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140JR7K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1309928 | PA      | $1076318.94   | 0.03%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132WJUH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     106523 | PA      | $95782.96     | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Los Angeles Unified School District                                       | Los Angeles Unified School District, Series 2010 RY                                                                           | CUSIP: 544646ZR6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    2505000 | PA      | $2799210.60   | 0.08%             | 2034-07-01      | Fixed         | 6.76%                 | No            |                  2 | On Loan: No      |
| Apple, Inc.                                                               | Apple, Inc.                                                                                                                   | CUSIP: 037833EL0<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |     404000 | PA      | $259784.34    | 0.01%             | 2061-08-05      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                     | Wells Fargo Commercial Mortgage Trust, Series 2016-C34, Class A3FL                                                            | CUSIP: 95000DAG6<br>LEI: 549300FWFHJGIW2B2U59 | Long             | ABS-MBS          | CORP              | US        |     390000 | PA      | $374645.74    | 0.01%             | 2049-06-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| NGPL PipeCo LLC                                                           | NGPL PipeCo LLC                                                                                                               | CUSIP: 62928CAA0<br>LEI: 549300K3NT1HSQFEM073 | Long             | DBT              | CORP              | US        |    4497000 | PA      | $3657873.29   | 0.11%             | 2031-07-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                     | Bank of America Corp.                                                                                                         | CUSIP: 06051GLC1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     851000 | PA      | $878633.42    | 0.03%             | 2028-11-10      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDSCMBX                                                                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     400000 | PA      | $0.81         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Ashford Hospitality Trust                                                 | Ashford Hospitality Trust, Series 2018-ASHF, Class D                                                                          | CUSIP: 04410RAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     174000 | PA      | $160002.36    | 0.00%             | 2035-04-15      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bonds                                                                                                           | CUSIP: 912810RK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   36899000 | PA      | $27779469.71  | 0.82%             | 2045-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Prodigy Finance DAC                                                       | Prodigy Finance DAC, Series 2021-1A, Class C                                                                                  | CUSIP: 742855AC3<br>LEI: 635400HTAZNW3LYYMQ40 | Long             | ABS-O            | CORP              | IE        |     250000 | PA      | $245681.98    | 0.01%             | 2051-07-25      | Floating      | 8.14%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                           | CUSIP: 91282CBZ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4456000 | PA      | $3866450.30   | 0.11%             | 2028-04-30      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Lam Research Corp.                                                        | Lam Research Corp.                                                                                                            | CUSIP: 512807AW8<br>LEI: 549300I4GMO6D34U1T02 | Long             | DBT              | CORP              | US        |    1105000 | PA      | $738373.59    | 0.02%             | 2050-06-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Exelon Corp.                                                              | Exelon Corp.                                                                                                                  | CUSIP: 30161NAS0<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |     312000 | PA      | $290122.84    | 0.01%             | 2045-06-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                                            | Mariner Finance Issuance Trust, Series 2022-AA, Class A                                                                       | CUSIP: 56847QAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1538000 | PA      | $1527122.80   | 0.05%             | 2037-10-20      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132WJUD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     212023 | PA      | $189980.05    | 0.01%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HP, Inc.                                                                  | HP, Inc.                                                                                                                      | CUSIP: 40434LAN5<br>LEI: WHKXQACZ14C5XRO8LW03 | Long             | DBT              | CORP              | US        |    1005000 | PA      | $944145.08    | 0.03%             | 2033-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36202FGD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1341 | PA      | $1338.25      | 0.00%             | 2040-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140KSBC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     470668 | PA      | $384611.94    | 0.01%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132GTR33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6791 | PA      | $6364.01      | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Promigas SA ESP                                                           | Promigas SA ESP                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |     468000 | PA      | $380835.00    | 0.01%             | 2029-10-16      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140X9EC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      60528 | PA      | $57259.69     | 0.00%             | 2050-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group, Inc.                                                  | UnitedHealth Group, Inc.                                                                                                      | CUSIP: 91324PCX8<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     953000 | PA      | $814898.66    | 0.02%             | 2047-01-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36202FEH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21152 | PA      | $21110.95     | 0.00%             | 2040-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Lowe's Cos., Inc.                                                         | Lowe's Cos., Inc.                                                                                                             | CUSIP: 548661DU8<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |    5277000 | PA      | $5057215.69   | 0.15%             | 2030-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                                  | Ajax Mortgage Loan Trust, Series 2021-C, Class A                                                                              | CUSIP: 009733AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7488445 | PA      | $6936268.33   | 0.20%             | 2061-01-25      | Variable      | 2.12%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Securities Trust                                | JPMDB Commercial Mortgage Securities Trust, Series 2016-C4, Class XC                                                          | CUSIP: 46646RAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1800000 | PA      | $41348.16     | 0.00%             | 2049-12-15      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138WFYM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     219606 | PA      | $205903.81    | 0.01%             | 2030-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ohio Power Co.                                                            | Ohio Power Co.                                                                                                                | CUSIP: 677415CR0<br>LEI: 06ZODLC132CY1O2Y7D77 | Long             | DBT              | CORP              | US        |     983000 | PA      | $775209.46    | 0.02%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd.                                                   | Rockford Tower CLO Ltd., Series 2017-2A, Class DR                                                                             | CUSIP: 77340GAQ4<br>LEI: 549300G18KVCW7VUKI86 | Long             | ABS-CBDO         | CORP              | KY        |    1039000 | PA      | $959599.83    | 0.03%             | 2029-10-15      | Floating      | 6.93%                 | No            |                  2 | On Loan: No      |
| Intel Corp.                                                               | Intel Corp.                                                                                                                   | CUSIP: 458140BG4<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    1687000 | PA      | $1264277.93   | 0.04%             | 2047-12-08      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3128MAAK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13737 | PA      | $13633.06     | 0.00%             | 2042-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31402RH28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6351 | PA      | $6568.21      | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Battalion CLO XI Ltd.                                                     | Battalion CLO XI Ltd., Series 2017-11A, Class BR                                                                              | CUSIP: 07132LAN9<br>LEI: 549300O0R7FIDPTPCK50 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $235591.68    | 0.01%             | 2034-04-24      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                                | Verus Securitization Trust, Series 2019-INV2, Class M1                                                                        | CUSIP: 92537HAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3000000 | PA      | $2607315.00   | 0.08%             | 2059-07-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| AMMC CLO 22 Ltd.                                                          | AMMC CLO 22 Ltd., Series 2018-22A, Class B                                                                                    | CUSIP: 00177HAC3<br>LEI: 549300ZW9D4NPX7LOC22 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $238146.30    | 0.01%             | 2031-04-25      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 31283HQM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1445 | PA      | $1496.03      | 0.00%             | 2032-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132QMPY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      45508 | PA      | $44497.34     | 0.00%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Takeda Pharmaceutical Co. Ltd.                                            | Takeda Pharmaceutical Co. Ltd.                                                                                                | CUSIP: 874060AW6<br>LEI: 549300ZLMVP4X0OGR454 | Long             | DBT              | CORP              | JP        |    2944000 | PA      | $2918886.74   | 0.09%             | 2028-11-26      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd.                                                    | Palmer Square CLO Ltd., Series 2018-2A, Class A1A                                                                             | CUSIP: 69688MAA3<br>LEI: 549300EYS8N79JYSXL17 | Long             | ABS-CBDO         | CORP              | KY        |    1070000 | PA      | $1055777.77   | 0.03%             | 2031-07-16      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QNE40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     781756 | PA      | $670302.62    | 0.02%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Galaxy XV CLO Ltd.                                                        | Galaxy XV CLO Ltd., Series 2013-15A, Class ARR                                                                                | CUSIP: 36318WAK6<br>LEI: 549300MJK1HWQWCLYA68 | Long             | ABS-CBDO         | CORP              | KY        |     400000 | PA      | $393739.56    | 0.01%             | 2030-10-15      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd.                                                         | CIFC Funding Ltd., Series 2021-4A, Class A                                                                                    | CUSIP: 12547DAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1450000 | PA      | $1424431.86   | 0.04%             | 2033-07-15      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| CFCRE Commercial Mortgage Trust                                           | CFCRE Commercial Mortgage Trust, Series 2018-TAN, Class A                                                                     | CUSIP: 12528DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     410000 | PA      | $406281.96    | 0.01%             | 2033-02-15      | Fixed         | 4.24%                 | No            |                  2 | On Loan: No      |
| Regatta VI Funding Ltd.                                                   | Regatta VI Funding Ltd., Series 2016-1A, Class AR2                                                                            | CUSIP: 75887NAW9<br>LEI: 2549001NU08X5ZRD6A39 | Long             | ABS-CBDO         | CORP              | KY        |    1040000 | PA      | $1013528.26   | 0.03%             | 2034-04-20      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| American Airlines Pass-Through Trust                                      | American Airlines Pass-Through Trust, Series 2016-2, Class AA                                                                 | CUSIP: 023765AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     407237 | PA      | $353165.05    | 0.01%             | 2028-06-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-5126.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United Mexican States                                                     | United Mexican States                                                                                                         | CUSIP: N/A<br>LEI: 254900EGTWEU67VP6075       | Long             | DBT              | NUSS              | MX        |     238000 | PA      | $1150177.61   | 0.03%             | 2027-06-03      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                     | Wells Fargo Commercial Mortgage Trust, Series 2017-HSDB, Class A                                                              | CUSIP: 95001EAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     501000 | PA      | $494146.97    | 0.01%             | 2031-12-13      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140XFWG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1298159 | PA      | $1067813.52   | 0.03%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                                       | Petroleos Mexicanos                                                                                                           | CUSIP: 71654QBH4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | NUSS              | MX        |     308000 | PA      | $301532.00    | 0.01%             | 2024-01-18      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 01F052623<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -18700000 | PA      | $-18733707.50 | -0.55%            | 2053-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 01F032617<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9722435 | PA      | $8830914.16   | 0.26%             | 2053-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| OCP Euro CLO DAC                                                          | OCP Euro CLO DAC, Series 2017-2X, Class B                                                                                     | CUSIP: N/A<br>LEI: 635400KNK84TMOLEE581       | Long             | ABS-CBDO         | CORP              | IE        |     170000 | PA      | $173038.65    | 0.01%             | 2032-01-15      | Floating      | 2.73%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DVMD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3185239 | PA      | $2816274.43   | 0.08%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Cheniere Energy Partners LP                                               | Cheniere Energy Partners LP                                                                                                   | CUSIP: 16411QAG6<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |    3150000 | PA      | $2832547.54   | 0.08%             | 2029-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138WHXT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     177800 | PA      | $159678.26    | 0.00%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36211SXA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        281 | PA      | $280.65       | 0.00%             | 2029-11-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Global Payments, Inc.                                                     | Global Payments, Inc.                                                                                                         | CUSIP: 37940XAG7<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    2889000 | PA      | $2520222.82   | 0.07%             | 2027-01-15      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138YGYL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      87736 | PA      | $82068.08     | 0.00%             | 2030-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138EH3N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     837159 | PA      | $878528.76    | 0.03%             | 2040-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman Loan Advisers CLO 42 Ltd.                                | Neuberger Berman Loan Advisers CLO 42 Ltd., Series 2021-42A, Class A                                                          | CUSIP: 64133WAA3<br>LEI: 549300LGCRX4YI1JNS93 | Long             | ABS-CBDO         | CORP              | KY        |     880000 | PA      | $855925.66    | 0.03%             | 2035-07-16      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 01F040628<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -2700000 | PA      | $-2531892.79  | -0.07%            | 2053-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                            | Morgan Stanley Capital I Trust, Series 2017-H1, Class B                                                                       | CUSIP: 61691JAZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3302000 | PA      | $2901926.71   | 0.09%             | 2050-06-15      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140XFGT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4368787 | PA      | $3730459.00   | 0.11%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Bridge Street CLO II Ltd.                                                 | Bridge Street CLO II Ltd., Series 2021-1A, Class A1A                                                                          | CUSIP: 10806JAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $240127.05    | 0.01%             | 2034-07-20      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| AGL CLO 12 Ltd.                                                           | AGL CLO 12 Ltd., Series 2021-12A, Class A1                                                                                    | CUSIP: 00120BAA8<br>LEI: 54930005OE1IFBESDA27 | Long             | ABS-CBDO         | CORP              | KY        |    1730000 | PA      | $1684702.37   | 0.05%             | 2034-07-20      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| DTE Electric Co.                                                          | DTE Electric Co., Series B                                                                                                    | CUSIP: 23338VAR7<br>LEI: 9N0FWODEJVKHC2DYLO03 | Long             | DBT              | CORP              | US        |     526000 | PA      | $406428.47    | 0.01%             | 2052-03-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| BlueMountain CLO XXVIII Ltd.                                              | BlueMountain CLO XXVIII Ltd., Series 2021-28A, Class A                                                                        | CUSIP: 09630PAA1<br>LEI: 5493001GLQHON6UV2U40 | Long             | ABS-CBDO         | CORP              | KY        |     130000 | PA      | $126774.66    | 0.00%             | 2034-04-15      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                                       | Petroleos Mexicanos                                                                                                           | CUSIP: 71654QCC4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | NUSS              | MX        |     228000 | PA      | $145208.64    | 0.00%             | 2047-09-21      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QNE57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2786578 | PA      | $2386257.88   | 0.07%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Marathon Petroleum Corp.                                                  | Marathon Petroleum Corp.                                                                                                      | CUSIP: 56585AAJ1<br>LEI: 3BNYRYQHD39K4LCKQF12 | Long             | DBT              | CORP              | US        |     529000 | PA      | $441439.94    | 0.01%             | 2054-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132JMFR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      67099 | PA      | $62918.90     | 0.00%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WP Carey, Inc.                                                            | WP Carey, Inc.                                                                                                                | CUSIP: 92936UAG4<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              | CORP              | US        |     446000 | PA      | $355359.28    | 0.01%             | 2031-02-01      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 312942H40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     138064 | PA      | $132759.61    | 0.00%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| EQT Corp.                                                                 | EQT Corp.                                                                                                                     | CUSIP: 26884LAQ2<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |    1164000 | PA      | $1157745.43   | 0.03%             | 2028-04-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bonds                                                                                                           | CUSIP: 912810RC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6784000 | PA      | $6236510.03   | 0.18%             | 2043-08-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| General Motors Financial Co., Inc.                                        | General Motors Financial Co., Inc.                                                                                            | CUSIP: 37045XDP8<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |     644000 | PA      | $534008.66    | 0.02%             | 2028-10-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140GW3B7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17789 | PA      | $17402.15     | 0.00%             | 2047-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DMR49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5890242 | PA      | $5753182.11   | 0.17%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31418CXN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      48822 | PA      | $46649.58     | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bonds                                                                                                           | CUSIP: 912810QE1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2710000 | PA      | $2912297.27   | 0.09%             | 2040-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| BAT Capital Corp.                                                         | BAT Capital Corp.                                                                                                             | CUSIP: 05526DBV6<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     458000 | PA      | $377533.62    | 0.01%             | 2052-03-16      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Crown Point CLO 10 Ltd.                                                   | Crown Point CLO 10 Ltd., Series 2021-10A, Class A                                                                             | CUSIP: 22846FAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2100000 | PA      | $2013458.58   | 0.06%             | 2034-07-20      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                                               | Capital One Financial Corp.                                                                                                   | CUSIP: 14040HCN3<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |     625000 | PA      | $534356.08    | 0.02%             | 2030-03-01      | Variable      | 3.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDSCMBX                                                                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    1271742 | PA      | $-13129.63    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                                            | Mariner Finance Issuance Trust, Series 2020-AA, Class C                                                                       | CUSIP: 56848MAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     330000 | PA      | $294767.85    | 0.01%             | 2034-08-21      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| BAMLL Commercial Mortgage Securities Trust                                | BAMLL Commercial Mortgage Securities Trust, Series 2017-SCH, Class CL                                                         | CUSIP: 054966AU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1450000 | PA      | $1292052.21   | 0.04%             | 2032-11-15      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| GoldenTree Loan Opportunities X Ltd.                                      | GoldenTree Loan Opportunities X Ltd., Series 2015-10A, Class DR                                                               | CUSIP: 38137PAY6<br>LEI: 549300IGEA8MXF2YEF61 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $235451.48    | 0.01%             | 2031-07-20      | Floating      | 7.29%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QNEJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1070955 | PA      | $882420.79    | 0.03%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 01F012411<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   12846000 | PA      | $11119954.53  | 0.33%             | 2038-01-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132WJUE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     217656 | PA      | $195027.11    | 0.01%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortgage Loan Trust                               | MF1 Multifamily Housing Mortgage Loan Trust, Series 2022-FL9, Class A                                                         | CUSIP: 55285AAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     857000 | PA      | $843811.71    | 0.02%             | 2037-06-19      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding XXXVIII Ltd.                                         | Madison Park Funding XXXVIII Ltd., Series 2021-38A, Class A                                                                   | CUSIP: 55821KAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1130000 | PA      | $1099673.63   | 0.03%             | 2034-07-17      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140GSRR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      95097 | PA      | $90763.07     | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                                           | CSAIL Commercial Mortgage Trust, Series 2019-C17, Class XA                                                                    | CUSIP: 12597BAW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2050594 | PA      | $124197.31    | 0.00%             | 2052-09-15      | Variable      | 1.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36196FZJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     153490 | PA      | $142939.35    | 0.00%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Commonwealth Edison Co.                                                   | Commonwealth Edison Co., Series 131                                                                                           | CUSIP: 202795JU5<br>LEI: D8YOXB8L2ZDC8P7Q0771 | Long             | DBT              | CORP              | US        |     537000 | PA      | $343643.64    | 0.01%             | 2051-09-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                           | CUSIP: 912828ZL7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   82135000 | PA      | $74961021.09  | 2.21%             | 2025-04-30      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QE2F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     383305 | PA      | $363344.70    | 0.01%             | 2050-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman Loan Advisers CLO 34 Ltd.                                | Neuberger Berman Loan Advisers CLO 34 Ltd., Series 2019-34A, Class BR                                                         | CUSIP: 64132YAS1<br>LEI: 5493009EGZQAPYYVLD80 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $240216.35    | 0.01%             | 2035-01-20      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3128M9ZF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     147909 | PA      | $149946.07    | 0.00%             | 2041-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Norfolk Southern Corp.                                                    | Norfolk Southern Corp.                                                                                                        | CUSIP: 655844CN6<br>LEI: 54930036C8MWP850MI84 | Long             | DBT              | CORP              | US        |     501000 | PA      | $376147.74    | 0.01%             | 2053-03-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Devon Energy Corp.                                                        | Devon Energy Corp.                                                                                                            | CUSIP: 25179MBE2<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |      84000 | PA      | $84955.90     | 0.00%             | 2028-06-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                     | Bank of America Corp.                                                                                                         | CUSIP: 06051GGF0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     662000 | PA      | $617722.82    | 0.02%             | 2028-01-20      | Variable      | 3.82%                 | No            |                  2 | On Loan: No      |
| TCI-Flatiron CLO Ltd.                                                     | TCI-Flatiron CLO Ltd., Series 2017-1A, Class AR                                                                               | CUSIP: 87231BAL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     890000 | PA      | $874261.42    | 0.03%             | 2030-11-18      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                     | Bank of America Corp.                                                                                                         | CUSIP: 06051GHW2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     789000 | PA      | $745492.24    | 0.02%             | 2025-10-22      | Variable      | 2.46%                 | No            |                  2 | On Loan: No      |
| AEP Transmission Co. LLC                                                  | AEP Transmission Co. LLC                                                                                                      | CUSIP: 00115AAL3<br>LEI: 549300X123Z1I0LA3Y84 | Long             | DBT              | CORP              | US        |    1081000 | PA      | $747914.06    | 0.02%             | 2049-09-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Clorox Co. (The)                                                          | Clorox Co. (The)                                                                                                              | CUSIP: 189054AX7<br>LEI: 54930044KVSC06Z79I06 | Long             | DBT              | CORP              | US        |     460000 | PA      | $366237.63    | 0.01%             | 2030-05-15      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| Longfellow Place CLO Ltd.                                                 | Longfellow Place CLO Ltd., Series 2013-1A, Class BR3                                                                          | CUSIP: 54303PBA2<br>LEI: 549300FY38ZCUKZQU403 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $247145.50    | 0.01%             | 2029-04-15      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $240.45       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Octagon Investment Partners XVI Ltd.                                      | Octagon Investment Partners XVI Ltd., Series 2013-1A, Class A1R                                                               | CUSIP: 67590BAQ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2755000 | PA      | $2709931.51   | 0.08%             | 2030-07-17      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDSCMBX                                                                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | DE        |    4050000 | PA      | $-103986.62   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                                                | AT&T, Inc.                                                                                                                    | CUSIP: 00206RCP5<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    3837000 | PA      | $3488020.48   | 0.10%             | 2035-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust                                               | Extended Stay America Trust, Series 2021-ESH, Class D                                                                         | CUSIP: 30227FAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2042194 | PA      | $1955105.58   | 0.06%             | 2038-07-15      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| MortgageIT Trust                                                          | MortgageIT Trust, Series 2004-1, Class A1                                                                                     | CUSIP: 61913PAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     241167 | PA      | $224920.26    | 0.01%             | 2034-11-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    1035000 | PA      | $44589.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138WJEN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     209769 | PA      | $196145.07    | 0.01%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    4423000 | PA      | $-21095.24    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DMYM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5262495 | PA      | $4363111.58   | 0.13%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Texas Eastern Transmission LP                                             | Texas Eastern Transmission LP                                                                                                 | CUSIP: 882384AD2<br>LEI: 549300SIOULUXXIDGA69 | Long             | DBT              | CORP              | US        |    2271000 | PA      | $2064333.00   | 0.06%             | 2028-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132KFAE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      22163 | PA      | $20803.21     | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Battalion CLO 18 Ltd.                                                     | Battalion CLO 18 Ltd., Series 2020-18A, Class BR                                                                              | CUSIP: 07134QAQ9<br>LEI: 549300WYAEH0STKIKE49 | Long             | ABS-CBDO         | CORP              | KY        |     375000 | PA      | $352809.34    | 0.01%             | 2036-10-15      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138WQPF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      47678 | PA      | $45761.80     | 0.00%             | 2028-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BAMLL Commercial Mortgage Securities Trust                                | BAMLL Commercial Mortgage Securities Trust, Series 2017-SCH, Class AF                                                         | CUSIP: 054966AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1480000 | PA      | $1394077.86   | 0.04%             | 2033-11-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138WJH35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     130545 | PA      | $121105.61    | 0.00%             | 2036-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138MKSW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17517 | PA      | $16826.32     | 0.00%             | 2028-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Lehman Brothers Holdings, Inc.                                            | Lehman Brothers Holdings, Inc.                                                                                                | CUSIP: N/A<br>LEI: 549300FDK6ZP3YIHRJ47       | Long             | DBT              | CORP              | US        |   14400000 | PA      | $1.44         | 0.00%             | 2017-11-01      | Fixed         | 6.75%                 | No            |                  3 | On Loan: No      |
