# EDGAR Filing Document

**Accession Number:** 0001738072
**File Stem:** 0001752724-25-210416
**Filing Date:** 2025-8
**Character Count:** 984988
**Document Hash:** d3d13cb8ed92f315b81f3f2db6ee4d62
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-210416.hdr.sgml**: 20250828

**ACCESSION NUMBER**: 0001752724-25-210416

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250630

**FILED AS OF DATE**: 20250828

**DATE AS OF CHANGE**: 20250828

**PERIOD START**: 20251231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** BlackRock Variable Series Funds II, Inc.
- **CENTRAL INDEX KEY:** 0001738072

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** MD
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-23346
- **FILM NUMBER:** 251268919

**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 Total Return V.I. Fund (Series ID: S000062377)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000202344 | Class I      |  |
| C000202345 | Class III    |  |

## 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 Variable Series Funds II, Inc.

- **b. Investment Company Act file number:** 811-23346

- **c. CIK number of Registrant:** 0001738072

- **d. LEI of Registrant:** 549300CYYTFFNBNORE26

- **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 Total Return V.I. Fund

- **b. EDGAR series identifier (if any):** S000062377

- **c. LEI of Series:** QEYJMZOKY3CA1LFEXI16

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

- **a. Date of fiscal year-end:** 2025-12-31

- **b. Date as of which information is reported:** 2025-06-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $1220285105.28

**Total Liabilities:** $326982334.72

**Net Assets:** $893302770.56

**Cash Not Reported:** $10814493.27

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 24910.13000000 | **1-Year:** 9582.03000000 | **5-Year:** 214702.21000000 | **10-Year:** 55165.97000000 | **30-Year:** 77375.05000000

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

- **3-Month:** 44427.56000000 | **1-Year:** -1500.45000000 | **5-Year:** 29815.07000000 | **10-Year:** 2182.15000000 | **30-Year:** -14728.59000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000202345 | 0.19%                | -0.41%               | 1.73%                |
| Class ID C000202344 | 0.12%                | -0.38%               | 1.84%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-1710251.94             | $1439053.87                                |
| Month 2  | $-41843.46               | $-6093509.51                               |
| Month 3  | $141782.55               | $11723961.12                               |