| GE HealthCare Technologies, Inc.                                          | GE HealthCare Technologies, Inc.                                                                                              | CUSIP: 36267VAC7<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |    2323000 | PA      | $2337312.40   | 0.07%             | 2025-11-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO 3-R Ltd.                                            | Anchorage Capital CLO 3-R Ltd., Series 2014-3RA, Class B                                                                      | CUSIP: 03330AAC6<br>LEI: 549300V7DN3VJ8H1GE96 | Long             | ABS-CBDO         | CORP              | KY        |    1040000 | PA      | $1013447.34   | 0.03%             | 2031-01-28      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-2028.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-1334.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31417GWY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     593194 | PA      | $539733.89    | 0.02%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179DLP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     118744 | PA      | $111672.96    | 0.00%             | 2043-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO 58B Ltd.                                       | Golub Capital Partners CLO 58B Ltd., Series 2021-58A, Class A1                                                                | CUSIP: 38178TAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     310000 | PA      | $302530.74    | 0.01%             | 2035-01-25      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 312941KX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      31158 | PA      | $30922.94     | 0.00%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| VICI Properties LP                                                        | VICI Properties LP                                                                                                            | CUSIP: 925650AC7<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |    1936000 | PA      | $1842911.97   | 0.05%             | 2030-02-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 31307KBR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     192433 | PA      | $180225.18    | 0.01%             | 2029-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 31307UV47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      61957 | PA      | $59030.04     | 0.00%             | 2032-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BDS Ltd.                                                                  | BDS Ltd., Series 2021-FL7, Class A                                                                                            | CUSIP: 05493FAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    9610000 | PA      | $9259530.21   | 0.27%             | 2036-06-16      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 01F022618<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -174000 | PA      | $-147293.49   | -0.00%            | 2053-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                                | Verus Securitization Trust, Series 2020-INV1, Class A2                                                                        | CUSIP: 92537TAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     902439 | PA      | $828740.51    | 0.02%             | 2060-03-25      | Variable      | 3.04%                 | No            |                  2 | On Loan: No      |
| One Market Plaza Trust                                                    | One Market Plaza Trust, Series 2017-1MKT, Class XNCP                                                                          | CUSIP: 68245HAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3410000 | PA      | $9001.38      | 0.00%             | 2032-02-10      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| Regatta XVIII Funding Ltd.                                                | Regatta XVIII Funding Ltd., Series 2021-1A, Class B                                                                           | CUSIP: 75884EAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $239158.48    | 0.01%             | 2034-01-15      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                                      | Charter Communications Operating LLC                                                                                          | CUSIP: 161175CA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4022000 | PA      | $2525117.98   | 0.07%             | 2052-06-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| L3Harris Technologies, Inc.                                               | L3Harris Technologies, Inc.                                                                                                   | CUSIP: 502431AN9<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |    4849000 | PA      | $3721319.71   | 0.11%             | 2031-01-15      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                                                | AT&T, Inc.                                                                                                                    | CUSIP: 00206RJZ6<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    1026000 | PA      | $765123.24    | 0.02%             | 2041-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                                 | HCA, Inc.                                                                                                                     | CUSIP: 404119CA5<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    5206000 | PA      | $4490051.20   | 0.13%             | 2030-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                                 | Commercial Mortgage Trust, Series 2015-3BP, Class XA                                                                          | CUSIP: 12592TAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   40878000 | PA      | $74382.43     | 0.00%             | 2035-02-10      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31410KFF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     169565 | PA      | $176749.87    | 0.01%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                     | Wells Fargo Commercial Mortgage Trust, Series 2019-C49, Class C                                                               | CUSIP: 95001WBG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1270000 | PA      | $1059116.88   | 0.03%             | 2052-03-15      | Variable      | 4.87%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                              | Oracle Corp.                                                                                                                  | CUSIP: 68389XBP9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    5455000 | PA      | $4319219.96   | 0.13%             | 2037-11-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| VNDO Trust                                                                | VNDO Trust, Series 2016-350P, Class D                                                                                         | CUSIP: 91831UAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     710000 | PA      | $575788.06    | 0.02%             | 2035-01-10      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| Waste Management, Inc.                                                    | Waste Management, Inc.                                                                                                        | CUSIP: 94106LBR9<br>LEI: 549300YX8JIID70NFS41 | Long             | DBT              | CORP              | US        |     477000 | PA      | $354012.02    | 0.01%             | 2041-06-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 312943JY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      32281 | PA      | $31035.48     | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | U.S. Treasury Ultra Bond                                                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        537 | NC      | $-1456043.00  | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| UBS Commercial Mortgage Trust                                             | UBS Commercial Mortgage Trust, Series 2019-C18, Class XA                                                                      | CUSIP: 90278PBB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7137908 | PA      | $327764.87    | 0.01%             | 2052-12-15      | Variable      | 1.02%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DMY33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     271806 | PA      | $223160.70    | 0.01%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QDYC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     718757 | PA      | $679697.70    | 0.02%             | 2050-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31418EBJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     849346 | PA      | $715935.45    | 0.02%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| KKR CLO 10 Ltd.                                                           | KKR CLO 10 Ltd., Series 10, Class BR                                                                                          | CUSIP: 48250GAS9<br>LEI: 549300N7FISC1W1QKR21 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $244869.45    | 0.01%             | 2029-09-15      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| Golub Capital BDC 3 CLO LLC                                               | Golub Capital BDC 3 CLO LLC, Series 2021-1A, Class C1                                                                         | CUSIP: 38177XAE4<br>LEI: 254900GKK16EMNSQ3D94 | Long             | ABS-CBDO         | CORP              | US        |     250000 | PA      | $228642.50    | 0.01%             | 2033-04-15      | Floating      | 6.88%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                      | JPMorgan Chase & Co.                                                                                                          | CUSIP: 46647PCW4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    4852000 | PA      | $4389106.29   | 0.13%             | 2028-02-24      | Variable      | 2.95%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138ALJW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      87324 | PA      | $88427.35     | 0.00%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Sabine Pass Liquefaction LLC                                              | Sabine Pass Liquefaction LLC                                                                                                  | CUSIP: 785592AJ5<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |    5058000 | PA      | $5059221.66   | 0.15%             | 2024-05-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd.                                                    | Palmer Square CLO Ltd., Series 2015-2A, Class A2R2                                                                            | CUSIP: 69689CAY2<br>LEI: 549300PACXK2KP6J2T91 | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $484970.75    | 0.01%             | 2030-07-20      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| Amgen, Inc.                                                               | Amgen, Inc.                                                                                                                   | CUSIP: 031162BZ2<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    1666000 | PA      | $1395808.14   | 0.04%             | 2045-05-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Republic of Peru                                                          | Republic of Peru                                                                                                              | CUSIP: 715638DT6<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    2119000 | PA      | $1505549.50   | 0.04%             | 2051-03-10      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                                           | CSAIL Commercial Mortgage Trust, Series 2018-CX12, Class C                                                                    | CUSIP: 12595XAZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     268000 | PA      | $222692.40    | 0.01%             | 2051-08-15      | Variable      | 4.74%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital Europe CLO 2 DAC                                        | Anchorage Capital Europe CLO 2 DAC, Series 2A, Class B1R                                                                      | CUSIP: N/A<br>LEI: 635400HYNZWTWNENDW97       | Long             | ABS-CBDO         | CORP              | IE        |     272000 | PA      | $270860.08    | 0.01%             | 2034-04-15      | Floating      | 2.98%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QGSZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     305829 | PA      | $294257.41    | 0.01%             | 2051-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140J8GB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1672405 | PA      | $1568070.14   | 0.05%             | 2033-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31418CYM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      49130 | PA      | $46740.53     | 0.00%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3128M9GP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     164769 | PA      | $154409.09    | 0.00%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 01F030611<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   25868099 | PA      | $22695874.88  | 0.67%             | 2053-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                     | Bank of America Corp.                                                                                                         | CUSIP: 06051GJT7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    4478000 | PA      | $3584119.96   | 0.11%             | 2032-04-22      | Variable      | 2.69%                 | No            |                  2 | On Loan: No      |
| Motorola Solutions, Inc.                                                  | Motorola Solutions, Inc.                                                                                                      | CUSIP: 620076BW8<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | DBT              | CORP              | US        |    3466000 | PA      | $3373967.72   | 0.10%             | 2032-06-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DNAY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10802581 | PA      | $9209778.29   | 0.27%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Anglo American Capital plc                                                | Anglo American Capital plc                                                                                                    | CUSIP: 034863AW0<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |    2701000 | PA      | $2674584.22   | 0.08%             | 2030-04-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                                 | Commercial Mortgage Trust, Series 2014-CR18, Class A4                                                                         | CUSIP: 12632QAW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     107935 | PA      | $104509.05    | 0.00%             | 2047-07-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Dell International LLC                                                    | Dell International LLC                                                                                                        | CUSIP: 24703TAE6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1532000 | PA      | $1507946.24   | 0.04%             | 2026-10-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                                                   | Hyundai Capital America                                                                                                       | CUSIP: 44891ABE6<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |     586000 | PA      | $584679.18    | 0.02%             | 2023-02-10      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138WJF94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22595 | PA      | $20550.92     | 0.00%             | 2031-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp. Trust                                        | GS Mortgage Securities Corp. Trust, Series 2017-GPTX, Class A                                                                 | CUSIP: 36257CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     570000 | PA      | $530100.00    | 0.02%             | 2034-05-10      | Fixed         | 2.86%                 | No            |                  2 | On Loan: No      |
| Broadcom, Inc.                                                            | Broadcom, Inc.                                                                                                                | CUSIP: 11135FAS0<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    1770000 | PA      | $1559972.97   | 0.05%             | 2032-11-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable LLC                                                     | Time Warner Cable LLC                                                                                                         | CUSIP: 88732JAJ7<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |     674000 | PA      | $641689.07    | 0.02%             | 2037-05-01      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| Edison International                                                      | Edison International                                                                                                          | CUSIP: 281020AM9<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |     640000 | PA      | $593722.00    | 0.02%             | 2028-03-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36177Q3X9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      72280 | PA      | $67975.78     | 0.00%             | 2042-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Empresa Nacional del Petroleo                                             | Empresa Nacional del Petroleo                                                                                                 | CUSIP: N/A<br>LEI: 549300YP3P0JZBLIV197       | Long             | DBT              | NUSS              | CL        |     308000 | PA      | $288422.75    | 0.01%             | 2026-08-05      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| BANK                                                                      | BANK, Series 2019-BN20, Class XB                                                                                              | CUSIP: 06540AAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8371000 | PA      | $173159.99    | 0.01%             | 2062-09-15      | Variable      | 0.37%                 | No            |                  2 | On Loan: No      |
| Buttermilk Park CLO Ltd.                                                  | Buttermilk Park CLO Ltd., Series 2018-1A, Class A1                                                                            | CUSIP: 124166AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $246395.55    | 0.01%             | 2031-10-15      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                                     | Mex Bonos Desarr Fix Rt                                                                                                       | CUSIP: N/A<br>LEI: 254900EGTWEU67VP6075       | Long             | DBT              | NUSS              | MX        |     241000 | PA      | $1117716.11   | 0.03%             | 2026-03-05      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Devon Energy Corp.                                                        | Devon Energy Corp.                                                                                                            | CUSIP: 25179MAL7<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |     405000 | PA      | $377836.98    | 0.01%             | 2041-07-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138WEKA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1665771 | PA      | $1502355.31   | 0.04%             | 2045-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd.                                                   | Rockford Tower CLO Ltd., Series 2021-1A, Class A1                                                                             | CUSIP: 77341KAA9<br>LEI: 5493000QG193Z8ZVLY16 | Long             | ABS-CBDO         | CORP              | KY        |    1730000 | PA      | $1684477.65   | 0.05%             | 2034-07-20      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31418CS54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     461248 | PA      | $440013.73    | 0.01%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                            | Morgan Stanley Capital I Trust, Series 2018-MP, Class A                                                                       | CUSIP: 61691DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3761000 | PA      | $3277069.12   | 0.10%             | 2040-07-11      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31418CCL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      73750 | PA      | $67082.18     | 0.00%             | 2031-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                            | Morgan Stanley                                                                                                                | CUSIP: 6174468G7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    4330000 | PA      | $4029946.80   | 0.12%             | 2030-01-23      | Variable      | 4.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | U.S. Treasury 2 Year Note                                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       2770 | NC      | $-811281.20   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QGS73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     331025 | PA      | $320753.26    | 0.01%             | 2051-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132A5H40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     394789 | PA      | $363936.09    | 0.01%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                                       | Petroleos Mexicanos                                                                                                           | CUSIP: 71654QDH2<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | NUSS              | MX        |     371000 | PA      | $360867.06    | 0.01%             | 2025-10-16      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Sabine Pass Liquefaction LLC                                              | Sabine Pass Liquefaction LLC                                                                                                  | CUSIP: 785592AM8<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |   10089000 | PA      | $10103249.80  | 0.30%             | 2025-03-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd.                                                             | Voya CLO Ltd., Series 2019-1A, Class AR                                                                                       | CUSIP: 92917NAJ7<br>LEI: 549300KSCKXTOBY0IP86 | Long             | ABS-CBDO         | CORP              | KY        |    2064000 | PA      | $2031764.65   | 0.06%             | 2031-04-15      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| VICI Properties LP                                                        | VICI Properties LP                                                                                                            | CUSIP: 925650AB9<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |    2719000 | PA      | $2579427.42   | 0.08%             | 2028-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140X8XE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2017349 | PA      | $1657604.13   | 0.05%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CenterPoint Energy Houston Electric LLC                                   | CenterPoint Energy Houston Electric LLC, Series AJ                                                                            | CUSIP: 15189XBA5<br>LEI: 549300S8SEQBOJLKHW63 | Long             | DBT              | CORP              | US        |     368000 | PA      | $351138.94    | 0.01%             | 2052-10-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| BlueMountain CLO Ltd.                                                     | BlueMountain CLO Ltd., Series 2016-2A, Class BR2                                                                              | CUSIP: 09628WBA9<br>LEI: 549300O2Y407FNHQWX93 | Long             | ABS-CBDO         | CORP              | KY        |     300000 | PA      | $281700.12    | 0.01%             | 2032-08-20      | Floating      | 6.93%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140XCGT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2029567 | PA      | $1665171.87   | 0.05%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                                                    | Lendmark Funding Trust, Series 2021-2A, Class C                                                                               | CUSIP: 52604DAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     380000 | PA      | $288079.86    | 0.01%             | 2032-04-20      | Fixed         | 3.09%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd.                                                             | Voya CLO Ltd., Series 2017-3A, Class A1R                                                                                      | CUSIP: 92915QAU7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     465000 | PA      | $450274.38    | 0.01%             | 2034-04-20      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 31335BKV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     680476 | PA      | $639337.88    | 0.02%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                        | United Airlines Pass-Through Trust, Series 2020-1, Class A                                                                    | CUSIP: 90931GAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2323727 | PA      | $2291069.10   | 0.07%             | 2027-10-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140X83Z8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     969158 | PA      | $898766.86    | 0.03%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                             | Comcast Corp.                                                                                                                 | CUSIP: 20030NDH1<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    1176000 | PA      | $969876.35    | 0.03%             | 2040-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Rockford Tower Europe CLO DAC                                             | Rockford Tower Europe CLO DAC, Series 2018-1X, Class C                                                                        | CUSIP: N/A<br>LEI: 635400J1BXSISHD5XN53       | Long             | ABS-CBDO         | CORP              | IE        |     280000 | PA      | $283062.55    | 0.01%             | 2031-12-20      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Euro-Buxl                                                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |        -24 | NC      | $707857.99    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| HP, Inc.                                                                  | HP, Inc.                                                                                                                      | CUSIP: 40434LAJ4<br>LEI: WHKXQACZ14C5XRO8LW03 | Long             | DBT              | CORP              | US        |     535000 | PA      | $416809.15    | 0.01%             | 2031-06-17      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140J76Q3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     911753 | PA      | $852483.76    | 0.03%             | 2032-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140J8HY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     176627 | PA      | $175012.99    | 0.01%             | 2048-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Commercial Real Estate Notes Ltd.                            | Arbor Realty Commercial Real Estate Notes Ltd., Series 2022-FL1, Class A                                                      | CUSIP: 03880XAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   10000000 | PA      | $9644660.00   | 0.28%             | 2037-01-15      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Baxter International, Inc.                                                | Baxter International, Inc.                                                                                                    | CUSIP: 071813BY4<br>LEI: J5OIVXX3P24RJRW5CK77 | Long             | DBT              | CORP              | US        |     827000 | PA      | $752932.36    | 0.02%             | 2030-04-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Anheuser-Busch InBev Worldwide, Inc.                                      | Anheuser-Busch InBev Worldwide, Inc.                                                                                          | CUSIP: 035240AQ3<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |    3351000 | PA      | $3307746.63   | 0.10%             | 2029-01-23      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140X83D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     535183 | PA      | $500179.83    | 0.01%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Republic of Philippines                                                   | Republic of Philippines                                                                                                       | CUSIP: 718286CC9<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |    3147000 | PA      | $2927056.17   | 0.09%             | 2028-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Commercial Mortgage Securities Trust                       | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2016-JP3, Class XC                                                | CUSIP: 46590RAM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4330000 | PA      | $96291.84     | 0.00%             | 2049-08-15      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| HPS Loan Management Ltd.                                                  | HPS Loan Management Ltd., Series 6A-2015, Class A1R                                                                           | CUSIP: 40436KAC9<br>LEI: 549300OYG05TXUTUVD98 | Long             | ABS-CBDO         | CORP              | KY        |    3009433 | PA      | $2975442.43   | 0.09%             | 2031-02-05      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| NRG Energy, Inc.                                                          | NRG Energy, Inc.                                                                                                              | CUSIP: 629377CL4<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |      26000 | PA      | $22993.06     | 0.00%             | 2029-06-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                            | Morgan Stanley Capital I Trust, Series 2018-L1, Class A3                                                                      | CUSIP: 61691QAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     120000 | PA      | $112276.22    | 0.00%             | 2051-10-15      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| AEP Texas, Inc.                                                           | AEP Texas, Inc.                                                                                                               | CUSIP: 00108WAN0<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |    1005000 | PA      | $708679.67    | 0.02%             | 2051-05-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Anglo American Capital plc                                                | Anglo American Capital plc                                                                                                    | CUSIP: 034863AU4<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |    2748000 | PA      | $2608023.75   | 0.08%             | 2028-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  -52894085 | PA      | $-670523.54   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36178D7L9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      99030 | PA      | $93132.36     | 0.00%             | 2043-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138WKLH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     407323 | PA      | $389609.69    | 0.01%             | 2032-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31390MJS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1325 | PA      | $1330.28      | 0.00%             | 2032-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Generate CLO 4 Ltd.                                                       | Generate CLO 4 Ltd., Series 4A, Class A1R                                                                                     | CUSIP: 986252AQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1050000 | PA      | $1035342.74   | 0.03%             | 2032-04-20      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179USV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1595559 | PA      | $1562481.02   | 0.05%             | 2049-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31329KME1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1585 | PA      | $1592.88      | 0.00%             | 2030-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179RS91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      39648 | PA      | $36896.83     | 0.00%             | 2045-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QGKB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     723952 | PA      | $679534.76    | 0.02%             | 2035-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Paramount Global                                                          | Paramount Global                                                                                                              | CUSIP: 92553PAP7<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |    1138000 | PA      | $783633.24    | 0.02%             | 2043-03-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                        | Energy Transfer LP                                                                                                            | CUSIP: 29278NAR4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    2007000 | PA      | $1603454.18   | 0.05%             | 2050-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Lockheed Martin Corp.                                                     | Lockheed Martin Corp.                                                                                                         | CUSIP: 539830BR9<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |     507000 | PA      | $477743.28    | 0.01%             | 2032-06-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138X4S68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     369718 | PA      | $357330.75    | 0.01%             | 2028-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Air Canada Pass-Through Trust                                             | Air Canada Pass-Through Trust, Series 2017-1, Class AA                                                                        | CUSIP: 00908PAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |     403962 | PA      | $344852.57    | 0.01%             | 2030-01-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Gruma SAB de CV                                                           | Gruma SAB de CV                                                                                                               | CUSIP: N/A<br>LEI: 5493000XJLJ6C4T0PG82       | Long             | DBT              | CORP              | MX        |     211000 | PA      | $208468.00    | 0.01%             | 2024-12-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Oncor Electric Delivery Co. LLC                                           | Oncor Electric Delivery Co. LLC                                                                                               | CUSIP: 68233JCJ1<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |    2230000 | PA      | $2183209.14   | 0.06%             | 2032-09-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31410KHE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      59796 | PA      | $62426.77     | 0.00%             | 2038-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Transcontinental Gas Pipe Line Co. LLC                                    | Transcontinental Gas Pipe Line Co. LLC                                                                                        | CUSIP: 893574AP8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3192000 | PA      | $2769997.39   | 0.08%             | 2030-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138E2GK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34106 | PA      | $34004.65     | 0.00%             | 2042-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 31307MYJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     910188 | PA      | $871661.74    | 0.03%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                             | Comcast Corp.                                                                                                                 | CUSIP: 20030NBH3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    1565000 | PA      | $1475102.03   | 0.04%             | 2033-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Republic of Colombia                                                      | Republic of Colombia                                                                                                          | CUSIP: 195325EF8<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |     647000 | PA      | $645706.00    | 0.02%             | 2033-04-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association ACES, Series 2006-M2, Class A2A                                                         | CUSIP: 31396PGT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1262321 | PA      | $1238778.77   | 0.04%             | 2032-10-25      | Variable      | 5.27%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                                               | PRKCM Trust, Series 2022-AFC2, Class A1                                                                                       | CUSIP: 69377TAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2398884 | PA      | $2352336.62   | 0.07%             | 2057-08-25      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| Republic of Indonesia                                                     | Republic of Indonesia                                                                                                         | CUSIP: 455780CQ7<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |     298000 | PA      | $265741.50    | 0.01%             | 2030-02-14      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Global Payments, Inc.                                                     | Global Payments, Inc.                                                                                                         | CUSIP: 891906AC3<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |     814000 | PA      | $792009.72    | 0.02%             | 2026-04-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Port Authority of New York & New Jersey                                   | Port Authority of New York & New Jersey, Series 2014-180-1                                                                    | CUSIP: 73358WRP1<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |    1665000 | PA      | $1611899.15   | 0.05%             | 2046-08-01      | Fixed         | 4.96%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3133A7UK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      55953 | PA      | $50535.72     | 0.00%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3128MFCW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15957 | PA      | $15197.35     | 0.00%             | 2029-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Anglo American Capital plc                                                | Anglo American Capital plc                                                                                                    | CUSIP: 034863BA7<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |    1201000 | PA      | $983168.63    | 0.03%             | 2031-03-17      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Empresas Publicas de Medellin ESP                                         | Empresas Publicas de Medellin ESP                                                                                             | CUSIP: 29246BAE8<br>LEI: 549300SU25TO8EMXB434 | Long             | DBT              | NUSS              | CO        |     276000 | PA      | $218609.25    | 0.01%             | 2029-07-18      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Sabine Pass Liquefaction LLC                                              | Sabine Pass Liquefaction LLC                                                                                                  | CUSIP: 785592AV8<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |    4542000 | PA      | $4595785.00   | 0.14%             | 2026-06-30      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31418EE63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     565030 | PA      | $543916.29    | 0.02%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DMQ81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1503400 | PA      | $1380672.30   | 0.04%             | 2050-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 01F022410<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3010500 | PA      | $2754239.98   | 0.08%             | 2038-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                            | Morgan Stanley                                                                                                                | CUSIP: 61747YEU5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     684000 | PA      | $642632.57    | 0.02%             | 2033-07-20      | Variable      | 4.89%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31419EXV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      82340 | PA      | $80833.34     | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Grupo Televisa SAB                                                        | Grupo Televisa SAB                                                                                                            | CUSIP: 40049JAZ0<br>LEI: 549300O4AF0C816ILN62 | Long             | DBT              | CORP              | MX        |     148000 | PA      | $152144.00    | 0.00%             | 2040-01-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 01F012619<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      75700 | PA      | $58267.07     | 0.00%             | 2053-01-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132JNXG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     123372 | PA      | $119582.87    | 0.00%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Atrium Hotel Portfolio Trust                                              | Atrium Hotel Portfolio Trust, Series 2017-ATRM, Class D                                                                       | CUSIP: 04965JAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4050000 | PA      | $3693395.48   | 0.11%             | 2036-12-15      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 01F052615<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   36447250 | PA      | $36537150.79  | 1.08%             | 2053-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDSCMBX                                                                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     715355 | PA      | $-7385.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                        | T-Mobile USA, Inc.                                                                                                            | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    8906000 | PA      | $8067186.16   | 0.24%             | 2030-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| HMH Trust                                                                 | HMH Trust, Series 2017-NSS, Class A                                                                                           | CUSIP: 40390AAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1890000 | PA      | $1776600.00   | 0.05%             | 2031-07-05      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                                                | AT&T, Inc.                                                                                                                    | CUSIP: 00206RBK7<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     397000 | PA      | $319313.39    | 0.01%             | 2045-06-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DWCT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4777518 | PA      | $3893596.37   | 0.11%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BlackRock Liquidity Funds                                                 | T-Fund, Institutional Class                                                                                                   | CUSIP: 09248U718<br>LEI: 5493002L9DNZ83RX7V61 | Long             | STIV             | RF                | US        |  304236093 | NS      | $304236093.32 | 8.97%             |  |  |  | No            |                  1 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138EQA36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     362042 | PA      | $346361.71    | 0.01%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                          | SMB Private Education Loan Trust, Series 2020-PTA, Class A2A                                                                  | CUSIP: 78449VAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3075132 | PA      | $2731742.45   | 0.08%             | 2054-09-15      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 01F052615<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -36447250 | PA      | $-36537150.79 | -1.08%            | 2053-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Euro-Bund                                                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |        -13 | NC      | $122954.81    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Chase Commercial Mortgage Securities Trust                       | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2021-MHC, Class A                                                 | CUSIP: 466330AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      86931 | PA      | $84638.16     | 0.00%             | 2038-04-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 21H020618<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17989100 | PA      | $15071902.28  | 0.44%             | 2053-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CFCRE Commercial Mortgage Trust                                           | CFCRE Commercial Mortgage Trust, Series 2017-C8, Class B                                                                      | CUSIP: 12532CBC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     667000 | PA      | $586975.07    | 0.02%             | 2050-06-15      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179RLP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      56763 | PA      | $52991.49     | 0.00%             | 2045-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Digital Dutch Finco BV                                                    | Digital Dutch Finco BV                                                                                                        | CUSIP: N/A<br>LEI: 549300ONZ5IS6B6IMJ70       | Long             | DBT              | CORP              | NL        |    1950000 | PA      | $1629565.47   | 0.05%             | 2030-03-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Enterprise Products Operating LLC                                         | Enterprise Products Operating LLC                                                                                             | CUSIP: 29379VAW3<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |     610000 | PA      | $538838.84    | 0.02%             | 2042-08-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO 4-R Ltd.                                            | Anchorage Capital CLO 4-R Ltd., Series 2014-4RA, Class C                                                                      | CUSIP: 03328LAE2<br>LEI: 549300MP4QPQUMB6AD63 | Long             | ABS-CBDO         | CORP              | KY        |     360000 | PA      | $336310.06    | 0.01%             | 2031-01-28      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3133KLUA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12390060 | PA      | $10639169.63  | 0.31%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31389GP79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         14 | PA      | $13.94        | 0.00%             | 2032-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance Trust                                        | Regional Management Issuance Trust, Series 2021-2, Class B                                                                    | CUSIP: 75907UAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     130000 | PA      | $104338.16    | 0.00%             | 2033-08-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                           | CUSIP: 91282CCD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    8561000 | PA      | $8408172.79   | 0.25%             | 2023-05-31      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| MP CLO VIII Ltd.                                                          | MP CLO VIII Ltd., Series 2015-2A, Class ARR                                                                                   | CUSIP: 62481WAL1<br>LEI: 549300D60LKSR31DKI65 | Long             | ABS-CBDO         | CORP              | KY        |    1420000 | PA      | $1364815.39   | 0.04%             | 2034-04-28      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31418MGR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4884 | PA      | $5094.42      | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DM7F6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2807155 | PA      | $2322148.06   | 0.07%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| QUALCOMM, Inc.                                                            | QUALCOMM, Inc.                                                                                                                | CUSIP: 747525AV5<br>LEI: H1J8DDZKZP6H7RWC0H53 | Long             | DBT              | CORP              | US        |    1593000 | PA      | $1369768.39   | 0.04%             | 2047-05-20      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Anglo American Capital plc                                                | Anglo American Capital plc                                                                                                    | CUSIP: 034863AZ3<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |     910000 | PA      | $769234.38    | 0.02%             | 2028-03-17      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 01F022618<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1815000 | PA      | $1536423.47   | 0.05%             | 2053-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Apidos CLO XXII                                                           | Apidos CLO XXII, Series 2015-22A, Class A2R                                                                                   | CUSIP: 03765XAJ5<br>LEI: 5493003SQW0Q40KVFQ19 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $242361.00    | 0.01%             | 2031-04-20      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179VXX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8293209 | PA      | $6998152.93   | 0.21%             | 2050-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FS Rialto Issuer LLC                                                      | FS Rialto Issuer LLC, Series 2022-FL6, Class A                                                                                | CUSIP: 30328DAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1469000 | PA      | $1450616.35   | 0.04%             | 2037-08-17      | Floating      | 6.90%                 | No            |                  2 | On Loan: No      |
| Duke Energy Carolinas LLC                                                 | Duke Energy Carolinas LLC                                                                                                     | CUSIP: 26442CAU8<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |    1391000 | PA      | $1112807.08   | 0.03%             | 2048-03-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd.                                                   | Rockford Tower CLO Ltd., Series 2017-1A, Class AR2                                                                            | CUSIP: 77340EAW6<br>LEI: 5493007GXSFXDXOXG741 | Long             | ABS-CBDO         | CORP              | KY        |    2417000 | PA      | $2322279.95   | 0.07%             | 2034-04-20      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-7813.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO 7 Ltd.                                              | Anchorage Capital CLO 7 Ltd., Series 2015-7A, Class D1R2                                                                      | CUSIP: 03328TBG9<br>LEI: 54930014PVHLSZJQK139 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $224599.03    | 0.01%             | 2031-01-28      | Floating      | 7.87%                 | No            |                  2 | On Loan: No      |
| KLA Corp.                                                                 | KLA Corp.                                                                                                                     | CUSIP: 482480AJ9<br>LEI: 549300H0BF5JCG96TJ81 | Long             | DBT              | CORP              | US        |    2605000 | PA      | $1886395.41   | 0.06%             | 2050-03-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Japan 10 Year Bond                                                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | JP        |       -130 | NC      | $2560932.65   | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Rad CLO 2 Ltd.                                                            | Rad CLO 2 Ltd., Series 2018-2A, Class AR                                                                                      | CUSIP: 48661TAJ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     710000 | PA      | $698016.90    | 0.02%             | 2031-10-15      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                                 | HCA, Inc.                                                                                                                     | CUSIP: 404119CF4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    1638000 | PA      | $1385999.56   | 0.04%             | 2032-03-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Blackstone Private Credit Fund                                            | Blackstone Private Credit Fund                                                                                                | CUSIP: 09261HAK3<br>LEI: 549300ORP3TTCNXSYO43 | Long             | DBT              | CORP              | US        |     695000 | PA      | $585163.22    | 0.02%             | 2027-03-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Hess Corp.                                                                | Hess Corp.                                                                                                                    | CUSIP: 023551AM6<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |     660000 | PA      | $710855.86    | 0.02%             | 2033-03-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| MFA Trust                                                                 | MFA Trust, Series 2020-NQM1, Class A3                                                                                         | CUSIP: 552754AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     384185 | PA      | $353320.01    | 0.01%             | 2049-08-25      | Variable      | 2.30%                 | No            |                  2 | On Loan: No      |
| State Street Corp.                                                        | State Street Corp., Series H                                                                                                  | CUSIP: 857477BA0<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |    3780000 | PA      | $3508885.02   | 0.10%             | 2023-12-15      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3133A7JB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23728 | PA      | $21428.92     | 0.00%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DBUBS Mortgage Trust                                                      | DBUBS Mortgage Trust, Series 2017-BRBK, Class D                                                                               | CUSIP: 23305JAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     360000 | PA      | $321471.58    | 0.01%             | 2034-10-10      | Variable      | 3.53%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31418CQB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     369609 | PA      | $352764.88    | 0.01%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2022-GPA, Class A                                                                                            | CUSIP: 05608UAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3610000 | PA      | $3587393.10   | 0.11%             | 2039-10-15      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| GoldenTree Loan Opportunities IX Ltd.                                     | GoldenTree Loan Opportunities IX Ltd., Series 2014-9A, Class AR2                                                              | CUSIP: 38123HAN4<br>LEI: 549300IOBSI2NBFBJX90 | Long             | ABS-CBDO         | CORP              | KY        |     395864 | PA      | $392493.64    | 0.01%             | 2029-10-29      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                           | Goldman Sachs Group, Inc. (The)                                                                                               | CUSIP: 38141GZM9<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   11094000 | PA      | $9008112.00   | 0.27%             | 2033-02-24      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association Variable Rate Notes, Series 2015-48                                                  | CUSIP: 38379KHJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     122712 | PA      | $2973.92      | 0.00%             | 2050-02-16      | Variable      | 0.91%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QEUA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     589606 | PA      | $553339.48    | 0.02%             | 2035-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 3622A24Y5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     384320 | PA      | $352944.12    | 0.01%             | 2045-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Norfolk Southern Corp.                                                    | Norfolk Southern Corp.                                                                                                        | CUSIP: 655844CK2<br>LEI: 54930036C8MWP850MI84 | Long             | DBT              | CORP              | US        |     735000 | PA      | $603990.06    | 0.02%             | 2031-05-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Crown Castle, Inc.                                                        | Crown Castle, Inc.                                                                                                            | CUSIP: 22822VAL5<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |    2185000 | PA      | $2063381.65   | 0.06%             | 2029-02-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp. II                                           | GS Mortgage Securities Corp. II, Series 2005-ROCK, Class A                                                                    | CUSIP: 36228CUV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     800000 | PA      | $770087.52    | 0.02%             | 2032-05-03      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31418EAA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11756973 | PA      | $9617996.49   | 0.28%             | 2041-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                                                    | Lendmark Funding Trust, Series 2022-1A, Class A                                                                               | CUSIP: 52608JAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1556000 | PA      | $1503518.45   | 0.04%             | 2032-07-20      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Canyon Capital CLO Ltd.                                                   | Canyon Capital CLO Ltd., Series 2019-1A, Class A1R                                                                            | CUSIP: 13887TAJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     610000 | PA      | $597289.37    | 0.02%             | 2032-04-15      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $7075.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140J6D46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1708346 | PA      | $1689511.41   | 0.05%             | 2046-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                            | Morgan Stanley                                                                                                                | CUSIP: 61747YEV3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     325000 | PA      | $335498.97    | 0.01%             | 2028-10-18      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QNE65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3308595 | PA      | $2829704.21   | 0.08%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| One Market Plaza Trust                                                    | One Market Plaza Trust, Series 2017-1MKT, Class XCP                                                                           | CUSIP: 68245HAS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17050000 | PA      | $487.63       | 0.00%             | 2032-02-10      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                                      | Charter Communications Operating LLC                                                                                          | CUSIP: 161175CC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     805000 | PA      | $514937.05    | 0.02%             | 2061-12-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | U.S. Treasury Long Bond                                                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        736 | NC      | $-1102145.07  | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| 280 Park Avenue Mortgage Trust                                            | 280 Park Avenue Mortgage Trust, Series 2017-280P, Class D                                                                     | CUSIP: 90205FAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     640000 | PA      | $586987.39    | 0.02%             | 2034-09-15      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| Kinder Morgan Energy Partners LP                                          | Kinder Morgan Energy Partners LP                                                                                              | CUSIP: 494550BU9<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |    1278000 | PA      | $1155639.87   | 0.03%             | 2044-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Digital Dutch Finco BV                                                    | Digital Dutch Finco BV                                                                                                        | CUSIP: N/A<br>LEI: 549300ONZ5IS6B6IMJ70       | Long             | DBT              | CORP              | NL        |    1070000 | PA      | $800326.16    | 0.02%             | 2032-01-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36178WQH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      51631 | PA      | $48208.28     | 0.00%             | 2042-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 3622A2TM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5046129 | PA      | $4814296.11   | 0.14%             | 2045-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Devon Energy Corp.                                                        | Devon Energy Corp.                                                                                                            | CUSIP: 25179MBD4<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |     526000 | PA      | $520493.07    | 0.02%             | 2027-10-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust                        | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C23, Class A4                                                 | CUSIP: 61690QAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     248000 | PA      | $236170.25    | 0.01%             | 2050-07-15      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| BlueMountain CLO XXIII Ltd.                                               | BlueMountain CLO XXIII Ltd., Series 2018-23A, Class B                                                                         | CUSIP: 09629LAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $241421.55    | 0.01%             | 2031-10-20      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| Metalsa S A P I De Cv                                                     | Metalsa S A P I De Cv                                                                                                         | CUSIP: N/A<br>LEI: 549300F2FONGJR575V67       | Long             | DBT              | CORP              | MX        |     561000 | PA      | $437860.50    | 0.01%             | 2031-05-04      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Raytheon Technologies Corp.                                               | Raytheon Technologies Corp.                                                                                                   | CUSIP: 75513ECL3<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |     812000 | PA      | $525984.34    | 0.02%             | 2051-09-01      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140Q9ZW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     390324 | PA      | $382386.14    | 0.01%             | 2033-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Standard Chartered plc                                                    | Standard Chartered plc                                                                                                        | CUSIP: 853254CG3<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |     377000 | PA      | $326989.44    | 0.01%             | 2028-01-12      | Variable      | 2.61%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                                 | Commercial Mortgage Trust, Series 2015-LC23, Class A4                                                                         | CUSIP: 12636FBJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     200000 | PA      | $190254.22    | 0.01%             | 2048-10-10      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| CSX Corp.                                                                 | CSX Corp.                                                                                                                     | CUSIP: 126408HL0<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |     372000 | PA      | $313423.33    | 0.01%             | 2068-03-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                            | Morgan Stanley Capital I Trust, Series 2018-H3, Class A5                                                                      | CUSIP: 61767YAZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      37000 | PA      | $34857.58     | 0.00%             | 2051-07-15      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132JN7C5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     595299 | PA      | $585466.49    | 0.02%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DVL94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   35076994 | PA      | $29955042.54  | 0.88%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Consumers Energy Co.                                                      | Consumers Energy Co.                                                                                                          | CUSIP: 210518DF0<br>LEI: 7NKTFWJ1G6MELP9TU740 | Long             | DBT              | CORP              | US        |     513000 | PA      | $356081.68    | 0.01%             | 2050-08-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| TPGI Trust                                                                | TPGI Trust, Series 2021-DGWD, Class D                                                                                         | CUSIP: 87267HAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3400000 | PA      | $3167570.56   | 0.09%             | 2026-06-15      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding XXIII Ltd.                                           | Madison Park Funding XXIII Ltd., Series 2017-23A, Class BR                                                                    | CUSIP: 55820TAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $243367.33    | 0.01%             | 2031-07-27      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                      | JPMorgan Chase & Co.                                                                                                          | CUSIP: 46647PCC8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     775000 | PA      | $620805.86    | 0.02%             | 2032-04-22      | Variable      | 2.58%                 | No            |                  2 | On Loan: No      |
| Verizon Communications, Inc.                                              | Verizon Communications, Inc.                                                                                                  | CUSIP: 92343VFU3<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    2611000 | PA      | $1636990.68   | 0.05%             | 2050-11-20      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DV6T7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2816735 | PA      | $2176168.15   | 0.06%             | 2050-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| New York City Municipal Water Finance Authority                           | New York City Municipal Water Finance Authority, Series 2010                                                                  | CUSIP: 64972FY34<br>LEI: 549300Q2EHQ6RJPQKP05 | Long             | DBT              | MUN               | US        |     440000 | PA      | $482412.37    | 0.01%             | 2044-06-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust                        | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C25, Class C                                                  | CUSIP: 61765TAM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     320000 | PA      | $290290.56    | 0.01%             | 2048-10-15      | Variable      | 4.53%                 | No            |                  2 | On Loan: No      |