**Designated Index Information**

- **Index Name:** Bloomberg U.S. Aggregate Bond Index

- **Index Identifier:** LBUSTRUU

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| GoldenTree Loan Management US CLO 23 Ltd.                                        | GoldenTree Loan Management US CLO 23 Ltd., Series 2024-23A, Class B                                               | CUSIP: 38139KAG4<br>LEI: 254900TP00US14X9AP48 | Long             | ABS-CBDO         | CORP              | KY        |    1310000 | PA      | $1312023.16   | 0.15%             | 2039-01-20      | Floating      | 5.88%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Bonds                                                                                               | CUSIP: 912810TJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3908800 | PA      | $2821512.32   | 0.32%             | 2052-08-15      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Conseco Finance Securitizations Corp.                                            | Conseco Finance Securitizations Corp., Series 2000-1, Class A5                                                    | CUSIP: 20846QBP2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      56236 | PA      | $7674.91      | 0.00%             | 2029-09-01      | Variable      | 8.06%                 | No            | 2                  | On Loan: No      |
| American International Group, Inc.                                               | American International Group, Inc.                                                                                | CUSIP: 026874DP9<br>LEI: ODVCVCQG2BP6VHV36M30 | Long             | DBT              | CORP              | US        |      76000 | PA      | $63607.78     | 0.01%             | 2050-06-30      | Fixed         | 4.38%                 | No            | 2                  | On Loan: No      |
| Charter Communications Operating LLC                                             | Charter Communications Operating LLC                                                                              | CUSIP: 161175BY9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     996000 | PA      | $638110.58    | 0.07%             | 2061-04-01      | Fixed         | 3.85%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3133KQ2Z8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      79097 | PA      | $80932.43     | 0.01%             | 2053-04-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| BX Commercial Mortgage Trust                                                     | BX Commercial Mortgage Trust, Series 2023-XL3, Class A                                                            | CUSIP: 12434GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      90217 | PA      | $90470.11     | 0.01%             | 2040-12-09      | Floating      | 6.07%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Notes                                                                                               | CUSIP: 91282CJP7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3982600 | PA      | $4012313.94   | 0.45%             | 2026-12-15      | Fixed         | 4.38%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | IRS                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     254000 | PA      | $-19598.91    | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31418D6B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     587086 | PA      | $466169.45    | 0.05%             | 2051-11-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association, Series 2022-78, Class D                                                 | CUSIP: 38383P6D8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     956801 | PA      | $162650.63    | 0.02%             | 2051-08-20      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140X4WD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3139 | PA      | $2879.36      | 0.00%             | 2048-11-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp.        | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 01F052672<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   87990000 | PA      | $87969869.65  | 9.85%             | 2055-07-25      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WJEP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24810 | PA      | $23877.49     | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Wells Fargo & Co.                                                                | Wells Fargo & Co.                                                                                                 | CUSIP: 95000U2U6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     738000 | PA      | $673978.45    | 0.08%             | 2033-03-02      | Variable      | 3.35%                 | No            | 2                  | On Loan: No      |
| Home Equity Mortgage Loan Asset-Backed Trust                                     | Home Equity Mortgage Loan Asset-Backed Trust, Series 2004-A, Class M2                                             | CUSIP: 456606ER9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       9396 | PA      | $9011.49      | 0.00%             | 2034-07-25      | Floating      | 3.78%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DWBB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     805465 | PA      | $640926.07    | 0.07%             | 2051-03-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Clydesdale Acquisition Holdings, Inc.                                            | Clydesdale Acquisition Holdings, Inc.                                                                             | CUSIP: 18972EAB1<br>LEI: 254900QKSDYFR3K5YD98 | Long             | DBT              | CORP              | US        |      84000 | PA      | $85917.22     | 0.01%             | 2030-04-15      | Fixed         | 8.75%                 | No            | 2                  | On Loan: No      |
| Oracle Corp.                                                                     | Oracle Corp.                                                                                                      | CUSIP: 68389XBY0<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     401000 | PA      | $276338.14    | 0.03%             | 2060-04-01      | Fixed         | 3.85%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WJQF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30026 | PA      | $28345.30     | 0.00%             | 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        |     729802 | PA      | $620378.60    | 0.07%             | 2052-07-20      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust                           | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2024-IGLG, Class E                                 | CUSIP: 46593KAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     305000 | PA      | $304404.09    | 0.03%             | 2039-11-09      | Variable      | 7.50%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | USCPI                                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DO               |  | GB        |    2838000 | PA      | $-10020.57    | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| JPMorgan Chase & Co.                                                             | JPMorgan Chase & Co.                                                                                              | CUSIP: 46647PEL6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    1049000 | PA      | $1062451.52   | 0.12%             | 2028-07-22      | Variable      | 4.98%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140J7MC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34912 | PA      | $33163.22     | 0.00%             | 2031-11-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| OCP SA                                                                           | OCP SA                                                                                                            | CUSIP: N/A<br>LEI: 213800D26TAPVTCVWG40       | Long             | DBT              | NUSS              | MA        |     321000 | PA      | $332087.34    | 0.04%             | 2034-05-02      | Fixed         | 6.75%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138EQU26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1191 | PA      | $1152.47      | 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        |       2081 | PA      | $2174.87      | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Pacific Gas & Electric Co.                                                       | Pacific Gas & Electric Co.                                                                                        | CUSIP: 694308JQ1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     448954 | PA      | $374094.71    | 0.04%             | 2040-07-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Morgan Stanley                                                                   | Morgan Stanley                                                                                                    | CUSIP: 61747YFY6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    1610000 | PA      | $1633421.23   | 0.18%             | 2029-04-12      | Variable      | 4.99%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WFG26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8940 | PA      | $8646.19      | 0.00%             | 2030-08-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Prime Investments LLC                                                            | Prime Investments LLC                                                                                             | CUSIP: 74167YAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     243000 | PA      | $242527.51    | 0.03%             | 2030-05-01      | Fixed         | 11.00%                | No            | 3                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QLLD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      73722 | PA      | $70471.89     | 0.01%             | 2036-07-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | SOP                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |     447860 | PA      | $21151.08     | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| AT&T, Inc.                                                                       | AT&T, Inc.                                                                                                        | CUSIP: 00206RMZ2<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     236000 | PA      | $240842.00    | 0.03%             | 2056-08-15      | Fixed         | 6.05%                 | No            | 2                  | On Loan: No      |
| BLP Commercial Mortgage Trust                                                    | BLP Commercial Mortgage Trust, Series 2024-IND2, Class A                                                          | CUSIP: 05625AAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      94883 | PA      | $95001.33     | 0.01%             | 2041-03-15      | Floating      | 5.65%                 | No            | 2                  | On Loan: No      |
| Glencore Funding LLC                                                             | Glencore Funding LLC                                                                                              | CUSIP: 378272BP2<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |     382000 | PA      | $409982.16    | 0.05%             | 2030-10-06      | Fixed         | 6.38%                 | No            | 2                  | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                           | Velocity Commercial Capital Loan Trust, Series 2017-2, Class M3                                                   | CUSIP: 92258VAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      51860 | PA      | $48280.04     | 0.01%             | 2047-11-25      | Variable      | 4.24%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DM2T1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     275790 | PA      | $222322.84    | 0.02%             | 2051-12-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138ERA91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16046 | PA      | $14416.87     | 0.00%             | 2046-08-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WJC97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32371 | PA      | $31168.07     | 0.00%             | 2031-10-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Wom New Holdco                                                                   | Wom New Holdco                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | US        |         86 | NS      | $2408.00      | 0.00%             |  |  |  | No            | 3                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DMRG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     488076 | PA      | $445157.27    | 0.05%             | 2050-08-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36179WLQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1964875 | PA      | $1740107.90   | 0.19%             | 2051-08-20      | 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      | $250.54       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140X83B1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      64032 | PA      | $59274.32     | 0.01%             | 2048-01-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| MVM Energetika Zrt.                                                              | MVM Energetika Zrt.                                                                                               | CUSIP: N/A<br>LEI: 529900ELI5AQ9F74PF85       | Long             | DBT              | NUSS              | HU        |     396000 | PA      | $410107.50    | 0.05%             | 2031-03-13      | Fixed         | 6.50%                 | No            | 2                  | On Loan: No      |
| Republic of Colombia                                                             | Republic of Colombia                                                                                              | CUSIP: N/A<br>LEI: 549300MHDRBVRF6B9117       | Long             | DBT              | NUSS              | CO        | 8241300000 | PA      | $1300371.33   | 0.15%             | 2036-07-09      | Fixed         | 6.25%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WHFL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40881 | PA      | $36731.01     | 0.00%             | 2046-06-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Notes                                                                                               | CUSIP: 91282CEV9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2309600 | PA      | $2267377.63   | 0.25%             | 2029-06-30      | Fixed         | 3.25%                 | No            | 2                  | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                                  | Goldman Sachs Group, Inc. (The)                                                                                   | CUSIP: 38145GAH3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     353000 | PA      | $348870.71    | 0.04%             | 2026-11-16      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| State of California                                                              | State of California, Series 2018                                                                                  | CUSIP: 13063DGE2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    1215000 | PA      | $1235148.93   | 0.14%             | 2038-04-01      | Fixed         | 4.60%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | USCPI                                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DO               |  | GB        |    2960000 | PA      | $-2197.43     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Expand Energy Corp.                                                              | Expand Energy Corp.                                                                                               | CUSIP: 92735LAA0<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |     693000 | PA      | $701295.90    | 0.08%             | 2029-04-15      | Fixed         | 6.75%                 | No            | 2                  | On Loan: No      |
| GLP Capital LP                                                                   | GLP Capital LP                                                                                                    | CUSIP: 361841AU3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     459000 | PA      | $448053.31    | 0.05%             | 2054-09-15      | Fixed         | 6.25%                 | No            | 2                  | On Loan: No      |
| Pacific Gas & Electric Co.                                                       | Pacific Gas & Electric Co.                                                                                        | CUSIP: 694308KT3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     295000 | PA      | $267460.45    | 0.03%             | 2054-10-01      | Fixed         | 5.90%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XFA43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     227530 | PA      | $192396.18    | 0.02%             | 2051-11-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QL4T0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     126699 | PA      | $121718.44    | 0.01%             | 2036-09-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XFFP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     277215 | PA      | $223468.58    | 0.03%             | 2052-01-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Port of Beaumont Navigation District                                             | Port of Beaumont Navigation District, Series 2024B                                                                | CUSIP: 73360CAS3<br>LEI: 549300G8PKBXALUKJY33 | Long             | DBT              | MUN               | US        |     450000 | PA      | $460657.80    | 0.05%             | 2026-07-01      | Fixed         | 10.00%                | No            | 2                  | On Loan: No      |
| EQT Corp.                                                                        | EQT Corp.                                                                                                         | CUSIP: 26884LAG4<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     744000 | PA      | $806525.28    | 0.09%             | 2030-02-01      | Fixed         | 7.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31410G4B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4978 | PA      | $5218.20      | 0.00%             | 2038-02-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3133KNCZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1145176 | PA      | $964447.11    | 0.11%             | 2051-12-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Frontier Communications Holdings LLC                                             | Frontier Communications Holdings LLC                                                                              | CUSIP: 35908MAE0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     219000 | PA      | $232689.19    | 0.03%             | 2031-03-15      | Fixed         | 8.62%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DVMA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2106324 | PA      | $1853967.32   | 0.21%             | 2052-03-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QNFD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      92366 | PA      | $78522.29     | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| JPMorgan Chase & Co.                                                             | JPMorgan Chase & Co.                                                                                              | CUSIP: 46647PBX3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     219000 | PA      | $189918.92    | 0.02%             | 2032-02-04      | Variable      | 1.95%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Bonds                                                                                               | CUSIP: 912810RX8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1728100 | PA      | $1294117.39   | 0.14%             | 2047-05-15      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 21H030674<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2727000 | PA      | $2411647.78   | 0.27%             | 2055-07-15      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Hess Corp.                                                                       | Hess Corp.                                                                                                        | CUSIP: 023551AJ3<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |     191000 | PA      | $216623.36    | 0.02%             | 2031-08-15      | Fixed         | 7.30%                 | No            | 2                  | On Loan: No      |
| GLP Capital LP                                                                   | GLP Capital LP                                                                                                    | CUSIP: 361841AL3<br>LEI: 2549005PXW31DRW8EC44 | Long             | DBT              | CORP              | US        |      80000 | PA      | $80887.04     | 0.01%             | 2029-01-15      | Fixed         | 5.30%                 | No            | 2                  | On Loan: No      |
| Wells Fargo & Co.                                                                | Wells Fargo & Co.                                                                                                 | CUSIP: 95000U2Z5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |       4000 | PA      | $3408.85      | 0.00%             | 2053-04-25      | Variable      | 4.61%                 | 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      | $-148089.04   | -0.02%            |  |  |  | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36179WG44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     851549 | PA      | $754069.17    | 0.08%             | 2051-06-20      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3131Y9E25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      53887 | PA      | $52366.94     | 0.01%             | 2049-01-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| J.P. Morgan Mortgage Acquisition Trust                                           | J.P. Morgan Mortgage Acquisition Trust, Series 2006-CW1, Class M1                                                 | CUSIP: 46628MAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      41897 | PA      | $41693.37     | 0.00%             | 2036-05-25      | Floating      | 4.84%                 | No            | 2                  | On Loan: No      |
| Citigroup, Inc.                                                                  | Citigroup, Inc.                                                                                                   | CUSIP: 172967PZ8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    1309000 | PA      | $1312469.66   | 0.15%             | 2028-05-07      | Variable      | 4.64%                 | No            | 2                  | On Loan: No      |
| Regatta XI Funding Ltd.                                                          | Regatta XI Funding Ltd., Series 2018-1A, Class AR                                                                 | CUSIP: 75887XAN7<br>LEI: 254900TUAAER6MTE4E64 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $250827.88    | 0.03%             | 2037-07-17      | Floating      | 5.68%                 | 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      | $47895.02     | 0.01%             |  |  |  | No            | 2                  | On Loan: No      |
| Continuum Energy Pte. Ltd.                                                       | Continuum Energy Pte. Ltd.                                                                                        | CUSIP: 211926AA8<br>LEI: 254900MLJ5CQ9QU8DV90 | Long             | DBT              | CORP              | SG        |     443095 | PA      | $443095.00    | 0.05%             | 2027-09-11      | Fixed         | 12.85%                | No            | 3                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140N8U97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      98491 | PA      | $97596.62     | 0.01%             | 2053-01-01      | Fixed         | 5.00%                 | 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        |       9991 | PA      | $9677.16      | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| CWABS Asset-Backed Certificates Trust                                            | CWABS Asset-Backed Certificates Trust, Series 2005-16, Class 1AF                                                  | CUSIP: 126670NV6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      63670 | PA      | $56422.69     | 0.01%             | 2036-04-25      | Variable      | 4.53%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132ADQE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     130183 | PA      | $119685.69    | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Venture Global, Inc.                                                             | Venture Global, Inc., Class A                                                                                     | CUSIP: 92333F101<br>LEI: 2549007XC91CAB3E0N98 | Long             | EC               | CORP              | US        |        474 | NS      | $7384.92      | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| AT&T, Inc.                                                                       | AT&T, Inc.                                                                                                        | CUSIP: 00206RLV2<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    1456000 | PA      | $976836.43    | 0.11%             | 2059-09-15      | Fixed         | 3.65%                 | No            | 2                  | On Loan: No      |
| ORL Trust                                                                        | ORL Trust, Series 2024-GLKS, Class A                                                                              | CUSIP: 67120DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     630000 | PA      | $629803.13    | 0.07%             | 2039-12-15      | Floating      | 5.80%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WFG91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8559 | PA      | $8366.90      | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| MFA Trust                                                                        | MFA Trust, Series 2024-NPL1, Class A1                                                                             | CUSIP: 58004YAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     224120 | PA      | $224721.69    | 0.03%             | 2054-09-25      | Variable      | 6.33%                 | No            | 2                  | On Loan: No      |
| United Mexican States                                                            | United Mexican States                                                                                             | CUSIP: 91087BAM2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    1158000 | PA      | $1001380.50   | 0.11%             | 2031-05-24      | Fixed         | 2.66%                 | No            | 2                  | On Loan: No      |
| Altria Group, Inc.                                                               | Altria Group, Inc.                                                                                                | CUSIP: 02209SBG7<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |     204000 | PA      | $204188.51    | 0.02%             | 2059-02-14      | Fixed         | 6.20%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XFGS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     582562 | PA      | $490562.11    | 0.05%             | 2052-01-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36179XNA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     113831 | PA      | $96757.82     | 0.01%             | 2052-12-20      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140J7LM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      71280 | PA      | $64454.10     | 0.01%             | 2043-07-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust                                   | Morgan Stanley Residential Mortgage Loan Trust, Series 2025-NQM1, Class A1                                        | CUSIP: 617932AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     355759 | PA      | $357952.92    | 0.04%             | 2069-11-25      | Variable      | 5.74%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3133KPKT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     392662 | PA      | $376317.66    | 0.04%             | 2052-07-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XDS49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     320466 | PA      | $258337.44    | 0.03%             | 2051-11-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Discovery Communications LLC                                                     | Discovery Communications LLC                                                                                      | CUSIP: 25470DAL3<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |      62000 | PA      | $61899.56     | 0.01%             | 2026-03-11      | Fixed         | 4.90%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3133KRVS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      83137 | PA      | $83512.25     | 0.01%             | 2053-08-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Store Capital LLC                                                                | Store Capital LLC                                                                                                 | CUSIP: 862123AA4<br>LEI: 254900Z9PIEFQ6AYXK50 | Long             | DBT              | CORP              | US        |     837000 | PA      | $848031.06    | 0.09%             | 2030-04-30      | Fixed         | 5.40%                 | No            | 2                  | On Loan: No      |
| Extra Space Storage LP                                                           | Extra Space Storage LP                                                                                            | CUSIP: 30225VAK3<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              | CORP              | US        |     399000 | PA      | $413867.54    | 0.05%             | 2030-07-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| BAY Mortgage Trust                                                               | BAY Mortgage Trust, Series 2025-LIVN, Class A                                                                     | CUSIP: 072925AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     293000 | PA      | $293236.66    | 0.03%             | 2035-05-15      | Floating      | 6.11%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36180DSX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20398 | PA      | $19015.26     | 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        |      60000 | PA      | $59446.21     | 0.01%             | 2040-03-15      | Fixed         | 5.39%                 | No            | 2                  | On Loan: No      |
| CIRKUL SR SEC                                                                    | Cirkul Sr Sec, 1st Lien Term Loan                                                                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |     194000 | PA      | $185037.20    | 0.02%             | 2028-04-23      | Variable      | 0.00%                 | No            | 3                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $1801.83      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QNNX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     245802 | PA      | $198144.63    | 0.02%             | 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        |      17217 | PA      | $16463.80     | 0.00%             | 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        |     276924 | PA      | $268993.14    | 0.03%             | 2035-05-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| SG Mortgage Securities Trust                                                     | SG Mortgage Securities Trust, Series 2006-OPT2, Class A3D                                                         | CUSIP: 78420MAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     100000 | PA      | $75677.42     | 0.01%             | 2036-10-25      | Floating      | 4.85%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Bonds                                                                                               | CUSIP: 912810RZ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4241000 | PA      | $3015748.59   | 0.34%             | 2047-11-15      | Fixed         | 2.75%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3133KJVE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     142799 | PA      | $125390.75    | 0.01%             | 2050-08-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | IRS                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     190000 | PA      | $-19551.62    | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Solaris Energy Infrastructure, Inc.                                              | Solaris Energy Infrastructure, Inc.                                                                               | CUSIP: 83419XAA6<br>LEI: 529900MTK3C8Y8TIIC10 | Long             | DBT              | CORP              | US        |     218000 | PA      | $290893.75    | 0.03%             | 2030-05-01      | Fixed         | 4.75%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36202FLN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19942 | PA      | $19069.69     | 0.00%             | 2040-10-20      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | IRS                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     376000 | PA      | $28083.65     | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Mineral Resources Ltd.                                                           | Mineral Resources Ltd.                                                                                            | CUSIP: 603051AE3<br>LEI: 5299007V1ACKFFX2P066 | Long             | DBT              | CORP              | AU        |      81000 | PA      | $82896.05     | 0.01%             | 2028-10-01      | Fixed         | 9.25%                 | No            | 2                  | On Loan: No      |
| Duke Energy Carolinas LLC                                                        | Duke Energy Carolinas LLC                                                                                         | CUSIP: 26442CAT1<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |     485000 | PA      | $364858.47    | 0.04%             | 2047-12-01      | Fixed         | 3.70%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DPR34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      72420 | PA      | $71762.48     | 0.01%             | 2053-02-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Pacific Gas & Electric Co.                                                       | Pacific Gas & Electric Co.                                                                                        | CUSIP: 694308KM8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     235000 | PA      | $245648.32    | 0.03%             | 2033-06-15      | Fixed         | 6.40%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31402Q2V2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1549 | PA      | $1570.43      | 0.00%             | 2035-03-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Pacific Gas & Electric Co.                                                       | Pacific Gas & Electric Co.                                                                                        | CUSIP: 694308KD8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     532000 | PA      | $442634.40    | 0.05%             | 2052-03-01      | Fixed         | 5.25%                 | No            | 2                  | On Loan: No      |
| Conseco Finance Securitizations Corp.                                            | Conseco Finance Securitizations Corp., Series 2000-5, Class A7                                                    | CUSIP: 20846QER5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     133743 | PA      | $27252.27     | 0.00%             | 2031-05-01      | Fixed         | 8.20%                 | No            | 2                  | On Loan: No      |
| OCP SA                                                                           | OCP SA                                                                                                            | CUSIP: 67091TAF2<br>LEI: 213800D26TAPVTCVWG40 | Long             | DBT              | NUSS              | MA        |     200000 | PA      | $206908.00    | 0.02%             | 2034-05-02      | Fixed         | 6.75%                 | No            | 2                  | On Loan: No      |
| United Mexican States                                                            | United Mexican States                                                                                             | CUSIP: 91087BAV2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    1920000 | PA      | $1963200.00   | 0.22%             | 2035-02-09      | Fixed         | 6.35%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36179V4W7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     933594 | PA      | $828772.71    | 0.09%             | 2051-01-20      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Northrop Grumman Corp.                                                           | Northrop Grumman Corp.                                                                                            | CUSIP: 666807CJ9<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |     448000 | PA      | $402671.07    | 0.05%             | 2053-03-15      | Fixed         | 4.95%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WEF61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14754 | PA      | $14282.34     | 0.00%             | 2030-03-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                                  | CHL Mortgage Pass-Through Trust, Series 2007-15, Class 2A2                                                        | CUSIP: 17025TBJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     171535 | PA      | $61405.62     | 0.01%             | 2037-09-25      | Fixed         | 6.50%                 | No            | 2                  | On Loan: No      |
| Golub Capital Partners CLO 43B Ltd.                                              | Golub Capital Partners CLO 43B Ltd., Series 2019-43A, Class A1R                                                   | CUSIP: 38180PAA4<br>LEI: 2549006E2S3MDN9M6Q69 | Long             | ABS-CBDO         | CORP              | KY        |     685118 | PA      | $687357.45    | 0.08%             | 2037-10-20      | Floating      | 5.61%                 | 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        |     125351 | PA      | $122503.41    | 0.01%             | 2047-04-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140HHWE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      69360 | PA      | $65485.47     | 0.01%             | 2048-08-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| ROCK Trust                                                                       | ROCK Trust, Series 2024-CNTR, Class A                                                                             | CUSIP: 74970WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     113000 | PA      | $115597.33    | 0.01%             | 2041-11-13      | Fixed         | 5.39%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DMRM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     225538 | PA      | $214003.40    | 0.02%             | 2048-08-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | Australia 10-Year Bond                                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | AU        |        -32 | NC      | $-22681.94    | -0.00%            |  |  |  | No            | 1                  | On Loan: No      |
| FIGRE Trust                                                                      | FIGRE Trust, Series 2025-HE1, Class A                                                                             | CUSIP: 30191LAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1624004 | PA      | $1641721.28   | 0.18%             | 2055-01-25      | Variable      | 5.83%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3133KQDV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      81564 | PA      | $83663.96     | 0.01%             | 2052-11-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DVLH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     142170 | PA      | $114437.65    | 0.01%             | 2050-11-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QRB85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     242278 | PA      | $244368.03    | 0.03%             | 2053-01-01      | Fixed         | 5.50%                 | 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        |    1000000 | PA      | $8064.70      | 0.00%             | 2050-02-15      | Variable      | 0.73%                 | No            | 2                  | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust                 | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2006-4, Class 3A1                        | CUSIP: 939344AK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      20204 | PA      | $17769.21     | 0.00%             | 2036-05-25      | Variable      | 7.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QMLV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     173422 | PA      | $140123.73    | 0.02%             | 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        |     277000 | PA      | $174467.81    | 0.02%             | 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        |     173934 | PA      | $146694.80    | 0.02%             | 2050-08-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Oracle Corp.                                                                     | Oracle Corp.                                                                                                      | CUSIP: 68389XCV5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     108000 | PA      | $98362.06     | 0.01%             | 2064-09-27      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| IRB Infrastructure Developers Ltd.                                               | IRB Infrastructure Developers Ltd.                                                                                | CUSIP: N/A<br>LEI: 335800XGO3AITGW6AK27       | Long             | DBT              | CORP              | IN        |     700000 | PA      | $701968.75    | 0.08%             | 2032-03-11      | Fixed         | 7.11%                 | No            | 2                  | On Loan: No      |
| Mauser Packaging Solutions Holding Co.                                           | Mauser Packaging Solutions Holding Co.                                                                            | CUSIP: 57763RAD9<br>LEI: 549300DNGHXL0OMHW304 | Long             | DBT              | CORP              | US        |      83000 | PA      | $84360.54     | 0.01%             | 2027-04-15      | Fixed         | 7.88%                 | No            | 2                  | On Loan: No      |
| Bayview Commercial Asset Trust                                                   | Bayview Commercial Asset Trust, Series 2006-3A, Class A2                                                          | CUSIP: 07324NAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       4687 | PA      | $4483.42      | 0.00%             | 2036-10-25      | Floating      | 4.88%                 | No            | 2                  | On Loan: No      |
| T-Mobile USA, Inc.                                                               | T-Mobile USA, Inc.                                                                                                | CUSIP: 87264ACX1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     848000 | PA      | $830657.77    | 0.09%             | 2062-09-15      | Fixed         | 5.80%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36179W5D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      98002 | PA      | $89395.92     | 0.01%             | 2052-05-20      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36202E7F0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2614 | PA      | $2500.32      | 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        |      14788 | PA      | $14238.00     | 0.00%             | 2031-07-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Vale Overseas Ltd.                                                               | Vale Overseas Ltd.                                                                                                | CUSIP: 91911TAS2<br>LEI: 254900BA3U6G5DNV5V04 | Long             | DBT              | CORP              | KY        |     417000 | PA      | $407621.67    | 0.05%             | 2054-06-28      | Fixed         | 6.40%                 | No            | 2                  | On Loan: No      |
| Cheniere Corpus Christi Holdings LLC                                             | Cheniere Corpus Christi Holdings LLC                                                                              | CUSIP: 16412XAG0<br>LEI: 549300I7CIEWU1BBLQ53 | Long             | DBT              | CORP              | US        |     176000 | PA      | $177649.84    | 0.02%             | 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        |     558842 | PA      | $529291.57    | 0.06%             | 2050-03-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                                  | CHL Mortgage Pass-Through Trust, Series 2007-9, Class A1                                                          | CUSIP: 12544XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      57171 | PA      | $26742.68     | 0.00%             | 2037-07-25      | Fixed         | 5.75%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Notes                                                                                               | CUSIP: 912828U24<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1145000 | PA      | $1116419.72   | 0.12%             | 2026-11-15      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Conseco Finance Securitizations Corp.                                            | Conseco Finance Securitizations Corp., Series 2000-4, Class A6                                                    | CUSIP: 20846QDV7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     151157 | PA      | $21137.12     | 0.00%             | 2032-05-01      | Variable      | 8.31%                 | No            | 2                  | On Loan: No      |
| Baltimore Gas & Electric Co.                                                     | Baltimore Gas & Electric Co.                                                                                      | CUSIP: 059165EJ5<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |      77000 | PA      | $58328.86     | 0.01%             | 2047-08-15      | Fixed         | 3.75%                 | No            | 2                  | On Loan: No      |
| Louisiana Local Government Environmental Facilities & Community Development Auth | Louisiana Local Government Environmental Facilities & Community Development Authority, Series 2022A               | CUSIP: 54627RAM2<br>LEI: 5493004WIZ1HV87IVF85 | Long             | DBT              | MUN               | US        |     620000 | PA      | $611766.30    | 0.07%             | 2033-02-01      | Fixed         | 4.14%                 | No            | 2                  | On Loan: No      |
| Oracle Corp.                                                                     | Oracle Corp.                                                                                                      | CUSIP: 68389XDC6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    2104000 | PA      | $2106120.47   | 0.24%             | 2065-08-03      | Fixed         | 6.12%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 21H040673<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1557000 | PA      | $1447418.79   | 0.16%             | 2055-07-15      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 21H042679<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |     -34000 | PA      | $-32539.97    | -0.00%            | 2055-07-15      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XKEQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1331749 | PA      | $1147616.13   | 0.13%             | 2042-08-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138YTMU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2894 | PA      | $2793.96      | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140J7X91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5188 | PA      | $5062.39      | 0.00%             | 2030-02-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 3132L5AD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      29083 | PA      | $26312.15     | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QMZQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1801133 | PA      | $1516697.28   | 0.17%             | 2052-01-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Morgan Stanley                                                                   | Morgan Stanley                                                                                                    | CUSIP: 61747YFA8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     965000 | PA      | $981844.24    | 0.11%             | 2029-02-01      | Variable      | 5.12%                 | No            | 2                  | On Loan: No      |
| BX Commercial Mortgage Trust                                                     | BX Commercial Mortgage Trust, Series 2024-AIRC, Class A                                                           | CUSIP: 12433CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     114545 | PA      | $114974.44    | 0.01%             | 2039-08-15      | Floating      | 6.00%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Bonds                                                                                               | CUSIP: 912810RD2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2133000 | PA      | $1863708.75   | 0.21%             | 2043-11-15      | Fixed         | 3.75%                 | No            | 2                  | On Loan: No      |
| AEP Texas, Inc.                                                                  | AEP Texas, Inc.                                                                                                   | CUSIP: 00108WAR1<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |     515000 | PA      | $522424.37    | 0.06%             | 2033-06-01      | Fixed         | 5.40%                 | No            | 2                  | On Loan: No      |
| Crown Castle, Inc.                                                               | Crown Castle, Inc.                                                                                                | CUSIP: 22822VBD2<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |     222000 | PA      | $229134.26    | 0.03%             | 2029-06-01      | Fixed         | 5.60%                 | No            | 2                  | On Loan: No      |
| Bayview Commercial Asset Trust                                                   | Bayview Commercial Asset Trust, Series 2007-2A, Class A1                                                          | CUSIP: 07325XAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      12845 | PA      | $11841.09     | 0.00%             | 2037-07-25      | Floating      | 4.84%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DM7D1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     661164 | PA      | $532726.10    | 0.06%             | 2052-01-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association, Series 2021-78, Class IP                                                | CUSIP: 38382TBX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1428805 | PA      | $241200.98    | 0.03%             | 2051-05-20      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Gartner, Inc.                                                                    | Gartner, Inc.                                                                                                     | CUSIP: 366651AE7<br>LEI: PP55B5R38BFB8O8HH686 | Long             | DBT              | CORP              | US        |    1397000 | PA      | $1307254.48   | 0.15%             | 2030-10-01      | Fixed         | 3.75%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | 3 Month SOFR Interest Futures                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        545 | NC      | $90540.44     | 0.01%             |  |  |  | No            | 1                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DMSG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     644699 | PA      | $570170.59    | 0.06%             | 2050-08-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | U.S. Treasury Ultra Bond                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        -41 | NC      | $-62592.68    | -0.01%            |  |  |  | No            | 1                  | On Loan: No      |
| Northrop Grumman Corp.                                                           | Northrop Grumman Corp.                                                                                            | CUSIP: 666807CM2<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |     240000 | PA      | $223618.01    | 0.03%             | 2054-06-01      | Fixed         | 5.20%                 | No            | 2                  | On Loan: No      |
| BAHA Trust                                                                       | BAHA Trust, Series 2024-MAR, Class A                                                                              | CUSIP: 05493XAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1440000 | PA      | $1490741.28   | 0.17%             | 2041-12-10      | Variable      | 6.17%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QNNU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     642818 | PA      | $515470.46    | 0.06%             | 2052-03-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | IRS                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     220000 | PA      | $-27779.36    | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3133BJEZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     130859 | PA      | $125368.25    | 0.01%             | 2052-08-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WEAC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      72011 | PA      | $70476.09     | 0.01%             | 2030-03-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31417TM62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20749 | PA      | $21262.89     | 0.00%             | 2039-12-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Bear Stearns Asset-Backed Securities I Trust                                     | Bear Stearns Asset-Backed Securities I Trust, Series 2007-HE3, Class 1A4                                          | CUSIP: 073852AD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     230000 | PA      | $219269.82    | 0.02%             | 2037-04-25      | Floating      | 5.13%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140HP4C8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15527 | PA      | $15484.31     | 0.00%             | 2048-09-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| American Tower Corp.                                                             | American Tower Corp.                                                                                              | CUSIP: 03027XBM1<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |     464000 | PA      | $416091.94    | 0.05%             | 2031-04-15      | Fixed         | 2.70%                 | 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        |     113104 | PA      | $113208.18    | 0.01%             | 2031-04-20      | Floating      | 5.56%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DPEZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     103218 | PA      | $97616.01     | 0.01%             | 2052-06-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 3128MAD55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      36972 | PA      | $34545.98     | 0.00%             | 2045-01-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| FirstEnergy Corp.                                                                | FirstEnergy Corp., Series C                                                                                       | CUSIP: 337932AJ6<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |     702000 | PA      | $596506.31    | 0.07%             | 2047-07-15      | Fixed         | 4.85%                 | 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      | $-1497.76     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WFZF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9274 | PA      | $8951.94      | 0.00%             | 2030-11-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                           | Velocity Commercial Capital Loan Trust, Series 2024-6, Class M2                                                   | CUSIP: 92261BAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      99181 | PA      | $99107.21     | 0.01%             | 2054-12-25      | Variable      | 6.55%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XGVN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      81985 | PA      | $72161.89     | 0.01%             | 2052-04-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | U.S. Treasury 2-Year Note                                                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       1012 | NC      | $716663.07    | 0.08%             |  |  |  | No            | 1                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31418CA79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17351 | PA      | $17121.03     | 0.00%             | 2031-08-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Comcast Corp.                                                                    | Comcast Corp.                                                                                                     | CUSIP: 20030NDW8<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     666000 | PA      | $374484.90    | 0.04%             | 2063-11-01      | Fixed         | 2.99%                 | No            | 2                  | On Loan: No      |
| Suzano Austria GmbH                                                              | Suzano Austria GmbH, Series DM3N                                                                                  | CUSIP: 86964WAK8<br>LEI: 254900287ZNSGVP1R341 | Long             | DBT              | CORP              | AT        |     343000 | PA      | $300980.79    | 0.03%             | 2032-01-15      | Fixed         | 3.12%                 | No            | 2                  | On Loan: No      |
| Madison Park Funding XLII Ltd.                                                   | Madison Park Funding XLII Ltd., Series 13A, Class AR                                                              | CUSIP: 55822RAA8<br>LEI: 549300YWZ8HFDYP0MR16 | Long             | ABS-CBDO         | CORP              | KY        |     154964 | PA      | $155002.37    | 0.02%             | 2030-11-21      | Floating      | 5.43%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138LSK41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7217 | PA      | $6952.09      | 0.00%             | 2042-05-01      | 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        |     443338 | PA      | $371616.00    | 0.04%             | 2052-01-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | S&P 500 E-Mini Index                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |         -9 | NC      | $-95924.50    | -0.01%            |  |  |  | No            | 1                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WJDN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40522 | PA      | $38981.55     | 0.00%             | 2031-10-01      | 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      | $623.17       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36179NBB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      48584 | PA      | $45430.51     | 0.01%             | 2043-04-20      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36179SYT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     190901 | PA      | $180126.43    | 0.02%             | 2047-03-20      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Pacific Gas & Electric Co.                                                       | Pacific Gas & Electric Co.                                                                                        | CUSIP: 694308JN8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     525000 | PA      | $423154.14    | 0.05%             | 2050-07-01      | Fixed         | 4.95%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Bonds                                                                                               | CUSIP: 912810QD3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     126000 | PA      | $123514.45    | 0.01%             | 2039-11-15      | Fixed         | 4.38%                 | No            | 2                  | On Loan: No      |
| Alabama Power Co.                                                                | Alabama Power Co.                                                                                                 | CUSIP: 010392FJ2<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |      53000 | PA      | $42604.17     | 0.00%             | 2042-12-01      | Fixed         | 3.85%                 | No            | 2                  | On Loan: No      |
| Florida Power & Light Co.                                                        | Florida Power & Light Co.                                                                                         | CUSIP: 341081FU6<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |     358000 | PA      | $281831.46    | 0.03%             | 2049-03-01      | Fixed         | 3.99%                 | No            | 2                  | On Loan: No      |
| Service Properties Trust                                                         | Service Properties Trust                                                                                          | CUSIP: 81761LAD4<br>LEI: 529900IS770AG1K9QG27 | Long             | DBT              | CORP              | US        |     262000 | PA      | $272502.79    | 0.03%             | 2029-06-15      | Fixed         | 8.38%                 | No            | 2                  | On Loan: No      |
| Dominion Energy South Carolina, Inc.                                             | Dominion Energy South Carolina, Inc., Series 2025                                                                 | CUSIP: 25731VAC8<br>LEI: 3QRVFYR22IUIEOORTK28 | Long             | DBT              | CORP              | US        |      33000 | PA      | $33736.88     | 0.00%             | 2035-01-15      | Fixed         | 5.30%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Notes                                                                                               | CUSIP: 91282CKW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3667700 | PA      | $3735466.48   | 0.42%             | 2031-06-30      | Fixed         | 4.25%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp.        | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 01F040479<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     337000 | PA      | $329593.05    | 0.04%             | 2040-07-25      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Targa Resources Corp.                                                            | Targa Resources Corp.                                                                                             | CUSIP: 87612GAB7<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |     414000 | PA      | $345367.82    | 0.04%             | 2052-04-15      | Fixed         | 4.95%                 | No            | 2                  | On Loan: No      |
| OCP CLO Ltd.                                                                     | OCP CLO Ltd., Series 2020-8RA, Class AR                                                                           | CUSIP: 670898AQ8<br>LEI: 254900K70GBA8CMARX66 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $250436.75    | 0.03%             | 2036-10-17      | Floating      | 5.53%                 | No            | 2                  | On Loan: No      |
| Warnermedia Holdings, Inc.                                                       | Warnermedia Holdings, Inc.                                                                                        | CUSIP: 55903VBL6<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |     788000 | PA      | $765408.04    | 0.09%             | 2027-03-15      | Fixed         | 3.75%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | Russell 2000 E-Mini Index                                                                                         | CUSIP: 00PBYEED9<br>LEI: N/A                  | N/A              | DE               |  | US        |        -13 | NC      | $-1690.00     | -0.00%            |  |  |  | No            | 1                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QE2C5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     102380 | PA      | $96621.66     | 0.01%             | 2050-09-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| AMC Networks, Inc.                                                               | AMC Networks, Inc.                                                                                                | CUSIP: 00164VAG8<br>LEI: 549300VGG9K75226LR46 | Long             | DBT              | CORP              | US        |     101000 | PA      | $104708.22    | 0.01%             | 2029-01-15      | Fixed         | 10.25%                | No            | 2                  | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust                               | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C19, Class XF                                     | CUSIP: 61764PAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     130000 | PA      | $1467.55      | 0.00%             | 2047-12-15      | Variable      | 1.38%                 | No            | 2                  | On Loan: No      |
| Pacific Gas & Electric Co.                                                       | Pacific Gas & Electric Co.                                                                                        | CUSIP: 694308JH1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     284000 | PA      | $203172.47    | 0.02%             | 2040-08-01      | Fixed         | 3.30%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp. Seasoned Credit Risk Transfer Trust, Series 2017-3, Class B                      | CUSIP: 35563PCG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     109905 | PA      | $16598.73     | 0.00%             | 2056-07-25      | None          | 0.00%                 | No            | 2                  | On Loan: No      |
| Solaris Energy Infrastructure, Inc.                                              | Solaris Energy Infrastructure, Inc., Class A                                                                      | CUSIP: 83418M103<br>LEI: 529900MTK3C8Y8TIIC10 | Long             | EC               | CORP              | US        |      13523 | NS      | $382565.67    | 0.04%             |  |  |  | No            | 1                  | On Loan: No      |
| N/A                                                                              | SOP                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    2268100 | PA      | $79861.46     | 0.01%             |  |  |  | No            | 2                  | On Loan: No      |
| Georgia Power Co.                                                                | Georgia Power Co.                                                                                                 | CUSIP: 373334KT7<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |     506000 | PA      | $509919.50    | 0.06%             | 2033-05-17      | Fixed         | 4.95%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DMRF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     378505 | PA      | $350382.55    | 0.04%             | 2046-09-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Latam Airlines Group SA                                                          | Latam Airlines Group SA                                                                                           | CUSIP: 51817RAE6<br>LEI: 549300HX3UUDPEFTG707 | Long             | DBT              | CORP              | CL        |     337000 | PA      | $337505.50    | 0.04%             | 2031-01-07      | Fixed         | 7.62%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140J8F24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8567 | PA      | $8622.62      | 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        |      15236 | PA      | $14821.46     | 0.00%             | 2030-08-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138LTFX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1037 | PA      | $973.32       | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138W9F88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12773 | PA      | $12475.03     | 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        |          3 | PA      | $3.35         | 0.00%             | 2025-07-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| A&D Mortgage Trust                                                               | A&D Mortgage Trust, Series 2025-NQM2, Class A1                                                                    | CUSIP: 00250EAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     163641 | PA      | $164604.58    | 0.02%             | 2070-06-25      | Variable      | 5.79%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Bonds                                                                                               | CUSIP: 912810TQ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3300900 | PA      | $2954821.27   | 0.33%             | 2043-02-15      | Fixed         | 3.88%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XFM40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     663727 | PA      | $561332.17    | 0.06%             | 2052-01-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Washington Mutual Bank                                                           | Washington Mutual Escrow Bonds                                                                                    | CUSIP: 939MMIBF0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     300000 | PA      | $3900.00      | 0.00%             | 2009-11-06      | Fixed         | 0.00%                 | No            | 3                  | On Loan: No      |
| SCG Mortgage Trust                                                               | SCG Mortgage Trust, Series 2024-MSP, Class A                                                                      | CUSIP: 78436EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $100062.50    | 0.01%             | 2041-04-15      | Floating      | 6.05%                 | No            | 2                  | On Loan: No      |
| Southern Co. (The)                                                               | Southern Co. (The)                                                                                                | CUSIP: 842587CW5<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |     159000 | PA      | $145387.14    | 0.02%             | 2036-07-01      | Fixed         | 4.25%                 | 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        |      55060 | PA      | $53176.85     | 0.01%             | 2031-04-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| WOM Chile Holdco SpA                                                             | WOM Chile Holdco SpA                                                                                              | CUSIP: 97810KAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | CL        |      45236 | PA      | $44699.79     | 0.01%             | 2032-04-01      | Variable      | 5.00%                 | No            | 2                  | On Loan: No      |
| Morgan Stanley                                                                   | Morgan Stanley                                                                                                    | CUSIP: 61747YFD2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     505000 | PA      | $514898.08    | 0.06%             | 2029-04-20      | Variable      | 5.16%                 | No            | 2                  | On Loan: No      |
| Amgen, Inc.                                                                      | Amgen, Inc.                                                                                                       | CUSIP: 031162DC1<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |     396000 | PA      | $254250.94    | 0.03%             | 2052-01-15      | 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      | $848.68       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XHXB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     220606 | PA      | $217796.31    | 0.02%             | 2052-07-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Notes                                                                                               | CUSIP: 91282CMK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    8705000 | PA      | $8911403.73   | 1.00%             | 2032-01-31      | Fixed         | 4.38%                 | No            | 2                  | On Loan: No      |
| Alabama Power Co.                                                                | Alabama Power Co.                                                                                                 | CUSIP: 010392FD5<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |      43000 | PA      | $42344.56     | 0.00%             | 2041-03-15      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DQB54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     203083 | PA      | $208127.09    | 0.02%             | 2053-04-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | SOP                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     892500 | PA      | $28572.81     | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 3620A6DC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3806 | PA      | $3856.05      | 0.00%             | 2039-07-15      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Countrywide Asset-Backed Certificates                                            | Countrywide Asset-Backed Certificates, Series 2006-SPS1, Class A                                                  | CUSIP: 12666MAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |         54 | PA      | $312.04       | 0.00%             | 2025-12-25      | Floating      | 4.65%                 | No            | 2                  | On Loan: No      |
| JPMorgan Chase & Co.                                                             | JPMorgan Chase & Co.                                                                                              | CUSIP: 46647PEU6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     813000 | PA      | $823917.42    | 0.09%             | 2029-01-24      | Variable      | 4.92%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3133L8JQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     377530 | PA      | $348431.92    | 0.04%             | 2036-06-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| GE Vernova, Inc.                                                                 | GE Vernova, Inc.                                                                                                  | CUSIP: 36828A101<br>LEI: 254900DP080RU6OK2553 | Long             | EC               | CORP              | US        |        273 | NS      | $144457.95    | 0.02%             |  |  |  | No            | 1                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31418DV74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3091310 | PA      | $2464645.64   | 0.28%             | 2051-01-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31329KW83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10198 | PA      | $9619.15      | 0.00%             | 2037-09-01      | Fixed         | 3.00%                 | 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        |     400000 | PA      | $458133.24    | 0.05%             | 2050-04-01      | Fixed         | 7.04%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DM6P5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     103656 | PA      | $98073.94     | 0.01%             | 2050-07-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| EQT Trust                                                                        | EQT Trust, Series 2024-EXTR, Class A                                                                              | CUSIP: 29439DAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     848000 | PA      | $866908.03    | 0.10%             | 2041-07-05      | Variable      | 5.33%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QEQC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     157954 | PA      | $143766.07    | 0.02%             | 2050-08-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Greenko Power II Ltd.                                                            | Greenko Power II Ltd.                                                                                             | CUSIP: N/A<br>LEI: 254900YYA4B6O2O4JM12       | Long             | DBT              | CORP              | MU        |     398750 | PA      | $374374.41    | 0.04%             | 2028-12-13      | Fixed         | 4.30%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WD7A3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1980 | PA      | $1917.95      | 0.00%             | 2030-02-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| FTA Consumo Santander                                                            | FTA Consumo Santander, Series 7, Class C                                                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | ES        |      86311 | PA      | $101943.10    | 0.01%             | 2038-07-20      | Floating      | 3.91%                 | No            | 2                  | On Loan: No      |
| NYMT Loan Trust                                                                  | NYMT Loan Trust, Series 2024-INV1, Class A1                                                                       | CUSIP: 62956XAA9<br>LEI: 2549009GL7U73W4FX613 | Long             | ABS-MBS          | CORP              | US        |      93903 | PA      | $93812.07     | 0.01%             | 2069-06-25      | Variable      | 5.38%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140J5JU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50768 | PA      | $46853.54     | 0.01%             | 2047-05-01      | Fixed         | 3.50%                 | 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        |      19779 | PA      | $19565.13     | 0.00%             | 2043-12-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| FNA 8 LLC                                                                        | FNA 8 LLC, Series 2025-1, Class A                                                                                 | CUSIP: 30340WAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     415558 | PA      | $417488.15    | 0.05%             | 2045-03-15      | Variable      | 5.62%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | USCPI                                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DO               |  | GB        |    2271000 | PA      | $-8392.93     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138X6T70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     175814 | PA      | $171899.07    | 0.02%             | 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        |     463364 | PA      | $447399.96    | 0.05%             | 2045-01-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138EQLE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52900 | PA      | $53557.60     | 0.01%             | 2041-07-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| First Franklin Mortgage Loan Trust                                               | First Franklin Mortgage Loan Trust, Series 2006-FFH1, Class M2                                                    | CUSIP: 32027NZN4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      97804 | PA      | $87136.96     | 0.01%             | 2036-01-25      | Floating      | 5.03%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XHWU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     183396 | PA      | $182011.97    | 0.02%             | 2052-07-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Cross Mortgage Trust                                                             | Cross Mortgage Trust, Series 2025-H1, Class A1                                                                    | CUSIP: 22758NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     992751 | PA      | $997473.52    | 0.11%             | 2070-02-25      | Variable      | 5.74%                 | 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        |      47154 | PA      | $46047.29     | 0.01%             | 2047-05-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Broadcom, Inc.                                                                   | Broadcom, Inc.                                                                                                    | CUSIP: 11135FCC3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     626000 | PA      | $620208.43    | 0.07%             | 2032-02-15      | Fixed         | 4.55%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36179W7J1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1001823 | PA      | $851560.12    | 0.10%             | 2052-06-20      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138EPQP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4012 | PA      | $3927.08      | 0.00%             | 2030-05-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Permian Resources Operating LLC                                                  | Permian Resources Operating LLC                                                                                   | CUSIP: 27034RAA1<br>LEI: 5493004CTVUMQLRPOE23 | Long             | DBT              | CORP              | US        |      84000 | PA      | $85881.60     | 0.01%             | 2027-04-15      | Fixed         | 8.00%                 | No            | 2                  | On Loan: No      |
| Bank of America Corp.                                                            | Bank of America Corp.                                                                                             | CUSIP: 06051GHV4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     245000 | PA      | $233213.12    | 0.03%             | 2030-07-23      | Variable      | 3.19%                 | No            | 2                  | On Loan: No      |
| DP World Ltd.                                                                    | DP World Ltd.                                                                                                     | CUSIP: N/A<br>LEI: 549300M3U2DNF4QVSS04       | Long             | DBT              | CORP              | AE        |     370000 | PA      | $403646.88    | 0.05%             | 2037-07-02      | Fixed         | 6.85%                 | No            | 2                  | On Loan: No      |
| Duke Energy Ohio, Inc.                                                           | Duke Energy Ohio, Inc.                                                                                            | CUSIP: 26442EAJ9<br>LEI: L6KC0HABGHNFU1Z6QY21 | Long             | DBT              | CORP              | US        |     131000 | PA      | $134915.03    | 0.02%             | 2033-04-01      | Fixed         | 5.25%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132D9DQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     198149 | PA      | $186374.46    | 0.02%             | 2038-06-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Crescent Energy Finance LLC                                                      | Crescent Energy Finance LLC                                                                                       | CUSIP: 45344LAE3<br>LEI: 54930061FUL6DBLFUW14 | Long             | DBT              | CORP              | US        |      19000 | PA      | $18160.31     | 0.00%             | 2033-01-15      | Fixed         | 7.38%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140F5BJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10316 | PA      | $9802.04      | 0.00%             | 2031-11-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Notes                                                                                               | CUSIP: 91282CKE0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2094800 | PA      | $2110674.65   | 0.24%             | 2027-03-15      | Fixed         | 4.25%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Notes                                                                                               | CUSIP: 91282CEP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     660500 | PA      | $616277.46    | 0.07%             | 2032-05-15      | Fixed         | 2.88%                 | No            | 2                  | On Loan: No      |
| Citigroup, Inc.                                                                  | Citigroup, Inc.                                                                                                   | CUSIP: 172967NN7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    1565000 | PA      | $1462922.48   | 0.16%             | 2033-03-17      | Variable      | 3.79%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XBG95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     499152 | PA      | $446371.25    | 0.05%             | 2036-06-01      | Fixed         | 1.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138ENZJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40060 | PA      | $39228.17     | 0.00%             | 2030-01-01      | Fixed         | 3.00%                 | 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        |      14811 | PA      | $13697.36     | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| GoodLeap Home Improvement Solutions Trust                                        | GoodLeap Home Improvement Solutions Trust, Series 2025-1A, Class A                                                | CUSIP: 38237EAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     586063 | PA      | $593353.15    | 0.07%             | 2049-02-20      | Fixed         | 5.38%                 | No            | 2                  | On Loan: No      |
| CWABS, Inc. Asset-Backed Certificates Trust                                      | CWABS, Inc. Asset-Backed Certificates Trust, Series 2004-5, Class A                                               | CUSIP: 1266716J0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      54362 | PA      | $53657.36     | 0.01%             | 2034-10-25      | Floating      | 5.33%                 | No            | 2                  | On Loan: No      |
| Dowson plc                                                                       | Dowson plc, Series 2024-1, Class E                                                                                | CUSIP: N/A<br>LEI: 635400IRBWDPWKGK1C24       | Long             | ABS-O            | CORP              | GB        |     246000 | PA      | $335763.38    | 0.04%             | 2031-08-20      | Floating      | 8.17%                 | No            | 2                  | On Loan: No      |
| Altria Group, Inc.                                                               | Altria Group, Inc.                                                                                                | CUSIP: 02209SAQ6<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |      98000 | PA      | $81698.66     | 0.01%             | 2043-05-02      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XCUV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     134593 | PA      | $123409.46    | 0.01%             | 2036-09-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 21H020675<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5455000 | PA      | $4441461.55   | 0.50%             | 2055-07-15      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | IRS                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     362000 | PA      | $29044.95     | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DMKH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     320873 | PA      | $303290.01    | 0.03%             | 2050-03-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31418CS47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     127061 | PA      | $116473.48    | 0.01%             | 2048-01-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| PRPM Trust                                                                       | PRPM Trust, Series 2025-NQM1, Class A1                                                                            | CUSIP: 74391EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     203946 | PA      | $205610.62    | 0.02%             | 2069-11-25      | Variable      | 5.80%                 | No            | 2                  | On Loan: No      |
| Edenbrook Mortgage Funding plc                                                   | Edenbrook Mortgage Funding plc, Series 2024-1, Class C                                                            | CUSIP: N/A<br>LEI: 635400URO7UOS6PWLH17       | Long             | ABS-MBS          | CORP              | GB        |      99231 | PA      | $136308.87    | 0.02%             | 2057-03-22      | Floating      | 6.17%                 | No            | 2                  | On Loan: No      |
| BXP Trust                                                                        | BXP Trust, Series 2017-GM, Class E                                                                                | CUSIP: 056083AN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      50000 | PA      | $46967.87     | 0.01%             | 2039-06-13      | Variable      | 3.54%                 | No            | 2                  | On Loan: No      |
| United Mexican States                                                            | United Mexican States                                                                                             | CUSIP: 91087BBC3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    1473000 | PA      | $1535602.50   | 0.17%             | 2037-05-13      | Fixed         | 6.88%                 | No            | 2                  | On Loan: No      |
| UK Logistics DAC                                                                 | UK Logistics DAC, Series 2025-1X, Class D                                                                         | CUSIP: N/A<br>LEI: 635400LLQ82YFJBFFU27       | Long             | ABS-MBS          | CORP              | IE        |     241000 | PA      | $330806.66    | 0.04%             | 2035-05-17      | Floating      | 8.26%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138EP4Z4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6451 | PA      | $6302.40      | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Bonds                                                                                               | CUSIP: 912810SC3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1600000 | PA      | $1213937.50   | 0.14%             | 2048-05-15      | Fixed         | 3.12%                 | No            | 2                  | On Loan: No      |
| Vista Energy Argentina SAU                                                       | Vista Energy Argentina SAU                                                                                        | CUSIP: 92841RAA8<br>LEI: 549300FE4UJNCG1DB123 | Long             | DBT              | CORP              | AR        |      64000 | PA      | $61939.20     | 0.01%             | 2035-12-10      | Fixed         | 7.62%                 | 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      | $-802.72      | -0.00%            |  |  |  | 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        |      69217 | PA      | $64287.31     | 0.01%             | 2047-10-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Equinix, Inc.                                                                    | Equinix, Inc.                                                                                                     | CUSIP: 29444UBT2<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |     241000 | PA      | $161221.22    | 0.02%             | 2052-02-15      | Fixed         | 3.40%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QUVV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     985489 | PA      | $1017862.99   | 0.11%             | 2054-06-01      | Fixed         | 6.50%                 | No            | 2                  | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                                                 | IndyMac INDX Mortgage Loan Trust, Series 2007-FLX5, Class 2A2                                                     | CUSIP: 45669WAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      67332 | PA      | $61543.22     | 0.01%             | 2037-08-25      | Floating      | 4.91%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 31307M2W5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11087 | PA      | $10853.80     | 0.00%             | 2030-05-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Reperforming Loan REMIC Trust                                                    | Reperforming Loan REMIC Trust, Series 2005-R3, Class AF                                                           | CUSIP: 126694JG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1802 | PA      | $1480.93      | 0.00%             | 2035-09-25      | Floating      | 4.83%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QSFD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     350126 | PA      | $353146.67    | 0.04%             | 2053-06-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DMRZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      91297 | PA      | $86587.75     | 0.01%             | 2047-07-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140Q83N3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     628034 | PA      | $612754.88    | 0.07%             | 2048-05-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Akbank TAS                                                                       | Akbank TAS                                                                                                        | CUSIP: N/A<br>LEI: 789000TUMN63Z28TJ497       | Long             | DBT              | CORP              | TR        |     326000 | PA      | $332112.50    | 0.04%             | 2029-03-14      | Variable      | 9.37%                 | No            | 2                  | On Loan: No      |
| 1988 CLO 2 Ltd.                                                                  | 1988 CLO 2 Ltd., Series 2023-2A, Class A1R                                                                        | CUSIP: 653947AJ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $249914.15    | 0.03%             | 2038-04-15      | Floating      | 5.49%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138ERQ52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     110439 | PA      | $108279.91    | 0.01%             | 2045-11-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 21H032670<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1756000 | PA      | $1596262.84   | 0.18%             | 2055-07-15      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DVMC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6573 | PA      | $5785.92      | 0.00%             | 2052-08-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 21H040681<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1057000 | PA      | $982484.78    | 0.11%             | 2055-08-15      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138EQZA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23962 | PA      | $23503.80     | 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        |       6984 | PA      | $6823.70      | 0.00%             | 2030-09-01      | Fixed         | 3.00%                 | 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        |       1343 | PA      | $1310.88      | 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        |    1485100 | PA      | $1390598.91   | 0.16%             | 2028-03-31      | Fixed         | 1.25%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140J7W35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20900 | PA      | $20196.00     | 0.00%             | 2033-01-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Atrium Hotel Portfolio Trust                                                     | Atrium Hotel Portfolio Trust, Series 2024-ATRM, Class A                                                           | CUSIP: 04963XAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     350000 | PA      | $356887.48    | 0.04%             | 2029-11-10      | Variable      | 5.59%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WKLB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15792 | PA      | $15142.51     | 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        |      31203 | PA      | $29665.01     | 0.00%             | 2031-11-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Howard Hughes Corp. (The)                                                        | Howard Hughes Corp. (The)                                                                                         | CUSIP: 44267DAD9<br>LEI: 549300BVHY25JZC1KI49 | Long             | DBT              | CORP              | US        |      88000 | PA      | $87343.14     | 0.01%             | 2028-08-01      | Fixed         | 5.38%                 | No            | 2                  | On Loan: No      |
| BPR Trust                                                                        | BPR Trust, Series 2024-PMDW, Class A                                                                              | CUSIP: 05592VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      30000 | PA      | $30455.42     | 0.00%             | 2041-11-05      | Variable      | 5.36%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140KYYM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     409951 | PA      | $326334.45    | 0.04%             | 2051-02-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| GoldenTree Loan Management US CLO 7 Ltd.                                         | GoldenTree Loan Management US CLO 7 Ltd., Series 2020-7A, Class ARR                                               | CUSIP: 38138LAW8<br>LEI: 549300DO8S88M0JNL340 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $250012.25    | 0.03%             | 2034-04-20      | Floating      | 5.37%                 | No            | 2                  | On Loan: No      |
| CWHEQ Home Equity Loan Trust                                                     | CWHEQ Home Equity Loan Trust, Series 2006-S5, Class A5                                                            | CUSIP: 126683AE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        970 | PA      | $1495.46      | 0.00%             | 2035-06-25      | Fixed         | 6.16%                 | No            | 2                  | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                                  | Goldman Sachs Group, Inc. (The)                                                                                   | CUSIP: 38141GYG3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      55000 | PA      | $53102.91     | 0.01%             | 2027-09-10      | Variable      | 1.54%                 | No            | 2                  | On Loan: No      |
| BCMSC Trust                                                                      | BCMSC Trust, Series 2000-A, Class A4                                                                              | CUSIP: 09774XBQ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      26744 | PA      | $2044.56      | 0.00%             | 2030-06-15      | Variable      | 8.29%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp.        | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 01F030678<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3914000 | PA      | $3386160.07   | 0.38%             | 2055-07-25      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | SOP                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  -49057000 | PA      | $-9924.25     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Notes                                                                                               | CUSIP: 91282CEM9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2971000 | PA      | $2880361.30   | 0.32%             | 2029-04-30      | Fixed         | 2.88%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QMMP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     542327 | PA      | $475705.05    | 0.05%             | 2051-11-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WFLJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8022 | PA      | $7840.13      | 0.00%             | 2030-09-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Venture Global LNG, Inc.                                                         | Venture Global LNG, Inc.                                                                                          | CUSIP: 92332YAE1<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |      19000 | PA      | $19207.35     | 0.00%             | 2030-01-15      | Fixed         | 7.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140EW4R3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6108 | PA      | $5870.67      | 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        |      12259 | PA      | $11872.71     | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| L3Harris Technologies, Inc.                                                      | L3Harris Technologies, Inc.                                                                                       | CUSIP: 502431AU3<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |      58000 | PA      | $59285.64     | 0.01%             | 2034-06-01      | Fixed         | 5.35%                 | No            | 2                  | On Loan: No      |
| Bally's Corp.                                                                    | Bally's Corp., Facility 1st Lien Term Loan B                                                                      | CUSIP: 05875CAB0<br>LEI: 549300NS4D5IK406VT62 | Long             | LON              | CORP              | US        |     471781 | PA      | $415756.94    | 0.05%             | 2028-10-02      | Variable      | 7.78%                 | No            | 2                  | On Loan: No      |
| Georgia Power Co.                                                                | Georgia Power Co.                                                                                                 | CUSIP: 373334KR1<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |     303000 | PA      | $283162.45    | 0.03%             | 2052-05-15      | Fixed         | 5.12%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 3128MFF94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     229909 | PA      | $226996.52    | 0.03%             | 2032-04-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| CFMT LLC                                                                         | CFMT LLC, Series 2024-R1, Class A1                                                                                | CUSIP: 12530YAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     122851 | PA      | $120553.43    | 0.01%             | 2054-10-25      | Variable      | 4.00%                 | No            | 2                  | On Loan: No      |
| Citigroup, Inc.                                                                  | Citigroup, Inc.                                                                                                   | CUSIP: 172967PF2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     838000 | PA      | $854955.72    | 0.10%             | 2030-02-13      | Variable      | 5.17%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WPHV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22097 | PA      | $19948.04     | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| BAT Capital Corp.                                                                | BAT Capital Corp.                                                                                                 | CUSIP: 05526DBK0<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     240000 | PA      | $197855.49    | 0.02%             | 2049-09-06      | Fixed         | 4.76%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36179TLT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     110677 | PA      | $104326.99    | 0.01%             | 2047-11-20      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                                  | Goldman Sachs Group, Inc. (The)                                                                                   | CUSIP: 38141GB60<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     275000 | PA      | $275825.98    | 0.03%             | 2030-10-23      | Variable      | 4.69%                 | No            | 2                  | On Loan: No      |
| JPMorgan Chase & Co.                                                             | JPMorgan Chase & Co.                                                                                              | CUSIP: 46647PEK8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     727000 | PA      | $739811.35    | 0.08%             | 2035-07-22      | Variable      | 5.29%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | U.S. Treasury 5-Year Note                                                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        311 | NC      | $268631.94    | 0.03%             |  |  |  | No            | 1                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WJXW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      82292 | PA      | $73667.16     | 0.01%             | 2047-02-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| AEP Texas, Inc.                                                                  | AEP Texas, Inc.                                                                                                   | CUSIP: 00108WAF7<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |     302000 | PA      | $220866.88    | 0.02%             | 2047-10-01      | Fixed         | 3.80%                 | No            | 2                  | On Loan: No      |