| Altria Group, Inc.                                                        | Altria Group, Inc.                                                                                                            | CUSIP: 02209SBM4<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    1968000 | PA      | $1305269.74   | 0.04%             | 2041-02-04      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| MidAmerican Energy Co.                                                    | MidAmerican Energy Co.                                                                                                        | CUSIP: 595620AV7<br>LEI: NINLOILYRTLIMK26MZ18 | Long             | DBT              | CORP              | US        |    1849000 | PA      | $1308609.06   | 0.04%             | 2050-04-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| BANK                                                                      | BANK, Series 2021-BN37, Class A5                                                                                              | CUSIP: 06540LBF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     325000 | PA      | $267563.50    | 0.01%             | 2064-11-15      | Variable      | 2.62%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                     | Bank of America Corp.                                                                                                         | CUSIP: 06051GHZ5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    1455000 | PA      | $1182611.76   | 0.03%             | 2031-02-13      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DM2W4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     248852 | PA      | $205599.03    | 0.01%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 31335BCD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     636090 | PA      | $595673.66    | 0.02%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132GJ5A3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      36518 | PA      | $35227.05     | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179TNS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     314920 | PA      | $302354.96    | 0.01%             | 2047-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138ARZW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     218502 | PA      | $216605.83    | 0.01%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31418CET7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     102351 | PA      | $93089.42     | 0.00%             | 2031-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Sixth Street CLO XVI Ltd.                                                 | Sixth Street CLO XVI Ltd., Series 2020-16A, Class A1A                                                                         | CUSIP: 83012DAA1<br>LEI: 549300YD05LZSDNMVF16 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $247966.30    | 0.01%             | 2032-10-20      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO V-B Ltd.                                      | Benefit Street Partners CLO V-B Ltd., Series 2018-5BA, Class A1A                                                              | CUSIP: 08181JAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     960000 | PA      | $947032.51    | 0.03%             | 2031-04-20      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO Ltd.                                              | Bain Capital Credit CLO Ltd., Series 2021-3A, Class D                                                                         | CUSIP: 05683NAG7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $224592.28    | 0.01%             | 2034-07-24      | Floating      | 7.42%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31412RHS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40843 | PA      | $40488.42     | 0.00%             | 2040-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 31307MPN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2325 | PA      | $2172.06      | 0.00%             | 2030-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179N2J6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     697519 | PA      | $655244.82    | 0.02%             | 2044-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AEP Texas, Inc.                                                           | AEP Texas, Inc.                                                                                                               | CUSIP: 00108WAH3<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |    1971000 | PA      | $1848233.21   | 0.05%             | 2028-06-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| OHA Credit Funding 2 Ltd.                                                 | OHA Credit Funding 2 Ltd., Series 2019-2A, Class AR                                                                           | CUSIP: 67707EAU8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3220000 | PA      | $3144623.66   | 0.09%             | 2034-04-21      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| NXP BV                                                                    | NXP BV                                                                                                                        | CUSIP: 62954HBA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5016000 | PA      | $3949473.00   | 0.12%             | 2031-05-11      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-2179.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BAMLL Commercial Mortgage Securities Trust                                | BAMLL Commercial Mortgage Securities Trust, Series 2018-DSNY, Class D                                                         | CUSIP: 054967AL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     830000 | PA      | $784253.47    | 0.02%             | 2034-09-15      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group, Inc.                                                  | UnitedHealth Group, Inc.                                                                                                      | CUSIP: 91324PBU5<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     371000 | PA      | $341908.67    | 0.01%             | 2041-11-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd.                                                             | Voya CLO Ltd., Series 2017-4A, Class A1                                                                                       | CUSIP: 92916QAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1680000 | PA      | $1659141.12   | 0.05%             | 2030-10-15      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179TSG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     828229 | PA      | $772454.68    | 0.02%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Recette CLO Ltd.                                                          | Recette CLO Ltd., Series 2015-1A, Class BRR                                                                                   | CUSIP: 75620TAX6<br>LEI: 549300392I5L5XOJ0016 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $237466.68    | 0.01%             | 2034-04-20      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| Transcontinental Gas Pipe Line Co. LLC                                    | Transcontinental Gas Pipe Line Co. LLC                                                                                        | CUSIP: 893574AH6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2847000 | PA      | $3038503.40   | 0.09%             | 2026-02-01      | Fixed         | 7.85%                 | No            |                  2 | On Loan: No      |
| Burlington Northern Santa Fe LLC                                          | Burlington Northern Santa Fe LLC                                                                                              | CUSIP: 12189LBH3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1371000 | PA      | $914007.31    | 0.03%             | 2052-06-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Raytheon Technologies Corp.                                               | Raytheon Technologies Corp.                                                                                                   | CUSIP: 75513EBZ3<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    2010000 | PA      | $2169927.88   | 0.06%             | 2028-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Equinix, Inc.                                                             | Equinix, Inc.                                                                                                                 | CUSIP: 29444UBU9<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |    5083000 | PA      | $4515956.84   | 0.13%             | 2032-04-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Symphony CLO XVII Ltd.                                                    | Symphony CLO XVII Ltd., Series 2016-17A, Class AR                                                                             | CUSIP: 87165UAN1<br>LEI: 549300X84MR2MGY6OR68 | Long             | ABS-CBDO         | CORP              | KY        |     395687 | PA      | $392837.86    | 0.01%             | 2028-04-15      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138WJH27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     320293 | PA      | $297125.87    | 0.01%             | 2036-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| EQT Corp.                                                                 | EQT Corp.                                                                                                                     | CUSIP: 26884LAF6<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     747000 | PA      | $689604.43    | 0.02%             | 2027-10-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Gilead Sciences, Inc.                                                     | Gilead Sciences, Inc.                                                                                                         | CUSIP: 375558BK8<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |    1872000 | PA      | $1546122.69   | 0.05%             | 2047-03-01      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 31335CCX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     202507 | PA      | $203096.60    | 0.01%             | 2048-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AGL Core CLO 15 Ltd.                                                      | AGL Core CLO 15 Ltd., Series 2021-15A, Class A1                                                                               | CUSIP: 00121GAA6<br>LEI: 5493001O95I190NV0196 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $243139.85    | 0.01%             | 2035-01-20      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-26744.25    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Burlington Northern Santa Fe LLC                                          | Burlington Northern Santa Fe LLC                                                                                              | CUSIP: 12189LBG5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1423000 | PA      | $1035682.92   | 0.03%             | 2051-09-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association                                                                                         | CUSIP: 3138EP6D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      77929 | PA      | $74482.31     | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140XHHS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   29560519 | PA      | $24091572.76  | 0.71%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Baltimore Gas & Electric Co.                                              | Baltimore Gas & Electric Co.                                                                                                  | CUSIP: 059165EK2<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |     831000 | PA      | $696527.56    | 0.02%             | 2048-09-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | U.S. Treasury 10 Year Ultra Note                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -286 | NC      | $738982.39    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Cenovus Energy, Inc.                                                      | Cenovus Energy, Inc.                                                                                                          | CUSIP: 15135UAP4<br>LEI: 549300F4XPHJ7NOSP309 | Long             | DBT              | CORP              | CA        |     385000 | PA      | $350721.18    | 0.01%             | 2037-06-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FirstEnergy Corp.                                                         | FirstEnergy Corp., Series B                                                                                                   | CUSIP: 337932AH0<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |    1839000 | PA      | $1710726.86   | 0.05%             | 2027-07-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| MP CLO III Ltd.                                                           | MP CLO III Ltd., Series 2013-1A, Class AR                                                                                     | CUSIP: 553205AC9<br>LEI: 549300FWSFBNCWDD1P18 | Long             | ABS-CBDO         | CORP              | KY        |     830000 | PA      | $815364.44    | 0.02%             | 2030-10-20      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| Gulf Stream Meridian 4 Ltd.                                               | Gulf Stream Meridian 4 Ltd., Series 2021-4A, Class A1                                                                         | CUSIP: 402562AA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2580000 | PA      | $2512375.88   | 0.07%             | 2034-07-15      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| CenterPoint Energy Houston Electric LLC                                   | CenterPoint Energy Houston Electric LLC, Series ai.                                                                           | CUSIP: 15189XAZ1<br>LEI: 549300S8SEQBOJLKHW63 | Long             | DBT              | CORP              | US        |    2977000 | PA      | $2869921.27   | 0.08%             | 2032-10-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 01F050627<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3900000 | PA      | $3841144.75   | 0.11%             | 2053-02-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Park Avenue Institutional Advisers CLO Ltd.                               | Park Avenue Institutional Advisers CLO Ltd., Series 2017-1A, Class A1R                                                        | CUSIP: 70017KAL3<br>LEI: 549300ZWX1MRCB6KO574 | Long             | ABS-CBDO         | CORP              | KY        |    1390000 | PA      | $1349263.55   | 0.04%             | 2034-02-14      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| American Tower Corp.                                                      | American Tower Corp.                                                                                                          | CUSIP: 03027XAW0<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    3271000 | PA      | $2967363.64   | 0.09%             | 2029-08-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132HNDN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      33982 | PA      | $31674.10     | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138WFKW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     210296 | PA      | $205368.20    | 0.01%             | 2030-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| International Paper Co.                                                   | International Paper Co.                                                                                                       | CUSIP: 460146CH4<br>LEI: 824LMFJDH41EY779Q875 | Long             | DBT              | CORP              | US        |     656000 | PA      | $653894.38    | 0.02%             | 2041-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Williams Cos., Inc. (The)                                                 | Williams Cos., Inc. (The)                                                                                                     | CUSIP: 96949LAC9<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |     616000 | PA      | $538614.46    | 0.02%             | 2045-09-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO 16 Ltd.                                             | Anchorage Capital CLO 16 Ltd., Series 2020-16A, Class A1R                                                                     | CUSIP: 03330WAJ3<br>LEI: 5493008M7D1YIDOH2C69 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $243016.00    | 0.01%             | 2035-01-19      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Oleoducto Central SA                                                      | Oleoducto Central SA                                                                                                          | CUSIP: N/A<br>LEI: 254900W4CPYCQFVH5E92       | Long             | DBT              | CORP              | CO        |     200000 | PA      | $175600.00    | 0.01%             | 2027-07-14      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179UPB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1281243 | PA      | $1257485.36   | 0.04%             | 2049-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust                                | JPMBB Commercial Mortgage Securities Trust, Series 2014-C22, Class XA                                                         | CUSIP: 46642NBF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     838192 | PA      | $7863.50      | 0.00%             | 2047-09-15      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| CenterPoint Energy Resources Corp.                                        | CenterPoint Energy Resources Corp.                                                                                            | CUSIP: 15189YAF3<br>LEI: 2JADVB0458J06WCD4N56 | Long             | DBT              | CORP              | US        |     922000 | PA      | $726885.12    | 0.02%             | 2030-10-01      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| GCAT Trust                                                                | GCAT Trust, Series 2022-NQM4, Class A1                                                                                        | CUSIP: 36170HAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2386879 | PA      | $2332002.61   | 0.07%             | 2067-08-25      | Variable      | 5.27%                 | No            |                  2 | On Loan: No      |
| Diameter Capital CLO 1 Ltd.                                               | Diameter Capital CLO 1 Ltd., Series 2021-1A, Class A1A                                                                        | CUSIP: 25255DAA8<br>LEI: 25490018I1ROE4V49X69 | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $480826.60    | 0.01%             | 2036-07-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Walt Disney Co. (The)                                                     | Walt Disney Co. (The)                                                                                                         | CUSIP: 254687FM3<br>LEI: 549300GZKULIZ0WOW665 | Long             | DBT              | CORP              | US        |     590000 | PA      | $390223.08    | 0.01%             | 2049-09-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QLZ82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3692396 | PA      | $3150506.68   | 0.09%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Dryden 77 CLO Ltd.                                                        | Dryden 77 CLO Ltd., Series 2020-77A, Class AR                                                                                 | CUSIP: 26252VAS0<br>LEI: 254900XGNUOV0Y3IBA68 | Long             | ABS-CBDO         | CORP              | KY        |     810000 | PA      | $786557.71    | 0.02%             | 2034-05-20      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140FFPA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     178699 | PA      | $166379.20    | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179WTZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3049185 | PA      | $2724526.49   | 0.08%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Southwestern Public Service Co.                                           | Southwestern Public Service Co., Series 8                                                                                     | CUSIP: 845743BU6<br>LEI: OL6FE7QD5EQ3DOYEO258 | Long             | DBT              | CORP              | US        |    1717000 | PA      | $1184192.12   | 0.03%             | 2050-05-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-4525.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138EJXL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     365677 | PA      | $362460.39    | 0.01%             | 2042-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   50668000 | PA      | $-13511.09    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 31335BFU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     343554 | PA      | $337875.85    | 0.01%             | 2047-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Voya Euro CLO V DAC                                                       | Voya Euro CLO V DAC, Series 5A, Class D                                                                                       | CUSIP: N/A<br>LEI: 549300IGE7MPYA8F0423       | Long             | ABS-CBDO         | CORP              | IE        |     250000 | PA      | $229598.73    | 0.01%             | 2035-04-15      | Floating      | 3.10%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132XCSJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     511251 | PA      | $501757.78    | 0.01%             | 2049-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138ERHD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39531 | PA      | $36673.73     | 0.00%             | 2036-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Broadcom, Inc.                                                            | Broadcom, Inc.                                                                                                                | CUSIP: 11135FBK6<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   10082000 | PA      | $8082817.33   | 0.24%             | 2033-04-15      | Fixed         | 3.42%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QKWK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     130189 | PA      | $122017.48    | 0.00%             | 2036-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138ENGF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1774940 | PA      | $1743627.79   | 0.05%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CenterPoint Energy Houston Electric LLC                                   | CenterPoint Energy Houston Electric LLC                                                                                       | CUSIP: 15189XAS7<br>LEI: 549300S8SEQBOJLKHW63 | Long             | DBT              | CORP              | US        |    1262000 | PA      | $1033022.27   | 0.03%             | 2048-03-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138M5G37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     264804 | PA      | $262507.54    | 0.01%             | 2042-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                                              | AbbVie, Inc.                                                                                                                  | CUSIP: 00287YBD0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     625000 | PA      | $569288.59    | 0.02%             | 2048-11-14      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140X83P0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     643517 | PA      | $529953.04    | 0.02%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| State of California                                                       | State of California, Series 2009                                                                                              | CUSIP: 13063A5G5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    1300000 | PA      | $1642317.11   | 0.05%             | 2039-04-01      | Fixed         | 7.55%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bonds                                                                                                           | CUSIP: 912810QZ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6784000 | PA      | $5787600.00   | 0.17%             | 2043-02-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DMRV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7910440 | PA      | $7082835.10   | 0.21%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QKWL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     253632 | PA      | $237709.61    | 0.01%             | 2036-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                     | Wells Fargo Commercial Mortgage Trust, Series 2020-SDAL, Class D                                                              | CUSIP: 95002GAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     720000 | PA      | $675189.50    | 0.02%             | 2037-02-15      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                                           | CSAIL Commercial Mortgage Trust, Series 2019-C18, Class D                                                                     | CUSIP: 12597DAS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2849000 | PA      | $1802724.12   | 0.05%             | 2052-12-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | NDIRS                                                                                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        | 6530622000 | PA      | $-365572.31   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36181FEB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     149531 | PA      | $140625.91    | 0.00%             | 2043-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Verizon Communications, Inc.                                              | Verizon Communications, Inc.                                                                                                  | CUSIP: 92343VGL2<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    1684000 | PA      | $1158930.96   | 0.03%             | 2041-09-03      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Taurus UK DAC                                                             | Taurus UK DAC, Series 2021-UK4A, Class D                                                                                      | CUSIP: N/A<br>LEI: 6354001CXJE7XMMVG324       | Long             | ABS-MBS          | CORP              | IE        |     741976 | PA      | $793350.94    | 0.02%             | 2031-08-17      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| Rogers Communications, Inc.                                               | Rogers Communications, Inc.                                                                                                   | CUSIP: 775109CC3<br>LEI: 54930030NVF3Y2OL0A78 | Long             | DBT              | CORP              | CA        |    7084000 | PA      | $6113162.74   | 0.18%             | 2032-03-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QANL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5484860 | PA      | $5460590.03   | 0.16%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Equinix, Inc.                                                             | Equinix, Inc.                                                                                                                 | CUSIP: 29444UBS4<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |    3518000 | PA      | $2826682.50   | 0.08%             | 2031-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31402DGM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24422 | PA      | $25261.94     | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        | -855012000 | PA      | $-416775.94   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2021-CIP, Class A                                                                        | CUSIP: 12434FAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     104000 | PA      | $100348.62    | 0.00%             | 2038-12-15      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132GDC67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4599 | PA      | $4421.22      | 0.00%             | 2041-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Venture XVIII CLO Ltd.                                                    | Venture XVIII CLO Ltd., Series 2014-18A, Class AR                                                                             | CUSIP: 92329FAP2<br>LEI: 549300MWRVTJN0X3KI79 | Long             | ABS-CBDO         | CORP              | KY        |    3081546 | PA      | $3047491.13   | 0.09%             | 2029-10-15      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31416VBK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      89787 | PA      | $86237.46     | 0.00%             | 2035-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Northern States Power Co.                                                 | Northern States Power Co.                                                                                                     | CUSIP: 665772CU1<br>LEI: 3S1GHB0TEH85KX44SB51 | Long             | DBT              | CORP              | US        |    1661000 | PA      | $1180917.90   | 0.03%             | 2052-04-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Enterprise Products Operating LLC                                         | Enterprise Products Operating LLC                                                                                             | CUSIP: 29379VBT9<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    1885000 | PA      | $1784911.74   | 0.05%             | 2028-10-16      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                       | Citigroup Commercial Mortgage Trust, Series 2014-GC19, Class C                                                                | CUSIP: 17322AAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     120000 | PA      | $115888.70    | 0.00%             | 2047-03-11      | Variable      | 5.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        | 1001491010 | PA      | $373045.36    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CSMC Trust                                                                | CSMC Trust, Series 2022-NWPT, Class A                                                                                         | CUSIP: 12663MAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1017000 | PA      | $997371.19    | 0.03%             | 2024-09-09      | Floating      | 7.48%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140XATV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1929447 | PA      | $1588956.68   | 0.05%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140X7CB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1301692 | PA      | $1241168.52   | 0.04%             | 2049-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                                 | Commercial Mortgage Trust, Series 2015-CR24, Class B                                                                          | CUSIP: 12593JBJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1232000 | PA      | $1138689.18   | 0.03%             | 2048-08-10      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                              | Oracle Corp.                                                                                                                  | CUSIP: 68389XAW5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     962000 | PA      | $773499.77    | 0.02%             | 2044-07-08      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Northern States Power Co.                                                 | Northern States Power Co.                                                                                                     | CUSIP: 665772CN7<br>LEI: 3S1GHB0TEH85KX44SB51 | Long             | DBT              | CORP              | US        |     669000 | PA      | $544742.62    | 0.02%             | 2045-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31418CLH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1035754 | PA      | $993168.81    | 0.03%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31417C3C7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42397 | PA      | $40406.65     | 0.00%             | 2027-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QM3K8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2135025 | PA      | $1756880.14   | 0.05%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Trust                                          | OneMain Financial Issuance Trust, Series 2022-3A, Class A                                                                     | CUSIP: 68269PAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3369000 | PA      | $3354054.78   | 0.10%             | 2034-05-15      | Fixed         | 5.94%                 | No            |                  2 | On Loan: No      |
| BHG Securitization Trust                                                  | BHG Securitization Trust, Series 2022-C, Class A                                                                              | CUSIP: 08860DAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     906499 | PA      | $899023.43    | 0.03%             | 2035-10-17      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| Carlyle US CLO Ltd.                                                       | Carlyle US CLO Ltd., Series 2021-10A, Class A                                                                                 | CUSIP: 14316YAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     830000 | PA      | $801007.60    | 0.02%             | 2034-10-20      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $29633.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO 55B Ltd.                                       | Golub Capital Partners CLO 55B Ltd., Series 2021-55A, Class A                                                                 | CUSIP: 38178LAA7<br>LEI: 254900ZZ9HHZTOQ1XK24 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $242842.68    | 0.01%             | 2034-07-20      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| Aqua Finance Trust                                                        | Aqua Finance Trust, Series 2021-A, Class A                                                                                    | CUSIP: 03842VAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      98713 | PA      | $90254.55     | 0.00%             | 2046-07-17      | Fixed         | 1.54%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Refi Loan Trust                                 | Navient Private Education Refi Loan Trust, Series 2021-DA, Class B                                                            | CUSIP: 63942CAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     370000 | PA      | $327252.61    | 0.01%             | 2060-04-15      | Fixed         | 2.61%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                           | CUSIP: 9128284V9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3916000 | PA      | $3687617.67   | 0.11%             | 2028-08-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| ILPT Commercial Mortgage Trust                                            | ILPT Commercial Mortgage Trust, Series 2022-LPF2, Class A                                                                     | CUSIP: 449652AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1830000 | PA      | $1829428.67   | 0.05%             | 2039-10-15      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                     | Bank of America Corp.                                                                                                         | CUSIP: 06051GKY4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    2030000 | PA      | $1927265.62   | 0.06%             | 2033-07-22      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| Riserva CLO Ltd.                                                          | Riserva CLO Ltd., Series 2016-3A, Class ARR                                                                                   | CUSIP: 76761RAY5<br>LEI: 549300640C8OB2I8SN35 | Long             | ABS-CBDO         | CORP              | KY        |    1220000 | PA      | $1194230.06   | 0.04%             | 2034-01-18      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Los Angeles Community College District                                    | Los Angeles Community College District, Series 2010E                                                                          | CUSIP: 54438CNZ1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     980000 | PA      | $1143152.07   | 0.03%             | 2042-08-01      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO 5-R Ltd.                                            | Anchorage Capital CLO 5-R Ltd., Series 2014-5RA, Class B                                                                      | CUSIP: 03329AAE5<br>LEI: 549300687XYK5L55VX28 | Long             | ABS-CBDO         | CORP              | KY        |     420000 | PA      | $413144.68    | 0.01%             | 2030-01-15      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179WTY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   16729901 | PA      | $14511739.03  | 0.43%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36182XAY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      29484 | PA      | $28405.49     | 0.00%             | 2044-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 01F050619<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -10019000 | PA      | $-9870933.31  | -0.29%            | 2053-01-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Trust                                          | OneMain Financial Issuance Trust, Series 2022-2A, Class A                                                                     | CUSIP: 68268VAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1766000 | PA      | $1723926.46   | 0.05%             | 2034-10-14      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| VICI Properties LP                                                        | VICI Properties LP                                                                                                            | CUSIP: 92564RAB1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     883000 | PA      | $803530.00    | 0.02%             | 2029-12-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140XGHK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7249474 | PA      | $6861696.97   | 0.20%             | 2051-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                      | JPMorgan Chase & Co.                                                                                                          | CUSIP: 46647PCU8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    6785000 | PA      | $5522326.49   | 0.16%             | 2033-01-25      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | U.S. Treasury 5 Year Note                                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       3146 | NC      | $-991697.14   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Westlake Corp.                                                            | Westlake Corp.                                                                                                                | CUSIP: 960413BA9<br>LEI: GOXNEVUM0LL78B1OS344 | Long             | DBT              | CORP              | US        |    1049000 | PA      | $618614.17    | 0.02%             | 2061-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DVLP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5451932 | PA      | $4722482.43   | 0.14%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Clontarf Park CLO DAC                                                     | Clontarf Park CLO DAC, Series 1X, Class CE                                                                                    | CUSIP: N/A<br>LEI: 5493001O2660X7YTLM04       | Long             | ABS-CBDO         | CORP              | IE        |     390000 | PA      | $385956.19    | 0.01%             | 2030-08-05      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36202FDB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21145 | PA      | $21104.12     | 0.00%             | 2039-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179RBX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      57086 | PA      | $53354.65     | 0.00%             | 2045-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                        | United Airlines Pass-Through Trust, Series 2019-2, Class B                                                                    | CUSIP: 90932KAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     853217 | PA      | $734399.54    | 0.02%             | 2028-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $368.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138AFCC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5659 | PA      | $5715.06      | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO XXVIII Ltd.                                               | Sound Point CLO XXVIII Ltd., Series 2020-3A, Class A1                                                                         | CUSIP: 83615CAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     460000 | PA      | $450820.15    | 0.01%             | 2032-01-25      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3133A8RR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     408540 | PA      | $335555.79    | 0.01%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 31307MWZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     461339 | PA      | $441873.82    | 0.01%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Cedar Funding XI CLO Ltd.                                                 | Cedar Funding XI CLO Ltd., Series 2019-11A, Class A2R                                                                         | CUSIP: 15033LAS1<br>LEI: 2549004YLPCISGLL7978 | Long             | ABS-CBDO         | CORP              | KY        |     280000 | PA      | $269567.68    | 0.01%             | 2032-05-29      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance Trust                                        | Regional Management Issuance Trust, Series 2022-1, Class C                                                                    | CUSIP: 75907DAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     100000 | PA      | $85075.84     | 0.00%             | 2032-03-15      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132QTAC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      66099 | PA      | $61981.90     | 0.00%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                       | Citigroup Commercial Mortgage Trust, Series 2016-C1, Class D                                                                  | CUSIP: 17290YAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     110000 | PA      | $90832.36     | 0.00%             | 2049-05-10      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138YBWL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     184976 | PA      | $173450.62    | 0.01%             | 2030-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Baltimore Gas & Electric Co.                                              | Baltimore Gas & Electric Co.                                                                                                  | CUSIP: 059165EL0<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |    1036000 | PA      | $728777.31    | 0.02%             | 2049-09-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Voya Euro CLO V DAC                                                       | Voya Euro CLO V DAC, Series 5A, Class B1                                                                                      | CUSIP: N/A<br>LEI: 549300IGE7MPYA8F0423       | Long             | ABS-CBDO         | CORP              | IE        |     440000 | PA      | $437202.62    | 0.01%             | 2035-04-15      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| Penske Truck Leasing Co. LP                                               | Penske Truck Leasing Co. LP                                                                                                   | CUSIP: 709599BR4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2694000 | PA      | $2712906.47   | 0.08%             | 2027-11-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138WFAD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     144969 | PA      | $135916.43    | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $7965.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Madison Park Funding XXXV Ltd.                                            | Madison Park Funding XXXV Ltd., Series 2019-35A, Class A1R                                                                    | CUSIP: 55819MAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     730000 | PA      | $716907.96    | 0.02%             | 2032-04-20      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Hungary                                                                   | Hungary Government Bond                                                                                                       | CUSIP: N/A<br>LEI: 5299003F3UFKGCCMAP43       | Long             | DBT              | NUSS              | HU        |     710000 | PA      | $752620.25    | 0.02%             | 2027-02-22      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BANK                                                                      | BANK, Series 2021-BN33, Class XB                                                                                              | CUSIP: 06541CBS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   81230000 | PA      | $2813773.08   | 0.08%             | 2064-05-15      | Variable      | 0.48%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $1145.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Cedar Funding II CLO Ltd.                                                 | Cedar Funding II CLO Ltd., Series 2013-1A, Class BRR                                                                          | CUSIP: 15032TBG0<br>LEI: 254900Q56WTD2BRLBE32 | Long             | ABS-CBDO         | CORP              | KY        |     680000 | PA      | $646950.23    | 0.02%             | 2034-04-20      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132KFAB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     284138 | PA      | $266735.56    | 0.01%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BB-UBS Trust                                                              | BB-UBS Trust, Series 2012-SHOW, Class E                                                                                       | CUSIP: 05538UAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     260000 | PA      | $227771.86    | 0.01%             | 2036-11-05      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36241KXQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      91167 | PA      | $93305.60     | 0.00%             | 2038-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                           | CUSIP: 9128282R0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   45063000 | PA      | $41685035.16  | 1.23%             | 2027-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 01F042624<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8600000 | PA      | $8275068.18   | 0.24%             | 2053-02-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Mid-Atlantic Interstate Transmission LLC                                  | Mid-Atlantic Interstate Transmission LLC                                                                                      | CUSIP: 59524QAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     107000 | PA      | $100688.75    | 0.00%             | 2028-05-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Owens Corning                                                             | Owens Corning                                                                                                                 | CUSIP: 690742AJ0<br>LEI: JO5M6676RDJIZ2U8X907 | Long             | DBT              | CORP              | US        |     460000 | PA      | $418073.76    | 0.01%             | 2029-08-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Pikes Peak CLO 1                                                          | Pikes Peak CLO 1, Series 2018-1A, Class A                                                                                     | CUSIP: 721327AA2<br>LEI: 549300IOF5UIE4PES702 | Long             | ABS-CBDO         | CORP              | KY        |     275000 | PA      | $271660.46    | 0.01%             | 2031-07-24      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| BlueMountain CLO Ltd.                                                     | BlueMountain CLO Ltd., Series 2013-2A, Class A1R                                                                              | CUSIP: 09626YAN0<br>LEI: 549300KGXMRFX2DKIX03 | Long             | ABS-CBDO         | CORP              | KY        |    1735283 | PA      | $1712723.93   | 0.05%             | 2030-10-22      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179UWA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      31582 | PA      | $30936.79     | 0.00%             | 2049-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 01F032419<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -3172312 | PA      | $-3034589.56  | -0.09%            | 2038-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Avoca CLO XVIII DAC                                                       | Avoca CLO XVIII DAC, Series 18X, Class C                                                                                      | CUSIP: N/A<br>LEI: 549300K6K5XESJRIKM24       | Long             | ABS-CBDO         | CORP              | IE        |     100000 | PA      | $99243.68     | 0.00%             | 2031-04-15      | Floating      | 3.13%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                       | Citigroup Commercial Mortgage Trust, Series 2017-C4, Class A4                                                                 | CUSIP: 17326FAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     290000 | PA      | $267635.23    | 0.01%             | 2050-10-12      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138WHD25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     279076 | PA      | $260958.98    | 0.01%             | 2031-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Blackstone Private Credit Fund                                            | Blackstone Private Credit Fund                                                                                                | CUSIP: 09261HAR8<br>LEI: 549300ORP3TTCNXSYO43 | Long             | DBT              | CORP              | US        |    2645000 | PA      | $2182192.74   | 0.06%             | 2029-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                        | Energy Transfer LP                                                                                                            | CUSIP: 29273RBL2<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    1780000 | PA      | $1480939.81   | 0.04%             | 2047-04-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Apple, Inc.                                                               | Apple, Inc.                                                                                                                   | CUSIP: 037833DZ0<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |     878000 | PA      | $546094.90    | 0.02%             | 2050-08-20      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| PECO Energy Co.                                                           | PECO Energy Co.                                                                                                               | CUSIP: 693304BE6<br>LEI: YH65D4JBECK76IFEJ279 | Long             | DBT              | CORP              | US        |     497000 | PA      | $437163.44    | 0.01%             | 2052-08-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36181GFS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     202902 | PA      | $190822.91    | 0.01%             | 2043-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QC6E1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     600382 | PA      | $566963.44    | 0.02%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179W5B0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3856660 | PA      | $3341228.22   | 0.10%             | 2052-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                           | CUSIP: 91282CCF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   10210000 | PA      | $9105644.95   | 0.27%             | 2026-05-31      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Cox Communications, Inc.                                                  | Cox Communications, Inc.                                                                                                      | CUSIP: 224044CM7<br>LEI: 5493001NEDZNIFRP2R92 | Long             | DBT              | CORP              | US        |     582000 | PA      | $348938.80    | 0.01%             | 2050-10-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Regatta VII Funding Ltd.                                                  | Regatta VII Funding Ltd., Series 2016-1A, Class BR2                                                                           | CUSIP: 75888ABJ4<br>LEI: 549300DA6HSLI0UPTQ25 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $239151.05    | 0.01%             | 2034-06-20      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140E1RT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20629 | PA      | $19572.03     | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140X9PE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     275904 | PA      | $261184.09    | 0.01%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                      | JPMorgan Chase & Co.                                                                                                          | CUSIP: 46647PDH6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    2669000 | PA      | $2541226.46   | 0.07%             | 2033-07-25      | Variable      | 4.91%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DMR23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     570823 | PA      | $546768.61    | 0.02%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QEBL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3842752 | PA      | $3304486.00   | 0.10%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2021-SDMF, Class A                                                                                           | CUSIP: 12434CAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     174000 | PA      | $166634.88    | 0.00%             | 2034-09-15      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Gulf Stream Meridian 3 Ltd.                                               | Gulf Stream Meridian 3 Ltd., Series 2021-IIIA, Class A1                                                                       | CUSIP: 402512AA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $244210.70    | 0.01%             | 2034-04-15      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| Anheuser-Busch Cos. LLC                                                   | Anheuser-Busch Cos. LLC                                                                                                       | CUSIP: 03522AAH3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1076000 | PA      | $1016220.46   | 0.03%             | 2036-02-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| NSTAR Electric Co.                                                        | NSTAR Electric Co.                                                                                                            | CUSIP: 67021CAN7<br>LEI: 54930080R72Y2Z31UR68 | Long             | DBT              | CORP              | US        |     540000 | PA      | $491429.12    | 0.01%             | 2029-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                        | United Airlines Pass-Through Trust, Series 2020-1, Class B                                                                    | CUSIP: 90932VAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     640080 | PA      | $608962.70    | 0.02%             | 2026-01-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $8305.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $2470.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140X8MY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     597197 | PA      | $517340.44    | 0.02%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Commonwealth Edison Co.                                                   | Commonwealth Edison Co., Series 127                                                                                           | CUSIP: 202795JQ4<br>LEI: D8YOXB8L2ZDC8P7Q0771 | Long             | DBT              | CORP              | US        |     529000 | PA      | $376108.65    | 0.01%             | 2049-11-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding XXVII Ltd.                                           | Madison Park Funding XXVII Ltd., Series 2018-27A, Class A1A                                                                   | CUSIP: 55820YAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $247107.75    | 0.01%             | 2030-04-20      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| DTE Electric Co.                                                          | DTE Electric Co.                                                                                                              | CUSIP: 23338VAJ5<br>LEI: 9N0FWODEJVKHC2DYLO03 | Long             | DBT              | CORP              | US        |    1281000 | PA      | $1049700.49   | 0.03%             | 2049-03-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Ecopetrol SA                                                              | Ecopetrol SA                                                                                                                  | CUSIP: 279158AK5<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | NUSS              | CO        |     615000 | PA      | $584557.50    | 0.02%             | 2025-01-16      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Securities Trust                                | JPMDB Commercial Mortgage Securities Trust, Series 2018-C8, Class A4                                                          | CUSIP: 46591ABA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     200000 | PA      | $188848.98    | 0.01%             | 2051-06-15      | Fixed         | 4.21%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                     | Bank of America Corp.                                                                                                         | CUSIP: 06051GKA6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    5074000 | PA      | $3907522.00   | 0.12%             | 2032-07-21      | Variable      | 2.30%                 | No            |                  2 | On Loan: No      |
| Dryden 53 CLO Ltd.                                                        | Dryden 53 CLO Ltd., Series 2017-53A, Class A                                                                                  | CUSIP: 26243EAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4900000 | PA      | $4839748.62   | 0.14%             | 2031-01-15      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                           | CUSIP: 91282CAZ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   10210000 | PA      | $9132366.36   | 0.27%             | 2025-11-30      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| Gulf Stream Meridian 7 Ltd.                                               | Gulf Stream Meridian 7 Ltd., Series 2022-7A, Class A1                                                                         | CUSIP: 40257DAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     360000 | PA      | $347481.22    | 0.01%             | 2035-07-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Applied Materials, Inc.                                                   | Applied Materials, Inc.                                                                                                       | CUSIP: 038222AP0<br>LEI: 41BNNE1AFPNAZELZ6K07 | Long             | DBT              | CORP              | US        |     542000 | PA      | $369183.36    | 0.01%             | 2050-06-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138WFCS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     528898 | PA      | $520548.13    | 0.02%             | 2045-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 01F030413<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -561000 | PA      | $-525400.95   | -0.02%            | 2038-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                           | CUSIP: 91282CCE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4456000 | PA      | $3857921.25   | 0.11%             | 2028-05-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd.                                           | Palmer Square Loan Funding Ltd., Series 2020-4A, Class A2                                                                     | CUSIP: 69701PAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     560000 | PA      | $548762.82    | 0.02%             | 2028-11-25      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 21H042612<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6545000 | PA      | $6348077.57   | 0.19%             | 2053-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QMJZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3429117 | PA      | $2794685.27   | 0.08%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bonds                                                                                                           | CUSIP: 912810SA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   42206000 | PA      | $34594082.06  | 1.02%             | 2048-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                                                | AMSR Trust, Series 2020-SFR2, Class D                                                                                         | CUSIP: 00178UAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     557000 | PA      | $507746.83    | 0.01%             | 2037-07-17      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman Loan Advisers CLO 37 Ltd.                                | Neuberger Berman Loan Advisers CLO 37 Ltd., Series 2020-37A, Class BR                                                         | CUSIP: 64133GAT7<br>LEI: 5493006JG853WBZS5J73 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $242653.88    | 0.01%             | 2031-07-20      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                                            | Southern California Edison Co., Series A                                                                                      | CUSIP: 842400GQ0<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     560000 | PA      | $532607.45    | 0.02%             | 2029-03-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138YXT21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57859 | PA      | $54256.61     | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd.                                                         | CIFC Funding Ltd., Series 2013-4A, Class BRR                                                                                  | CUSIP: 12549FBP3<br>LEI: 549300QSQ98IRWUWDV20 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $242442.38    | 0.01%             | 2031-04-27      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| Symphony CLO XXIII Ltd.                                                   | Symphony CLO XXIII Ltd., Series 2020-23A, Class BR                                                                            | CUSIP: 87167NDE2<br>LEI: 54930001DQI1CFLYVB48 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $241890.60    | 0.01%             | 2034-01-15      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138WJET1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     313496 | PA      | $293154.15    | 0.01%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Equinix, Inc.                                                             | Equinix, Inc.                                                                                                                 | CUSIP: 29444UBH8<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |    4915000 | PA      | $3910075.46   | 0.12%             | 2030-07-15      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3128M9QK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     790229 | PA      | $807887.51    | 0.02%             | 2036-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Anglo American Capital plc                                                | Anglo American Capital plc                                                                                                    | CUSIP: 034863BB5<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |    2377000 | PA      | $2137814.38   | 0.06%             | 2029-03-16      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp., Series 2996, Class MK                                                                       | CUSIP: 31395UYX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2791 | PA      | $2843.88      | 0.00%             | 2035-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138AK7F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      53288 | PA      | $52825.27     | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Homeward Opportunities Fund I Trust                                       | Homeward Opportunities Fund I Trust, Series 2020-2, Class A3                                                                  | CUSIP: 43789XAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1236667 | PA      | $1101488.29   | 0.03%             | 2065-05-25      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| ALM Ltd.                                                                  | ALM Ltd., Series 2020-1A, Class A2                                                                                            | CUSIP: 00166FAG1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1660000 | PA      | $1613305.03   | 0.05%             | 2029-10-15      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31410K3K8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      72302 | PA      | $75423.94     | 0.00%             | 2038-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Apidos CLO XII                                                            | Apidos CLO XII, Series 2013-12A, Class AR                                                                                     | CUSIP: 03764DAH4<br>LEI: 549300M5NMLBQJXUO195 | Long             | ABS-CBDO         | CORP              | KY        |    4916000 | PA      | $4841215.35   | 0.14%             | 2031-04-15      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO 17 Ltd.                                             | Anchorage Capital CLO 17 Ltd., Series 2021-17A, Class A1                                                                      | CUSIP: 03332PAA5<br>LEI: 549300UNU854VTZYQ112 | Long             | ABS-CBDO         | CORP              | KY        |    2495000 | PA      | $2425396.49   | 0.07%             | 2034-07-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Broadcom, Inc.                                                            | Broadcom, Inc.                                                                                                                | CUSIP: 11135FBQ3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    3280000 | PA      | $2355984.08   | 0.07%             | 2036-11-15      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDSCMBX                                                                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | DE        |       7570 | PA      | $104.08       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                              | GS Mortgage Securities Trust, Series 2020-GSA2, Class XA                                                                      | CUSIP: 36264KAX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4080008 | PA      | $377532.51    | 0.01%             | 2053-12-12      | Variable      | 1.73%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QFBZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1195838 | PA      | $1097385.21   | 0.03%             | 2035-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MAD Mortgage Trust                                                        | MAD Mortgage Trust, Series 2017-330M, Class D                                                                                 | CUSIP: 55282MAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     300000 | PA      | $268381.98    | 0.01%             | 2034-08-15      | Variable      | 3.98%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31410KXB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      66100 | PA      | $67175.47     | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Northrop Grumman Corp.                                                    | Northrop Grumman Corp.                                                                                                        | CUSIP: 666807BJ0<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |    1154000 | PA      | $920393.36    | 0.03%             | 2045-04-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36225BSB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1106 | PA      | $1120.77      | 0.00%             | 2032-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Grupo Aval Ltd.                                                           | Grupo Aval Ltd.                                                                                                               | CUSIP: 40053FAC2<br>LEI: 549300J4FW1ELLQ80113 | Long             | DBT              | CORP              | KY        |     431000 | PA      | $348248.00    | 0.01%             | 2030-02-04      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31416YVG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42164 | PA      | $41798.19     | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TICP CLO VI Ltd.                                                          | TICP CLO VI Ltd., Series 2016-6A, Class AR2                                                                                   | CUSIP: 87246MAS1<br>LEI: 254900JG2DPAYUCW8T83 | Long             | ABS-CBDO         | CORP              | KY        |    1060000 | PA      | $1037975.32   | 0.03%             | 2034-01-15      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31418EAB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3163029 | PA      | $2666248.77   | 0.08%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DMRR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1437632 | PA      | $1289200.51   | 0.04%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Battalion CLO X Ltd.                                                      | Battalion CLO X Ltd., Series 2016-10A, Class A1R2                                                                             | CUSIP: 07132JBC7<br>LEI: 549300RRK5G3IT4Y7N27 | Long             | ABS-CBDO         | CORP              | KY        |    5370000 | PA      | $5230970.70   | 0.15%             | 2035-01-25      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| Public Service Electric & Gas Co.                                         | Public Service Electric & Gas Co.                                                                                             | CUSIP: 74456QCK0<br>LEI: 549300RUHPVD434XUK18 | Long             | DBT              | CORP              | US        |    1005000 | PA      | $1006799.38   | 0.03%             | 2032-12-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| BlueMountain CLO XXIX Ltd.                                                | BlueMountain CLO XXIX Ltd., Series 2020-29A, Class BR                                                                         | CUSIP: 09630KAN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $238710.40    | 0.01%             | 2034-07-25      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                                  | Angel Oak Mortgage Trust, Series 2020-3, Class M1                                                                             | CUSIP: 03465LAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     880000 | PA      | $720452.30    | 0.02%             | 2065-04-25      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd.                                                              | OCP CLO Ltd., Series 2014-5A, Class A1R                                                                                       | CUSIP: 67102SAL8<br>LEI: 254900NXH68CRC058O44 | Long             | ABS-CBDO         | CORP              | KY        |     140000 | PA      | $138149.35    | 0.00%             | 2031-04-26      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Sixth Street CLO XIX Ltd.                                                 | Sixth Street CLO XIX Ltd., Series 2021-19A, Class A                                                                           | CUSIP: 83012KAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3815000 | PA      | $3715259.50   | 0.11%             | 2034-07-20      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                  | JP Morgan Mortgage Trust, Series 2021-INV5, Class A2A                                                                         | CUSIP: 46653XAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   19295596 | PA      | $15488478.71  | 0.46%             | 2051-12-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Raytheon Technologies Corp.                                               | Raytheon Technologies Corp.                                                                                                   | CUSIP: 75513ECC3<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |     515000 | PA      | $405119.22    | 0.01%             | 2044-12-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDSCMBX                                                                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    5000000 | PA      | $-0.21        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | U.S. Treasury 10 Year Note                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        -68 | NC      | $-3187.50     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Bank of America Merrill Lynch Commercial Mortgage Trust                   | Bank of America Merrill Lynch Commercial Mortgage Trust, Series 2017-BNK3, Class XD                                           | CUSIP: 06427DAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2000000 | PA      | $87428.72     | 0.00%             | 2050-02-15      | Variable      | 1.24%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140HKYK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     109592 | PA      | $109107.46    | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179RXD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     120274 | PA      | $112359.56    | 0.00%             | 2046-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                                                | AT&T, Inc.                                                                                                                    | CUSIP: 00206RMN9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    3389000 | PA      | $2338183.95   | 0.07%             | 2057-12-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Cheniere Corpus Christi Holdings LLC                                      | Cheniere Corpus Christi Holdings LLC                                                                                          | CUSIP: 16412XAC9<br>LEI: 549300I7CIEWU1BBLQ53 | Long             | DBT              | CORP              | US        |    2503000 | PA      | $2518203.07   | 0.07%             | 2025-03-31      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDSCMBX                                                                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     179624 | PA      | $18543.83     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Madison Park Funding XXXIII Ltd.                                          | Madison Park Funding XXXIII Ltd., Series 2019-33A, Class AR                                                                   | CUSIP: 55819JAN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     290000 | PA      | $284407.18    | 0.01%             | 2032-10-15      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| BWAY Mortgage Trust                                                       | BWAY Mortgage Trust, Series 2013-1515, Class C                                                                                | CUSIP: 05604FAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2810000 | PA      | $2506725.97   | 0.07%             | 2033-03-10      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance Trust                                        | Regional Management Issuance Trust, Series 2021-2, Class C                                                                    | CUSIP: 75907UAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     323000 | PA      | $255977.02    | 0.01%             | 2033-08-15      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QKWP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     321015 | PA      | $300870.64    | 0.01%             | 2036-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Nomura Holdings, Inc.                                                     | Nomura Holdings, Inc.                                                                                                         | CUSIP: 65535HAX7<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |    1987000 | PA      | $1536754.24   | 0.05%             | 2031-07-14      | Fixed         | 2.61%                 | No            |                  2 | On Loan: No      |