| AppLovin Corp.                                                                   | AppLovin Corp.                                                                                                    | CUSIP: 03831WAB4<br>LEI: 549300LLVXMUAOL3SQ07 | Long             | DBT              | CORP              | US        |    1055000 | PA      | $1068731.92   | 0.12%             | 2029-12-01      | Fixed         | 5.12%                 | No            | 2                  | On Loan: No      |
| Morgan Stanley ABS Capital I, Inc. Trust                                         | Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-HE5, Class M4                                               | CUSIP: 61744CUV6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      95871 | PA      | $79390.01     | 0.01%             | 2035-09-25      | Floating      | 5.30%                 | 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        |       3512 | PA      | $3441.50      | 0.00%             | 2030-01-01      | 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      | $1816.26      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WBCD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9890 | PA      | $9750.23      | 0.00%             | 2029-03-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| CSFB Mortgage-Backed Pass-Through Certificates                                   | CSFB Mortgage-Backed Pass-Through Certificates, Series 2005-10, Class 10A1                                        | CUSIP: 225470FK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      41238 | PA      | $8760.82      | 0.00%             | 2035-11-25      | Floating      | 5.78%                 | No            | 2                  | On Loan: No      |
| Impac Secured Assets Trust                                                       | Impac Secured Assets Trust, Series 2006-3, Class A1                                                               | CUSIP: 45255RAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      40761 | PA      | $37012.65     | 0.00%             | 2036-11-25      | Floating      | 4.77%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XFK67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3942965 | PA      | $3257319.13   | 0.36%             | 2041-11-01      | Fixed         | 1.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WFG83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6675 | PA      | $6525.51      | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| TAV Havalimanlari Holding A/S                                                    | TAV Havalimanlari Holding A/S                                                                                     | CUSIP: N/A<br>LEI: 789000PBM9TT5D88M597       | Long             | DBT              | CORP              | TR        |     317000 | PA      | $330275.96    | 0.04%             | 2028-12-07      | Fixed         | 8.50%                 | No            | 2                  | On Loan: No      |
| Washington Mutual Bank                                                           | Washington Mutual Escrow Bonds                                                                                    | CUSIP: 939MMIBD5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     250000 | PA      | $0.03         | 0.00%             | 2017-09-19      | None          | 0.00%                 | No            | 3                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DNTW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     621637 | PA      | $613743.17    | 0.07%             | 2052-08-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Regatta XVIII Funding Ltd.                                                       | Regatta XVIII Funding Ltd., Series 2021-1A, Class A1R                                                             | CUSIP: 75884EAN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     509000 | PA      | $508741.53    | 0.06%             | 2038-04-15      | Floating      | 5.42%                 | No            | 2                  | On Loan: No      |
| BBAM US CLO I Ltd.                                                               | BBAM US CLO I Ltd., Series 2022-1A, Class AR                                                                      | CUSIP: 054978AL5<br>LEI: 549300LRECI1GZTZLF38 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $249912.73    | 0.03%             | 2038-03-30      | Floating      | 5.46%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XDY42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     176056 | PA      | $141661.29    | 0.02%             | 2051-12-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36202FHX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1098 | PA      | $1089.90      | 0.00%             | 2040-07-20      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DMY58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     254287 | PA      | $203675.46    | 0.02%             | 2051-09-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31417F4J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21941 | PA      | $19793.86     | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Expand Energy Corp.                                                              | Expand Energy Corp.                                                                                               | CUSIP: 165167DH7<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |    2346000 | PA      | $2379451.61   | 0.27%             | 2035-01-15      | Fixed         | 5.70%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QRER0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     740297 | PA      | $757471.25    | 0.08%             | 2053-01-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Notes                                                                                               | CUSIP: 91282CNC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6722000 | PA      | $6732503.13   | 0.75%             | 2035-05-15      | Fixed         | 4.25%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3133KNDA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     461182 | PA      | $390299.11    | 0.04%             | 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        |     249628 | PA      | $200662.68    | 0.02%             | 2051-12-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp.        | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 01F020679<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5306000 | PA      | $4199102.61   | 0.47%             | 2055-07-25      | 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        |        840 | PA      | $820.28       | 0.00%             | 2045-11-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| JPMorgan Chase & Co.                                                             | JPMorgan Chase & Co.                                                                                              | CUSIP: 46647PEE2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    1102000 | PA      | $1124613.16   | 0.13%             | 2028-04-22      | Variable      | 5.57%                 | No            | 2                  | On Loan: No      |
| Altria Group, Inc.                                                               | Altria Group, Inc.                                                                                                | CUSIP: 02209SAV5<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |     348000 | PA      | $257375.73    | 0.03%             | 2046-09-16      | Fixed         | 3.88%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140NKJM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     111086 | PA      | $112044.04    | 0.01%             | 2053-05-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| State of Illinois                                                                | State of Illinois, Series 2003                                                                                    | CUSIP: 452151LF8<br>LEI: 54930048FV8RWPR02D67 | Long             | DBT              | MUN               | US        |     885637 | PA      | $887683.38    | 0.10%             | 2033-06-01      | Fixed         | 5.10%                 | No            | 2                  | On Loan: No      |
| Federal Republic of Germany                                                      | Federal Republic of Germany                                                                                       | CUSIP: N/A<br>LEI: 529900AQBND3S6YJLY83       | Long             | DBT              | NUSS              | DE        |    1506000 | PA      | $1576323.79   | 0.18%             | 2054-08-15      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Toucan FinCo. Ltd.                                                               | Toucan FinCo. Ltd.                                                                                                | CUSIP: 89157UAA5<br>LEI: 213800YZMUOEIR42JY77 | Long             | DBT              | CORP              | US        |     181000 | PA      | $185021.41    | 0.02%             | 2030-05-15      | Fixed         | 9.50%                 | No            | 2                  | On Loan: No      |
| Mattamy Group Corp.                                                              | Mattamy Group Corp.                                                                                               | CUSIP: 57701RAM4<br>LEI: 5493008TNY7A82WCXU31 | Long             | DBT              | CORP              | CA        |      93000 | PA      | $89386.17     | 0.01%             | 2030-03-01      | Fixed         | 4.62%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QRBU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     573659 | PA      | $566750.17    | 0.06%             | 2053-01-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140JSAE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     123227 | PA      | $99220.99     | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| GreenPoint Mortgage Funding Trust                                                | GreenPoint Mortgage Funding Trust, Series 2006-AR2, Class 4A1                                                     | CUSIP: 39538WGJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      11113 | PA      | $10394.17     | 0.00%             | 2036-03-25      | Floating      | 6.40%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36202FB47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6093 | PA      | $6189.90      | 0.00%             | 2039-10-20      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Duke Energy Progress LLC                                                         | Duke Energy Progress LLC                                                                                          | CUSIP: 26442UAK0<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |    1234000 | PA      | $713983.97    | 0.08%             | 2050-08-15      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 3128M84A9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      34607 | PA      | $35548.16     | 0.00%             | 2040-05-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QT4C0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     842362 | PA      | $873862.49    | 0.10%             | 2054-02-01      | Fixed         | 6.50%                 | No            | 2                  | On Loan: No      |
| Cross Mortgage Trust                                                             | Cross Mortgage Trust, Series 2024-H7, Class A1                                                                    | CUSIP: 22757CAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     242887 | PA      | $243573.36    | 0.03%             | 2069-11-25      | Variable      | 5.59%                 | No            | 2                  | On Loan: No      |
| Dominion Energy South Carolina, Inc.                                             | Dominion Energy South Carolina, Inc., Series A                                                                    | CUSIP: 25731VAA2<br>LEI: 3QRVFYR22IUIEOORTK28 | Long             | DBT              | CORP              | US        |       2000 | PA      | $1750.50      | 0.00%             | 2031-12-01      | Fixed         | 2.30%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36179SLS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     445684 | PA      | $413849.34    | 0.05%             | 2046-09-20      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| JPMorgan Chase & Co.                                                             | JPMorgan Chase & Co.                                                                                              | CUSIP: 46647PEY8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |       3000 | PA      | $3074.41      | 0.00%             | 2031-04-22      | Variable      | 5.10%                 | 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      | $-11.95       | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31416WLG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1883 | PA      | $1877.51      | 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        |      16113 | PA      | $15770.00     | 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        |     170000 | PA      | $668.96       | 0.00%             | 2058-05-10      | Variable      | 0.86%                 | No            | 2                  | On Loan: No      |
| Paramount Global                                                                 | Paramount Global                                                                                                  | CUSIP: 124857AK9<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |      46000 | PA      | $35481.12     | 0.00%             | 2044-08-15      | Fixed         | 4.90%                 | No            | 2                  | On Loan: No      |
| SMB Private Education Loan Trust                                                 | SMB Private Education Loan Trust, Series 2024-A, Class A1A                                                        | CUSIP: 831943AA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      85226 | PA      | $86661.07     | 0.01%             | 2056-03-15      | Fixed         | 5.24%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36180DVA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13867 | PA      | $12931.45     | 0.00%             | 2043-05-15      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132CWKK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      46335 | PA      | $43717.31     | 0.00%             | 2035-01-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138XHBF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10819 | PA      | $10600.57     | 0.00%             | 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      | $-35197.82    | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| CSTL Commercial Mortgage Trust                                                   | CSTL Commercial Mortgage Trust, Series 2024-GATE, Class A                                                         | CUSIP: 22945JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     370000 | PA      | $369701.37    | 0.04%             | 2041-11-10      | Variable      | 4.92%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WB6N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16641 | PA      | $16315.38     | 0.00%             | 2029-06-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | CDSCMBX                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |       8000 | PA      | $981.12       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| J.P. Morgan Mortgage Trust                                                       | J.P. Morgan Mortgage Trust, Series 2025-VIS1, Class M1                                                            | CUSIP: 46659BAF9<br>LEI: 529900CBDGTUOOQONB64 | Long             | ABS-MBS          | CORP              | US        |     250000 | PA      | $250442.65    | 0.03%             | 2055-08-25      | Variable      | 6.41%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138YXK95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2903 | PA      | $2837.88      | 0.00%             | 2030-09-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp.        | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 01F050676<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -1922000 | PA      | $-1883368.11  | -0.21%            | 2055-07-25      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Nelnet Student Loan Trust                                                        | Nelnet Student Loan Trust, Series 2025-AA, Class A1B                                                              | CUSIP: 64033XAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     320515 | PA      | $318208.76    | 0.04%             | 2057-03-15      | Floating      | 5.40%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3133KNQV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      88334 | PA      | $70833.49     | 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        |    1442785 | PA      | $1175532.00   | 0.13%             | 2050-08-20      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| IHS Holding Ltd.                                                                 | IHS Holding Ltd.                                                                                                  | CUSIP: N/A<br>LEI: 213800CLGMKL63VKTD94       | Long             | DBT              | CORP              | KY        |     329000 | PA      | $332086.02    | 0.04%             | 2031-11-29      | Fixed         | 8.25%                 | No            | 2                  | On Loan: No      |
| Ohio Edison Co.                                                                  | Ohio Edison Co.                                                                                                   | CUSIP: 677347CJ3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     277000 | PA      | $280794.31    | 0.03%             | 2029-12-15      | Fixed         | 4.95%                 | No            | 2                  | On Loan: No      |
| Broadcom, Inc.                                                                   | Broadcom, Inc.                                                                                                    | CUSIP: 11135FBY6<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     303000 | PA      | $311719.38    | 0.03%             | 2031-11-15      | Fixed         | 5.15%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | CDS                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    1712000 | PA      | $-7069.24     | -0.00%            |  |  |  | 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        |        364 | PA      | $359.38       | 0.00%             | 2026-01-15      | Fixed         | 3.70%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Notes                                                                                               | CUSIP: 91282CDY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     108000 | PA      | $94871.25     | 0.01%             | 2032-02-15      | Fixed         | 1.88%                 | No            | 2                  | On Loan: No      |
| Japan                                                                            | Japan Government Bond                                                                                             | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |  349850000 | PA      | $2181117.54   | 0.24%             | 2054-12-20      | Fixed         | 2.30%                 | No            | 2                  | On Loan: No      |
| BFLD Commercial Mortgage Trust                                                   | BFLD Commercial Mortgage Trust, Series 2024-UNIV, Class E                                                         | CUSIP: 08861RAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     104000 | PA      | $103890.75    | 0.01%             | 2041-11-15      | Floating      | 7.95%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp.        | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 01F052672<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -3578000 | PA      | $-3577181.43  | -0.40%            | 2055-07-25      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| CFK Trust                                                                        | CFK Trust, Series 2019-FAX, Class D                                                                               | CUSIP: 12528XAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     126000 | PA      | $117518.40    | 0.01%             | 2039-01-15      | Variable      | 4.79%                 | No            | 2                  | On Loan: No      |
| JPMorgan Chase & Co.                                                             | JPMorgan Chase & Co.                                                                                              | CUSIP: 46647PAJ5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     631000 | PA      | $556516.24    | 0.06%             | 2038-07-24      | Variable      | 3.88%                 | No            | 2                  | On Loan: No      |
| Bank of America Corp.                                                            | Bank of America Corp.                                                                                             | CUSIP: 06051GHX0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     226000 | PA      | $211536.18    | 0.02%             | 2030-10-22      | Variable      | 2.88%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DMSH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     422174 | PA      | $397342.66    | 0.04%             | 2050-06-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Bonds                                                                                               | CUSIP: 912810QC5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     786900 | PA      | $783949.13    | 0.09%             | 2039-08-15      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Bayview Commercial Asset Trust                                                   | Bayview Commercial Asset Trust, Series 2006-3A, Class A1                                                          | CUSIP: 07324NAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       5624 | PA      | $5382.95      | 0.00%             | 2036-10-25      | Floating      | 4.81%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138EQLB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      70307 | PA      | $71072.50     | 0.01%             | 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        |       9646 | PA      | $9192.76      | 0.00%             | 2041-03-15      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QNEL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     964724 | PA      | $776237.07    | 0.09%             | 2052-02-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Home Equity Asset Trust                                                          | Home Equity Asset Trust, Series 2007-1, Class 2A3                                                                 | CUSIP: 43710LAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      60072 | PA      | $50041.86     | 0.01%             | 2037-05-25      | Floating      | 4.73%                 | No            | 2                  | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                                  | Goldman Sachs Group, Inc. (The)                                                                                   | CUSIP: 38141GC36<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     749000 | PA      | $766532.39    | 0.09%             | 2031-01-28      | Variable      | 5.21%                 | No            | 2                  | On Loan: No      |
| Santander Mortgage Asset Receivable Trust                                        | Santander Mortgage Asset Receivable Trust, Series 2025-NQM2, Class A1                                             | CUSIP: 802638AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     132990 | PA      | $133962.32    | 0.01%             | 2065-02-25      | Variable      | 5.73%                 | 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        |      84219 | PA      | $84294.68     | 0.01%             | 2031-05-23      | Floating      | 5.63%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | USD Currency                                                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | GB        |   13257000 | PA      | $296960.56    | 0.03%             |  |  |  | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 3132M8NA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     317057 | PA      | $295759.77    | 0.03%             | 2044-08-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31419A4H7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1971 | PA      | $2066.83      | 0.00%             | 2040-09-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3133KJSE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     199365 | PA      | $151149.33    | 0.02%             | 2050-08-01      | Fixed         | 1.50%                 | No            | 2                  | On Loan: No      |
| 280 Park Avenue Mortgage Trust                                                   | 280 Park Avenue Mortgage Trust, Series 2017-280P, Class E                                                         | CUSIP: 90205FAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     137000 | PA      | $131862.50    | 0.01%             | 2034-09-15      | Floating      | 6.73%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140EW4P7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3033 | PA      | $2905.89      | 0.00%             | 2031-11-01      | 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      | $159.00       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Sitio Royalties Operating Partnership LP                                         | Sitio Royalties Operating Partnership LP                                                                          | CUSIP: 82983MAB6<br>LEI: 549300QY3ULLB2FX0O13 | Long             | DBT              | CORP              | US        |      83000 | PA      | $86906.78     | 0.01%             | 2028-11-01      | Fixed         | 7.88%                 | No            | 2                  | On Loan: No      |
| Extra Space Storage LP                                                           | Extra Space Storage LP                                                                                            | CUSIP: 30225VAP2<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              | CORP              | US        |     579000 | PA      | $512145.50    | 0.06%             | 2030-10-15      | Fixed         | 2.20%                 | 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        |     215000 | PA      | $216680.43    | 0.02%             | 2041-02-01      | Fixed         | 5.81%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31412QM89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26496 | PA      | $27151.49     | 0.00%             | 2039-09-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Amentum Holdings, Inc.                                                           | Amentum Holdings, Inc.                                                                                            | CUSIP: 023939101<br>LEI: 2549009FJIBLW40CU216 | Long             | EC               | CORP              | US        |       7272 | NS      | $171691.92    | 0.02%             |  |  |  | No            | 1                  | On Loan: No      |
| Madison Park Funding XXIX Ltd.                                                   | Madison Park Funding XXIX Ltd., Series 2018-29A, Class A1R2                                                       | CUSIP: 55820CAW5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     750000 | PA      | $749250.00    | 0.08%             | 2038-03-25      | Floating      | 5.50%                 | No            | 2                  | On Loan: No      |
| United Kingdom of Great Britain and Northern Ireland                             | U.K. Treasury Bonds                                                                                               | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |     840599 | PA      | $999463.32    | 0.11%             | 2054-07-31      | Fixed         | 4.38%                 | No            | 2                  | On Loan: No      |
| FS Rialto Issuer LLC                                                             | FS Rialto Issuer LLC, Series 2024-FL9, Class A                                                                    | CUSIP: 30338WAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     209000 | PA      | $209784.63    | 0.02%             | 2039-10-19      | Floating      | 5.95%                 | No            | 2                  | On Loan: No      |
| New Residential Mortgage Loan Trust                                              | New Residential Mortgage Loan Trust, Series 2025-NQM1, Class M1                                                   | CUSIP: 64832DAF8<br>LEI: 213800CZKHCTHKMD9W65 | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $100857.34    | 0.01%             | 2065-01-25      | Variable      | 6.47%                 | No            | 2                  | On Loan: No      |
| Forestar Group, Inc.                                                             | Forestar Group, Inc.                                                                                              | CUSIP: 346232AE1<br>LEI: 549300BC2UB0GHV60V70 | Long             | DBT              | CORP              | US        |      89000 | PA      | $87617.16     | 0.01%             | 2028-03-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Reworld Holding Corp.                                                            | Reworld Holding Corp.                                                                                             | CUSIP: 22303XAA3<br>LEI: 40XIFLS8XDQGGHGPGC04 | Long             | DBT              | CORP              | US        |      94000 | PA      | $89426.32     | 0.01%             | 2029-12-01      | Fixed         | 4.88%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3133KYWN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      94160 | PA      | $80627.41     | 0.01%             | 2042-04-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Pioneer Natural Resources Co.                                                    | Pioneer Natural Resources Co.                                                                                     | CUSIP: 723787AR8<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |     101000 | PA      | $89710.34     | 0.01%             | 2031-01-15      | Fixed         | 2.15%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DNNR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     255559 | PA      | $253422.21    | 0.03%             | 2052-07-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| BXP Trust                                                                        | BXP Trust, Series 2017-CC, Class E                                                                                | CUSIP: 05607CAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     110000 | PA      | $88270.03     | 0.01%             | 2037-08-13      | Variable      | 3.67%                 | No            | 2                  | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                                           | Merrill Lynch Mortgage Investors Trust, Series 2006-RM3, Class A2B                                                | CUSIP: 590217AD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      23633 | PA      | $4960.27      | 0.00%             | 2037-06-25      | Floating      | 4.61%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 31307QVQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        986 | PA      | $971.85       | 0.00%             | 2031-04-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Elevance Health, Inc.                                                            | Elevance Health, Inc.                                                                                             | CUSIP: 036752AU7<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |     108000 | PA      | $88320.74     | 0.01%             | 2052-05-15      | Fixed         | 4.55%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XFGW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     385770 | PA      | $309810.95    | 0.03%             | 2051-12-01      | 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      | $-68639.11    | -0.01%            |  |  |  | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Bonds                                                                                               | CUSIP: 912810QW1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1176000 | PA      | $939054.37    | 0.11%             | 2042-05-15      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| JPMorgan Chase & Co.                                                             | JPMorgan Chase & Co.                                                                                              | CUSIP: 46647PEX0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     598000 | PA      | $619733.30    | 0.07%             | 2036-04-22      | Variable      | 5.57%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3133KQKR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     211263 | PA      | $209275.57    | 0.02%             | 2053-01-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Notes                                                                                               | CUSIP: 91282CJZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2647000 | PA      | $2619392.61   | 0.29%             | 2034-02-15      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QRWZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     656178 | PA      | $650003.97    | 0.07%             | 2053-04-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 31335BJW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      34106 | PA      | $30935.37     | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | OIS                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        | 1124830188 | PA      | $10066.57     | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3133KMW84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     856967 | PA      | $684310.04    | 0.08%             | 2051-10-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | USD/JPY Up-and-in barrier option; Barrier price USD 155.00000                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | GB        |    9381000 | PA      | $14124.24     | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| RR 20 Ltd.                                                                       | RR 20 Ltd., Series 2022-20A, Class A1R                                                                            | CUSIP: 74989UAJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |     515000 | PA      | $515177.78    | 0.06%             | 2037-07-15      | Floating      | 5.25%                 | No            | 2                  | On Loan: No      |
| Melco Resorts Finance Ltd.                                                       | Melco Resorts Finance Ltd.                                                                                        | CUSIP: N/A<br>LEI: 5493000FQDBWKDBZEF60       | Long             | DBT              | CORP              | KY        |     400000 | PA      | $391352.00    | 0.04%             | 2028-07-21      | Fixed         | 5.75%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3133KRCJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     441138 | PA      | $451983.84    | 0.05%             | 2053-05-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36179SGL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     141903 | PA      | $131920.23    | 0.01%             | 2046-07-20      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| General Motors Financial Co., Inc.                                               | General Motors Financial Co., Inc.                                                                                | CUSIP: 37045XFC5<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |      44000 | PA      | $44233.42     | 0.00%             | 2035-01-07      | Fixed         | 5.90%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DMRY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     105268 | PA      | $100420.09    | 0.01%             | 2048-04-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138M8YB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3832 | PA      | $3764.11      | 0.00%             | 2027-09-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | U.S. Treasury Long Bond                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        228 | NC      | $623783.80    | 0.07%             |  |  |  | No            | 1                  | On Loan: No      |
| Affirm Master Trust                                                              | Affirm Master Trust, Series 2025-1A, Class A                                                                      | CUSIP: 00833BAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     654000 | PA      | $659022.72    | 0.07%             | 2033-02-15      | Fixed         | 4.99%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DMRJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     301617 | PA      | $283549.87    | 0.03%             | 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        |      37637 | PA      | $35547.85     | 0.00%             | 2051-01-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| FNB Corp.                                                                        | FNB Corp.                                                                                                         | CUSIP: 302520AD3<br>LEI: PCYSKIGYNYFDTBLVZU83 | Long             | DBT              | CORP              | US        |      30000 | PA      | $30169.89     | 0.00%             | 2030-12-11      | Variable      | 5.72%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DQF35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     170751 | PA      | $175047.54    | 0.02%             | 2053-05-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31416VGJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16222 | PA      | $16636.38     | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Bonds                                                                                               | CUSIP: 912810SX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2445200 | PA      | $1550505.13   | 0.17%             | 2051-05-15      | Fixed         | 2.38%                 | No            | 2                  | On Loan: No      |
| Ecopetrol SA                                                                     | Ecopetrol SA                                                                                                      | CUSIP: 279158AW9<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | NUSS              | CO        |     328000 | PA      | $321850.00    | 0.04%             | 2032-02-01      | Fixed         | 7.75%                 | No            | 2                  | On Loan: No      |
| HCA, Inc.                                                                        | HCA, Inc.                                                                                                         | CUSIP: 404119CW7<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     334000 | PA      | $325718.25    | 0.04%             | 2064-04-01      | Fixed         | 6.10%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QEBM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     528339 | PA      | $445453.00    | 0.05%             | 2050-07-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Morgan Stanley                                                                   | Morgan Stanley                                                                                                    | CUSIP: 61747YEK7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     660000 | PA      | $640629.28    | 0.07%             | 2028-01-21      | Variable      | 2.48%                 | No            | 2                  | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust                           | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2024-IGLG, Class F                                 | CUSIP: 46593KAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     261000 | PA      | $259141.26    | 0.03%             | 2039-11-09      | Variable      | 8.49%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Bonds                                                                                               | CUSIP: 912810SZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1600000 | PA      | $922437.50    | 0.10%             | 2051-08-15      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Structured Asset Mortgage Investments II Trust                                   | Structured Asset Mortgage Investments II Trust, Series 2006-AR5, Class 2A1                                        | CUSIP: 86360JAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      27749 | PA      | $19534.86     | 0.00%             | 2046-05-25      | Floating      | 4.85%                 | No            | 2                  | On Loan: No      |
| NAK Naftogaz Ukraine                                                             | NAK Naftogaz Ukraine                                                                                              | CUSIP: N/A<br>LEI: 213800PUC1T9GI6EIO63       | Long             | DBT              | CORP              | GB        |     125035 | PA      | $125192.04    | 0.01%             | 2026-07-19      | Fixed         | 7.12%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | 3 Month SOFR                                                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -369 | NC      | $-41512.50    | -0.00%            |  |  |  | No            | 1                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 21H040673<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |   -1057000 | PA      | $-982608.65   | -0.11%            | 2055-07-15      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp.        | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 01F012478<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     179000 | PA      | $159030.51    | 0.02%             | 2040-07-25      | Fixed         | 1.50%                 | 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        |     404840 | PA      | $395586.60    | 0.04%             | 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        |     641000 | PA      | $423701.00    | 0.05%             | 2051-03-12      | Fixed         | 3.05%                 | No            | 2                  | On Loan: No      |
| SMB Private Education Loan Trust                                                 | SMB Private Education Loan Trust, Series 2024-A, Class A1B                                                        | CUSIP: 831943AB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     444030 | PA      | $448292.74    | 0.05%             | 2056-03-15      | Floating      | 5.75%                 | No            | 2                  | On Loan: No      |
| Republic Finance Issuance Trust                                                  | Republic Finance Issuance Trust, Series 2024-B, Class B                                                           | CUSIP: 76042GAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     164000 | PA      | $166679.81    | 0.02%             | 2037-11-20      | Fixed         | 5.86%                 | No            | 2                  | On Loan: No      |
| Gartner, Inc.                                                                    | Gartner, Inc.                                                                                                     | CUSIP: 366651AG2<br>LEI: PP55B5R38BFB8O8HH686 | Long             | DBT              | CORP              | US        |     108000 | PA      | $102683.04    | 0.01%             | 2029-06-15      | Fixed         | 3.62%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DVLU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     418751 | PA      | $337537.70    | 0.04%             | 2051-04-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | SOP                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |    1604680 | PA      | $32923.59     | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America Corp.                                                            | Bank of America Corp., Series FIX                                                                                 | CUSIP: 06051GML0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     585000 | PA      | $599595.50    | 0.07%             | 2031-01-24      | Variable      | 5.16%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31418CRC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     208528 | PA      | $191712.03    | 0.02%             | 2047-11-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| MGM China Holdings Ltd.                                                          | MGM China Holdings Ltd.                                                                                           | CUSIP: N/A<br>LEI: 529900VZFN87OS7WJM66       | Long             | DBT              | CORP              | KY        |     700000 | PA      | $724500.00    | 0.08%             | 2031-06-26      | Fixed         | 7.12%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36179MG87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12027 | PA      | $12130.87     | 0.00%             | 2042-07-20      | Fixed         | 5.00%                 | 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        |      52000 | PA      | $56199.29     | 0.01%             | 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        |     181630 | PA      | $170371.24    | 0.02%             | 2046-03-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| CommScope Holding Co., Inc.                                                      | CommScope Holding Co., Inc.                                                                                       | CUSIP: 20337X109<br>LEI: 254900AW4CEPCQWSRI58 | Long             | EC               | CORP              | US        |       8206 | NS      | $67945.68     | 0.01%             |  |  |  | No            | 1                  | On Loan: No      |
| Rakuten Group, Inc.                                                              | Rakuten Group, Inc.                                                                                               | CUSIP: N/A<br>LEI: 529900IMXUCQKUL1H943       | Long             | EC               | CORP              | JP        |      14300 | NS      | $78795.60     | 0.01%             |  |  |  | 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        |        422 | PA      | $407.68       | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Oakwood Mortgage Investors, Inc.                                                 | Oakwood Mortgage Investors, Inc., Series 2002-B, Class M1                                                         | CUSIP: 67087TDS7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      58617 | PA      | $59239.96     | 0.01%             | 2032-06-15      | Variable      | 7.62%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | OIS                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        | 2627337302 | PA      | $-40328.73    | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3133KQQM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     167401 | PA      | $170340.44    | 0.02%             | 2053-02-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Warner Bros Discovery, Inc.                                                      | Warner Bros Discovery, Inc.                                                                                       | CUSIP: 934423104<br>LEI: 5493006ZCRFWKF6B1K26 | Long             | EC               | CORP              | US        |      16848 | NS      | $193078.08    | 0.02%             |  |  |  | No            | 1                  | On Loan: No      |
| Trimaran CAVU Ltd.                                                               | Trimaran CAVU Ltd., Series 2024-1A, Class A                                                                       | CUSIP: 895971AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     460000 | PA      | $462024.46    | 0.05%             | 2038-01-25      | Floating      | 5.64%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138YD4N6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2206 | PA      | $2121.83      | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Elevance Health, Inc.                                                            | Elevance Health, Inc.                                                                                             | CUSIP: 036752AS2<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |     383000 | PA      | $269546.93    | 0.03%             | 2051-03-15      | Fixed         | 3.60%                 | No            | 2                  | On Loan: No      |
| Frontier Communications Holdings LLC                                             | Frontier Communications Holdings LLC                                                                              | CUSIP: 35908MAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     358300 | PA      | $361875.83    | 0.04%             | 2029-11-01      | Fixed         | 5.88%                 | No            | 2                  | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                           | Velocity Commercial Capital Loan Trust, Series 2024-5, Class M3                                                   | CUSIP: 92261AAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      98516 | PA      | $97794.38     | 0.01%             | 2054-10-25      | Variable      | 6.76%                 | No            | 2                  | On Loan: No      |
| A&D Mortgage Trust                                                               | A&D Mortgage Trust, Series 2024-NQM5, Class A1                                                                    | CUSIP: 00039KAC4<br>LEI: 9845006Z1DC68561N347 | Long             | ABS-MBS          | CORP              | US        |     115861 | PA      | $116317.44    | 0.01%             | 2069-11-25      | Fixed         | 5.70%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XB2F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     172602 | PA      | $162849.66    | 0.02%             | 2050-05-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36179TAL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      95259 | PA      | $89794.37     | 0.01%             | 2047-06-20      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Charter Communications Operating LLC                                             | Charter Communications Operating LLC                                                                              | CUSIP: 161175BV5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     200000 | PA      | $133222.07    | 0.01%             | 2051-04-01      | Fixed         | 3.70%                 | No            | 2                  | On Loan: No      |
| LGI Homes, Inc.                                                                  | LGI Homes, Inc.                                                                                                   | CUSIP: 50187TAH9<br>LEI: 549300W02B4WNV8CV109 | Long             | DBT              | CORP              | US        |      83000 | PA      | $86281.74     | 0.01%             | 2028-12-15      | Fixed         | 8.75%                 | No            | 2                  | On Loan: No      |
| Golub Capital Partners 48 LP                                                     | Golub Capital Partners 48 LP, Series 2020-48A, Class A1R                                                          | CUSIP: 38177DAQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $250411.00    | 0.03%             | 2038-04-17      | Floating      | 5.59%                 | No            | 2                  | On Loan: No      |
| Pfizer, Inc.                                                                     | Pfizer, Inc.                                                                                                      | CUSIP: 717081FA6<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | DBT              | CORP              | US        |     394000 | PA      | $244622.55    | 0.03%             | 2050-05-28      | Fixed         | 2.70%                 | No            | 2                  | On Loan: No      |