| American Airlines Pass-Through Trust                                      | American Airlines Pass-Through Trust, Series 2016-3, Class AA                                                                 | CUSIP: 023771R91<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     842751 | PA      | $730226.91    | 0.02%             | 2028-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Variable Rate Notes, Series KL05, Class X1P | CUSIP: 3137FNAQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13486000 | PA      | $659636.67    | 0.02%             | 2029-06-25      | Variable      | 0.89%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                                      | Charter Communications Operating LLC                                                                                          | CUSIP: 161175CG7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2086000 | PA      | $1230531.55   | 0.04%             | 2062-06-30      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Philip Morris International, Inc.                                         | Philip Morris International, Inc.                                                                                             | CUSIP: 718172CM9<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    2600000 | PA      | $1591811.82   | 0.05%             | 2039-08-01      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Variable Rate Notes, Series K121, Class X1  | CUSIP: 3137F83S0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3069056 | PA      | $180962.61    | 0.01%             | 2030-10-25      | Variable      | 1.02%                 | No            |                  2 | On Loan: No      |
| BXP Trust                                                                 | BXP Trust, Series 2017-GM, Class D                                                                                            | CUSIP: 056083AL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     140000 | PA      | $117110.00    | 0.00%             | 2039-06-13      | Variable      | 3.42%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36177YDZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     133993 | PA      | $126012.56    | 0.00%             | 2042-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DVLW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1332611 | PA      | $1097439.02   | 0.03%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140FMDA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     307701 | PA      | $285456.60    | 0.01%             | 2036-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CenterPoint Energy Houston Electric LLC                                   | CenterPoint Energy Houston Electric LLC, Series AD                                                                            | CUSIP: 15189XAU2<br>LEI: 549300S8SEQBOJLKHW63 | Long             | DBT              | CORP              | US        |     620000 | PA      | $416859.04    | 0.01%             | 2050-07-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Republic of Panama                                                        | Republic of Panama                                                                                                            | CUSIP: 698299BM5<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |    2439000 | PA      | $1788549.19   | 0.05%             | 2056-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | U.S. Treasury 5 Year Note                                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        -15 | NC      | $-7265.63     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QEP89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6570875 | PA      | $6137280.77   | 0.18%             | 2050-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd.                                                         | CIFC Funding Ltd., Series 2015-3A, Class BR                                                                                   | CUSIP: 12550MAL4<br>LEI: 549300UDPJ30BQP2HX62 | Long             | ABS-CBDO         | CORP              | KY        |     330000 | PA      | $318013.25    | 0.01%             | 2029-04-19      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138WFGY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     200639 | PA      | $188132.86    | 0.01%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Juniper Networks, Inc.                                                    | Juniper Networks, Inc.                                                                                                        | CUSIP: 48203RAP9<br>LEI: AUHIXNGG7U2U7JEHM527 | Long             | DBT              | CORP              | US        |     445000 | PA      | $338753.84    | 0.01%             | 2030-12-10      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding XLI Ltd.                                             | Madison Park Funding XLI Ltd., Series 12A, Class AR                                                                           | CUSIP: 04965CAJ7<br>LEI: 549300O252OCTN35RH57 | Long             | ABS-CBDO         | CORP              | KY        |     317866 | PA      | $313802.50    | 0.01%             | 2027-04-22      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                              | GS Mortgage Securities Trust, Series 2019-GSA1, Class XA                                                                      | CUSIP: 36261PAV4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5210742 | PA      | $219306.59    | 0.01%             | 2052-11-10      | Variable      | 0.81%                 | No            |                  2 | On Loan: No      |
| Roper Technologies, Inc.                                                  | Roper Technologies, Inc.                                                                                                      | CUSIP: 776743AG1<br>LEI: 54930003T4SXCIWVXY35 | Long             | DBT              | CORP              | US        |     691000 | PA      | $600948.87    | 0.02%             | 2029-09-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                                 | HCA, Inc.                                                                                                                     | CUSIP: 404119BU2<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     751000 | PA      | $723796.58    | 0.02%             | 2027-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd.                                                   | Rockford Tower CLO Ltd., Series 2017-3A, Class A                                                                              | CUSIP: 77341DAA5<br>LEI: 549300V5ZF7112UGSH89 | Long             | ABS-CBDO         | CORP              | KY        |    3487000 | PA      | $3438184.44   | 0.10%             | 2030-10-20      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 01F040610<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1075000 | PA      | $1007984.44   | 0.03%             | 2053-01-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp.                                                          | CVS Health Corp.                                                                                                              | CUSIP: 126650DN7<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     827000 | PA      | $651751.33    | 0.02%             | 2030-08-21      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3133A8S40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     163690 | PA      | $147828.92    | 0.00%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 01F050619<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   21876000 | PA      | $21552703.57  | 0.64%             | 2053-01-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-275.08      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DBGS Mortgage Trust                                                       | DBGS Mortgage Trust, Series 2018-5BP, Class B                                                                                 | CUSIP: 33830CAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     610000 | PA      | $562483.26    | 0.02%             | 2033-06-15      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| Marble Point CLO XI Ltd.                                                  | Marble Point CLO XI Ltd., Series 2017-2A, Class A                                                                             | CUSIP: 56607FAA3<br>LEI: 549300DBVCVH5X7MO467 | Long             | ABS-CBDO         | CORP              | KY        |     430000 | PA      | $421466.26    | 0.01%             | 2030-12-18      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179WVV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      47584 | PA      | $42372.44     | 0.00%             | 2052-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        | 1139295520 | PA      | $342686.32    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| DBGS Mortgage Trust                                                       | DBGS Mortgage Trust, Series 2019-1735, Class X                                                                                | CUSIP: 23307EAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5975000 | PA      | $100513.00    | 0.00%             | 2037-04-10      | Variable      | 0.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    3157637 | PA      | $-15646.54    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO 7 Ltd.                                              | Anchorage Capital CLO 7 Ltd., Series 2015-7A, Class BR2                                                                       | CUSIP: 03328TBC8<br>LEI: 54930014PVHLSZJQK139 | Long             | ABS-CBDO         | CORP              | KY        |    1640000 | PA      | $1586160.60   | 0.05%             | 2031-01-28      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| Transcontinental Gas Pipe Line Co. LLC                                    | Transcontinental Gas Pipe Line Co. LLC                                                                                        | CUSIP: 893574AK9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3205000 | PA      | $3007101.03   | 0.09%             | 2028-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Cox Communications, Inc.                                                  | Cox Communications, Inc.                                                                                                      | CUSIP: 224044CP0<br>LEI: 5493001NEDZNIFRP2R92 | Long             | DBT              | CORP              | US        |    1198000 | PA      | $821288.59    | 0.02%             | 2051-06-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Republic of Colombia                                                      | Republic of Colombia                                                                                                          | CUSIP: 195325DP7<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |     481000 | PA      | $414652.06    | 0.01%             | 2029-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36196FZG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      89551 | PA      | $83395.35     | 0.00%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Commercial Mortgage Securities Trust                       | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2021-MHC, Class D                                                 | CUSIP: 466330AL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1550000 | PA      | $1472183.49   | 0.04%             | 2038-04-15      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179DEK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     280102 | PA      | $263424.03    | 0.01%             | 2042-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RR 5 Ltd.                                                                 | RR 5 Ltd., Series 2018-5A, Class A2                                                                                           | CUSIP: 74979VAE3<br>LEI: 549300213Q1LH7O32902 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $244051.93    | 0.01%             | 2031-10-15      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 01F042616<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   22242250 | PA      | $21402744.97  | 0.63%             | 2053-01-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QGKD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     364805 | PA      | $342365.86    | 0.01%             | 2035-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31418DJZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     576308 | PA      | $562808.74    | 0.02%             | 2049-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140XBNR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   24381100 | PA      | $22434928.18  | 0.66%             | 2051-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bonds                                                                                                           | CUSIP: 912810RU4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6536000 | PA      | $5237225.30   | 0.15%             | 2046-11-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140J6DA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22910 | PA      | $21423.32     | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                              | Oracle Corp.                                                                                                                  | CUSIP: 68389XBJ3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    4830000 | PA      | $3519806.04   | 0.10%             | 2046-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36183AF47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      38963 | PA      | $37644.08     | 0.00%             | 2044-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36202FSF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     295018 | PA      | $300023.59    | 0.01%             | 2041-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138WD6X4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7632 | PA      | $7155.75      | 0.00%             | 2030-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 31307NNV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      73648 | PA      | $68976.76     | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138WJNC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     698338 | PA      | $624618.81    | 0.02%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31400EU57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1213 | PA      | $1230.97      | 0.00%             | 2033-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140XGTV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7227635 | PA      | $6891750.63   | 0.20%             | 2051-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| University of California                                                  | University of California, Series 2012 AD                                                                                      | CUSIP: 91412GHA6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     425000 | PA      | $360784.60    | 0.01%             | 2112-05-15      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| AGL Core CLO 4 Ltd.                                                       | AGL Core CLO 4 Ltd., Series 2020-4A, Class A1R                                                                                | CUSIP: 001199AG3<br>LEI: 549300HS2AZ4GZPCZ864 | Long             | ABS-CBDO         | CORP              | KY        |     920000 | PA      | $901105.50    | 0.03%             | 2033-04-20      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| General Motors Financial Co., Inc.                                        | General Motors Financial Co., Inc.                                                                                            | CUSIP: 37045XAS5<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    2714000 | PA      | $2633374.88   | 0.08%             | 2025-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Altria Group, Inc.                                                        | Altria Group, Inc.                                                                                                            | CUSIP: 02209SAZ6<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    2880000 | PA      | $2553174.31   | 0.08%             | 2031-06-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132M9MM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     102655 | PA      | $96201.02     | 0.00%             | 2044-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Apidos CLO XXII                                                           | Apidos CLO XXII, Series 2015-22A, Class CR                                                                                    | CUSIP: 03765XAN6<br>LEI: 5493003SQW0Q40KVFQ19 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $233967.13    | 0.01%             | 2031-04-20      | Floating      | 7.19%                 | No            |                  2 | On Loan: No      |
| Interpublic Group of Cos., Inc. (The)                                     | Interpublic Group of Cos., Inc. (The)                                                                                         | CUSIP: 460690BR0<br>LEI: 5493008IUOJ5VWTRC333 | Long             | DBT              | CORP              | US        |     806000 | PA      | $760379.21    | 0.02%             | 2030-03-30      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                                           | CSAIL Commercial Mortgage Trust, Series 2020-C19, Class A3                                                                    | CUSIP: 12597NAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1415164 | PA      | $1181831.34   | 0.03%             | 2053-03-15      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd.                                                              | OCP CLO Ltd., Series 2021-22A, Class A                                                                                        | CUSIP: 67117TAA3<br>LEI: 254900PS626FB00CVF06 | Long             | ABS-CBDO         | CORP              | KY        |     390000 | PA      | $375306.75    | 0.01%             | 2034-12-02      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| JPMCC Commercial Mortgage Securities Trust                                | JPMCC Commercial Mortgage Securities Trust, Series 2017-JP6, Class A5                                                         | CUSIP: 48128KAU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     270000 | PA      | $249749.57    | 0.01%             | 2050-07-15      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                     | Wells Fargo Commercial Mortgage Trust, Series 2018-C46, Class B                                                               | CUSIP: 95001QAY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     429000 | PA      | $377459.51    | 0.01%             | 2051-08-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132XWA84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      92709 | PA      | $87104.52     | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140XGVQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1245719 | PA      | $1099107.15   | 0.03%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36177Q6Y4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      83477 | PA      | $78507.73     | 0.00%             | 2042-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                                      | BBCMS Mortgage Trust, Series 2017-C1, Class B                                                                                 | CUSIP: 07332VBF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2000000 | PA      | $1768533.40   | 0.05%             | 2050-02-15      | Fixed         | 4.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDS                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    2200000 | PA      | $-52974.12    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                           | CUSIP: 912828X88<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    8626000 | PA      | $8042060.26   | 0.24%             | 2027-05-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-407.21      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Entergy Louisiana LLC                                                     | Entergy Louisiana LLC                                                                                                         | CUSIP: 29364WBL1<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |     705000 | PA      | $632584.01    | 0.02%             | 2052-09-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-13719.65    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31417GTW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35281 | PA      | $32101.21     | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SREIT Trust                                                               | SREIT Trust, Series 2021-MFP2, Class A                                                                                        | CUSIP: 85236WCE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     229000 | PA      | $220385.11    | 0.01%             | 2036-11-15      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                           | CUSIP: 9128286T2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    8146000 | PA      | $7405223.13   | 0.22%             | 2029-05-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                           | CUSIP: 91282CBC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   10210000 | PA      | $9124788.70   | 0.27%             | 2025-12-31      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| Cedar Funding VI CLO Ltd.                                                 | Cedar Funding VI CLO Ltd., Series 2016-6A, Class ARR                                                                          | CUSIP: 15032DAR2<br>LEI: 549300PQ60B57EBTK013 | Long             | ABS-CBDO         | CORP              | KY        |    3930000 | PA      | $3832287.62   | 0.11%             | 2034-04-20      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| CD Mortgage Trust                                                         | CD Mortgage Trust, Series 2017-CD5, Class B                                                                                   | CUSIP: 12515HBC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     446000 | PA      | $388515.06    | 0.01%             | 2050-08-15      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| Republic of Colombia                                                      | Republic of Colombia                                                                                                          | CUSIP: 195325EA9<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |     200000 | PA      | $124800.00    | 0.00%             | 2042-02-22      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| College Avenue Student Loans LLC                                          | College Avenue Student Loans LLC, Series 2021-C, Class D                                                                      | CUSIP: 19424WAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     100000 | PA      | $77875.35     | 0.00%             | 2055-07-26      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140XGPR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1384003 | PA      | $1234438.09   | 0.04%             | 2037-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| DBJPM Mortgage Trust                                                      | DBJPM Mortgage Trust, Series 2016-C1, Class A4                                                                                | CUSIP: 23312LAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     240000 | PA      | $223989.65    | 0.01%             | 2049-05-10      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| VMware, Inc.                                                              | VMware, Inc.                                                                                                                  | CUSIP: 928563AL9<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |    4347000 | PA      | $3298781.37   | 0.10%             | 2031-08-15      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| FirstEnergy Transmission LLC                                              | FirstEnergy Transmission LLC                                                                                                  | CUSIP: 33767BAB5<br>LEI: 549300AINIIPOLYX2R63 | Long             | DBT              | CORP              | US        |    2780000 | PA      | $2708935.47   | 0.08%             | 2025-01-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                              | GS Mortgage Securities Trust, Series 2019-GSA1, Class C                                                                       | CUSIP: 36261PAZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     110000 | PA      | $84111.74     | 0.00%             | 2052-11-10      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd.                                                    | Palmer Square CLO Ltd., Series 2018-1A, Class A1                                                                              | CUSIP: 69703PAA7<br>LEI: 549300A8L0VCZ9626397 | Long             | ABS-CBDO         | CORP              | KY        |     850000 | PA      | $835879.97    | 0.02%             | 2031-04-18      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    2549000 | PA      | $39837.81     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                                | Progress Residential Trust, Series 2020-SFR2, Class D                                                                         | CUSIP: 74333LAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     400000 | PA      | $370769.04    | 0.01%             | 2037-06-17      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                     | Wells Fargo Commercial Mortgage Trust, Series 2019-C50, Class B                                                               | CUSIP: 95001XBD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2639000 | PA      | $2201869.97   | 0.06%             | 2052-05-15      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| CFCRE Commercial Mortgage Trust                                           | CFCRE Commercial Mortgage Trust, Series 2018-TAN, Class C                                                                     | CUSIP: 12528DAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     840000 | PA      | $808832.30    | 0.02%             | 2033-02-15      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| Homeward Opportunities Fund Trust                                         | Homeward Opportunities Fund Trust, Series 2022-1, Class A1                                                                    | CUSIP: 43789KAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2329438 | PA      | $2261239.59   | 0.07%             | 2067-07-25      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  -27823661 | PA      | $-1242715.96  | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Moody's Corp.                                                             | Moody's Corp.                                                                                                                 | CUSIP: 615369AZ8<br>LEI: 549300GCEDD8YCF5WU84 | Long             | DBT              | CORP              | US        |    1981000 | PA      | $1851194.68   | 0.05%             | 2032-08-08      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CBAM Ltd.                                                                 | CBAM Ltd., Series 2017-1A, Class A1                                                                                           | CUSIP: 12480VAC9<br>LEI: 254900JWJFDB3KD6V066 | Long             | ABS-CBDO         | CORP              | KY        |    1594790 | PA      | $1577721.33   | 0.05%             | 2030-07-20      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36196FZE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     103992 | PA      | $96844.95     | 0.00%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                           | CUSIP: 912828ZS2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   30356000 | PA      | $26025526.88  | 0.77%             | 2027-05-31      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Ohio Power Co.                                                            | Ohio Power Co., Series Q                                                                                                      | CUSIP: 677415CT6<br>LEI: 06ZODLC132CY1O2Y7D77 | Long             | DBT              | CORP              | US        |     651000 | PA      | $503736.87    | 0.01%             | 2031-01-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| Carlyle US CLO Ltd.                                                       | Carlyle US CLO Ltd., Series 2018-1A, Class A2                                                                                 | CUSIP: 14311XAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $239443.15    | 0.01%             | 2031-04-20      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    6372301 | PA      | $5985.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 01F042616<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -16268550 | PA      | $-15654514.57 | -0.46%            | 2053-01-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Capital Certificates                               | Credit Suisse Mortgage Capital Certificates, Series 2020-SPT1, Class M1                                                       | CUSIP: 12659LAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1020000 | PA      | $813228.05    | 0.02%             | 2065-04-25      | Variable      | 3.39%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                             | Comcast Corp.                                                                                                                 | CUSIP: 20030NDM0<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    5219000 | PA      | $4218427.99   | 0.12%             | 2031-01-15      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| Dryden XXVIII Senior Loan Fund                                            | Dryden XXVIII Senior Loan Fund, Series 2013-28A, Class A1LR                                                                   | CUSIP: 26251BAL0<br>LEI: 549300K4FV16ICO2FF98 | Long             | ABS-CBDO         | CORP              | KY        |    1652796 | PA      | $1639542.88   | 0.05%             | 2030-08-15      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2021-VINO, Class D                                                                       | CUSIP: 05608KAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3600000 | PA      | $3378707.64   | 0.10%             | 2038-05-15      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36202FDW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25790 | PA      | $25739.81     | 0.00%             | 2040-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    6943743 | PA      | $13191.11     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Moody's Corp.                                                             | Moody's Corp.                                                                                                                 | CUSIP: 615369AM7<br>LEI: 549300GCEDD8YCF5WU84 | Long             | DBT              | CORP              | US        |     764000 | PA      | $704225.92    | 0.02%             | 2028-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners 46 Ltd.                                       | Octagon Investment Partners 46 Ltd., Series 2020-2A, Class BR                                                                 | CUSIP: 67577VAN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     710000 | PA      | $675811.87    | 0.02%             | 2036-07-15      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 01F030413<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      40000 | PA      | $37461.74     | 0.00%             | 2038-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ares LIX CLO Ltd.                                                         | Ares LIX CLO Ltd., Series 2021-59A, Class A                                                                                   | CUSIP: 04018EAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $242448.95    | 0.01%             | 2034-04-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179S5M5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      82020 | PA      | $78743.92     | 0.00%             | 2047-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding XI Ltd.                                              | Madison Park Funding XI Ltd., Series 2013-11A, Class AR2                                                                      | CUSIP: 55818KAV3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2152110 | PA      | $2123756.05   | 0.06%             | 2029-07-23      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31418QGR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5612 | PA      | $5601.19      | 0.00%             | 2025-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BXP Trust                                                                 | BXP Trust, Series 2021-601L, Class D                                                                                          | CUSIP: 05607TAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     758000 | PA      | $475645.00    | 0.01%             | 2044-01-15      | Variable      | 2.78%                 | No            |                  3 | On Loan: No      |