| PG&E Corp.                                                                       | PG&E Corp.                                                                                                        | CUSIP: 69331CAJ7<br>LEI: 8YQ2GSDWYZXO2EDN3511 | Long             | DBT              | CORP              | US        |     994000 | PA      | $946926.54    | 0.11%             | 2030-07-01      | Fixed         | 5.25%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DMRS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     641722 | PA      | $588224.10    | 0.07%             | 2043-12-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| APS Resecuritization Trust                                                       | APS Resecuritization Trust, Series 2016-1, Class 1MZ                                                              | CUSIP: 00192JAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     277655 | PA      | $102764.24    | 0.01%             | 2057-07-31      | Variable      | 3.01%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Notes                                                                                               | CUSIP: 912828Z94<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     879000 | PA      | $795426.33    | 0.09%             | 2030-02-15      | Fixed         | 1.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp. Variable Rate Notes, Series 5513, Class FD                                       | CUSIP: 3137HKE75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2582122 | PA      | $2587445.58   | 0.29%             | 2055-01-25      | Floating      | 5.66%                 | No            | 2                  | On Loan: No      |
| GSAMP Trust                                                                      | GSAMP Trust, Series 2007-H1, Class A1B                                                                            | CUSIP: 36245YAW4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      18233 | PA      | $9017.42      | 0.00%             | 2047-01-25      | Floating      | 4.83%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36179R4E6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     659392 | PA      | $612026.94    | 0.07%             | 2046-03-20      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | USCPI                                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DO               |  | GB        |    1514463 | PA      | $-6114.67     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140X83A3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     456041 | PA      | $401970.19    | 0.04%             | 2050-08-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Commercial Mortgage Trust                                                        | Commercial Mortgage Trust, Series 2024-CBM, Class A2                                                              | CUSIP: 12674GAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     160000 | PA      | $162715.65    | 0.02%             | 2041-12-10      | Variable      | 5.87%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Bonds                                                                                               | CUSIP: 912810SR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1670000 | PA      | $1038270.31   | 0.12%             | 2040-05-15      | Fixed         | 1.12%                 | No            | 2                  | On Loan: No      |
| Federative Republic of Brazil                                                    | Federative Republic of Brazil                                                                                     | CUSIP: N/A<br>LEI: 254900ZFY40OYEADAP90       | Long             | DBT              | NUSS              | BR        |       6200 | PA      | $1047115.14   | 0.12%             | 2029-01-01      | Fixed         | 10.00%                | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 3128MENS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10676 | PA      | $10449.29     | 0.00%             | 2029-01-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Viper Energy, Inc.                                                               | Viper Energy, Inc.                                                                                                | CUSIP: 92763MAA3<br>LEI: 5299009LINL232255G03 | Long             | DBT              | CORP              | US        |    2319000 | PA      | $2321522.96   | 0.26%             | 2027-11-01      | Fixed         | 5.38%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138W6SU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17437 | PA      | $15733.97     | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DQGA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     471031 | PA      | $475094.71    | 0.05%             | 2053-05-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| VICI Properties LP                                                               | VICI Properties LP                                                                                                | CUSIP: 92564RAK1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1167000 | PA      | $1160856.52   | 0.13%             | 2028-01-15      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XFUY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      71365 | PA      | $58336.01     | 0.01%             | 2051-12-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Morgan Stanley                                                                   | Morgan Stanley                                                                                                    | CUSIP: 61747YED3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     482000 | PA      | $417386.75    | 0.05%             | 2032-07-21      | Variable      | 2.24%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138XQBF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7163 | PA      | $7026.36      | 0.00%             | 2029-04-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | USCPI                                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DO               |  | GB        |    2290000 | PA      | $411.84       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31418CWS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4216 | PA      | $3856.51      | 0.00%             | 2048-05-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QMH80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     530186 | PA      | $426608.75    | 0.05%             | 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        |    1430000 | PA      | $8580.86      | 0.00%             | 2050-11-15      | Variable      | 0.32%                 | No            | 2                  | On Loan: No      |
| Charter Communications Operating LLC                                             | Charter Communications Operating LLC                                                                              | CUSIP: 161175CP7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     324000 | PA      | $346952.33    | 0.04%             | 2034-02-01      | Fixed         | 6.65%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | IRS                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     373000 | PA      | $29940.03     | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| State of Israel                                                                  | State of Israel Government Bond                                                                                   | CUSIP: 46514BRM1<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |     435000 | PA      | $403190.63    | 0.05%             | 2054-03-12      | Fixed         | 5.75%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | Euro-Bobl                                                                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |         73 | NC      | $-12111.67    | -0.00%            |  |  |  | No            | 1                  | On Loan: No      |
| BX Trust                                                                         | BX Trust, Series 2025-TAIL, Class E                                                                               | CUSIP: 123912AJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      66000 | PA      | $66013.63     | 0.01%             | 2035-06-15      | Floating      | 7.61%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp.        | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 01F032674<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2243000 | PA      | $2019160.67   | 0.23%             | 2055-07-25      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Usavflow II Ltd.                                                                 | Usavflow II Ltd., 1st Lien Term Loan B                                                                            | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |      93000 | PA      | $93232.50     | 0.01%             | 2031-06-30      | Variable      | 10.82%                | No            | 3                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138XDTP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     184160 | PA      | $177314.81    | 0.02%             | 2044-01-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| ROCK Trust                                                                       | ROCK Trust, Series 2024-CNTR, Class E                                                                             | CUSIP: 74970WAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     213000 | PA      | $224092.49    | 0.03%             | 2041-11-13      | Fixed         | 8.82%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Notes                                                                                               | CUSIP: 91282CFU0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2532000 | PA      | $2555144.05   | 0.29%             | 2027-10-31      | Fixed         | 4.12%                 | No            | 2                  | On Loan: No      |
| Sagard-Halseypoint CLO 8 Ltd.                                                    | Sagard-Halseypoint CLO 8 Ltd., Series 2024-8A, Class A1                                                           | CUSIP: 78662AAA0<br>LEI: 254900W5MVYX9QDPHC09 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $250744.23    | 0.03%             | 2038-01-30      | Floating      | 5.70%                 | No            | 2                  | On Loan: No      |
| GSAMP Trust                                                                      | GSAMP Trust, Series 2006-HE4, Class M1                                                                            | CUSIP: 362439AF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     200000 | PA      | $169490.62    | 0.02%             | 2036-06-25      | Floating      | 4.88%                 | No            | 2                  | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust                                   | Morgan Stanley Residential Mortgage Loan Trust, Series 2025-NQM1, Class M1                                        | CUSIP: 617932AF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     439867 | PA      | $441797.84    | 0.05%             | 2069-11-25      | Variable      | 6.50%                 | No            | 2                  | On Loan: No      |
| GSMPS Mortgage Loan Trust                                                        | GSMPS Mortgage Loan Trust, Series 2005-RP2, Class 1AF                                                             | CUSIP: 36242DT52<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      28897 | PA      | $27080.45     | 0.00%             | 2035-03-25      | Floating      | 4.78%                 | 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        |     629232 | PA      | $615688.65    | 0.07%             | 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        |     202986 | PA      | $197105.69    | 0.02%             | 2032-06-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Cross Mortgage Trust                                                             | Cross Mortgage Trust, Series 2025-H1, Class M1                                                                    | CUSIP: 22758NAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     173000 | PA      | $174744.27    | 0.02%             | 2070-02-25      | Variable      | 6.48%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DPJ25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     174274 | PA      | $172691.42    | 0.02%             | 2052-12-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | USCPI                                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DO               |  | GB        |    1135000 | PA      | $-6634.99     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| GreenSky Home Improvement Issuer Trust                                           | GreenSky Home Improvement Issuer Trust, Series 2024-2, Class A4                                                   | CUSIP: 39571XAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      77224 | PA      | $77871.99     | 0.01%             | 2059-10-27      | Fixed         | 5.15%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36179MAY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      29062 | PA      | $27790.40     | 0.00%             | 2042-04-20      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Bonds                                                                                               | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     148000 | PA      | $90401.41     | 0.01%             | 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        |       2297 | PA      | $2199.45      | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138YJF68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1493 | PA      | $1481.31      | 0.00%             | 2031-08-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| ACE Securities Corp. Home Equity Loan Trust                                      | ACE Securities Corp. Home Equity Loan Trust, Series 2007-HE4, Class A2A                                           | CUSIP: 00442LAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      81900 | PA      | $12868.30     | 0.00%             | 2037-05-25      | Floating      | 4.69%                 | No            | 2                  | On Loan: No      |
| KSL Trust 2025-MAK                                                               | KSL Trust                                                                                                         | CUSIP: 50116JAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      18000 | PA      | $18142.92     | 0.00%             | 2030-06-15      | Floating      | 0.00%                 | No            | 2                  | On Loan: No      |
| AT&T Reign II Multi-Property Lease-Backed Pass Through Trust                     | AT&T Reign II Multi-Property Lease-Backed Pass-Through Trust                                                      | CUSIP: 046912AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     910000 | PA      | $910495.50    | 0.10%             | 2044-12-15      | Fixed         | 6.09%                 | No            | 2                  | On Loan: No      |
| Golar LNG Ltd.                                                                   | Golar LNG Ltd.                                                                                                    | CUSIP: 38046YAC5<br>LEI: 213800C2VSFZG3EZLO34 | Long             | DBT              | CORP              | BM        |      39000 | PA      | $39975.00     | 0.00%             | 2030-12-15      | Fixed         | 2.75%                 | No            | 2                  | On Loan: No      |
| Targa Resources Partners LP                                                      | Targa Resources Partners LP                                                                                       | CUSIP: 87612BBS0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     566000 | PA      | $561459.81    | 0.06%             | 2031-02-01      | Fixed         | 4.88%                 | No            | 2                  | On Loan: No      |
| MGM Resorts International                                                        | MGM Resorts International                                                                                         | CUSIP: 552953CJ8<br>LEI: 54930066VBP7DZEGGJ87 | Long             | DBT              | CORP              | US        |       4000 | PA      | $4065.26      | 0.00%             | 2032-04-15      | Fixed         | 6.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36179R7J2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     830145 | PA      | $772561.93    | 0.09%             | 2046-04-20      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| C-BASS Trust                                                                     | C-BASS Trust, Series 2006-CB7, Class A4                                                                           | CUSIP: 12479DAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      31931 | PA      | $21839.49     | 0.00%             | 2036-10-25      | Floating      | 4.75%                 | 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        |      30000 | PA      | $28874.99     | 0.00%             | 2050-02-10      | Fixed         | 3.63%                 | No            | 2                  | On Loan: No      |
| Charter Communications Operating LLC                                             | Charter Communications Operating LLC                                                                              | CUSIP: 161175CR3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      88000 | PA      | $93892.29     | 0.01%             | 2034-06-01      | Fixed         | 6.55%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3133KYWE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      89297 | PA      | $76700.46     | 0.01%             | 2042-02-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Consumers Energy Co.                                                             | Consumers Energy Co.                                                                                              | CUSIP: 210518DZ6<br>LEI: 7NKTFWJ1G6MELP9TU740 | Long             | DBT              | CORP              | US        |     156000 | PA      | $157080.20    | 0.02%             | 2035-05-15      | Fixed         | 5.05%                 | No            | 2                  | On Loan: No      |
| Verizon Communications, Inc.                                                     | Verizon Communications, Inc.                                                                                      | CUSIP: 92343VFL3<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     232000 | PA      | $200383.96    | 0.02%             | 2030-09-18      | Fixed         | 1.50%                 | No            | 2                  | On Loan: No      |
| RCKT Mortgage Trust                                                              | RCKT Mortgage Trust, Series 2024-CES8, Class A1A                                                                  | CUSIP: 749421AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     102713 | PA      | $102914.64    | 0.01%             | 2044-11-25      | Variable      | 5.49%                 | No            | 2                  | On Loan: No      |
| Origen Manufactured Housing Contract Trust                                       | Origen Manufactured Housing Contract Trust, Series 2007-B, Class A1                                               | CUSIP: 68620KAA0<br>LEI: 5493005G5GFEQWMCSY59 | Long             | ABS-O            | CORP              | US        |       5374 | PA      | $5340.87      | 0.00%             | 2037-10-15      | Floating      | 6.16%                 | No            | 2                  | On Loan: No      |
| AT&T, Inc.                                                                       | AT&T, Inc.                                                                                                        | CUSIP: 00206RKB7<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     389000 | PA      | $271995.73    | 0.03%             | 2060-06-01      | Fixed         | 3.85%                 | No            | 2                  | On Loan: No      |
| Stream Innovations Issuer Trust                                                  | Stream Innovations Issuer Trust, Series 2025-1A, Class A                                                          | CUSIP: 86324XAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     214000 | PA      | $215538.13    | 0.02%             | 2045-09-15      | Fixed         | 5.05%                 | No            | 2                  | On Loan: No      |
| GLP Capital LP                                                                   | GLP Capital LP                                                                                                    | CUSIP: 361841AP4<br>LEI: 2549005PXW31DRW8EC44 | Long             | DBT              | CORP              | US        |     659000 | PA      | $633293.20    | 0.07%             | 2030-01-15      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Lehman Brothers Holdings, Inc.                                                   | Lehman Brothers Holdings, Inc., Capital Trust VII                                                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | JP        |     185000 | PA      | $0.02         | 0.00%             | 2056-11-30      | Fixed         | 5.88%                 | No            | 3                  | On Loan: No      |
| New Residential Mortgage Loan Trust                                              | New Residential Mortgage Loan Trust, Series 2024-NQM3, Class B1                                                   | CUSIP: 647910AG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     170000 | PA      | $167047.98    | 0.02%             | 2064-11-25      | Variable      | 7.17%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QKVQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     142252 | PA      | $127470.78    | 0.01%             | 2036-05-01      | Fixed         | 1.50%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | OIS                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  678727268 | PA      | $2394.16      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| HCA, Inc.                                                                        | HCA, Inc.                                                                                                         | CUSIP: 404119DB2<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     675000 | PA      | $694151.91    | 0.08%             | 2035-03-01      | Fixed         | 5.75%                 | No            | 2                  | On Loan: No      |
| UWM Holdings LLC                                                                 | UWM Holdings LLC                                                                                                  | CUSIP: 903522AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      88000 | PA      | $88090.95     | 0.01%             | 2030-02-01      | Fixed         | 6.62%                 | No            | 2                  | On Loan: No      |
| Morgan Stanley                                                                   | Morgan Stanley                                                                                                    | CUSIP: 61747YEL5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     327000 | PA      | $291845.58    | 0.03%             | 2033-01-21      | Variable      | 2.94%                 | No            | 2                  | On Loan: No      |
| American Tower Corp.                                                             | American Tower Corp.                                                                                              | CUSIP: 03027XCG3<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |     126000 | PA      | $128925.99    | 0.01%             | 2029-02-15      | Fixed         | 5.20%                 | No            | 2                  | On Loan: No      |
| Raizen Fuels Finance SA                                                          | Raizen Fuels Finance SA                                                                                           | CUSIP: 75102XAF3<br>LEI: 52990010NH26VC32Q522 | Long             | DBT              | CORP              | LU        |     212000 | PA      | $209880.00    | 0.02%             | 2032-07-08      | Fixed         | 6.25%                 | 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        |       3907 | PA      | $3723.34      | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | 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        |     100000 | PA      | $94199.20     | 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        |     101412 | PA      | $80565.94     | 0.01%             | 2052-01-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 3132L5FG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     102458 | PA      | $92653.27     | 0.01%             | 2043-07-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| SoFi Consumer Loan Program Trust                                                 | SoFi Consumer Loan Program Trust, Series 2025-1, Class B                                                          | CUSIP: 83406YAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     100000 | PA      | $100982.52    | 0.01%             | 2034-02-27      | Fixed         | 5.12%                 | No            | 2                  | On Loan: No      |
| Fontainebleau Miami Beach Mortgage Trust                                         | Fontainebleau Miami Beach Mortgage Trust, Series 2024-FBLU, Class A                                               | CUSIP: 34461WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     524868 | PA      | $524867.90    | 0.06%             | 2039-12-15      | Floating      | 5.76%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140JARS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     188738 | PA      | $185749.01    | 0.02%             | 2048-05-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| EQT Corp.                                                                        | EQT Corp.                                                                                                         | CUSIP: 26884LBA6<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |    3512000 | PA      | $3859733.13   | 0.43%             | 2030-06-01      | Fixed         | 7.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WH3T7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36762 | PA      | $35393.20     | 0.00%             | 2031-10-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 21H060671<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3660000 | PA      | $3713462.61   | 0.42%             | 2055-07-15      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| AP Grange Holdings LLC                                                           | AP Grange Holdings LLC                                                                                            | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | GB        |     576782 | PA      | $571764.00    | 0.06%             | 2045-03-20      | Fixed         | 6.50%                 | Yes           | 3                  | On Loan: No      |
| PRPM Trust                                                                       | PRPM Trust, Series 2025-NQM1, Class M1A                                                                           | CUSIP: 74391EAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $101609.34    | 0.01%             | 2069-11-25      | Variable      | 6.64%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WTV37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5780 | PA      | $5674.55      | 0.00%             | 2028-05-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 3132J72F8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      33708 | PA      | $30510.35     | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Carbone CLO Ltd.                                                                 | Carbone CLO Ltd., Series 2017-1A, Class A1                                                                        | CUSIP: 141312AA6<br>LEI: 5493005I53NEC017LN87 | Long             | ABS-CBDO         | CORP              | KY        |     276573 | PA      | $276750.67    | 0.03%             | 2031-01-20      | Floating      | 5.67%                 | No            | 2                  | On Loan: No      |
| Charter Communications Operating LLC                                             | Charter Communications Operating LLC                                                                              | CUSIP: 161175BT0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     254000 | PA      | $203217.34    | 0.02%             | 2050-03-01      | Fixed         | 4.80%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QMVL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     237793 | PA      | $208958.54    | 0.02%             | 2051-12-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| American Municipal Power, Inc.                                                   | American Municipal Power, Inc., Series 2010A                                                                      | CUSIP: 02765UEK6<br>LEI: EARKGGZJJEMVD66XQ486 | Long             | DBT              | MUN               | US        |     135000 | PA      | $171447.19    | 0.02%             | 2050-02-15      | Fixed         | 8.08%                 | No            | 2                  | On Loan: No      |
| Dryden 40 Senior Loan Fund                                                       | Dryden 40 Senior Loan Fund, Series 2015-40A, Class AR2                                                            | CUSIP: 26244GAS4<br>LEI: 549300BH0PFEW6WVTN52 | Long             | ABS-CBDO         | CORP              | KY        |     842021 | PA      | $843031.13    | 0.09%             | 2031-08-15      | Floating      | 5.48%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138M1YD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3707 | PA      | $3476.66      | 0.00%             | 2042-07-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Silver Point CLO 7 Ltd.                                                          | Silver Point CLO 7 Ltd., Series 2024-7A, Class A1                                                                 | CUSIP: 82808UAA3<br>LEI: 254900UZNMKMPK9GWJ82 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $250734.10    | 0.03%             | 2038-01-15      | Floating      | 5.64%                 | No            | 2                  | On Loan: No      |
| OBX Trust                                                                        | OBX Trust, Series 2025-NQM3, Class A1                                                                             | CUSIP: 67448YAC8<br>LEI: 254900MBGY6CR10DAX67 | Long             | ABS-MBS          | CORP              | US        |     232149 | PA      | $233402.93    | 0.03%             | 2064-12-01      | Variable      | 5.65%                 | No            | 2                  | On Loan: No      |
| Samarco Mineracao SA                                                             | Samarco Mineracao SA                                                                                              | CUSIP: N/A<br>LEI: 529900U8HKV15GJC4O60       | Long             | DBT              | CORP              | BR        |     328923 | PA      | $322550.12    | 0.04%             | 2031-06-30      | Fixed         | 9.50%                 | No            | 2                  | On Loan: No      |
| Credit Suisse Mortgage Capital Certificates                                      | Credit Suisse Mortgage Capital Certificates, Series 2009-12R, Class 3A1                                           | CUSIP: 12642MAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     280964 | PA      | $105536.00    | 0.01%             | 2037-10-27      | Fixed         | 6.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WFNC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6971 | PA      | $6735.02      | 0.00%             | 2030-09-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp.        | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 01F040677<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2162000 | PA      | $2010069.38   | 0.23%             | 2055-07-25      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Gaea Mortgage Loan Trust                                                         | Gaea Mortgage Loan Trust, Series 2025-A, Class A                                                                  | CUSIP: 362928AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      88936 | PA      | $87264.83     | 0.01%             | 2030-02-25      | Variable      | 6.75%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Notes                                                                                               | CUSIP: 91282CDL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      68000 | PA      | $63200.16     | 0.01%             | 2028-11-30      | Fixed         | 1.50%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | OIS                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  338302000 | PA      | $17382.76     | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Notes                                                                                               | CUSIP: 91282CGJ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4228000 | PA      | $4178783.46   | 0.47%             | 2030-01-31      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association, Series 2021-83, Class PI                                                | CUSIP: 38382QQP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1218478 | PA      | $207610.45    | 0.02%             | 2051-05-20      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| FS Trust                                                                         | FS Trust, Series 2024-HULA, Class A                                                                               | CUSIP: 30338DAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     573000 | PA      | $574742.15    | 0.06%             | 2039-08-15      | Floating      | 6.12%                 | 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        |      32186 | PA      | $28709.25     | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Bonds                                                                                               | CUSIP: 912810SF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2810000 | PA      | $2070399.23   | 0.23%             | 2049-02-15      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Synchrony Financial                                                              | Synchrony Financial                                                                                               | CUSIP: 87165BAU7<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |     921000 | PA      | $963683.35    | 0.11%             | 2033-02-02      | Fixed         | 7.25%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3142GQLA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     172835 | PA      | $179855.75    | 0.02%             | 2053-11-01      | Fixed         | 6.50%                 | No            | 2                  | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust                                       | JPMBB Commercial Mortgage Securities Trust, Series 2014-C23, Class XA                                             | CUSIP: 46643ABG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     148424 | PA      | $1.35         | 0.00%             | 2047-09-15      | Variable      | 0.51%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36202FMA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      99117 | PA      | $94781.40     | 0.01%             | 2040-11-20      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Energy Transfer LP                                                               | Energy Transfer LP                                                                                                | CUSIP: 29278NAF0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     153000 | PA      | $155272.37    | 0.02%             | 2028-06-15      | Fixed         | 4.95%                 | 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        |      25163 | PA      | $25170.92     | 0.00%             | 2031-01-25      | Floating      | 5.54%                 | 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      | $-2603.80     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Dominion Energy, Inc.                                                            | Dominion Energy, Inc., Series B                                                                                   | CUSIP: 25746UDU0<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |     394000 | PA      | $422735.21    | 0.05%             | 2054-06-01      | Variable      | 7.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31402RDH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      47601 | PA      | $49290.97     | 0.01%             | 2035-04-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QDSX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     111293 | PA      | $102724.35    | 0.01%             | 2035-06-01      | 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        |          6 | NC      | $1819.60      | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QHPS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      99530 | PA      | $91492.97     | 0.01%             | 2036-03-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| FirstEnergy Corp.                                                                | FirstEnergy Corp.                                                                                                 | CUSIP: 337932AL1<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |     310000 | PA      | $284635.82    | 0.03%             | 2030-03-01      | Fixed         | 2.65%                 | No            | 2                  | On Loan: No      |
| ORLEN SA                                                                         | ORLEN SA                                                                                                          | CUSIP: N/A<br>LEI: 259400VVMM70CQREJT74       | Long             | DBT              | CORP              | PL        |     398000 | PA      | $408149.00    | 0.05%             | 2035-01-30      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Alternative Loan Trust                                                           | Alternative Loan Trust, Series 2006-OA8, Class 1A1                                                                | CUSIP: 02147CAA1<br>LEI: 549300EBNJLBIQBKE071 | Long             | ABS-MBS          | CORP              | US        |       5981 | PA      | $5383.71      | 0.00%             | 2046-07-25      | Floating      | 4.81%                 | No            | 2                  | On Loan: No      |
| Minejesa Capital BV                                                              | Minejesa Capital BV                                                                                               | CUSIP: N/A<br>LEI: 549300KS7ERCP10BKC35       | Long             | DBT              | CORP              | NL        |     709000 | PA      | $678424.38    | 0.08%             | 2037-08-10      | Fixed         | 5.62%                 | No            | 2                  | On Loan: No      |
| Regatta IX Funding Ltd.                                                          | Regatta IX Funding Ltd., Series 2017-1A, Class B1R                                                                | CUSIP: 75887VAN1<br>LEI: 254900JVS76S6N8G1I74 | Long             | ABS-CBDO         | CORP              | KY        |     847000 | PA      | $850423.32    | 0.10%             | 2037-04-17      | Floating      | 6.28%                 | No            | 2                  | On Loan: No      |
| GoldenTree Loan Management US CLO 16 Ltd.                                        | GoldenTree Loan Management US CLO 16 Ltd., Series 2022-16A, Class ARR                                             | CUSIP: 38090AAQ1<br>LEI: 549300KYU0TCMXRAI217 | Long             | ABS-CBDO         | CORP              | JE        |     250000 | PA      | $249748.58    | 0.03%             | 2038-01-20      | Floating      | 5.39%                 | No            | 2                  | On Loan: No      |
| Mileage Plus Holdings LLC                                                        | Mileage Plus Holdings LLC                                                                                         | CUSIP: 599191AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     196466 | PA      | $196724.16    | 0.02%             | 2027-06-20      | Fixed         | 6.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WFYN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6939 | PA      | $6694.71      | 0.00%             | 2030-11-01      | Fixed         | 2.50%                 | 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        |      60000 | PA      | $50112.31     | 0.01%             | 2037-08-13      | Variable      | 3.67%                 | No            | 2                  | On Loan: No      |
| Pacific Gas & Electric Co.                                                       | Pacific Gas & Electric Co.                                                                                        | CUSIP: 694308KJ5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     148000 | PA      | $152433.26    | 0.02%             | 2033-01-15      | Fixed         | 6.15%                 | No            | 2                  | On Loan: No      |
| Altria Group, Inc.                                                               | Altria Group, Inc.                                                                                                | CUSIP: 02209SAR4<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |      47000 | PA      | $44372.71     | 0.00%             | 2044-01-31      | Fixed         | 5.38%                 | 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        |     880438 | PA      | $11727.40     | 0.00%             | 2035-08-10      | Variable      | 1.01%                 | No            | 2                  | On Loan: No      |
| Synchrony Financial                                                              | Synchrony Financial                                                                                               | CUSIP: 87165BAM5<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |     466000 | PA      | $458229.27    | 0.05%             | 2027-12-01      | Fixed         | 3.95%                 | No            | 2                  | On Loan: No      |
| CWABS Trust                                                                      | CWABS Asset-Backed Certificates Trust, Series 2006-14, Class M1                                                   | CUSIP: 23243LAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     242482 | PA      | $207945.08    | 0.02%             | 2037-02-25      | Floating      | 4.87%                 | No            | 2                  | On Loan: No      |
| BAT Capital Corp.                                                                | BAT Capital Corp.                                                                                                 | CUSIP: 05526DBF1<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     159000 | PA      | $128443.71    | 0.01%             | 2047-08-15      | Fixed         | 4.54%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WJJ25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41785 | PA      | $39585.49     | 0.00%             | 2046-11-01      | Fixed         | 4.00%                 | 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        |      23998 | PA      | $23848.29     | 0.00%             | 2040-12-17      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Meta Platforms, Inc.                                                             | Meta Platforms, Inc.                                                                                              | CUSIP: 30303M8W5<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |      46000 | PA      | $44952.91     | 0.01%             | 2064-08-15      | Fixed         | 5.55%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31418CPF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10848 | PA      | $10271.47     | 0.00%             | 2047-09-01      | 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        |       3529 | PA      | $3699.09      | 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        |      95266 | PA      | $87392.26     | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3133L8GG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     388966 | PA      | $359349.86    | 0.04%             | 2036-05-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp.        | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 01F020471<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     626000 | PA      | $571885.91    | 0.06%             | 2040-07-25      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XFVC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29533 | PA      | $27201.26     | 0.00%             | 2037-02-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | Russell 2000 E-Mini Index                                                                                         | CUSIP: 00PBYEEP2<br>LEI: N/A                  | N/A              | DE               |  | US        |         13 | NC      | $4550.00      | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Pacific Gas and Electric Co.                                                     | Pacific Gas & Electric Co.                                                                                        | CUSIP: 694308HH3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     330000 | PA      | $267749.77    | 0.03%             | 2044-02-15      | Fixed         | 4.75%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | OIS                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  340078000 | PA      | $17015.58     | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| HCA, Inc.                                                                        | HCA, Inc.                                                                                                         | CUSIP: 404119DC0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     526000 | PA      | $529746.36    | 0.06%             | 2055-03-01      | Fixed         | 6.20%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Notes                                                                                               | CUSIP: 91282CLM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3004000 | PA      | $2953776.88   | 0.33%             | 2031-09-30      | Fixed         | 3.62%                 | No            | 2                  | On Loan: No      |
| Telecom Argentina SA                                                             | Telecom Argentina SA                                                                                              | CUSIP: 879273AV2<br>LEI: 549300MKPIRSJD8SB782 | Long             | DBT              | CORP              | AR        |     323089 | PA      | $328781.83    | 0.04%             | 2033-05-28      | Fixed         | 9.25%                 | No            | 2                  | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                                  | Goldman Sachs Group, Inc. (The)                                                                                   | CUSIP: 38141GWZ3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     510000 | PA      | $507092.71    | 0.06%             | 2029-05-01      | Variable      | 4.22%                 | 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        |       2393 | PA      | $2340.28      | 0.00%             | 2030-08-01      | 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      | $-1497.76     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp.        | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 01F022477<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     893000 | PA      | $833582.53    | 0.09%             | 2040-07-25      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140HBFN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     286939 | PA      | $279155.58    | 0.03%             | 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        |       8684 | PA      | $8489.29      | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QNN99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     921511 | PA      | $809767.45    | 0.09%             | 2052-03-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| EQT Corp.                                                                        | EQT Corp.                                                                                                         | CUSIP: 26884LBC2<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |    3054000 | PA      | $3005972.58   | 0.34%             | 2031-01-15      | Fixed         | 4.75%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138EPJ62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7431 | PA      | $7275.74      | 0.00%             | 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        |     348208 | PA      | $10527.07     | 0.00%             | 2052-03-15      | Variable      | 1.16%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132D6NY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     271606 | PA      | $250179.78    | 0.03%             | 2036-02-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| JSW Hydro Energy Ltd.                                                            | JSW Hydro Energy Ltd.                                                                                             | CUSIP: N/A<br>LEI: 3358006ZP5KO7VUH2790       | Long             | DBT              | CORP              | IN        |     639000 | PA      | $584685.00    | 0.07%             | 2031-05-18      | Fixed         | 4.12%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31410GH22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      72092 | PA      | $73653.24     | 0.01%             | 2036-09-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | CDSCMBX                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | DE        |        223 | PA      | $103.85       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36179V4U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2277174 | PA      | $1854967.98   | 0.21%             | 2051-01-20      | 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      | $-19872.96    | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36202E4F3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1295 | PA      | $1239.72      | 0.00%             | 2039-04-20      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| CCO Holdings LLC                                                                 | CCO Holdings LLC                                                                                                  | CUSIP: 1248EPCQ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      10000 | PA      | $9485.27      | 0.00%             | 2032-02-01      | Fixed         | 4.75%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DNHX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     195801 | PA      | $185133.89    | 0.02%             | 2050-07-01      | 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        |      91267 | PA      | $88740.00     | 0.01%             | 2048-11-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Vistra Operations Co. LLC                                                        | Vistra Operations Co. LLC                                                                                         | CUSIP: 92840VAU6<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    1610000 | PA      | $1639461.21   | 0.18%             | 2034-12-30      | Fixed         | 5.70%                 | No            | 2                  | On Loan: No      |