| Verizon Communications, Inc.                                              | Verizon Communications, Inc.                                                                                                  | CUSIP: 92343VFR0<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    8051000 | PA      | $6246275.04   | 0.18%             | 2031-01-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDSCMBX                                                                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     854452 | PA      | $-8821.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36294V5Y2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      40120 | PA      | $41142.92     | 0.00%             | 2036-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                        | T-Mobile USA, Inc.                                                                                                            | CUSIP: 87264ABS3<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     389000 | PA      | $329300.48    | 0.01%             | 2029-02-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QGKA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4288719 | PA      | $3934964.74   | 0.12%             | 2035-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 01F032419<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     667000 | PA      | $638042.93    | 0.02%             | 2038-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179RVB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     598469 | PA      | $556408.59    | 0.02%             | 2045-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36202FPF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     372678 | PA      | $358664.69    | 0.01%             | 2041-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140L6U44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1222218 | PA      | $1004247.55   | 0.03%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138X4GB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     825651 | PA      | $797546.28    | 0.02%             | 2028-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179UQ62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     272969 | PA      | $267307.41    | 0.01%             | 2049-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QEBK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3895071 | PA      | $3349471.06   | 0.10%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                           | Goldman Sachs Group, Inc. (The)                                                                                               | CUSIP: 38141GYN8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    8754000 | PA      | $6911890.44   | 0.20%             | 2032-10-21      | Variable      | 2.65%                 | No            |                  2 | On Loan: No      |
| Madison Park Euro Funding XIV DAC                                         | Madison Park Euro Funding XIV DAC, Series 14A, Class DR                                                                       | CUSIP: N/A<br>LEI: 635400XLHN7OVUSEV112       | Long             | ABS-CBDO         | CORP              | IE        |     250000 | PA      | $240299.41    | 0.01%             | 2032-07-15      | Floating      | 3.60%                 | No            |                  2 | On Loan: No      |
| Enterprise Products Operating LLC                                         | Enterprise Products Operating LLC                                                                                             | CUSIP: 29379VBX0<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $849524.57    | 0.03%             | 2030-01-31      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                              | Oracle Corp.                                                                                                                  | CUSIP: 68389XBX2<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    2432000 | PA      | $1637384.54   | 0.05%             | 2050-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138WHFF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21554 | PA      | $19339.68     | 0.00%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132HRMP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     505200 | PA      | $460208.49    | 0.01%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| EIG Pearl Holdings SARL                                                   | EIG Pearl Holdings SARL                                                                                                       | CUSIP: 28249NAB7<br>LEI: 549300KIMRL45BWA5H76 | Long             | DBT              | CORP              | LU        |     923000 | PA      | $706556.50    | 0.02%             | 2046-11-30      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                           | Goldman Sachs Group, Inc. (The)                                                                                               | CUSIP: 38141GZK3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    4405000 | PA      | $3922147.51   | 0.12%             | 2028-02-24      | Variable      | 2.64%                 | No            |                  2 | On Loan: No      |
| Gulf Stream Meridian 5 Ltd.                                               | Gulf Stream Meridian 5 Ltd., Series 2021-5A, Class A2                                                                         | CUSIP: 40256LAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     280000 | PA      | $270456.59    | 0.01%             | 2034-07-15      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| State of Texas                                                            | State of Texas, Series 2009A                                                                                                  | CUSIP: 882722KF7<br>LEI: 549300X9CH74QB747L76 | Long             | DBT              | MUN               | US        |    1235000 | PA      | $1302919.73   | 0.04%             | 2039-04-01      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| Anglo American Capital plc                                                | Anglo American Capital plc                                                                                                    | CUSIP: 034863AR1<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |     994000 | PA      | $954737.00    | 0.03%             | 2027-04-10      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QM4T8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1649235 | PA      | $1414877.57   | 0.04%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| NXP BV                                                                    | NXP BV                                                                                                                        | CUSIP: 62954HBB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1784000 | PA      | $1674025.32   | 0.05%             | 2033-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Cameron LNG LLC                                                           | Cameron LNG LLC                                                                                                               | CUSIP: 133434AC4<br>LEI: 549300C39FLHGVD73K22 | Long             | DBT              | CORP              | US        |    1710000 | PA      | $1388308.76   | 0.04%             | 2038-01-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 31307U5V6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      46399 | PA      | $44206.45     | 0.00%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bonds                                                                                                           | CUSIP: 912810QK7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2710000 | PA      | $2643520.31   | 0.08%             | 2040-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132GD3M2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     161780 | PA      | $160092.75    | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179TUA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      44274 | PA      | $41246.90     | 0.00%             | 2048-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31418ECG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8239595 | PA      | $6945335.87   | 0.20%             | 2042-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140J8ZR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     796789 | PA      | $785481.77    | 0.02%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                            | Morgan Stanley Capital I Trust, Series 2017-H1, Class XD                                                                      | CUSIP: 61691JAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3030000 | PA      | $229392.21    | 0.01%             | 2050-06-15      | Variable      | 2.15%                 | No            |                  2 | On Loan: No      |
| Republic of Colombia                                                      | Republic of Colombia                                                                                                          | CUSIP: N/A<br>LEI: 549300MHDRBVRF6B9117       | Long             | DBT              | NUSS              | CO        | 2248000000 | PA      | $303937.90    | 0.01%             | 2034-10-18      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Capital Certificates                               | Credit Suisse Mortgage Capital Certificates, Series 2021-980M, Class D                                                        | CUSIP: 12659RAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5810000 | PA      | $4626939.33   | 0.14%             | 2031-07-15      | Variable      | 3.54%                 | No            |                  2 | On Loan: No      |
| SLM Private Credit Student Loan Trust                                     | SLM Private Credit Student Loan Trust, Series 2004-B, Class A3                                                                | CUSIP: 78443CBN3<br>LEI: 549300HIOV1ESFZYQ040 | Long             | ABS-O            | CORP              | US        |     110275 | PA      | $109945.69    | 0.00%             | 2024-03-15      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDS                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | DE        |     884000 | PA      | $-3957.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| General Motors Financial Co., Inc.                                        | General Motors Financial Co., Inc.                                                                                            | CUSIP: 37045XDS2<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    5085000 | PA      | $3984309.80   | 0.12%             | 2032-01-12      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                     | Wells Fargo Commercial Mortgage Trust, Series 2021-FCMT, Class D                                                              | CUSIP: 95003EAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1890000 | PA      | $1680353.64   | 0.05%             | 2031-05-15      | Floating      | 7.82%                 | No            |                  2 | On Loan: No      |
| Prodigy Finance DAC                                                       | Prodigy Finance DAC, Series 2021-1A, Class A                                                                                  | CUSIP: 742855AA7<br>LEI: 635400HTAZNW3LYYMQ40 | Long             | ABS-O            | CORP              | IE        |     885595 | PA      | $855707.98    | 0.03%             | 2051-07-25      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| Silver Creek CLO Ltd.                                                     | Silver Creek CLO Ltd., Series 2014-1A, Class CR                                                                               | CUSIP: 827551AQ5<br>LEI: 549300LSJSAR2PPV4U78 | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $480930.90    | 0.01%             | 2030-07-20      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd.                                                   | Rockford Tower CLO Ltd., Series 2018-2A, Class A                                                                              | CUSIP: 77342KAA8<br>LEI: 5493001SZ764RMCNU069 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $245438.70    | 0.01%             | 2031-10-20      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| Motorola Solutions, Inc.                                                  | Motorola Solutions, Inc.                                                                                                      | CUSIP: 620076BE8<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | DBT              | CORP              | US        |    1904000 | PA      | $1714328.20   | 0.05%             | 2044-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138XYBY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     220912 | PA      | $206789.49    | 0.01%             | 2042-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138YBX65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      54845 | PA      | $52463.81     | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Cedar Funding II CLO Ltd.                                                 | Cedar Funding II CLO Ltd., Series 2013-1A, Class ARR                                                                          | CUSIP: 15032TBE5<br>LEI: 254900Q56WTD2BRLBE32 | Long             | ABS-CBDO         | CORP              | KY        |     710000 | PA      | $691476.46    | 0.02%             | 2034-04-20      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                                            | Mariner Finance Issuance Trust, Series 2021-BA, Class D                                                                       | CUSIP: 56847JAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     220000 | PA      | $172222.03    | 0.01%             | 2036-11-20      | Fixed         | 3.42%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association Variable Rate Notes, Series 2016-96                                                  | CUSIP: 38379UZW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     781596 | PA      | $27465.06     | 0.00%             | 2057-12-16      | Variable      | 0.77%                 | No            |                  2 | On Loan: No      |
| SLG Office Trust                                                          | SLG Office Trust, Series 2021-OVA, Class A                                                                                    | CUSIP: 78449RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3398000 | PA      | $2710671.25   | 0.08%             | 2041-07-15      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36180E5C5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     163116 | PA      | $153444.59    | 0.00%             | 2043-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                                 | Commercial Mortgage Trust, Series 2014-CR15, Class C                                                                          | CUSIP: 12591RBF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     192000 | PA      | $184166.27    | 0.01%             | 2047-02-10      | Variable      | 4.67%                 | No            |                  2 | On Loan: No      |
| Penske Truck Leasing Co. LP                                               | Penske Truck Leasing Co. LP                                                                                                   | CUSIP: 709599BM5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2411000 | PA      | $2109111.65   | 0.06%             | 2026-06-15      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd.                                                   | Rockford Tower CLO Ltd., Series 2017-1A, Class BR2A                                                                           | CUSIP: 77340EAY2<br>LEI: 5493007GXSFXDXOXG741 | Long             | ABS-CBDO         | CORP              | KY        |    1511000 | PA      | $1435351.03   | 0.04%             | 2034-04-20      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36198QTY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      42746 | PA      | $41299.76     | 0.00%             | 2044-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179WQA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8822017 | PA      | $7655466.36   | 0.23%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HPS Loan Management 10-2016 Ltd.                                          | HPS Loan Management 10-2016 Ltd., Series 10A-16, Class A1RR                                                                   | CUSIP: 40436TAS5<br>LEI: 2549009NI8GVCM3ROT27 | Long             | ABS-CBDO         | CORP              | KY        |    1540000 | PA      | $1505634.13   | 0.04%             | 2034-04-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| NGPL PipeCo LLC                                                           | NGPL PipeCo LLC                                                                                                               | CUSIP: 62912XAF1<br>LEI: 549300K3NT1HSQFEM073 | Long             | DBT              | CORP              | US        |    2110000 | PA      | $2003977.50   | 0.06%             | 2027-08-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Union Pacific Corp.                                                       | Union Pacific Corp.                                                                                                           | CUSIP: 907818FS2<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |     482000 | PA      | $354988.69    | 0.01%             | 2071-04-06      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                       | New Residential Mortgage Loan Trust, Series 2019-2A, Class A1                                                                 | CUSIP: 64830DAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     203001 | PA      | $191849.39    | 0.01%             | 2057-12-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36180DPF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     117489 | PA      | $110524.07    | 0.00%             | 2043-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SMRT                                                                      | SMRT, Series 2022-MINI, Class D                                                                                               | CUSIP: 78457JAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4049000 | PA      | $3764920.95   | 0.11%             | 2039-01-15      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140L6BK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     820476 | PA      | $677203.14    | 0.02%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Walt Disney Co. (The)                                                     | Walt Disney Co. (The)                                                                                                         | CUSIP: 254687FB7<br>LEI: 549300GZKULIZ0WOW665 | Long             | DBT              | CORP              | US        |     747000 | PA      | $678690.23    | 0.02%             | 2046-11-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| VICI Properties LP                                                        | VICI Properties LP                                                                                                            | CUSIP: 92564RAL9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2009000 | PA      | $1760756.35   | 0.05%             | 2029-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp. Assistance Loan Trust                   | Structured Asset Securities Corp. Assistance Loan Trust, Series 2003-AL1, Class A                                             | CUSIP: 86359AME0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      86540 | PA      | $85760.98     | 0.00%             | 2031-04-25      | Fixed         | 3.36%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp.                                                          | CVS Health Corp.                                                                                                              | CUSIP: 126650DL1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    1218000 | PA      | $969423.99    | 0.03%             | 2050-04-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QEB50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2653029 | PA      | $2289518.38   | 0.07%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| OAK Hill European Credit Partners V Designated Activity Co.               | OAK Hill European Credit Partners V Designated Activity Co., Series 2016-5A, Class BR                                         | CUSIP: N/A<br>LEI: 635400RBBBEHFZ8TOH13       | Long             | ABS-CBDO         | CORP              | IE        |     250000 | PA      | $250699.44    | 0.01%             | 2035-01-21      | Floating      | 3.36%                 | No            |                  2 | On Loan: No      |
| Kinder Morgan Energy Partners LP                                          | Kinder Morgan Energy Partners LP                                                                                              | CUSIP: 494550BW5<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |    1173000 | PA      | $1053943.88   | 0.03%             | 2044-09-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| OZLM XXII Ltd.                                                            | OZLM XXII Ltd., Series 2018-22A, Class A1                                                                                     | CUSIP: 67111VAC0<br>LEI: 549300SDDOLWC85Q9Q65 | Long             | ABS-CBDO         | CORP              | KY        |     249683 | PA      | $244788.43    | 0.01%             | 2031-01-17      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| Apidos CLO XX                                                             | Apidos CLO XX, Series 2015-20A, Class A1RA                                                                                    | CUSIP: 03765LAP7<br>LEI: 5493008YDOADR1DMZM86 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $245217.30    | 0.01%             | 2031-07-16      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                                 | Commercial Mortgage Trust, Series 2013-CR6, Class XA                                                                          | CUSIP: 12624XAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8291023 | PA      | $230.49       | 0.00%             | 2046-03-10      | Variable      | 0.96%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138WC7G2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     159938 | PA      | $153795.31    | 0.00%             | 2029-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3129414T1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      81001 | PA      | $77875.85     | 0.00%             | 2040-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Baltimore Gas & Electric Co.                                              | Baltimore Gas & Electric Co.                                                                                                  | CUSIP: 059165EM8<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |     540000 | PA      | $356844.32    | 0.01%             | 2050-06-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-21190.79    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO Ltd.                                              | Bain Capital Credit CLO Ltd., Series 2018-2A, Class A1                                                                        | CUSIP: 05682VAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     330000 | PA      | $326449.20    | 0.01%             | 2031-07-19      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 21H040616<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10641000 | PA      | $10067422.86  | 0.30%             | 2053-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Shell International Finance BV                                            | Shell International Finance BV                                                                                                | CUSIP: 822582CB6<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |    3374000 | PA      | $3249158.05   | 0.10%             | 2028-11-13      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| AEP Texas, Inc.                                                           | AEP Texas, Inc., Series I                                                                                                     | CUSIP: 00108WAM2<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |    1074000 | PA      | $870691.50    | 0.03%             | 2030-07-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                                      | BBCMS Mortgage Trust, Series 2022-C18, Class A5                                                                               | CUSIP: 054975AE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     470000 | PA      | $491758.27    | 0.01%             | 2055-12-15      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bonds                                                                                                           | CUSIP: 912810SQ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   13666000 | PA      | $8486799.46   | 0.25%             | 2040-08-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| Electronic Arts, Inc.                                                     | Electronic Arts, Inc.                                                                                                         | CUSIP: 285512AE9<br>LEI: 549300O7A67PUEYKDL45 | Long             | DBT              | CORP              | US        |     486000 | PA      | $381989.50    | 0.01%             | 2031-02-15      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| Barings CLO Ltd.                                                          | Barings CLO Ltd., Series 2019-3A, Class A1R                                                                                   | CUSIP: 06761KAL5<br>LEI: 549300T40QLO0VJIOB35 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $245802.53    | 0.01%             | 2031-04-20      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| Barclays plc                                                              | Barclays plc                                                                                                                  | CUSIP: 06738ECA1<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    2040000 | PA      | $1927109.79   | 0.06%             | 2033-08-09      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust                                | JPMBB Commercial Mortgage Securities Trust, Series 2015-C33, Class D1                                                         | CUSIP: 46645JBG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     553000 | PA      | $468547.06    | 0.01%             | 2048-12-15      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loan Trust                                                   | Mosaic Solar Loan Trust, Series 2022-3A, Class A                                                                              | CUSIP: 61946KAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     324000 | PA      | $323099.41    | 0.01%             | 2053-06-20      | Fixed         | 6.16%                 | No            |                  2 | On Loan: No      |
| Trinitas CLO XIV Ltd.                                                     | Trinitas CLO XIV Ltd., Series 2020-14A, Class B                                                                               | CUSIP: 89641QAE0<br>LEI: 549300095MXHZZMH2053 | Long             | ABS-CBDO         | CORP              | KY        |     730000 | PA      | $700304.11    | 0.02%             | 2034-01-25      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DMUR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4978837 | PA      | $4496580.76   | 0.13%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Atlantic City Electric Co.                                                | Atlantic City Electric Co.                                                                                                    | CUSIP: 048303CJ8<br>LEI: 549300S5TW3VP5V06B73 | Long             | DBT              | CORP              | US        |     412000 | PA      | $335361.99    | 0.01%             | 2031-03-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Avoca CLO XXII DAC                                                        | Avoca CLO XXII DAC, Series 22X, Class B1                                                                                      | CUSIP: N/A<br>LEI: 5493000BN1WPGQDK4X78       | Long             | ABS-CBDO         | CORP              | IE        |     200000 | PA      | $198699.52    | 0.01%             | 2035-04-15      | Floating      | 2.68%                 | No            |                  2 | On Loan: No      |
| Dryden 50 Senior Loan Fund                                                | Dryden 50 Senior Loan Fund, Series 2017-50A, Class B                                                                          | CUSIP: 262431AD1<br>LEI: 5493008NBEE3C4AF3K95 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $241899.85    | 0.01%             | 2030-07-15      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140XGPU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4271779 | PA      | $3486470.58   | 0.10%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                        | United Airlines Pass-Through Trust, Series 2019-2, Class AA                                                                   | CUSIP: 90932JAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     782804 | PA      | $631625.66    | 0.02%             | 2032-05-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                           | Goldman Sachs Group, Inc. (The)                                                                                               | CUSIP: 38141GXZ2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    1262000 | PA      | $1248402.85   | 0.04%             | 2024-03-08      | Variable      | 0.67%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36196FZF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     115375 | PA      | $107534.28    | 0.00%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BHG Securitization Trust                                                  | BHG Securitization Trust, Series 2022-A, Class C                                                                              | CUSIP: 054977AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1200000 | PA      | $996380.04    | 0.03%             | 2035-02-20      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| Post CLO Ltd.                                                             | Post CLO Ltd., Series 2018-1A, Class D                                                                                        | CUSIP: 73742DAG6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $463706.15    | 0.01%             | 2031-04-16      | Floating      | 7.03%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                      | JPMorgan Chase & Co.                                                                                                          | CUSIP: 46647PDF0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    1733000 | PA      | $1630517.75   | 0.05%             | 2030-06-14      | Variable      | 4.57%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3128M9WN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1051785 | PA      | $1091818.17   | 0.03%             | 2041-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        | 1284737502 | PA      | $382639.13    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Alen Mortgage Trust                                                       | Alen Mortgage Trust, Series 2021-ACEN, Class D                                                                                | CUSIP: 01449NAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     587000 | PA      | $458916.60    | 0.01%             | 2034-04-15      | Floating      | 7.42%                 | No            |                  3 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31418DTQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3403229 | PA      | $2789969.46   | 0.08%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   30031000 | PA      | $-50954.05    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BOCA Commercial Mortgage Trust                                            | BOCA Commercial Mortgage Trust, Series 2022-BOCA, Class A                                                                     | CUSIP: 05592LAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     471952 | PA      | $462429.75    | 0.01%             | 2039-05-15      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     844000 | PA      | $31439.91     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Oriental Republic of Uruguay                                              | Oriental Republic of Uruguay                                                                                                  | CUSIP: 760942BB7<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |    1813307 | PA      | $1827813.46   | 0.05%             | 2027-10-27      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                                       | Petroleos Mexicanos                                                                                                           | CUSIP: 71654QDL3<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | NUSS              | MX        |    1078000 | PA      | $1008805.88   | 0.03%             | 2029-06-02      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| AGL CLO 14 Ltd.                                                           | AGL CLO 14 Ltd., Series 2021-14A, Class A                                                                                     | CUSIP: 00851WAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1530000 | PA      | $1485912.44   | 0.04%             | 2034-12-02      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132G5AU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      67239 | PA      | $63805.72     | 0.00%             | 2028-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 3617ALXR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      46555 | PA      | $46226.77     | 0.00%             | 2047-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DVL52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11169405 | PA      | $9604788.85   | 0.28%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QM4F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3512379 | PA      | $3007554.74   | 0.09%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Northwest Pipeline LLC                                                    | Northwest Pipeline LLC                                                                                                        | CUSIP: 66775VAB1<br>LEI: 549300FFKMN9OW536A14 | Long             | DBT              | CORP              | US        |    2916000 | PA      | $2756421.67   | 0.08%             | 2027-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| InRetail Consumer                                                         | InRetail Consumer                                                                                                             | CUSIP: 45790TAB1<br>LEI: N/A                  | Long             | DBT              | CORP              | PE        |     635000 | PA      | $542131.25    | 0.02%             | 2028-03-22      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Gulf Stream Meridian 1 Ltd.                                               | Gulf Stream Meridian 1 Ltd., Series 2020-IA, Class A1                                                                         | CUSIP: 402563AA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1180000 | PA      | $1155630.40   | 0.03%             | 2033-04-15      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140H8AS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36647 | PA      | $35969.82     | 0.00%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TSMC Global Ltd.                                                          | TSMC Global Ltd.                                                                                                              | CUSIP: 872882AN5<br>LEI: 549300N2ZLI21P85T117 | Long             | DBT              | CORP              | VG        |     320000 | PA      | $315097.60    | 0.01%             | 2032-07-22      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Park Avenue Institutional Advisers CLO Ltd.                               | Park Avenue Institutional Advisers CLO Ltd., Series 2017-1A, Class A2R                                                        | CUSIP: 70017KAN9<br>LEI: 549300ZWX1MRCB6KO574 | Long             | ABS-CBDO         | CORP              | KY        |     970000 | PA      | $919643.42    | 0.03%             | 2034-02-14      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179RD71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     143004 | PA      | $133509.30    | 0.00%             | 2045-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Diamondback Energy, Inc.                                                  | Diamondback Energy, Inc.                                                                                                      | CUSIP: 25278XAR0<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |    2831000 | PA      | $2344241.06   | 0.07%             | 2031-03-24      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Commercial Mortgage Securities Trust                       | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2015-JP1, Class C                                                 | CUSIP: 46590KAK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     730000 | PA      | $652130.97    | 0.02%             | 2049-01-15      | Variable      | 4.73%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132M6SF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      40526 | PA      | $38001.76     | 0.00%             | 2044-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Visio Trust                                                               | Visio Trust, Series 2020-1, Class M1                                                                                          | CUSIP: 92837KAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2000000 | PA      | $1719895.20   | 0.05%             | 2055-08-25      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| VICI Properties LP                                                        | VICI Properties LP                                                                                                            | CUSIP: 92564RAE5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     733000 | PA      | $641495.95    | 0.02%             | 2030-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Antares CLO Ltd.                                                          | Antares CLO Ltd., Series 2021-1A, Class A1                                                                                    | CUSIP: 03666BAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2420000 | PA      | $2309291.29   | 0.07%             | 2033-07-25      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| Regatta VII Funding Ltd.                                                  | Regatta VII Funding Ltd., Series 2016-1A, Class A1R2                                                                          | CUSIP: 75888ABE5<br>LEI: 549300DA6HSLI0UPTQ25 | Long             | ABS-CBDO         | CORP              | KY        |     720000 | PA      | $704351.09    | 0.02%             | 2034-06-20      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| Service Properties Trust                                                  | Service Properties Trust                                                                                                      | CUSIP: 44106MAZ5<br>LEI: 529900IS770AG1K9QG27 | Long             | DBT              | CORP              | US        |     990000 | PA      | $899980.80    | 0.03%             | 2024-10-01      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                                 | HCA, Inc.                                                                                                                     | CUSIP: 404119CD9<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    1685000 | PA      | $1531965.62   | 0.05%             | 2027-03-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Comision Federal de Electricidad                                          | Comision Federal de Electricidad                                                                                              | CUSIP: N/A<br>LEI: 4469000001BFPONMPF32       | Long             | DBT              | NUSS              | MX        |     308000 | PA      | $304400.25    | 0.01%             | 2024-01-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Broadridge Financial Solutions, Inc.                                      | Broadridge Financial Solutions, Inc.                                                                                          | CUSIP: 11133TAC7<br>LEI: 549300KZDJZQ2YIHRC28 | Long             | DBT              | CORP              | US        |     719000 | PA      | $673006.07    | 0.02%             | 2026-06-27      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                     | Wells Fargo Commercial Mortgage Trust, Series 2018-C45, Class C                                                               | CUSIP: 95001NBD9<br>LEI: 5493006021R83VCLAO08 | Long             | ABS-MBS          | CORP              | US        |     309000 | PA      | $260003.42    | 0.01%             | 2051-06-15      | Fixed         | 4.73%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 312938GD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      72139 | PA      | $71594.04     | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138X8XC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      95605 | PA      | $91603.61     | 0.00%             | 2028-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| KREF Ltd.                                                                 | KREF Ltd., Series 2022-FL3, Class A                                                                                           | CUSIP: 48275EAA4<br>LEI: 549300DG0FGL1EU1CT79 | Long             | ABS-CBDO         | CORP              | KY        |   10000000 | PA      | $9633936.00   | 0.28%             | 2039-02-17      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| Battalion CLO X Ltd.                                                      | Battalion CLO X Ltd., Series 2016-10A, Class A2R2                                                                             | CUSIP: 07132JBE3<br>LEI: 549300RRK5G3IT4Y7N27 | Long             | ABS-CBDO         | CORP              | KY        |     630000 | PA      | $592198.49    | 0.02%             | 2035-01-25      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| Penske Truck Leasing Co. LP                                               | Penske Truck Leasing Co. LP                                                                                                   | CUSIP: 709599AX2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1323000 | PA      | $1241313.73   | 0.04%             | 2027-04-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Commercial Real Estate Notes Ltd.                            | Arbor Realty Commercial Real Estate Notes Ltd., Series 2022-FL2, Class A                                                      | CUSIP: 03881JAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1350000 | PA      | $1319723.69   | 0.04%             | 2037-05-15      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140GW4L4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18000 | PA      | $17754.79     | 0.00%             | 2047-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                            | Morgan Stanley Capital I Trust, Series 2019-H6, Class XB                                                                      | CUSIP: 61769JBC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5210000 | PA      | $197269.62    | 0.01%             | 2052-06-15      | Variable      | 0.71%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 31307UR34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      43066 | PA      | $41025.70     | 0.00%             | 2032-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                                           | CSAIL Commercial Mortgage Trust, Series 2015-C2, Class A4                                                                     | CUSIP: 12634NAT5<br>LEI: 549300D5DIOOMKWXVZ20 | Long             | ABS-MBS          | CORP              | US        |     270000 | PA      | $256205.81    | 0.01%             | 2057-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QELS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4332281 | PA      | $3725336.77   | 0.11%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36189MS74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      45244 | PA      | $43279.67     | 0.00%             | 2046-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Massachusetts Housing Finance Agency                                      | Massachusetts Housing Finance Agency, Series 2015A                                                                            | CUSIP: 57586NXZ9<br>LEI: 549300NLJBK1VP6K2K81 | Long             | DBT              | MUN               | US        |     230000 | PA      | $208805.24    | 0.01%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Edison International                                                      | Edison International                                                                                                          | CUSIP: 281020AR8<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |      88000 | PA      | $86539.31     | 0.00%             | 2025-04-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Crown Castle, Inc.                                                        | Crown Castle, Inc.                                                                                                            | CUSIP: 22822VAK7<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |     357000 | PA      | $331783.79    | 0.01%             | 2028-02-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132HNMK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      87044 | PA      | $81571.90     | 0.00%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DVLZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1485178 | PA      | $1322636.07   | 0.04%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  -62244700 | PA      | $-1719665.38  | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                                                    | GSAA Home Equity Trust, Series 2006-5, Class 2A1                                                                              | CUSIP: 362334GR9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     455323 | PA      | $167123.61    | 0.00%             | 2036-03-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36179NDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     318037 | PA      | $299992.46    | 0.01%             | 2043-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Verizon Communications, Inc.                                              | Verizon Communications, Inc.                                                                                                  | CUSIP: 92343VFV1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    1545000 | PA      | $919927.84    | 0.03%             | 2060-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TIAA CLO III Ltd.                                                         | TIAA CLO III Ltd., Series 2017-2A, Class A                                                                                    | CUSIP: 87272HAA8<br>LEI: 54930043TEPI4UKGHU90 | Long             | ABS-CBDO         | CORP              | KY        |     910000 | PA      | $890553.03    | 0.03%             | 2031-01-16      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 31292LGU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     509200 | PA      | $477189.09    | 0.01%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Trust                                          | OneMain Financial Issuance Trust, Series 2020-2A, Class D                                                                     | CUSIP: 682696AD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1410000 | PA      | $1169291.15   | 0.03%             | 2035-09-14      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Industrias Penoles SAB de CV                                              | Industrias Penoles SAB de CV                                                                                                  | CUSIP: N/A<br>LEI: 549300WA2HB7776CB324       | Long             | DBT              | CORP              | MX        |     459000 | PA      | $429251.06    | 0.01%             | 2049-09-12      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| American Transmission Systems, Inc.                                       | American Transmission Systems, Inc.                                                                                           | CUSIP: 030288AC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2146000 | PA      | $1761139.90   | 0.05%             | 2032-01-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138LTL63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14487 | PA      | $13560.97     | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RR LLC                                                                    | RR LLC, Series 2017-1A, Class A1AB                                                                                            | CUSIP: 78108YAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2140000 | PA      | $2095401.12   | 0.06%             | 2035-07-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                                 | HCA, Inc.                                                                                                                     | CUSIP: 404121AH8<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    3357000 | PA      | $3319660.12   | 0.10%             | 2026-09-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Natixis Commercial Mortgage Securities Trust                              | Natixis Commercial Mortgage Securities Trust, Series 2019-LVL, Class D                                                        | CUSIP: 63874TAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     310000 | PA      | $244711.12    | 0.01%             | 2038-08-15      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bonds                                                                                                           | CUSIP: 912810QL5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2710000 | PA      | $2768646.08   | 0.08%             | 2040-11-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140J9Y96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     245414 | PA      | $245724.09    | 0.01%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    2197000 | PA      | $-14959.47    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2022-LBA6, Class A                                                                                           | CUSIP: 12433EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     331000 | PA      | $319801.81    | 0.01%             | 2039-01-15      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                           | Citigroup, Inc.                                                                                                               | CUSIP: 17327CAQ6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    1951000 | PA      | $1574485.78   | 0.05%             | 2033-01-25      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                                               | PRKCM Trust, Series 2021-AFC2, Class A1                                                                                       | CUSIP: 69361JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     291729 | PA      | $241718.30    | 0.01%             | 2056-11-25      | Variable      | 2.07%                 | No            |                  2 | On Loan: No      |
| Apidos CLO XV                                                             | Apidos CLO XV, Series 2013-15A, Class A1RR                                                                                    | CUSIP: 03764QBC5<br>LEI: 549300HXW2GBYSKFE344 | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $492677.05    | 0.01%             | 2031-04-20      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Oncor Electric Delivery Co. LLC                                           | Oncor Electric Delivery Co. LLC                                                                                               | CUSIP: 68233JBG8<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |     894000 | PA      | $755396.36    | 0.02%             | 2048-11-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Crown Castle, Inc.                                                        | Crown Castle, Inc.                                                                                                            | CUSIP: 22822VAT8<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |    2738000 | PA      | $2196511.00   | 0.06%             | 2031-01-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Micron Technology, Inc.                                                   | Micron Technology, Inc.                                                                                                       | CUSIP: 595112BS1<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |     827000 | PA      | $618369.29    | 0.02%             | 2032-04-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners 33 Ltd.                                       | Octagon Investment Partners 33 Ltd., Series 2017-1A, Class A1                                                                 | CUSIP: 675711AA3<br>LEI: 549300IDWDG12HO3TO90 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $246965.98    | 0.01%             | 2031-01-20      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-9708.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Mariner CLO LLC                                                           | Mariner CLO LLC, Series 2016-3A, Class AR2                                                                                    | CUSIP: 56845AAU2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     304391 | PA      | $300566.77    | 0.01%             | 2029-07-23      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138Y4UY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      51003 | PA      | $48793.42     | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Highbridge Loan Management                                                | Highbridge Loan Management, Series 3A-2014, Class A1R                                                                         | CUSIP: 40436XAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     671692 | PA      | $666155.72    | 0.02%             | 2029-07-18      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bonds                                                                                                           | CUSIP: 912810QB7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1764000 | PA      | $1816782.20   | 0.05%             | 2039-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138XTR56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     757839 | PA      | $743756.38    | 0.02%             | 2029-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                                           | CSAIL Commercial Mortgage Trust, Series 2015-C4, Class D                                                                      | CUSIP: 12635RBE7<br>LEI: 54930025J96YEH8FQE77 | Long             | ABS-MBS          | CORP              | US        |    1270000 | PA      | $1062997.37   | 0.03%             | 2048-11-15      | Variable      | 3.56%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3133A04K7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     576039 | PA      | $530322.04    | 0.02%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132JADY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     115213 | PA      | $107749.97    | 0.00%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132JQEV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     125576 | PA      | $123501.79    | 0.00%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DBJPM Mortgage Trust                                                      | DBJPM Mortgage Trust, Series 2017-C6, Class XD                                                                                | CUSIP: 23312JAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3040000 | PA      | $106426.14    | 0.00%             | 2050-06-10      | Variable      | 1.00%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance Trust                                        | Regional Management Issuance Trust, Series 2022-1, Class B                                                                    | CUSIP: 75907DAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     151000 | PA      | $129438.85    | 0.00%             | 2032-03-15      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132GSSE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     190456 | PA      | $178483.23    | 0.01%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDS                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     633000 | PA      | $-6341.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 3132JAST3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      95227 | PA      | $89294.55     | 0.00%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3132DVMB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4542772 | PA      | $3885277.74   | 0.11%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140XFRT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2808054 | PA      | $2322886.72   | 0.07%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MidAmerican Energy Co.                                                    | MidAmerican Energy Co.                                                                                                        | CUSIP: 595620AW5<br>LEI: NINLOILYRTLIMK26MZ18 | Long             | DBT              | CORP              | US        |    1108000 | PA      | $709402.94    | 0.02%             | 2052-08-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Cheniere Energy Partners LP                                               | Cheniere Energy Partners LP                                                                                                   | CUSIP: 16411QAN1<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |    3249000 | PA      | $2582002.20   | 0.08%             | 2032-01-31      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Galaxy XXII CLO Ltd.                                                      | Galaxy XXII CLO Ltd., Series 2016-22A, Class ARR                                                                              | CUSIP: 36320TAV5<br>LEI: 54930022KENWLYJ8SJ86 | Long             | ABS-CBDO         | CORP              | KY        |     910000 | PA      | $884065.27    | 0.03%             | 2034-04-16      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series K148, Class A2                      | CUSIP: 3137H8U90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     786000 | PA      | $724350.72    | 0.02%             | 2032-07-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Gilbert Park CLO Ltd.                                                     | Gilbert Park CLO Ltd., Series 2017-1A, Class C                                                                                | CUSIP: 375415AE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     640000 | PA      | $608672.00    | 0.02%             | 2030-10-15      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd.                                                              | OCP CLO Ltd., Series 2013-4A, Class BRR                                                                                       | CUSIP: 67105HBC8<br>LEI: 254900OVGEI8FTD7PT85 | Long             | ABS-CBDO         | CORP              | KY        |     945000 | PA      | $914807.44    | 0.03%             | 2029-04-24      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                           | CUSIP: 91282CEE7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3491000 | PA      | $3174355.41   | 0.09%             | 2029-03-31      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KL06, Class XFX                     | CUSIP: 3137F84J9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1480000 | PA      | $96706.90     | 0.00%             | 2029-12-25      | Variable      | 1.36%                 | No            |                  2 | On Loan: No      |
| Motorola Solutions, Inc.                                                  | Motorola Solutions, Inc.                                                                                                      | CUSIP: 620076BU2<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | DBT              | CORP              | US        |    5361000 | PA      | $4286344.02   | 0.13%             | 2031-05-24      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138WFBR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1705990 | PA      | $1535095.74   | 0.05%             | 2045-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Verizon Communications, Inc.                                              | Verizon Communications, Inc.                                                                                                  | CUSIP: 92343VCK8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     394000 | PA      | $353164.54    | 0.01%             | 2046-08-21      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140KKX33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     565174 | PA      | $462248.37    | 0.01%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  855012000 | PA      | $1020267.48   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CSX Corp.                                                                 | CSX Corp.                                                                                                                     | CUSIP: 126408HS5<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |     406000 | PA      | $314850.46    | 0.01%             | 2050-04-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36180DVB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      64929 | PA      | $61060.70     | 0.00%             | 2043-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Oriental Republic of Uruguay                                              | Oriental Republic of Uruguay                                                                                                  | CUSIP: 760942BA9<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |    1368621 | PA      | $1349460.31   | 0.04%             | 2050-06-18      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  -27823661 | PA      | $-1382868.38  | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3138WFQ25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     268017 | PA      | $251284.22    | 0.01%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                            | Morgan Stanley Capital I Trust, Series 2017-HR2, Class D                                                                      | CUSIP: 61691NAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1360000 | PA      | $925635.58    | 0.03%             | 2050-12-15      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| Arbor Multifamily Mortgage Securities Trust                               | Arbor Multifamily Mortgage Securities Trust, Series 2020-MF1, Class E                                                         | CUSIP: 03881BAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     600000 | PA      | $331311.84    | 0.01%             | 2053-05-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| BANK                                                                      | BANK, Series 2021-BN33, Class XA                                                                                              | CUSIP: 06541CBR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12267743 | PA      | $715757.79    | 0.02%             | 2064-05-15      | Variable      | 1.06%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140XGMR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     599548 | PA      | $567965.63    | 0.02%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Dryden 65 CLO Ltd.                                                        | Dryden 65 CLO Ltd., Series 2018-65A, Class B                                                                                  | CUSIP: 26251YAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $240965.70    | 0.01%             | 2030-07-18      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| Kinder Morgan Energy Partners LP                                          | Kinder Morgan Energy Partners LP                                                                                              | CUSIP: 28370TAF6<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |     555000 | PA      | $458488.71    | 0.01%             | 2042-11-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140J7R64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     605770 | PA      | $594892.32    | 0.02%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd.                                                              | OCP CLO Ltd., Series 2020-18A, Class AR                                                                                       | CUSIP: 671078AN3<br>LEI: 254900MN6N176YEZLX15 | Long             | ABS-CBDO         | CORP              | KY        |     320000 | PA      | $313135.58    | 0.01%             | 2032-07-20      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| American International Group, Inc.                                        | American International Group, Inc.                                                                                            | CUSIP: 026874DL8<br>LEI: ODVCVCQG2BP6VHV36M30 | Long             | DBT              | CORP              | US        |     806000 | PA      | $718729.81    | 0.02%             | 2048-04-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                            | Morgan Stanley                                                                                                                | CUSIP: 6174468W2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   13946000 | PA      | $13852455.95  | 0.41%             | 2024-01-25      | Variable      | 0.53%                 | No            |                  2 | On Loan: No      |
| AngloGold Ashanti Holdings plc                                            | AngloGold Ashanti Holdings plc                                                                                                | CUSIP: 03512TAE1<br>LEI: 213800745ZIXC4L6A131 | Long             | DBT              | CORP              | IM        |    1162000 | PA      | $1008252.88   | 0.03%             | 2030-10-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                     | Wells Fargo Commercial Mortgage Trust, Series 2016-C32, Class A3FL                                                            | CUSIP: 94989YBG7<br>LEI: 549300VOKB4Z9J8DIM89 | Long             | ABS-MBS          | CORP              | US        |     639484 | PA      | $624961.42    | 0.02%             | 2059-01-15      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Commercial Mortgage Securities Trust                       | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2018-PHH, Class A                                                 | CUSIP: 46650FAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1831572 | PA      | $1670491.21   | 0.05%             | 2035-06-15      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO V Ltd.                                                        | Elmwood CLO V Ltd., Series 2020-2A, Class BR                                                                                  | CUSIP: 29003BAM3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     620000 | PA      | $599454.56    | 0.02%             | 2034-10-20      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                              | CUSIP: 31307MQX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     102031 | PA      | $95559.04     | 0.00%             | 2030-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| LCM 29 Ltd.                                                               | LCM 29 Ltd., Series 29A, Class AR                                                                                             | CUSIP: 50201MAQ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $245561.03    | 0.01%             | 2031-04-15      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| Logan CLO I Ltd.                                                          | Logan CLO I Ltd., Series 2021-1A, Class A                                                                                     | CUSIP: 540543AA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1010000 | PA      | $987542.75    | 0.03%             | 2034-07-20      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 31418CZ98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     327922 | PA      | $312443.98    | 0.01%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                            | CUSIP: 3140QLN36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8870019 | PA      | $7231876.13   | 0.21%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Republic of the Philippines                                               | Republic of Philippines                                                                                                       | CUSIP: 718286CP0<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |    2747000 | PA      | $1991877.17   | 0.06%             | 2046-07-06      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Symphony CLO XVI Ltd.                                                     | Symphony CLO XVI Ltd., Series 2015-16A, Class AR                                                                              | CUSIP: 87165VAF6<br>LEI: 5493004PWOYFPAFQVT02 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $245500.13    | 0.01%             | 2031-10-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO XX Ltd.                                              | Neuberger Berman CLO XX Ltd., Series 2015-20A, Class BRR                                                                      | CUSIP: 64130TBC8<br>LEI: 549300NPF57YF6WBDP72 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $238617.58    | 0.01%             | 2034-07-15      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                      | CUSIP: 36213FZ22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     110803 | PA      | $104204.83    | 0.00%             | 2042-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2022-12-31

**Name of Applicant:** BlackRock Funds V

**Signature:** Ann Frechette

**Name of Signer:** Ann Frechette

**Title:** Assistant Treasurer