| CWHEQ Revolving Home Equity Loan Trust                                           | CWHEQ Revolving Home Equity Loan Trust, Series 2006-C, Class 2A                                                   | CUSIP: 126685DJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      10596 | PA      | $10494.58     | 0.00%             | 2036-05-15      | Floating      | 4.61%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp.        | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 01F042673<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   18915000 | PA      | $18090712.29  | 2.03%             | 2055-07-25      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Blackstone Mortgage Trust, Inc.                                                  | Blackstone Mortgage Trust, Inc., Class A                                                                          | CUSIP: 09257W100<br>LEI: 549300OLDJ20R2Y2UW20 | Long             | EC               | CORP              | US        |      23972 | NS      | $461461.00    | 0.05%             |  |  |  | No            | 1                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XGPQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     373429 | PA      | $343055.25    | 0.04%             | 2037-03-01      | Fixed         | 2.00%                 | 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        |      37652 | PA      | $38212.24     | 0.00%             | 2041-11-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31417FL48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2079 | PA      | $2035.54      | 0.00%             | 2028-02-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | SOP                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | FR        |     929200 | PA      | $43455.26     | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QE4W9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      56649 | PA      | $52076.74     | 0.01%             | 2035-09-01      | Fixed         | 2.00%                 | 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        |       1414 | PA      | $1382.05      | 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        |      23370 | PA      | $23887.03     | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Pinnacle West Capital Corp.                                                      | Pinnacle West Capital Corp.                                                                                       | CUSIP: 723484AN1<br>LEI: TWSEY0NEDUDCKS27AH81 | Long             | DBT              | CORP              | US        |     898000 | PA      | $919263.31    | 0.10%             | 2030-05-15      | Fixed         | 5.15%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XJSK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     146795 | PA      | $131539.21    | 0.01%             | 2037-02-01      | Fixed         | 1.50%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Notes                                                                                               | CUSIP: 91282CJG7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3810300 | PA      | $3999773.11   | 0.45%             | 2030-10-31      | Fixed         | 4.88%                 | No            | 2                  | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                           | Velocity Commercial Capital Loan Trust, Series 2024-6, Class M3                                                   | CUSIP: 92261BAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     182494 | PA      | $181912.29    | 0.02%             | 2054-12-25      | Variable      | 6.92%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DVL78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      90482 | PA      | $79735.08     | 0.01%             | 2052-02-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138ECKY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2801 | PA      | $2628.60      | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| PECO Energy Co.                                                                  | PECO Energy Co.                                                                                                   | CUSIP: 693304BC0<br>LEI: YH65D4JBECK76IFEJ279 | Long             | DBT              | CORP              | US        |      72000 | PA      | $45341.26     | 0.01%             | 2051-09-15      | Fixed         | 2.85%                 | No            | 2                  | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                                                 | IndyMac INDX Mortgage Loan Trust, Series 2006-AR41, Class A3                                                      | CUSIP: 45668NAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      35529 | PA      | $33461.47     | 0.00%             | 2037-02-25      | Floating      | 4.79%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36197MRR1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18340 | PA      | $17822.24     | 0.00%             | 2047-04-15      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 3132J65H3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     110440 | PA      | $103710.09    | 0.01%             | 2043-02-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Beazer Homes USA, Inc.                                                           | Beazer Homes USA, Inc.                                                                                            | CUSIP: 07556QBT1<br>LEI: 549300DUPYT2T0F60I45 | Long             | DBT              | CORP              | US        |     169000 | PA      | $170596.71    | 0.02%             | 2029-10-15      | Fixed         | 7.25%                 | No            | 2                  | On Loan: No      |
| Cheniere Energy, Inc.                                                            | Cheniere Energy, Inc.                                                                                             | CUSIP: 16411RAN9<br>LEI: MIHC87W9WTYSYZWV1J40 | Long             | DBT              | CORP              | US        |    2101000 | PA      | $2151801.42   | 0.24%             | 2034-04-15      | Fixed         | 5.65%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140H3KJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10023 | PA      | $9865.64      | 0.00%             | 2033-01-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138ELS79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23528 | PA      | $24665.18     | 0.00%             | 2040-04-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Mattamy Group Corp.                                                              | Mattamy Group Corp.                                                                                               | CUSIP: 57701RAJ1<br>LEI: 5493008TNY7A82WCXU31 | Long             | DBT              | CORP              | CA        |      89000 | PA      | $88571.85     | 0.01%             | 2027-12-15      | Fixed         | 5.25%                 | No            | 2                  | On Loan: No      |
| CVR CHC LP                                                                       | CVR CHC LP, 1st Lien Term Loan                                                                                    | CUSIP: 12663SAB7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     367199 | PA      | $366585.62    | 0.04%             | 2027-12-30      | Variable      | 8.30%                 | No            | 2                  | On Loan: No      |
| Argent Mortgage Loan Trust                                                       | Argent Mortgage Loan Trust, Series 2005-W1, Class A2                                                              | CUSIP: 040104MY4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      28280 | PA      | $22993.41     | 0.00%             | 2035-05-25      | Floating      | 4.91%                 | No            | 2                  | On Loan: No      |
| BAT Capital Corp.                                                                | BAT Capital Corp.                                                                                                 | CUSIP: 05526DBQ7<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     729000 | PA      | $643636.28    | 0.07%             | 2050-04-02      | Fixed         | 5.28%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140EXCP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2088 | PA      | $2009.78      | 0.00%             | 2031-08-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Pacific Gas & Electric Co.                                                       | Pacific Gas & Electric Co.                                                                                        | CUSIP: 694308KH9<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     869000 | PA      | $874340.34    | 0.10%             | 2053-01-15      | Fixed         | 6.75%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Notes                                                                                               | CUSIP: 91282CJR3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3491000 | PA      | $3494136.45   | 0.39%             | 2028-12-31      | Fixed         | 3.75%                 | 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        |      17225 | PA      | $16499.67     | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Trust Fibra Uno                                                                  | Trust Fibra Uno                                                                                                   | CUSIP: N/A<br>LEI: 54930011BLQ0JPRBAL73       | Long             | DBT              | CORP              | MX        |     389000 | PA      | $405410.94    | 0.05%             | 2032-01-23      | Fixed         | 7.70%                 | No            | 2                  | On Loan: No      |
| Bank of America Corp.                                                            | Bank of America Corp.                                                                                             | CUSIP: 06051GHG7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     175000 | PA      | $173063.91    | 0.02%             | 2029-03-05      | Variable      | 3.97%                 | No            | 2                  | On Loan: No      |
| Alternative Loan Trust                                                           | Alternative Loan Trust, Series 2006-OC7, Class 2A3                                                                | CUSIP: 23243VAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      50803 | PA      | $43817.32     | 0.00%             | 2046-07-25      | Floating      | 4.93%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | USCPI                                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DO               |  | GB        |    2838000 | PA      | $-21561.68    | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Kingdom of Belgium                                                               | Kingdom of Belgium                                                                                                | CUSIP: N/A<br>LEI: 549300SZ25JZFHRHWD76       | Long             | DBT              | NUSS              | BE        |    1804820 | PA      | $1893251.59   | 0.21%             | 2054-06-22      | Fixed         | 3.30%                 | No            | 2                  | On Loan: No      |
| VICI Properties LP                                                               | VICI Properties LP                                                                                                | CUSIP: 925650AD5<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |     860000 | PA      | $856834.18    | 0.10%             | 2032-05-15      | Fixed         | 5.12%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31418DXJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     612057 | PA      | $460685.28    | 0.05%             | 2051-03-01      | Fixed         | 1.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DQQ58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     364065 | PA      | $373405.77    | 0.04%             | 2053-06-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Citigroup, Inc.                                                                  | Citigroup, Inc.                                                                                                   | CUSIP: 172967QA2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     267000 | PA      | $270043.01    | 0.03%             | 2031-05-07      | Variable      | 4.95%                 | No            | 2                  | On Loan: No      |
| BCMSC Trust                                                                      | BCMSC Trust, Series 2000-A, Class A2                                                                              | CUSIP: 09774XBN1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      39800 | PA      | $2783.35      | 0.00%             | 2030-06-15      | Variable      | 7.58%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140J5YR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      53268 | PA      | $50446.72     | 0.01%             | 2047-08-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| CCO Holdings LLC                                                                 | CCO Holdings LLC                                                                                                  | CUSIP: 1248EPCP6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     314000 | PA      | $279518.72    | 0.03%             | 2034-01-15      | Fixed         | 4.25%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 21H050672<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |     -42000 | PA      | $-41250.18    | -0.00%            | 2055-07-15      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Angel Oak Mortgage Trust                                                         | Angel Oak Mortgage Trust, Series 2023-7, Class A1                                                                 | CUSIP: 03466DAA0<br>LEI: 254900DRGJVOF9SOT744 | Long             | ABS-MBS          | CORP              | US        |     230185 | PA      | $228684.55    | 0.03%             | 2067-11-25      | Variable      | 4.80%                 | 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        |      33659 | PA      | $33559.10     | 0.00%             | 2030-12-15      | Floating      | 5.31%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31418DSH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     265730 | PA      | $211478.78    | 0.02%             | 2050-09-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Reynolds American, Inc.                                                          | Reynolds American, Inc.                                                                                           | CUSIP: 761713BB1<br>LEI: 02S2RPPVO9RP4NEU2740 | Long             | DBT              | CORP              | US        |     951000 | PA      | $917524.56    | 0.10%             | 2045-08-15      | Fixed         | 5.85%                 | No            | 2                  | On Loan: No      |
| T-Mobile USA, Inc.                                                               | T-Mobile USA, Inc.                                                                                                | CUSIP: 87264ABY0<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      67000 | PA      | $44675.15     | 0.01%             | 2060-11-15      | Fixed         | 3.60%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DMRH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14398 | PA      | $13630.08     | 0.00%             | 2049-05-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QNEK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     430961 | PA      | $347405.40    | 0.04%             | 2052-02-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| AMC Networks, Inc.                                                               | AMC Networks, Inc.                                                                                                | CUSIP: 00164VAJ2<br>LEI: 549300VGG9K75226LR46 | Long             | DBT              | CORP              | US        |      84000 | PA      | $70560.00     | 0.01%             | 2029-02-15      | Fixed         | 4.25%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31418ECY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     220428 | PA      | $189128.44    | 0.02%             | 2042-04-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31418V3A8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6568 | PA      | $6547.91      | 0.00%             | 2040-07-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp.        | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 01F062689<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2087000 | PA      | $2151762.32   | 0.24%             | 2055-08-25      | Fixed         | 6.50%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | CDSCMBX                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |      71304 | PA      | $-1042.37     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36197MRS9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11480 | PA      | $11179.70     | 0.00%             | 2047-04-15      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| HCA, Inc.                                                                        | HCA, Inc.                                                                                                         | CUSIP: 404119CK3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      71000 | PA      | $65489.39     | 0.01%             | 2032-03-15      | Fixed         | 3.62%                 | No            | 2                  | On Loan: No      |
| New Jersey Turnpike Authority                                                    | New Jersey Turnpike Authority, Series 2009F                                                                       | CUSIP: 646139W35<br>LEI: 5493005YN67D71KSMI84 | Long             | DBT              | MUN               | US        |     317000 | PA      | $378447.22    | 0.04%             | 2040-01-01      | Fixed         | 7.41%                 | No            | 2                  | On Loan: No      |
| FirstEnergy Transmission LLC                                                     | FirstEnergy Transmission LLC                                                                                      | CUSIP: 33767BAC3<br>LEI: 549300AINIIPOLYX2R63 | Long             | DBT              | CORP              | US        |     548000 | PA      | $464486.93    | 0.05%             | 2049-04-01      | Fixed         | 4.55%                 | No            | 2                  | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                                  | Goldman Sachs Group, Inc. (The)                                                                                   | CUSIP: 38141GXR0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     469000 | PA      | $406226.98    | 0.05%             | 2032-01-27      | Variable      | 1.99%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XTA35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     169499 | PA      | $135402.20    | 0.02%             | 2050-08-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Wellington Management CLO 4 Ltd.                                                 | Wellington Management CLO 4 Ltd., Series 2025-4A, Class A                                                         | CUSIP: 94957LAA7<br>LEI: 213800VJVBC3KZIDZU56 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $249645.68    | 0.03%             | 2038-04-18      | Floating      | 5.43%                 | No            | 2                  | On Loan: No      |
| Conseco Finance Corp.                                                            | Conseco Finance Corp., Series 1999-5, Class A6                                                                    | CUSIP: 3935053Q3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      24405 | PA      | $6849.89      | 0.00%             | 2030-03-01      | Variable      | 7.50%                 | No            | 2                  | On Loan: No      |
| Bear Stearns Mortgage Funding Trust                                              | Bear Stearns Mortgage Funding Trust, Series 2007-AR3, Class 1A1                                                   | CUSIP: 07401VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       7623 | PA      | $7110.90      | 0.00%             | 2037-03-25      | Floating      | 4.71%                 | No            | 2                  | On Loan: No      |
| Bayview Commercial Asset Trust                                                   | Bayview Commercial Asset Trust, Series 2006-1A, Class A2                                                          | CUSIP: 07324SDF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       4361 | PA      | $4076.93      | 0.00%             | 2036-04-25      | Floating      | 4.97%                 | No            | 2                  | On Loan: No      |
| Bear Stearns Mortgage Funding Trust                                              | Bear Stearns Mortgage Funding Trust, Series 2007-AR4, Class 2A1                                                   | CUSIP: 07401YAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       8405 | PA      | $8058.31      | 0.00%             | 2037-06-25      | Floating      | 4.64%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Notes                                                                                               | CUSIP: 91282CEB3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      69000 | PA      | $64663.24     | 0.01%             | 2029-02-28      | Fixed         | 1.88%                 | 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      | $29918.75     | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| YPF SA                                                                           | YPF SA                                                                                                            | CUSIP: 984245AX8<br>LEI: 5493003N7447U18U5U53 | Long             | DBT              | NUSS              | AR        |      48000 | PA      | $50280.00     | 0.01%             | 2031-01-17      | Fixed         | 9.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QFZC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     287030 | PA      | $269558.54    | 0.03%             | 2035-11-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3133BMN27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24290 | PA      | $23980.25     | 0.00%             | 2052-09-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31418DTP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     520511 | PA      | $391716.18    | 0.04%             | 2050-10-01      | Fixed         | 1.50%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | USCPI                                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DO               |  | GB        |    2271000 | PA      | $-17555.29    | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Yale Mortgage Loan Trust                                                         | Yale Mortgage Loan Trust, Series 2007-1, Class A                                                                  | CUSIP: 984582AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      72689 | PA      | $22522.43     | 0.00%             | 2037-06-25      | Floating      | 4.83%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3133B2ME6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     261413 | PA      | $210731.25    | 0.02%             | 2052-01-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138EJCD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        561 | PA      | $559.20       | 0.00%             | 2026-06-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Elevance Health, Inc.                                                            | Elevance Health, Inc.                                                                                             | CUSIP: 036752BE2<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |      56000 | PA      | $54266.99     | 0.01%             | 2055-02-15      | Fixed         | 5.70%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138YJGR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3007 | PA      | $2984.14      | 0.00%             | 2031-08-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Cheniere Energy Partners LP                                                      | Cheniere Energy Partners LP                                                                                       | CUSIP: 16411QAS0<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |     748000 | PA      | $768173.87    | 0.09%             | 2034-08-15      | Fixed         | 5.75%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | IRS                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    1762000 | PA      | $107542.37    | 0.01%             |  |  |  | No            | 2                  | On Loan: No      |
| Cheniere Corpus Christi Holdings LLC                                             | Cheniere Corpus Christi Holdings LLC                                                                              | CUSIP: 16412XAL9<br>LEI: 549300I7CIEWU1BBLQ53 | Long             | DBT              | CORP              | US        |    1293000 | PA      | $1052353.42   | 0.12%             | 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        |       3350 | PA      | $3223.39      | 0.00%             | 2032-02-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp.        | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 01F060675<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -7537000 | PA      | $-7658517.85  | -0.86%            | 2055-07-25      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DVL60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2089732 | PA      | $1681508.63   | 0.19%             | 2052-01-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138EEHB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1561 | PA      | $1465.39      | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Pfizer Investment Enterprises Pte. Ltd.                                          | Pfizer Investment Enterprises Pte. Ltd.                                                                           | CUSIP: 716973AE2<br>LEI: 5493000FQO8XF9C0RT95 | Long             | DBT              | CORP              | SG        |      47000 | PA      | $46858.70     | 0.01%             | 2033-05-19      | Fixed         | 4.75%                 | No            | 2                  | On Loan: No      |
| Homes Trust                                                                      | Homes Trust, Series 2024-NQM2, Class A1                                                                           | CUSIP: 43761CAA0<br>LEI: 254900MQRASV1D1NGZ28 | Long             | ABS-MBS          | CORP              | US        |     601022 | PA      | $603762.44    | 0.07%             | 2069-10-25      | Variable      | 5.72%                 | 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      | $1754.78      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QM4G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     857146 | PA      | $721785.43    | 0.08%             | 2052-01-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| LGI Homes, Inc.                                                                  | LGI Homes, Inc.                                                                                                   | CUSIP: 50187TAK2<br>LEI: 549300W02B4WNV8CV109 | Long             | DBT              | CORP              | US        |      96000 | PA      | $91368.00     | 0.01%             | 2032-11-15      | Fixed         | 7.00%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Notes                                                                                               | CUSIP: 91282CHM6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3678000 | PA      | $3697359.78   | 0.41%             | 2026-07-15      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3133KRB86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     549294 | PA      | $554033.38    | 0.06%             | 2053-05-01      | Fixed         | 5.50%                 | 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        |     128228 | PA      | $125793.05    | 0.01%             | 2036-04-16      | Floating      | 4.78%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | USCPI                                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DO               |  | GB        |    1420500 | PA      | $1893.93      | 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      | $43506.58     | 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      | $1813.18      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Agilent Technologies, Inc.                                                       | Agilent Technologies, Inc.                                                                                        | CUSIP: 00846UAQ4<br>LEI: QUIX8Y7A2WP0XRMW7G29 | Long             | DBT              | CORP              | US        |      44000 | PA      | $43982.42     | 0.00%             | 2027-09-09      | Fixed         | 4.20%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Federal National Mortgage Association                                                                             | CUSIP: 3140FXB27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      53158 | PA      | $54772.25     | 0.01%             | 2039-07-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WKK95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28290 | PA      | $27170.06     | 0.00%             | 2032-03-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Store Capital LLC                                                                | Store Capital LLC                                                                                                 | CUSIP: 862121AB6<br>LEI: 254900Z9PIEFQ6AYXK50 | Long             | DBT              | CORP              | US        |     180000 | PA      | $177013.45    | 0.02%             | 2029-03-15      | Fixed         | 4.62%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3133A7KE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      88463 | PA      | $74571.56     | 0.01%             | 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        |       1166 | PA      | $1129.68      | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| General Motors Financial Co., Inc.                                               | General Motors Financial Co., Inc.                                                                                | CUSIP: 37045XEP7<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |     232000 | PA      | $238781.16    | 0.03%             | 2034-01-07      | Fixed         | 6.10%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138AUPE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5572 | PA      | $5531.35      | 0.00%             | 2041-10-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| FirstEnergy Corp.                                                                | FirstEnergy Corp., Series C                                                                                       | CUSIP: 337932AM9<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |    1425000 | PA      | $965765.09    | 0.11%             | 2050-03-01      | Fixed         | 3.40%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3133BM7G4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      74393 | PA      | $73327.55     | 0.01%             | 2052-10-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| NRG Energy, Inc.                                                                 | NRG Energy, Inc.                                                                                                  | CUSIP: 629377CT7<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    1372000 | PA      | $1506037.54   | 0.17%             | 2033-03-15      | Fixed         | 7.00%                 | No            | 2                  | On Loan: No      |
| Energy Transfer LP                                                               | Energy Transfer LP                                                                                                | CUSIP: 292480AL4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     170000 | PA      | $172403.01    | 0.02%             | 2028-05-15      | Fixed         | 4.95%                 | 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        |      13625 | PA      | $12806.00     | 0.00%             | 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        |      58399 | PA      | $55376.28     | 0.01%             | 2032-03-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140HHV77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      83918 | PA      | $79227.00     | 0.01%             | 2048-08-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WFZG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6512 | PA      | $6288.71      | 0.00%             | 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        |    1119216 | PA      | $888100.22    | 0.10%             | 2051-08-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Bear Stearns Asset-Backed Securities I Trust                                     | Bear Stearns Asset-Backed Securities I Trust, Series 2007-HE2, Class 23A                                          | CUSIP: 07389YAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      10863 | PA      | $10281.90     | 0.00%             | 2037-03-25      | Floating      | 4.71%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140J55S4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39441 | PA      | $38750.70     | 0.00%             | 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        |       8214 | PA      | $7710.63      | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Ohio Power Co.                                                                   | Ohio Power Co., Series P                                                                                          | CUSIP: 677415CS8<br>LEI: 06ZODLC132CY1O2Y7D77 | Long             | DBT              | CORP              | US        |     130000 | PA      | $119662.44    | 0.01%             | 2030-04-01      | Fixed         | 2.60%                 | No            | 2                  | On Loan: No      |
| BHMS                                                                             | BHMS, Series 2018-ATLS, Class A                                                                                   | CUSIP: 05549GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     140000 | PA      | $139926.84    | 0.02%             | 2035-07-15      | Floating      | 5.86%                 | No            | 2                  | On Loan: No      |
| Synchrony Financial                                                              | Synchrony Financial                                                                                               | CUSIP: 87165BAR4<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |     797000 | PA      | $691509.22    | 0.08%             | 2031-10-28      | Fixed         | 2.88%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XDQE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     133216 | PA      | $107390.80    | 0.01%             | 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        |      65362 | PA      | $63609.02     | 0.01%             | 2047-11-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31418ES50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4462518 | PA      | $4469102.16   | 0.50%             | 2053-06-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140X83C9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      81890 | PA      | $76856.85     | 0.01%             | 2045-02-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | CDSCMBX                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | DE        |       8000 | PA      | $-565.08      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                           | Velocity Commercial Capital Loan Trust, Series 2025-1, Class M3                                                   | CUSIP: 922955AK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     105864 | PA      | $106696.70    | 0.01%             | 2055-02-25      | Variable      | 7.33%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association, Series 2021-58, Class IY                                                | CUSIP: 38382RHG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1155048 | PA      | $192639.60    | 0.02%             | 2051-02-20      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Merrill Lynch Alternative Note Asset Trust                                       | Merrill Lynch Alternative Note Asset Trust, Series 2007-OAR2, Class A2                                            | CUSIP: 59024BAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      75969 | PA      | $59585.48     | 0.01%             | 2037-04-25      | Floating      | 4.85%                 | No            | 2                  | On Loan: No      |
| VICI Properties LP                                                               | VICI Properties LP                                                                                                | CUSIP: 92564RAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1360000 | PA      | $1351707.69   | 0.15%             | 2026-12-01      | Fixed         | 4.25%                 | No            | 2                  | On Loan: No      |
| Expand Energy Corp.                                                              | Expand Energy Corp.                                                                                               | CUSIP: 165167DG9<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |     181000 | PA      | $181727.80    | 0.02%             | 2029-02-01      | Fixed         | 5.88%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XFKC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     317457 | PA      | $255912.31    | 0.03%             | 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        |     362359 | PA      | $340303.33    | 0.04%             | 2035-12-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140Q9YZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26592 | PA      | $26509.15     | 0.00%             | 2033-10-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36179V7D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     169444 | PA      | $138111.97    | 0.02%             | 2051-02-20      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| HOMES Trust                                                                      | HOMES Trust, Series 2025-NQM2, Class A1                                                                           | CUSIP: 403966AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     519349 | PA      | $520238.73    | 0.06%             | 2070-02-25      | Variable      | 5.42%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140FNBD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17607 | PA      | $17073.93     | 0.00%             | 2047-10-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XMEK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     581552 | PA      | $607222.69    | 0.07%             | 2053-08-01      | Fixed         | 6.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138EQUB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      94127 | PA      | $95296.00     | 0.01%             | 2043-12-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp.        | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 01F050676<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   12315000 | PA      | $12067470.47  | 1.35%             | 2055-07-25      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Notes                                                                                               | CUSIP: 91282CFZ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6057500 | PA      | $6080688.84   | 0.68%             | 2027-11-30      | Fixed         | 3.88%                 | No            | 2                  | On Loan: No      |
| Morgan Stanley                                                                   | Morgan Stanley                                                                                                    | CUSIP: 61746BEF9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     114000 | PA      | $113018.21    | 0.01%             | 2027-01-20      | Fixed         | 3.62%                 | No            | 2                  | On Loan: No      |
| CWHEQ Revolving Home Equity Loan Trust                                           | CWHEQ Revolving Home Equity Loan Trust, Series 2006-H, Class 1A                                                   | CUSIP: 126686AA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       6515 | PA      | $6374.63      | 0.00%             | 2036-11-15      | Floating      | 4.58%                 | 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      | $-10783.51    | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138ELS87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7389 | PA      | $7745.89      | 0.00%             | 2041-06-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| BAT Capital Corp.                                                                | BAT Capital Corp.                                                                                                 | CUSIP: 054989AC2<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     252000 | PA      | $277546.44    | 0.03%             | 2043-08-02      | Fixed         | 7.08%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31418D7E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     126171 | PA      | $100177.66    | 0.01%             | 2051-12-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | OIS                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  339312732 | PA      | $8057.94      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QFBX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     126246 | PA      | $118971.18    | 0.01%             | 2035-10-01      | 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      | $-2933.54     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| PRPM Trust                                                                       | PRPM Trust, Series 2024-NQM1, Class B1                                                                            | CUSIP: 693977AE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     148000 | PA      | $147439.45    | 0.02%             | 2068-12-25      | Variable      | 7.48%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DSQ62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2626814 | PA      | $2580001.84   | 0.29%             | 2053-11-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36181GFM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16034 | PA      | $14991.74     | 0.00%             | 2043-07-15      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Alternative Loan Trust                                                           | Alternative Loan Trust, Series 2007-3T1, Class 1A1                                                                | CUSIP: 02149VAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       8933 | PA      | $3933.99      | 0.00%             | 2037-04-25      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Paramount Global                                                                 | Paramount Global                                                                                                  | CUSIP: 124857AR4<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |     902000 | PA      | $877970.15    | 0.10%             | 2027-01-15      | Fixed         | 2.90%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XEA38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     258327 | PA      | $208077.08    | 0.02%             | 2051-12-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Bank of America Corp.                                                            | Bank of America Corp.                                                                                             | CUSIP: 06051GKW8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     885000 | PA      | $895197.28    | 0.10%             | 2028-07-22      | Variable      | 4.95%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36241LVF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11472 | PA      | $11621.38     | 0.00%             | 2040-12-15      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3133L8FQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     171167 | PA      | $153065.50    | 0.02%             | 2036-05-01      | Fixed         | 1.50%                 | 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        |      10711 | PA      | $10370.11     | 0.00%             | 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        |     233518 | PA      | $227939.43    | 0.03%             | 2047-07-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| STL Holding Co. LLC                                                              | STL Holding Co. LLC                                                                                               | CUSIP: 861036AB7<br>LEI: 984500BC2I63E7F48656 | Long             | DBT              | CORP              | US        |      80000 | PA      | $83578.16     | 0.01%             | 2029-02-15      | Fixed         | 8.75%                 | No            | 2                  | On Loan: No      |
| United Mexican States                                                            | United Mexican States                                                                                             | CUSIP: 91087BAG5<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    1251000 | PA      | $914793.75    | 0.10%             | 2050-01-31      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | OIS                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  887865962 | PA      | $7750.04      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XCAT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     151639 | PA      | $139394.18    | 0.02%             | 2036-07-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| EQT Corp.                                                                        | EQT Corp.                                                                                                         | CUSIP: 26884LAW9<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |    1287000 | PA      | $1271355.77   | 0.14%             | 2029-01-15      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| PFP Ltd.                                                                         | PFP Ltd., Series 2022-9, Class A                                                                                  | CUSIP: 69291QAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |      95073 | PA      | $95200.06     | 0.01%             | 2035-08-19      | Floating      | 6.59%                 | No            | 2                  | On Loan: No      |
| INCREF LLC                                                                       | INCREF LLC, Series 2025-FL1, Class A                                                                              | CUSIP: 45339NAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     100000 | PA      | $100196.82    | 0.01%             | 2042-10-19      | Floating      | 6.05%                 | No            | 2                  | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                                  | CHL Mortgage Pass-Through Trust, Series 2006-OA5, Class 3A1                                                       | CUSIP: 126694N46<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      12003 | PA      | $11545.50     | 0.00%             | 2046-04-25      | Floating      | 4.83%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138X55B9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17322 | PA      | $16790.88     | 0.00%             | 2043-10-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Bletchley Park Funding plc                                                       | Bletchley Park Funding plc, Series 2025-1, Class D                                                                | CUSIP: N/A<br>LEI: 635400OJVL3HJJTKNB05       | Long             | ABS-MBS          | CORP              | GB        |     100000 | PA      | $137312.36    | 0.02%             | 2070-01-27      | Floating      | 6.10%                 | No            | 2                  | On Loan: No      |
| Citigroup, Inc.                                                                  | Citigroup, Inc.                                                                                                   | CUSIP: 17327CAW3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    1035000 | PA      | $1042433.31   | 0.12%             | 2029-03-04      | Variable      | 4.79%                 | No            | 2                  | On Loan: No      |
| Permian Resources Operating LLC                                                  | Permian Resources Operating LLC                                                                                   | CUSIP: 15138AAA8<br>LEI: 5493004CTVUMQLRPOE23 | Long             | DBT              | CORP              | US        |       8000 | PA      | $7986.41      | 0.00%             | 2026-01-15      | Fixed         | 5.38%                 | 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        |       7787 | PA      | $7684.49      | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | OIS                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        | 2836038248 | PA      | $-45096.89    | -0.01%            |  |  |  | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140E0V36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1319 | PA      | $1278.74      | 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        |      78000 | PA      | $68060.93     | 0.01%             | 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        |     209010 | PA      | $191874.32    | 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        |     453223 | PA      | $341364.24    | 0.04%             | 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        |      10000 | PA      | $9948.11      | 0.00%             | 2048-01-10      | Fixed         | 3.87%                 | 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        |       9599 | PA      | $9609.79      | 0.00%             | 2039-02-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Notes                                                                                               | CUSIP: 91282CCY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4169300 | PA      | $3857416.81   | 0.43%             | 2028-09-30      | Fixed         | 1.25%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31418CZN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13828 | PA      | $13817.99     | 0.00%             | 2048-08-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Synchrony Financial                                                              | Synchrony Financial                                                                                               | CUSIP: 87165BAV5<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |    2002000 | PA      | $2057012.78   | 0.23%             | 2030-08-02      | Variable      | 5.93%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140H3H82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17189 | PA      | $16932.29     | 0.00%             | 2032-11-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3133KQWT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     456128 | PA      | $460063.83    | 0.05%             | 2053-03-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| MASTR Resecuritization Trust                                                     | MASTR Resecuritization Trust, Series 2008-3, Class A1                                                             | CUSIP: 57643EAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      13415 | PA      | $4109.94      | 0.00%             | 2037-08-25      | Variable      | 4.26%                 | 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      | $-6693.08     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| India Clean Energy Holdings                                                      | India Clean Energy Holdings                                                                                       | CUSIP: N/A<br>LEI: 254900XQFJ9593DCY022       | Long             | DBT              | CORP              | MU        |     700000 | PA      | $675150.00    | 0.08%             | 2027-04-18      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QAAJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22841 | PA      | $21618.19     | 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        |     967081 | PA      | $29010.49     | 0.00%             | 2052-03-15      | Variable      | 1.18%                 | 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        |     172851 | PA      | $172851.26    | 0.02%             | 2031-04-17      | Floating      | 5.51%                 | No            | 2                  | On Loan: No      |
| MF1 LLC                                                                          | MF1 LLC, Series 2025-FL19, Class A                                                                                | CUSIP: 55287KAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     169000 | PA      | $169457.47    | 0.02%             | 2042-05-18      | Floating      | 5.80%                 | No            | 2                  | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                                                 | IndyMac INDX Mortgage Loan Trust, Series 2007-AR19, Class 3A1                                                     | CUSIP: 45669NAT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      62162 | PA      | $40426.91     | 0.00%             | 2037-09-25      | Variable      | 4.01%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 3622A2AE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     105037 | PA      | $102805.96    | 0.01%             | 2042-02-15      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QFNP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     385191 | PA      | $327465.25    | 0.04%             | 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        |     347000 | PA      | $336590.00    | 0.04%             | 2028-03-17      | Fixed         | 3.88%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3133KYWH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     344471 | PA      | $293637.98    | 0.03%             | 2042-03-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3133KMVG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     163744 | PA      | $143364.54    | 0.02%             | 2051-10-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| GLP Capital LP                                                                   | GLP Capital LP                                                                                                    | CUSIP: 361841AR0<br>LEI: 2549005PXW31DRW8EC44 | Long             | DBT              | CORP              | US        |    1110000 | PA      | $976927.10    | 0.11%             | 2032-01-15      | Fixed         | 3.25%                 | No            | 2                  | On Loan: No      |
| Vistra Operations Co. LLC                                                        | Vistra Operations Co. LLC                                                                                         | CUSIP: 92840VAQ5<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |      46000 | PA      | $50511.91     | 0.01%             | 2033-10-15      | Fixed         | 6.95%                 | 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      | $15418.31     | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| EURO Parfums Fze                                                                 | EURO Parfums Fze, 1st Lien Term Loan                                                                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |      51160 | PA      | $52249.71     | 0.01%             | 2030-01-01      | Variable      | 10.44%                | No            | 3                  | On Loan: No      |
| India Green Power Holdings                                                       | India Green Power Holdings                                                                                        | CUSIP: N/A<br>LEI: 254900I7N0GT4VVL6V29       | Long             | DBT              | CORP              | MU        |     346640 | PA      | $335807.50    | 0.04%             | 2027-02-22      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Vista Energy Argentina SAU                                                       | Vista Energy Argentina SAU                                                                                        | CUSIP: 92841RAB6<br>LEI: 549300FE4UJNCG1DB123 | Long             | DBT              | CORP              | AR        |     327000 | PA      | $329370.75    | 0.04%             | 2033-06-10      | Fixed         | 8.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140HHWM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12431 | PA      | $11764.66     | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Pacific Gas & Electric Co.                                                       | Pacific Gas & Electric Co.                                                                                        | CUSIP: 694308HY6<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     166000 | PA      | $117112.55    | 0.01%             | 2047-12-01      | Fixed         | 3.95%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31418D2L5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28756 | PA      | $22874.19     | 0.00%             | 2051-07-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DMRN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     240908 | PA      | $222377.77    | 0.02%             | 2048-06-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DMQ73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13156 | PA      | $12679.65     | 0.00%             | 2045-01-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| SELF Commercial Mortgage Trust                                                   | SELF Commercial Mortgage Trust, Series 2024-STRG, Class E                                                         | CUSIP: 81631WAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     151000 | PA      | $150592.95    | 0.02%             | 2034-11-15      | Floating      | 8.50%                 | No            | 2                  | On Loan: No      |
| Morgan Stanley                                                                   | Morgan Stanley                                                                                                    | CUSIP: 61747YFE0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    1343000 | PA      | $1366164.31   | 0.15%             | 2034-04-21      | Variable      | 5.25%                 | No            | 2                  | On Loan: No      |
| HCA, Inc.                                                                        | HCA, Inc.                                                                                                         | CUSIP: 404121AK1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     355000 | PA      | $358072.28    | 0.04%             | 2034-09-15      | Fixed         | 5.45%                 | No            | 2                  | On Loan: No      |
| CVS Health Corp.                                                                 | CVS Health Corp.                                                                                                  | CUSIP: 126650CN8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     445000 | PA      | $394098.35    | 0.04%             | 2045-07-20      | Fixed         | 5.12%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp.        | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 01F022675<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -1660600 | PA      | $-1376588.63  | -0.15%            | 2055-07-25      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WFAF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1917 | PA      | $1853.00      | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Georgia Power Co.                                                                | Georgia Power Co.                                                                                                 | CUSIP: 373334KQ3<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |     249000 | PA      | $248951.61    | 0.03%             | 2032-05-15      | Fixed         | 4.70%                 | 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        |       4485 | PA      | $4423.76      | 0.00%             | 2027-09-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QKWM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30832 | PA      | $29619.85     | 0.00%             | 2036-05-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                           | Velocity Commercial Capital Loan Trust, Series 2017-2, Class M4                                                   | CUSIP: 92258VAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      26115 | PA      | $23514.81     | 0.00%             | 2047-11-25      | Variable      | 5.00%                 | No            | 2                  | On Loan: No      |
| Alternative Loan Trust                                                           | Alternative Loan Trust, Series 2007-OA3, Class 1A1                                                                | CUSIP: 02150TAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      11263 | PA      | $10337.30     | 0.00%             | 2047-04-25      | Floating      | 4.71%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31417AYD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      64848 | PA      | $62558.43     | 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        |       7457 | PA      | $7297.91      | 0.00%             | 2031-03-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 3132KE4Z5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      22414 | PA      | $21962.03     | 0.00%             | 2030-06-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Wells Fargo & Co.                                                                | Wells Fargo & Co.                                                                                                 | CUSIP: 95000U3P6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     837000 | PA      | $858626.00    | 0.10%             | 2031-01-24      | Variable      | 5.24%                 | 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        |      11118 | PA      | $10877.54     | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| BPR Commercial Mortgage Trust                                                    | BPR Commercial Mortgage Trust, Series 2024-PARK, Class A                                                          | CUSIP: 05593UAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $101285.12    | 0.01%             | 2039-11-05      | Variable      | 5.39%                 | No            | 2                  | On Loan: No      |
| Invitation Homes, Inc.                                                           | Invitation Homes, Inc.                                                                                            | CUSIP: 46187W107<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       6147 | NS      | $201621.60    | 0.02%             |  |  |  | No            | 1                  | On Loan: No      |
| OneMain Finance Corp.                                                            | OneMain Finance Corp.                                                                                             | CUSIP: 682691AG5<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |       5000 | PA      | $5202.37      | 0.00%             | 2031-11-15      | Fixed         | 7.12%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132AACD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      77664 | PA      | $75984.11     | 0.01%             | 2034-01-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Citigroup Mortgage Loan Trust                                                    | Citigroup Mortgage Loan Trust, Series 2007-AHL2, Class A3C                                                        | CUSIP: 17312TAK9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      65336 | PA      | $42672.65     | 0.00%             | 2037-05-25      | Floating      | 4.70%                 | No            | 2                  | On Loan: No      |
| Fortuna Consumer Loan Abs DAC                                                    | Fortuna Consumer Loan ABS DAC, Series 2024-2, Class E                                                             | CUSIP: N/A<br>LEI: 635400WJJIABFKEPEL72       | Long             | ABS-O            | CORP              | IE        |     100000 | PA      | $119204.42    | 0.01%             | 2034-10-18      | Floating      | 6.01%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140X83E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     218751 | PA      | $207298.05    | 0.02%             | 2049-01-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Newday Funding Master Issuer plc-                                                | Newday Funding Master Issuer plc, Series 2024-2X, Class D                                                         | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | GB        |     100000 | PA      | $138476.36    | 0.02%             | 2032-07-15      | Floating      | 6.87%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31418CV35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19307 | PA      | $18274.64     | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| LCM 36 Ltd.                                                                      | LCM 36 Ltd., Series 36A, Class A1R                                                                                | CUSIP: 50190LAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $250139.75    | 0.03%             | 2034-01-15      | Floating      | 5.33%                 | No            | 2                  | On Loan: No      |
| American Home Mortgage Assets Trust                                              | American Home Mortgage Assets Trust, Series 2006-4, Class 1A12                                                    | CUSIP: 02660LAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      45631 | PA      | $22986.63     | 0.00%             | 2046-10-25      | Floating      | 4.64%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | SOP                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |     447860 | PA      | $14901.75     | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Energy Transfer LP                                                               | Energy Transfer LP                                                                                                | CUSIP: 29273VAS9<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      60000 | PA      | $63028.20     | 0.01%             | 2028-12-01      | Fixed         | 6.10%                 | No            | 2                  | On Loan: No      |
| TTAN                                                                             | TTAN MHC, Series 2021-MHC, Class E                                                                                | CUSIP: 87303TAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     442201 | PA      | $442476.96    | 0.05%             | 2038-03-15      | Floating      | 6.83%                 | No            | 2                  | On Loan: No      |
| Sabine Pass Liquefaction LLC                                                     | Sabine Pass Liquefaction LLC                                                                                      | CUSIP: 785592AS5<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |     419000 | PA      | $421515.23    | 0.05%             | 2027-03-15      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140H6PA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      97481 | PA      | $89359.24     | 0.01%             | 2048-03-01      | Fixed         | 3.50%                 | 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        |       2764 | PA      | $2710.65      | 0.00%             | 2030-01-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36179SQW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     150984 | PA      | $140043.32    | 0.02%             | 2046-11-20      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Bonds                                                                                               | CUSIP: 912810UK2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7725000 | PA      | $7681546.88   | 0.86%             | 2055-05-15      | Fixed         | 4.75%                 | 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        |      10089 | PA      | $9739.54      | 0.00%             | 2044-07-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Metropolitan Transportation Authority                                            | Metropolitan Transportation Authority, Series 2010A                                                               | CUSIP: 59259YBY4<br>LEI: 5493000TKYODLXADQD60 | Long             | DBT              | MUN               | US        |     195000 | PA      | $209855.75    | 0.02%             | 2039-11-15      | Fixed         | 6.67%                 | 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      | $-3272.61     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DMRT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     298146 | PA      | $269546.46    | 0.03%             | 2044-06-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| ACRA Trust                                                                       | ACRA Trust, Series 2024-NQM1, Class A1                                                                            | CUSIP: 00112EAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     191028 | PA      | $191142.66    | 0.02%             | 2064-10-25      | Variable      | 5.61%                 | 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      | $543.52       | 0.00%             |  |  |  | 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        |    1000000 | PA      | $12171.49     | 0.00%             | 2049-08-15      | Variable      | 1.38%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QGRN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      93715 | PA      | $79056.19     | 0.01%             | 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        |     485897 | PA      | $428753.58    | 0.05%             | 2050-08-01      | Fixed         | 3.00%                 | 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        |      16357 | PA      | $15820.03     | 0.00%             | 2030-09-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Broadcom, Inc.                                                                   | Broadcom, Inc.                                                                                                    | CUSIP: 11135FBL4<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     794000 | PA      | $709274.82    | 0.08%             | 2034-04-15      | Fixed         | 3.47%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DM2Q7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     105228 | PA      | $84670.43     | 0.01%             | 2051-12-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138EGVA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2775 | PA      | $2809.34      | 0.00%             | 2041-08-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36202FKM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1202 | PA      | $1149.12      | 0.00%             | 2040-09-20      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Household Capital RMBS                                                           | Household Capital RMBS, Series 2025-1, Class A                                                                    | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | AU        |     170000 | PA      | $111524.11    | 0.01%             | 2087-07-21      | Floating      | 5.74%                 | 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      | $-3056.59     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| General Motors Financial Co., Inc.                                               | General Motors Financial Co., Inc.                                                                                | CUSIP: 37045XEF9<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    1085000 | PA      | $1089924.15   | 0.12%             | 2026-04-06      | Fixed         | 5.40%                 | No            | 2                  | On Loan: No      |
| Cloud Software Group, Inc.                                                       | Cloud Software Group, Inc.                                                                                        | CUSIP: 18912UAA0<br>LEI: 04EEB871XLHVNY4RZJ65 | Long             | DBT              | CORP              | US        |      84000 | PA      | $87068.13     | 0.01%             | 2029-09-30      | Fixed         | 9.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36196FZH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25895 | PA      | $23778.52     | 0.00%             | 2046-10-20      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Deutsche Alt-A Securities Mortgage Loan Trust                                    | Deutsche Alt-A Securities Mortgage Loan Trust, Series 2007-OA4, Class A2A                                         | CUSIP: 25151XAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      81351 | PA      | $74279.97     | 0.01%             | 2047-08-25      | Floating      | 4.77%                 | No            | 2                  | On Loan: No      |
| Taurus UK DAC                                                                    | Taurus UK DAC, Series 2025-UK2X, Class B                                                                          | CUSIP: N/A<br>LEI: 635400ZUSGYHROR9ZX12       | Long             | ABS-MBS          | CORP              | IE        |      98820 | PA      | $135349.84    | 0.02%             | 2035-02-18      | Floating      | 6.24%                 | No            | 2                  | On Loan: No      |
| Lumen Technologies, Inc.                                                         | Lumen Technologies, Inc.                                                                                          | CUSIP: 550241103<br>LEI: 8M3THTGWLTYZVE6BBY25 | Long             | EC               | CORP              | US        |      26114 | NS      | $114379.32    | 0.01%             |  |  |  | No            | 1                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140Q8D36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     144853 | PA      | $141013.36    | 0.02%             | 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        |       6415 | PA      | $6022.20      | 0.00%             | 2044-01-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Citigroup, Inc.                                                                  | Citigroup, Inc.                                                                                                   | CUSIP: 17308CC53<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    1417000 | PA      | $1325687.58   | 0.15%             | 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        |      35204 | PA      | $34119.29     | 0.00%             | 2048-09-20      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132CWS96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      66904 | PA      | $61624.33     | 0.01%             | 2036-03-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Targa Resources Corp.                                                            | Targa Resources Corp.                                                                                             | CUSIP: 87612GAE1<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |     822000 | PA      | $864459.29    | 0.10%             | 2029-03-01      | Fixed         | 6.15%                 | No            | 2                  | On Loan: No      |
| Florida Power & Light Co.                                                        | Florida Power & Light Co.                                                                                         | CUSIP: 341081FX0<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |     178000 | PA      | $120272.08    | 0.01%             | 2049-10-01      | Fixed         | 3.15%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140X9MV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13650 | PA      | $12784.86     | 0.00%             | 2050-04-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XLEP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     133712 | PA      | $137146.34    | 0.02%             | 2053-05-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QEJX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     675875 | PA      | $569903.49    | 0.06%             | 2050-08-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QLSP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      60256 | PA      | $57044.95     | 0.01%             | 2051-08-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Bank of America Corp.                                                            | Bank of America Corp.                                                                                             | CUSIP: 06051GJM2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     383000 | PA      | $239762.64    | 0.03%             | 2051-10-24      | Variable      | 2.83%                 | No            | 2                  | On Loan: No      |
| Solventum Corp.                                                                  | Solventum Corp.                                                                                                   | CUSIP: 83444MAR2<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |     313000 | PA      | $322122.62    | 0.04%             | 2034-03-23      | Fixed         | 5.60%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36297FRM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4420 | PA      | $4482.93      | 0.00%             | 2039-07-15      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | SOP                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    3697000 | PA      | $131655.14    | 0.01%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | CDS                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     870000 | PA      | $-4028.77     | -0.00%            |  |  |  | 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        |       1893 | PA      | $1829.96      | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | 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        |       8421 | PA      | $8141.23      | 0.00%             | 2030-09-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Cemex SAB de CV                                                                  | Cemex SAB de CV                                                                                                   | CUSIP: 151290CC5<br>LEI: 549300RIG2CXWN6IV731 | Long             | DBT              | CORP              | MX        |     327000 | PA      | $330760.50    | 0.04%             | 2030-06-10      | Variable      | 7.20%                 | No            | 2                  | On Loan: No      |
| Glencore Funding LLC                                                             | Glencore Funding LLC                                                                                              | CUSIP: 378272BE7<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |     338000 | PA      | $304737.65    | 0.03%             | 2031-04-27      | Fixed         | 2.85%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XJQU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      68601 | PA      | $60462.12     | 0.01%             | 2052-06-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Banc of America Funding Trust                                                    | Banc of America Funding Trust, Series 2016-R2, Class 1A1                                                          | CUSIP: 05890RAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      16210 | PA      | $16193.71     | 0.00%             | 2033-05-01      | Variable      | 4.70%                 | No            | 2                  | On Loan: No      |
| Morgan Stanley                                                                   | Morgan Stanley                                                                                                    | CUSIP: 6174468L6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      21000 | PA      | $19364.44     | 0.00%             | 2031-01-22      | Variable      | 2.70%                 | No            | 2                  | On Loan: No      |
| Alternative Loan Trust                                                           | Alternative Loan Trust, Series 2005-22T1, Class A1                                                                | CUSIP: 12667GGN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      88533 | PA      | $78015.98     | 0.01%             | 2035-06-25      | Floating      | 4.78%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WJC71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25646 | PA      | $24668.37     | 0.00%             | 2031-10-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Symphony CLO 46 Ltd.                                                             | Symphony CLO 46 Ltd., Series 2024-46A, Class A2                                                                   | CUSIP: 87170WAC4<br>LEI: 2549003KA6F4T4Q34J34 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $250439.93    | 0.03%             | 2038-01-20      | Floating      | 5.86%                 | 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      | $-8763.45     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140X9ZP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      95813 | PA      | $88077.08     | 0.01%             | 2036-02-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Race Point X CLO Ltd.                                                            | Race Point X CLO Ltd., Series 2016-10A, Class A1R                                                                 | CUSIP: 74983DAN7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      47859 | PA      | $47862.18     | 0.01%             | 2031-07-25      | Floating      | 5.64%                 | 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        |       4378 | PA      | $4176.82      | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Bayview Commercial Asset Trust                                                   | Bayview Commercial Asset Trust, Series 2005-4A, Class M1                                                          | CUSIP: 07324SCT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      13278 | PA      | $12545.25     | 0.00%             | 2036-01-25      | Floating      | 5.11%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Bonds                                                                                               | CUSIP: 912810ST6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1670000 | PA      | $1063907.42   | 0.12%             | 2040-11-15      | Fixed         | 1.38%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XBKH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     132565 | PA      | $122474.14    | 0.01%             | 2036-04-01      | Fixed         | 2.00%                 | 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        |     137469 | PA      | $133856.54    | 0.01%             | 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        |      18196 | PA      | $17145.34     | 0.00%             | 2036-01-25      | Floating      | 4.88%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XFUZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      71758 | PA      | $57760.52     | 0.01%             | 2051-04-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XJVT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     208780 | PA      | $192297.91    | 0.02%             | 2037-04-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | SOP                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |    1604680 | PA      | $102577.33    | 0.01%             |  |  |  | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QNNT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     351503 | PA      | $282828.89    | 0.03%             | 2052-03-01      | 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      | $4394.99      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| BCMSC Trust                                                                      | BCMSC Trust, Series 2000-A, Class A3                                                                              | CUSIP: 09774XBP6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      36957 | PA      | $2668.57      | 0.00%             | 2030-06-15      | Variable      | 7.83%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3133A7UC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      31532 | PA      | $28135.56     | 0.00%             | 2050-07-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| CWABS Revolving Home Equity Loan Trust                                           | CWABS Revolving Home Equity Loan Trust, Series 2004-U, Class 2A                                                   | CUSIP: 126673VE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       4217 | PA      | $4206.13      | 0.00%             | 2034-03-15      | Floating      | 4.70%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | USCPI                                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DO               |  | GB        |    1961000 | PA      | $-11157.47    | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36179WDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1380102 | PA      | $1173403.97   | 0.13%             | 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        |    2692000 | PA      | $2575215.39   | 0.29%             | 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        |      35000 | PA      | $33080.55     | 0.00%             | 2037-03-15      | Floating      | 5.23%                 | 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        |     346654 | PA      | $409189.77    | 0.05%             | 2034-05-22      | Floating      | 4.56%                 | No            | 2                  | On Loan: No      |
| Atrium Hotel Portfolio Trust                                                     | Atrium Hotel Portfolio Trust, Series 2024-ATRM, Class E                                                           | CUSIP: 04963XAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      72000 | PA      | $73800.14     | 0.01%             | 2029-11-10      | Variable      | 9.52%                 | No            | 2                  | On Loan: No      |
| First Franklin Mortgage Loan Trust                                               | First Franklin Mortgage Loan Trust, Series 2004-FFH3, Class M3                                                    | CUSIP: 32027NLT6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      32547 | PA      | $29464.76     | 0.00%             | 2034-10-25      | Floating      | 5.48%                 | No            | 2                  | On Loan: No      |
| Concord Music Royalties LLC                                                      | Concord Music Royalties LLC, Series 2024-1A, Class A                                                              | CUSIP: 20633KAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     100000 | PA      | $100263.36    | 0.01%             | 2074-10-20      | Fixed         | 5.64%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138W5MS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12055 | PA      | $10865.40     | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | 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        |      34908 | PA      | $34167.20     | 0.00%             | 2035-08-10      | Fixed         | 3.31%                 | No            | 2                  | On Loan: No      |
| OHA Credit Partners VII Ltd.                                                     | OHA Credit Partners VII Ltd., Series 2012-7A, Class AR4                                                           | CUSIP: 67102QBK3<br>LEI: 549300LXLBAFTIMXZT54 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $249830.13    | 0.03%             | 2038-02-20      | Floating      | 5.46%                 | No            | 2                  | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                                  | Goldman Sachs Group, Inc. (The)                                                                                   | CUSIP: 38141GYM0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      48000 | PA      | $46476.56     | 0.01%             | 2027-10-21      | Variable      | 1.95%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3133A7UM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3777 | PA      | $3373.34      | 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        |    3777000 | PA      | $3721084.99   | 0.42%             | 2026-12-01      | Fixed         | 3.25%                 | No            | 2                  | On Loan: No      |
| Studio City Co. Ltd.                                                             | Studio City Co. Ltd.                                                                                              | CUSIP: N/A<br>LEI: 984500V5401EFT095A58       | Long             | DBT              | CORP              | VG        |     400000 | PA      | $400754.00    | 0.04%             | 2027-02-15      | Fixed         | 7.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QA4A5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     722962 | PA      | $708376.34    | 0.08%             | 2049-05-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Benchmark Mortgage Trust                                                         | Benchmark Mortgage Trust, Series 2018-B8, Class XA                                                                | CUSIP: 08162UAY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4438420 | PA      | $75395.88     | 0.01%             | 2052-01-15      | Variable      | 0.78%                 | No            | 2                  | On Loan: No      |
| VEGAS                                                                            | VEGAS, Series 2024-GCS, Class D                                                                                   | CUSIP: 92254BAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1450000 | PA      | $1368767.09   | 0.15%             | 2036-07-10      | Variable      | 6.42%                 | No            | 2                  | On Loan: No      |
| Foundry JV Holdco LLC                                                            | Foundry JV Holdco LLC                                                                                             | CUSIP: 350930AK9<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |     210000 | PA      | $219670.46    | 0.02%             | 2039-01-25      | Fixed         | 6.30%                 | No            | 2                  | On Loan: No      |
| AppLovin Corp.                                                                   | AppLovin Corp.                                                                                                    | CUSIP: 03831WAC2<br>LEI: 549300LLVXMUAOL3SQ07 | Long             | DBT              | CORP              | US        |    1574000 | PA      | $1601661.71   | 0.18%             | 2031-12-01      | Fixed         | 5.38%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Notes                                                                                               | CUSIP: 91282CHX2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3708600 | PA      | $3781757.92   | 0.42%             | 2028-08-31      | Fixed         | 4.38%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | IRS                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     895000 | PA      | $54784.70     | 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        |      14310 | PA      | $13914.02     | 0.00%             | 2047-03-15      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DWCH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      70022 | PA      | $55652.80     | 0.01%             | 2051-10-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                                           | Merrill Lynch Mortgage Investors Trust, Series 2006-OPT1, Class M1                                                | CUSIP: 59022VAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      35218 | PA      | $31447.75     | 0.00%             | 2037-08-25      | Floating      | 4.82%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XAY55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     301295 | PA      | $284194.63    | 0.03%             | 2051-01-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Florida Power & Light Co.                                                        | Florida Power & Light Co.                                                                                         | CUSIP: 341081GZ4<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |      31000 | PA      | $31432.15     | 0.00%             | 2065-03-15      | Fixed         | 5.80%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138ERM49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15549 | PA      | $15189.23     | 0.00%             | 2031-09-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| EQT Corp.                                                                        | EQT Corp.                                                                                                         | CUSIP: 26884LBG3<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     489000 | PA      | $497896.85    | 0.06%             | 2027-06-01      | Fixed         | 7.50%                 | No            | 2                  | On Loan: No      |
| Verizon Communications, Inc.                                                     | Verizon Communications, Inc.                                                                                      | CUSIP: 92343VHA5<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     472000 | PA      | $474845.85    | 0.05%             | 2037-07-02      | Fixed         | 5.40%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DMX75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     468751 | PA      | $398584.89    | 0.04%             | 2051-05-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QETF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      84699 | PA      | $81346.69     | 0.01%             | 2035-08-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                                  | Goldman Sachs Group, Inc. (The)                                                                                   | CUSIP: 38141GZU1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    1230000 | PA      | $1231634.01   | 0.14%             | 2028-08-23      | Variable      | 4.48%                 | No            | 2                  | On Loan: No      |
| United Mexican States                                                            | United Mexican States                                                                                             | CUSIP: 91087BAR1<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    1123000 | PA      | $947812.00    | 0.11%             | 2034-02-12      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Bank of America Corp.                                                            | Bank of America Corp.                                                                                             | CUSIP: 06051GKK4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    1506000 | PA      | $1348602.96   | 0.15%             | 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        |     329000 | PA      | $323759.36    | 0.04%             | 2033-04-27      | Variable      | 4.57%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XFGV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     395389 | PA      | $316450.15    | 0.04%             | 2051-12-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| XHR LP                                                                           | XHR LP                                                                                                            | CUSIP: 98372MAC9<br>LEI: 549300M88BPT83ZL2164 | Long             | DBT              | CORP              | US        |      92000 | PA      | $89162.11     | 0.01%             | 2029-06-01      | Fixed         | 4.88%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31418RQM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21690 | PA      | $21959.51     | 0.00%             | 2040-04-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Vistra Operations Co. LLC                                                        | Vistra Operations Co. LLC                                                                                         | CUSIP: 92840VAS1<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    1424000 | PA      | $1478767.04   | 0.17%             | 2034-04-15      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| JPMorgan Chase & Co.                                                             | JPMorgan Chase & Co.                                                                                              | CUSIP: 46647PEC6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      43000 | PA      | $44016.08     | 0.00%             | 2035-01-23      | Variable      | 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      | $-2185.35     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31417F2C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3781 | PA      | $3700.47      | 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        |      70863 | PA      | $70015.82     | 0.01%             | 2026-05-14      | Fixed         | 3.23%                 | No            | 2                  | On Loan: No      |
| UK Logistics DAC                                                                 | UK Logistics DAC, Series 2024-2X, Class D                                                                         | CUSIP: N/A<br>LEI: 635400FRZQXRDV2SLM12       | Long             | ABS-MBS          | CORP              | GB        |      99993 | PA      | $138249.81    | 0.02%             | 2035-02-17      | Floating      | 7.34%                 | 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      | $-84133.34    | -0.01%            |  |  |  | No            | 2                  | On Loan: No      |
| Foundry JV Holdco LLC                                                            | Foundry JV Holdco LLC                                                                                             | CUSIP: 350930AG8<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |     658000 | PA      | $682136.14    | 0.08%             | 2033-01-25      | Fixed         | 5.90%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140JAUJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     135654 | PA      | $135446.77    | 0.02%             | 2049-05-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| DR Horton, Inc.                                                                  | DR Horton, Inc.                                                                                                   | CUSIP: 23331ABS7<br>LEI: 529900ZIUEYVSB8QDD25 | Long             | DBT              | CORP              | US        |     345000 | PA      | $341082.34    | 0.04%             | 2034-10-15      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Conseco Finance Corp.                                                            | Conseco Finance Corp., Series 1999-5, Class A5                                                                    | CUSIP: 3935053P5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      23046 | PA      | $6756.63      | 0.00%             | 2030-03-01      | Variable      | 7.86%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QM4E1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     466302 | PA      | $394484.30    | 0.04%             | 2052-01-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XGWN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5667620 | PA      | $4733935.12   | 0.53%             | 2051-11-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Morgan Stanley                                                                   | Morgan Stanley                                                                                                    | CUSIP: 61748UAE2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     979000 | PA      | $1002195.47   | 0.11%             | 2031-01-15      | Variable      | 5.23%                 | No            | 2                  | On Loan: No      |
| JPMorgan Chase & Co.                                                             | JPMorgan Chase & Co.                                                                                              | CUSIP: 46625H100<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | EC               | CORP              | US        |       2358 | NS      | $683607.78    | 0.08%             |  |  |  | No            | 1                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-4186.29     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Northrop Grumman Corp.                                                           | Northrop Grumman Corp.                                                                                            | CUSIP: 666807BP6<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |     186000 | PA      | $148305.49    | 0.02%             | 2047-10-15      | Fixed         | 4.03%                 | No            | 2                  | On Loan: No      |
| Algoma Steel Group, Inc.                                                         | Algoma Steel Group, Inc.                                                                                          | CUSIP: 015658107<br>LEI: 549300Q5EU337A1XCX27 | Long             | EC               | CORP              | CA        |      15104 | NS      | $104066.56    | 0.01%             |  |  |  | No            | 1                  | On Loan: No      |
| Kaspi.KZ JSC                                                                     | Kaspi.KZ JSC                                                                                                      | CUSIP: N/A<br>LEI: 2549003YU6FARG8OAZ13       | Long             | DBT              | CORP              | KZ        |     408000 | PA      | $410166.48    | 0.05%             | 2030-03-26      | Fixed         | 6.25%                 | No            | 2                  | On Loan: No      |
| Broadcom, Inc.                                                                   | Broadcom, Inc.                                                                                                    | CUSIP: 11135FCG4<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     729000 | PA      | $749645.46    | 0.08%             | 2032-04-15      | Fixed         | 5.20%                 | No            | 2                  | On Loan: No      |
| Credit-Based Asset Servicing & Securitization LLC                                | Credit-Based Asset Servicing & Securitization LLC, Series 2006-SL1, Class A2                                      | CUSIP: 14983AAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      73216 | PA      | $2374.62      | 0.00%             | 2036-09-25      | Variable      | 6.06%                 | No            | 2                  | On Loan: No      |
| SELF Commercial Mortgage Trust                                                   | SELF Commercial Mortgage Trust, Series 2024-STRG, Class F                                                         | CUSIP: 81631WAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     125000 | PA      | $124296.75    | 0.01%             | 2034-11-15      | Floating      | 9.50%                 | 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      | $5680.16      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| CSMC Trust                                                                       | CSMC, Series 2022-ATH3, Class B1                                                                                  | CUSIP: 12664AAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     215000 | PA      | $215227.43    | 0.02%             | 2067-08-25      | Variable      | 7.10%                 | No            | 2                  | On Loan: No      |
| Ownit Mortgage Loan Trust                                                        | Ownit Mortgage Loan Trust, Series 2006-2, Class A2C                                                               | CUSIP: 69121PDF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      53614 | PA      | $49074.93     | 0.01%             | 2037-01-25      | Variable      | 6.50%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Bonds                                                                                               | CUSIP: 912810SH2<br>LEI: 254900HROIFWPRGM1V77 | Short            | DBT              | UST               | US        |    -803000 | PA      | $-576434.80   | -0.06%            | 2049-05-15      | Fixed         | 2.88%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QQWF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     217283 | PA      | $222323.39    | 0.02%             | 2052-11-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | USD/CAD One-touch barrier option; Barrier price USD 1.33500                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | GB        |      18000 | PA      | $1909.95      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Fremont Home Loan Trust                                                          | Fremont Home Loan Trust, Series 2006-3, Class 1A1                                                                 | CUSIP: 35729MAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      59112 | PA      | $43262.02     | 0.00%             | 2037-02-25      | Floating      | 4.71%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Bonds                                                                                               | CUSIP: 912810TV0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3765900 | PA      | $3731771.53   | 0.42%             | 2053-11-15      | Fixed         | 4.75%                 | No            | 2                  | On Loan: No      |
| BankAmerica Manufactured Housing Contract Trust                                  | BankAmerica Manufactured Housing Contract Trust, Series 1998-2, Class B1                                          | CUSIP: 06606TAK7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     300000 | PA      | $28457.79     | 0.00%             | 2025-12-10      | Variable      | 7.19%                 | No            | 2                  | On Loan: No      |
| Georgia Power Co.                                                                | Georgia Power Co.                                                                                                 | CUSIP: 373334LA7<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |     140000 | PA      | $143037.32    | 0.02%             | 2031-03-15      | Fixed         | 4.85%                 | No            | 2                  | On Loan: No      |
| JPMorgan Chase & Co.                                                             | JPMorgan Chase & Co.                                                                                              | CUSIP: 46647PBU9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     340000 | PA      | $294603.07    | 0.03%             | 2031-11-19      | Variable      | 1.76%                 | No            | 2                  | On Loan: No      |
| EFMT                                                                             | EFMT, Series 2025-INV2, Class A1                                                                                  | CUSIP: 281914AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     307927 | PA      | $308334.80    | 0.03%             | 2070-05-26      | Variable      | 5.39%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WFEW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4734 | PA      | $4575.58      | 0.00%             | 2030-08-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 3128M96X5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      40786 | PA      | $39268.00     | 0.00%             | 2044-08-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| BlueMountain Fuji US CLO II Ltd.                                                 | BlueMountain Fuji US CLO II Ltd., Series 2017-2A, Class A1AR                                                      | CUSIP: 09629EAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      70310 | PA      | $70429.97     | 0.01%             | 2030-10-20      | Floating      | 5.53%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DWEC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      67527 | PA      | $64635.09     | 0.01%             | 2052-07-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138EPJ54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9183 | PA      | $8992.45      | 0.00%             | 2030-03-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140J5GJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29071 | PA      | $27255.74     | 0.00%             | 2045-02-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Oakwood Mortgage Investors, Inc.                                                 | Oakwood Mortgage Investors, Inc., Series 2001-D, Class A2                                                         | CUSIP: 67087TCU3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      12282 | PA      | $4289.18      | 0.00%             | 2019-01-15      | Variable      | 5.26%                 | No            | 2                  | On Loan: No      |
| Transocean, Inc.                                                                 | Transocean, Inc.                                                                                                  | CUSIP: 893830BY4<br>LEI: DOL4HJ22ADYSIWES4H94 | Long             | DBT              | CORP              | KY        |      86000 | PA      | $79510.62     | 0.01%             | 2029-05-15      | Fixed         | 8.25%                 | No            | 2                  | On Loan: No      |
| Duke Energy Florida LLC                                                          | Duke Energy Florida LLC                                                                                           | CUSIP: 26444HAL5<br>LEI: 7MOHLM3DKE63RX2ZCN83 | Long             | DBT              | CORP              | US        |      70000 | PA      | $44208.72     | 0.00%             | 2051-12-15      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Pacific Gas & Electric Co.                                                       | Pacific Gas & Electric Co.                                                                                        | CUSIP: 694308HA8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      59000 | PA      | $42059.91     | 0.00%             | 2042-08-15      | Fixed         | 3.75%                 | No            | 2                  | On Loan: No      |
| Verizon Communications, Inc.                                                     | Verizon Communications, Inc.                                                                                      | CUSIP: 92343VFX7<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     154000 | PA      | $133245.42    | 0.01%             | 2030-10-30      | Fixed         | 1.68%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | SOP                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    3697000 | PA      | $173475.02    | 0.02%             |  |  |  | No            | 2                  | On Loan: No      |
| Cross Mortgage Trust                                                             | Cross Mortgage Trust, Series 2025-H4, Class A1                                                                    | CUSIP: 22790AAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     162239 | PA      | $163384.55    | 0.02%             | 2070-06-25      | Variable      | 5.60%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140J7S63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24548 | PA      | $23967.96     | 0.00%             | 2032-09-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| JPMorgan Chase & Co.                                                             | JPMorgan Chase & Co.                                                                                              | CUSIP: 46647PBN5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     703000 | PA      | $473043.23    | 0.05%             | 2051-04-22      | Variable      | 3.11%                 | No            | 2                  | On Loan: No      |
| GLP Capital LP                                                                   | GLP Capital LP                                                                                                    | CUSIP: 361841AK5<br>LEI: 2549005PXW31DRW8EC44 | Long             | DBT              | CORP              | US        |     602000 | PA      | $616866.99    | 0.07%             | 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        |      46431 | PA      | $43890.16     | 0.00%             | 2048-10-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federative Republic of Brazil                                                    | Federative Republic of Brazil                                                                                     | CUSIP: N/A<br>LEI: 254900ZFY40OYEADAP90       | Long             | DBT              | NUSS              | BR        |      21076 | PA      | $3198533.50   | 0.36%             | 2035-01-01      | Fixed         | 10.00%                | No            | 2                  | On Loan: No      |
| American Tower Corp.                                                             | American Tower Corp.                                                                                              | CUSIP: 03027XBG4<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |     151000 | PA      | $131254.40    | 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        |      31669 | PA      | $28615.71     | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QLSR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     107126 | PA      | $101005.28    | 0.01%             | 2051-08-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| J.P. Morgan Mortgage Trust                                                       | J.P. Morgan Mortgage Trust, Series 2025-NQM2, Class A1                                                            | CUSIP: 46590SAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     599501 | PA      | $601655.03    | 0.07%             | 2065-09-25      | Variable      | 5.57%                 | No            | 2                  | On Loan: No      |
| Altria Group, Inc.                                                               | Altria Group, Inc.                                                                                                | CUSIP: 02209SBT9<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |     144000 | PA      | $146791.18    | 0.02%             | 2035-02-06      | Fixed         | 5.62%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Bonds                                                                                               | CUSIP: 912810SJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3634000 | PA      | $2279625.24   | 0.26%             | 2049-08-15      | Fixed         | 2.25%                 | No            | 2                  | On Loan: No      |
| American Tower Corp.                                                             | American Tower Corp.                                                                                              | CUSIP: 03027XBC3<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |      50000 | PA      | $44404.60     | 0.00%             | 2030-06-15      | Fixed         | 2.10%                 | No            | 2                  | On Loan: No      |
| Flourishing Trade & Investment Ltd.                                              | Flourishing Trade & Investment Ltd.                                                                               | CUSIP: 343427AA8<br>LEI: 894500SZ5TN63ZJ0Y632 | Long             | DBT              | CORP              | MU        |     697000 | PA      | $710940.00    | 0.08%             | 2028-04-02      | Fixed         | 11.04%                | No            | 3                  | On Loan: No      |
| PECO Energy Co.                                                                  | PECO Energy Co.                                                                                                   | CUSIP: 693304BA4<br>LEI: YH65D4JBECK76IFEJ279 | Long             | DBT              | CORP              | US        |     324000 | PA      | $212081.12    | 0.02%             | 2051-03-15      | Fixed         | 3.05%                 | No            | 2                  | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust                           | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2024-IGLG, Class A                                 | CUSIP: 46593KAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     360000 | PA      | $362769.16    | 0.04%             | 2039-11-09      | Variable      | 5.35%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | CDSCMBX                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |       2139 | PA      | $-33.58       | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140JR7K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     222111 | PA      | $178669.25    | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Stillwater Mining Co.                                                            | Stillwater Mining Co.                                                                                             | CUSIP: N/A<br>LEI: 6354007DPCY4ZN2MRR73       | Long             | DBT              | CORP              | US        |     374000 | PA      | $333327.50    | 0.04%             | 2029-11-16      | Fixed         | 4.50%                 | 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        |       8646 | PA      | $7774.11      | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | EUR Currency                                                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | CH        |    -205000 | PA      | $-0.13        | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| NGPL PipeCo LLC                                                                  | NGPL PipeCo LLC                                                                                                   | CUSIP: 62928CAA0<br>LEI: 549300K3NT1HSQFEM073 | Long             | DBT              | CORP              | US        |     938000 | PA      | $835619.66    | 0.09%             | 2031-07-15      | Fixed         | 3.25%                 | No            | 2                  | On Loan: No      |
| CCO Holdings LLC                                                                 | CCO Holdings LLC                                                                                                  | CUSIP: 1248EPCN1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     393000 | PA      | $365978.42    | 0.04%             | 2032-05-01      | Fixed         | 4.50%                 | 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        |      19000 | PA      | $18691.44     | 0.00%             | 2035-04-15      | Floating      | 6.58%                 | No            | 2                  | On Loan: No      |
| SURA Asset Management SA                                                         | SURA Asset Management SA                                                                                          | CUSIP: 78486LAB8<br>LEI: 549300013ETMS1C0EA22 | Long             | DBT              | CORP              | CO        |     395000 | PA      | $415698.00    | 0.05%             | 2032-05-13      | Fixed         | 6.35%                 | No            | 2                  | On Loan: No      |
| Carrington Mortgage Loan Trust                                                   | Carrington Mortgage Loan Trust, Series 2006-NC4, Class A3                                                         | CUSIP: 14453MAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      15957 | PA      | $15530.19     | 0.00%             | 2036-10-25      | Floating      | 4.59%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Bonds                                                                                               | CUSIP: 912810RK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4241000 | PA      | $2985597.76   | 0.33%             | 2045-02-15      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Bonds                                                                                               | CUSIP: 912810TF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1226000 | PA      | $891915.00    | 0.10%             | 2042-02-15      | Fixed         | 2.38%                 | 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        |      16401 | PA      | $14738.95     | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36202FGD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         73 | PA      | $72.15        | 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        |      71869 | PA      | $57254.92     | 0.01%             | 2050-11-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Flagstar Financial, Inc.                                                         | Flagstar Financial, Inc.                                                                                          | CUSIP: 649445400<br>LEI: 529900HVXOTLY61GL030 | Long             | EC               | CORP              | US        |      32025 | NS      | $339465.00    | 0.04%             |  |  |  | No            | 1                  | On Loan: No      |
| Paramount Global                                                                 | Paramount Global                                                                                                  | CUSIP: 124857AT0<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |     117000 | PA      | $113201.14    | 0.01%             | 2028-02-15      | Fixed         | 3.38%                 | No            | 2                  | On Loan: No      |
| Nomura Asset Acceptance Corp. Alternative Loan Trust                             | Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2007-2, Class A4                                     | CUSIP: 655378AE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       8339 | PA      | $6973.18      | 0.00%             | 2037-06-25      | Floating      | 5.27%                 | No            | 2                  | On Loan: No      |
| Warnermedia Holdings, Inc.                                                       | Warnermedia Holdings, Inc.                                                                                        | CUSIP: 55903VBE2<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |     118000 | PA      | $82305.00     | 0.01%             | 2052-03-15      | Fixed         | 5.14%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140X9EC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18622 | PA      | $17441.88     | 0.00%             | 2050-11-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Andiron Financing LLC                                                            | Andiron Financing LLC                                                                                             | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |      40000 | PA      | $40000.00     | 0.00%             | 2030-01-21      | Floating      | 7.33%                 | No            | 3                  | On Loan: No      |
| Antero Resources Corp.                                                           | Antero Resources Corp.                                                                                            | CUSIP: 03674XAQ9<br>LEI: APVBKPOULHUX7YZLKU17 | Long             | DBT              | CORP              | US        |     235000 | PA      | $241258.52    | 0.03%             | 2029-02-01      | Fixed         | 7.62%                 | No            | 2                  | On Loan: No      |
| OCP Aegis CLO Ltd.                                                               | OCP Aegis CLO Ltd., Series 2024-39A, Class A1                                                                     | CUSIP: 67120EAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |     250000 | PA      | $250125.75    | 0.03%             | 2037-01-16      | Floating      | 5.48%                 | No            | 2                  | On Loan: No      |
| Mineral Resources Ltd.                                                           | Mineral Resources Ltd.                                                                                            | CUSIP: 603051AD5<br>LEI: 5299007V1ACKFFX2P066 | Long             | DBT              | CORP              | AU        |      19000 | PA      | $18906.01     | 0.00%             | 2030-05-01      | Fixed         | 8.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36202FEH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        952 | PA      | $944.95       | 0.00%             | 2040-02-20      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | OIS                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   12449000 | PA      | $14548.57     | 0.00%             |  |  |  | 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      | $14347.26     | 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        |       7082 | PA      | $6842.78      | 0.00%             | 2030-11-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Bonds                                                                                               | CUSIP: 912810SP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1600000 | PA      | $788875.01    | 0.09%             | 2050-08-15      | Fixed         | 1.38%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QCLT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     673222 | PA      | $654756.46    | 0.07%             | 2049-09-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Ohio Power Co.                                                                   | Ohio Power Co.                                                                                                    | CUSIP: 677415CR0<br>LEI: 06ZODLC132CY1O2Y7D77 | Long             | DBT              | CORP              | US        |     333000 | PA      | $252375.52    | 0.03%             | 2049-06-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| TTAN                                                                             | TTAN MHC, Series 2021-MHC, Class F                                                                                | CUSIP: 87303TAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     229175 | PA      | $229390.11    | 0.03%             | 2038-03-15      | Floating      | 7.33%                 | No            | 2                  | On Loan: No      |
| Canyon CLO Ltd.                                                                  | Canyon CLO Ltd., Series 2020-3A, Class A1R                                                                        | CUSIP: 13876RAN4<br>LEI: 25490032WO5XW3V7KL43 | Long             | ABS-CBDO         | CORP              | KY        |     330000 | PA      | $331258.22    | 0.04%             | 2037-10-15      | Floating      | 5.66%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QNE40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     142150 | PA      | $120468.50    | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| New York City Municipal Water Finance Authority                                  | New York City Municipal Water Finance Authority, Series 2010EE                                                    | CUSIP: 64972FL20<br>LEI: 549300Q2EHQ6RJPQKP05 | Long             | DBT              | MUN               | US        |     105000 | PA      | $108859.66    | 0.01%             | 2042-06-15      | Fixed         | 6.01%                 | No            | 2                  | On Loan: No      |
| General Motors Financial Co., Inc.                                               | General Motors Financial Co., Inc.                                                                                | CUSIP: 37045XEV4<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |      60000 | PA      | $60853.27     | 0.01%             | 2034-04-04      | Fixed         | 5.95%                 | No            | 2                  | On Loan: No      |
| Petroleos Mexicanos                                                              | Petroleos Mexicanos                                                                                               | CUSIP: 71654QDP4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | NUSS              | MX        |      10000 | PA      | $10703.00     | 0.00%             | 2033-02-07      | Fixed         | 10.00%                | No            | 2                  | On Loan: No      |
| Duke Energy Corp.                                                                | Duke Energy Corp.                                                                                                 | CUSIP: 26441CBN4<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |     290000 | PA      | $199160.69    | 0.02%             | 2051-06-15      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Brookfield Residential Properties, Inc.                                          | Brookfield Residential Properties, Inc.                                                                           | CUSIP: 11283YAG5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |      94000 | PA      | $85547.39     | 0.01%             | 2029-06-15      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| GS Mortgage Securities Corp. Trust                                               | GS Mortgage Securities Corp. Trust, Series 2023-SHIP, Class E                                                     | CUSIP: 36270GAJ0<br>LEI: 5493005BBCF84ICNQ550 | Long             | ABS-MBS          | CORP              | US        |      64000 | PA      | $64389.90     | 0.01%             | 2038-09-10      | Variable      | 7.68%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Bonds                                                                                               | CUSIP: 912810SU3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1226000 | PA      | $688667.19    | 0.08%             | 2051-02-15      | Fixed         | 1.88%                 | No            | 2                  | On Loan: No      |
| Duke Energy Carolinas LLC                                                        | Duke Energy Carolinas LLC                                                                                         | CUSIP: 26442CBC7<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |     541000 | PA      | $383118.12    | 0.04%             | 2051-04-15      | Fixed         | 3.45%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XFWG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     224186 | PA      | $180720.03    | 0.02%             | 2052-02-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| BX Commercial Mortgage Trust                                                     | BX Commercial Mortgage Trust, Series 2024-MDHS, Class A                                                           | CUSIP: 12433BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     644072 | PA      | $644876.74    | 0.07%             | 2041-05-15      | Floating      | 5.95%                 | No            | 2                  | On Loan: No      |
| Energy Transfer LP                                                               | Energy Transfer LP                                                                                                | CUSIP: 226373AT5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     899000 | PA      | $942009.09    | 0.11%             | 2031-02-01      | Fixed         | 7.38%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3133L8AU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     182283 | PA      | $168409.78    | 0.02%             | 2036-02-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| TCI-Symphony CLO Ltd.                                                            | TCI-Symphony CLO Ltd., Series 2016-1A, Class AR2                                                                  | CUSIP: 87229WAQ4<br>LEI: 5493005WLG3H3B8NI222 | Long             | ABS-CBDO         | CORP              | KY        |     443779 | PA      | $444308.36    | 0.05%             | 2032-10-13      | Floating      | 5.52%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Bonds                                                                                               | CUSIP: 912810TB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1825700 | PA      | $1015688.25   | 0.11%             | 2051-11-15      | Fixed         | 1.88%                 | No            | 2                  | On Loan: No      |
| AMC Networks, Inc.                                                               | AMC Networks, Inc.                                                                                                | CUSIP: 00164VAF0<br>LEI: 549300VGG9K75226LR46 | Long             | DBT              | CORP              | US        |     109000 | PA      | $87320.99     | 0.01%             | 2029-02-15      | Fixed         | 4.25%                 | No            | 2                  | On Loan: No      |
| Deephaven Residential Mortgage Trust                                             | Deephaven Residential Mortgage Trust, Series 2024-1, Class A1                                                     | CUSIP: 24380QAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     103108 | PA      | $103658.99    | 0.01%             | 2069-07-25      | Variable      | 5.74%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DVMD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3650712 | PA      | $3195772.19   | 0.36%             | 2052-08-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WHXT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     102968 | PA      | $92515.81     | 0.01%             | 2046-09-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138EH3N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42288 | PA      | $44255.75     | 0.00%             | 2040-05-01      | Fixed         | 6.50%                 | No            | 2                  | On Loan: No      |
| Credit-Based Asset Servicing & Securitization LLC                                | Credit-Based Asset Servicing & Securitization LLC, Series 2007-CB6, Class A4                                      | CUSIP: 1248RHAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      31074 | PA      | $20355.26     | 0.00%             | 2037-07-25      | Floating      | 4.77%                 | No            | 2                  | On Loan: No      |
| Meta Platforms, Inc.                                                             | Meta Platforms, Inc.                                                                                              | CUSIP: 30303M8K1<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    1239000 | PA      | $1044413.59   | 0.12%             | 2062-08-15      | Fixed         | 4.65%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Bonds                                                                                               | CUSIP: 912810QS0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     690000 | PA      | $618169.92    | 0.07%             | 2041-08-15      | Fixed         | 3.75%                 | No            | 2                  | On Loan: No      |
| Weekley Homes LLC                                                                | Weekley Homes LLC                                                                                                 | CUSIP: 948565AD8<br>LEI: 5493009MTTQO8ZN53F13 | Long             | DBT              | CORP              | US        |      92000 | PA      | $89109.44     | 0.01%             | 2028-09-15      | Fixed         | 4.88%                 | No            | 2                  | On Loan: No      |
| Bayview Financial Revolving Asset Trust                                          | Bayview Financial Revolving Asset Trust, Series 2005-E, Class A1                                                  | CUSIP: 073250BV3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      13439 | PA      | $13424.79     | 0.00%             | 2040-12-28      | Floating      | 5.44%                 | No            | 2                  | On Loan: No      |
| Extra Space Storage LP                                                           | Extra Space Storage LP                                                                                            | CUSIP: 30225VAH0<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              | CORP              | US        |      45000 | PA      | $44064.41     | 0.00%             | 2029-04-01      | Fixed         | 3.90%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XFGT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     719869 | PA      | $605593.25    | 0.07%             | 2052-01-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Cardiff Auto Receivables Securitisation plc                                      | Cardiff Auto Receivables Securitisation plc, Series 2024-1, Class C                                               | CUSIP: N/A<br>LEI: 6354006GQBBANLIO8R45       | Long             | ABS-O            | CORP              | GB        |     100000 | PA      | $137275.84    | 0.02%             | 2031-08-20      | Floating      | 6.12%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XJXF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     885908 | PA      | $837646.80    | 0.09%             | 2052-05-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | OIS                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        | 1111832151 | PA      | $10102.69     | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | USCPI                                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DO               |  | GB        |    1135500 | PA      | $1763.75      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Dowson plc                                                                       | Dowson plc, Series 2024-1, Class F                                                                                | CUSIP: N/A<br>LEI: 635400IRBWDPWKGK1C24       | Long             | ABS-O            | CORP              | GB        |     360000 | PA      | $491434.18    | 0.06%             | 2031-08-20      | Floating      | 11.17%                | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36179QJV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3105 | PA      | $3133.52      | 0.00%             | 2044-07-20      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QNE57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     502222 | PA      | $423470.62    | 0.05%             | 2052-02-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Fantasia Holdings Group Co. Ltd.                                                 | Fantasia Holdings Group Co. Ltd.                                                                                  | CUSIP: N/A<br>LEI: 5493005JQNLB3I01JW62       | Long             | DBT              | CORP              | KY        |     200000 | PA      | $5500.00      | 0.00%             | 2024-04-17      | Fixed         | 11.75%                | No            | 2                  | On Loan: No      |
| Milford Park CLO Ltd.                                                            | Milford Park CLO Ltd., Series 2022-1A, Class AR                                                                   | CUSIP: 59966PAN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $249875.00    | 0.03%             | 2038-01-20      | Floating      | 5.43%                 | No            | 2                  | On Loan: No      |
| Bayview Commercial Asset Trust                                                   | Bayview Commercial Asset Trust, Series 2007-4A, Class A1                                                          | CUSIP: 07326BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      56165 | PA      | $52598.43     | 0.01%             | 2037-09-25      | Floating      | 5.11%                 | 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        |      18805 | PA      | $18204.65     | 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        |     403000 | PA      | $414533.43    | 0.05%             | 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        |    2133000 | PA      | $1835046.56   | 0.21%             | 2043-08-15      | Fixed         | 3.62%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QLSW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      89539 | PA      | $84932.99     | 0.01%             | 2051-08-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DMR49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     333555 | PA      | $321509.79    | 0.04%             | 2045-09-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Raizen Fuels Finance SA                                                          | Raizen Fuels Finance SA                                                                                           | CUSIP: N/A<br>LEI: 52990010NH26VC32Q522       | Long             | DBT              | CORP              | LU        |     200000 | PA      | $199104.00    | 0.02%             | 2034-03-05      | Fixed         | 6.45%                 | No            | 2                  | On Loan: No      |
| Greenko Wind Projects Mauritius Ltd.                                             | Greenko Wind Projects Mauritius Ltd.                                                                              | CUSIP: N/A<br>LEI: 254900MSUXE1FF83DP82       | Long             | DBT              | CORP              | MU        |     645000 | PA      | $650160.00    | 0.07%             | 2028-09-27      | Fixed         | 7.25%                 | No            | 2                  | On Loan: No      |
| Service Properties Trust                                                         | Service Properties Trust                                                                                          | CUSIP: 81761LAB8<br>LEI: 529900IS770AG1K9QG27 | Long             | DBT              | CORP              | US        |      91000 | PA      | $90162.65     | 0.01%             | 2027-12-15      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31418CXN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16203 | PA      | $15335.90     | 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        |     372000 | PA      | $374165.16    | 0.04%             | 2040-02-15      | Fixed         | 4.62%                 | No            | 2                  | On Loan: No      |
| HILT Commercial Mortgage Trust                                                   | HILT Commercial Mortgage Trust, Series 2024-ORL, Class C                                                          | CUSIP: 403956AE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     406000 | PA      | $405746.25    | 0.05%             | 2037-05-15      | Floating      | 6.75%                 | No            | 2                  | On Loan: No      |
| BAT Capital Corp.                                                                | BAT Capital Corp.                                                                                                 | CUSIP: 05526DBV6<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |      36000 | PA      | $33542.69     | 0.00%             | 2052-03-16      | Fixed         | 5.65%                 | No            | 2                  | On Loan: No      |
| T-Mobile USA, Inc.                                                               | T-Mobile USA, Inc.                                                                                                | CUSIP: 87264ADS1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     322000 | PA      | $328373.35    | 0.04%             | 2032-05-15      | Fixed         | 5.12%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QNEJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     186685 | PA      | $150838.11    | 0.02%             | 2052-02-01      | Fixed         | 2.00%                 | 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        |      17505 | PA      | $15698.85     | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 21H032688<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1200000 | PA      | $1088402.71   | 0.12%             | 2055-08-15      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 21H052678<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |     -45000 | PA      | $-45059.05    | -0.01%            | 2055-07-15      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| PRPM Trust                                                                       | PRPM Trust, Series 2025-NQM2, Class A1                                                                            | CUSIP: 693983AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     533000 | PA      | $535940.45    | 0.06%             | 2070-04-25      | Variable      | 5.69%                 | No            | 2                  | On Loan: No      |
| Huntington Bank Auto Credit-Linked Notes                                         | Huntington Bank Auto Credit-Linked Notes, Series 2024-2, Class B2                                                 | CUSIP: 44644NAH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     296517 | PA      | $298012.02    | 0.03%             | 2032-10-20      | Floating      | 5.65%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140GSRR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13308 | PA      | $12600.66     | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36196FZJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16259 | PA      | $14919.81     | 0.00%             | 2046-10-20      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Glencore Funding LLC                                                             | Glencore Funding LLC                                                                                              | CUSIP: 378272BS6<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |     146000 | PA      | $149699.07    | 0.02%             | 2029-04-04      | Fixed         | 5.37%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp. Variable Rate Notes, Series 5516, Class FC                                       | CUSIP: 3137HKBM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6096056 | PA      | $6111272.03   | 0.68%             | 2055-03-25      | Floating      | 5.71%                 | No            | 2                  | On Loan: No      |
| BX Trust                                                                         | BX Trust, Series 2025-LIFE, Class A                                                                               | CUSIP: 05616HAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     149000 | PA      | $151773.41    | 0.02%             | 2047-06-13      | Variable      | 5.88%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QE2F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24706 | PA      | $23166.21     | 0.00%             | 2050-09-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Bonds                                                                                               | CUSIP: 912810TT5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     572300 | PA      | $511202.51    | 0.06%             | 2053-08-15      | Fixed         | 4.12%                 | No            | 2                  | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                                  | Goldman Sachs Group, Inc. (The)                                                                                   | CUSIP: 38141GA46<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     141000 | PA      | $149568.04    | 0.02%             | 2029-10-24      | Variable      | 6.48%                 | No            | 2                  | On Loan: No      |
| Angel Oak Mortgage Trust                                                         | Angel Oak Mortgage Trust, Series 2024-11, Class A1                                                                | CUSIP: 03463QAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     156324 | PA      | $156886.51    | 0.02%             | 2069-08-25      | Variable      | 5.70%                 | 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        |      10560 | PA      | $10704.53     | 0.00%             | 2041-10-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Energy Transfer LP                                                               | Energy Transfer LP                                                                                                | CUSIP: 29273VAW0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     773000 | PA      | $735352.87    | 0.08%             | 2054-05-15      | Fixed         | 5.95%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | SOP                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    2268100 | PA      | $98844.55     | 0.01%             |  |  |  | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140FG5Z8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3413 | PA      | $3056.37      | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WCSJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7464 | PA      | $7315.88      | 0.00%             | 2029-09-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Bonds                                                                                               | CUSIP: 912810UC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     269000 | PA      | $245651.64    | 0.03%             | 2054-08-15      | Fixed         | 4.25%                 | No            | 2                  | On Loan: No      |
| Greensaif Pipelines Bidco SARL                                                   | Greensaif Pipelines Bidco SARL                                                                                    | CUSIP: N/A<br>LEI: 549300YWDGUXPB8GRP47       | Long             | DBT              | CORP              | LU        |     403000 | PA      | $406526.25    | 0.05%             | 2036-02-23      | Fixed         | 5.85%                 | No            | 2                  | On Loan: No      |
| Pacific Gas & Electric Co.                                                       | Pacific Gas & Electric Co.                                                                                        | CUSIP: 694308JJ7<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     233000 | PA      | $149396.01    | 0.02%             | 2050-08-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                                  | Goldman Sachs Group, Inc. (The)                                                                                   | CUSIP: 38141GB29<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     305000 | PA      | $310064.31    | 0.03%             | 2030-07-23      | Variable      | 5.05%                 | No            | 2                  | On Loan: No      |
| AEP Transmission Co. LLC                                                         | AEP Transmission Co. LLC                                                                                          | CUSIP: 00115AAL3<br>LEI: 549300X123Z1I0LA3Y84 | Long             | DBT              | CORP              | US        |     506000 | PA      | $337483.83    | 0.04%             | 2049-09-15      | Fixed         | 3.15%                 | No            | 2                  | On Loan: No      |
| JPMorgan Chase & Co.                                                             | JPMorgan Chase & Co.                                                                                              | CUSIP: 46647PCJ3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    1035000 | PA      | $970752.15    | 0.11%             | 2029-06-01      | Variable      | 2.07%                 | No            | 2                  | On Loan: No      |
| Conseco Finance Corp.                                                            | Conseco Finance Corp., Series 1997-3, Class M1                                                                    | CUSIP: 393505TZ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       9757 | PA      | $9919.17      | 0.00%             | 2028-03-15      | Variable      | 7.53%                 | 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        |     101394 | PA      | $101546.31    | 0.01%             | 2030-07-17      | Floating      | 5.56%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Bonds                                                                                               | CUSIP: 912810SK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     406000 | PA      | $261124.61    | 0.03%             | 2049-11-15      | Fixed         | 2.38%                 | No            | 2                  | On Loan: No      |
| Dewolf Park CLO Ltd.                                                             | Dewolf Park CLO Ltd., Series 2017-1A, Class AR                                                                    | CUSIP: 25211AAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      95021 | PA      | $95068.56     | 0.01%             | 2030-10-15      | Floating      | 5.44%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132CWXG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     128310 | PA      | $117949.71    | 0.01%             | 2037-04-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XFZU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      68169 | PA      | $62787.07     | 0.01%             | 2037-02-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3133B2Y29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     360829 | PA      | $271396.01    | 0.03%             | 2052-01-01      | Fixed         | 1.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 21H022671<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3334000 | PA      | $2832030.89   | 0.32%             | 2055-07-15      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WJEN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21069 | PA      | $20257.14     | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| BX Commercial Mortgage Trust                                                     | BX Commercial Mortgage Trust, Series 2025-SPOT, Class A                                                           | CUSIP: 12433FAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     140000 | PA      | $139956.25    | 0.02%             | 2040-04-15      | Floating      | 5.76%                 | No            | 2                  | On Loan: No      |
| Southern Co. (The)                                                               | Southern Co. (The)                                                                                                | CUSIP: 842587DL8<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |     140000 | PA      | $147055.64    | 0.02%             | 2032-10-15      | Fixed         | 5.70%                 | No            | 2                  | On Loan: No      |
| Park Intermediate Holdings LLC                                                   | Park Intermediate Holdings LLC                                                                                    | CUSIP: 70052LAC7<br>LEI: 549300HJUVLG7EAGZV92 | Long             | DBT              | CORP              | US        |      92000 | PA      | $89139.24     | 0.01%             | 2029-05-15      | Fixed         | 4.88%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DMYM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     851655 | PA      | $689181.98    | 0.08%             | 2051-07-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140NAYE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     334632 | PA      | $336039.47    | 0.04%             | 2053-01-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Medco Laurel Tree Pte. Ltd.                                                      | Medco Laurel Tree Pte. Ltd.                                                                                       | CUSIP: N/A<br>LEI: 254900SX7FFGRREZD046       | Long             | DBT              | CORP              | SG        |     400000 | PA      | $395836.00    | 0.04%             | 2028-11-12      | Fixed         | 6.95%                 | 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        |        585 | PA      | $565.77       | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp.        | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 01F060675<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   70600000 | PA      | $71738272.50  | 8.03%             | 2055-07-25      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Option One Mortgage Loan Trust                                                   | Option One Mortgage Loan Trust, Series 2007-FXD1, Class 1A1                                                       | CUSIP: 68402VAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      58710 | PA      | $50122.64     | 0.01%             | 2037-01-25      | Variable      | 5.87%                 | No            | 2                  | On Loan: No      |
| CNX Resources Corp.                                                              | CNX Resources Corp.                                                                                               | CUSIP: 12653CAL2<br>LEI: 549300JK3KH8PWM3B226 | Long             | DBT              | CORP              | US        |     306000 | PA      | $316836.07    | 0.04%             | 2032-03-01      | Fixed         | 7.25%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WQPF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4781 | PA      | $4694.50      | 0.00%             | 2028-04-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WJH35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9106 | PA      | $8585.15      | 0.00%             | 2036-11-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Pfizer, Inc.                                                                     | Pfizer, Inc.                                                                                                      | CUSIP: 717081EC3<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | DBT              | CORP              | US        |      95000 | PA      | $87028.40     | 0.01%             | 2036-12-15      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Bank of America Corp.                                                            | Bank of America Corp.                                                                                             | CUSIP: 06051GLH0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     274000 | PA      | $279489.25    | 0.03%             | 2034-04-25      | Variable      | 5.29%                 | No            | 2                  | On Loan: No      |
| Lehman Brothers Holdings, Inc.                                                   | Lehman Brothers Holdings, Inc.                                                                                    | CUSIP: N/A<br>LEI: 549300FDK6ZP3YIHRJ47       | Long             | DBT              | CORP              | US        |    1025000 | PA      | $0.10         | 0.00%             | 2017-12-28      | Fixed         | 6.75%                 | No            | 3                  | On Loan: No      |
| Ambac Assurance Corp.                                                            | Ambac Assurance Corp.                                                                                             | CUSIP: 023138AA8<br>LEI: 549300RYYRVPPB8NC636 | Long             | DBT              | CORP              | US        |      14845 | PA      | $20041.15     | 0.00%             | 2174-06-07      | Fixed         | 5.10%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31417GWY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37806 | PA      | $34177.20     | 0.00%             | 2043-06-01      | 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      | $-595.34      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Viper Energy, Inc.                                                               | Viper Energy, Inc.                                                                                                | CUSIP: 92763MAB1<br>LEI: 5299009LINL232255G03 | Long             | DBT              | CORP              | US        |    1782000 | PA      | $1890853.76   | 0.21%             | 2031-11-01      | Fixed         | 7.38%                 | No            | 2                  | On Loan: No      |
| Morgan Stanley Capital I Trust                                                   | Morgan Stanley Capital I Trust, Series 2016-UBS9, Class XD                                                        | CUSIP: 61766CAM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $21894.10     | 0.00%             | 2049-03-15      | Variable      | 1.74%                 | No            | 2                  | On Loan: No      |
| Viper Energy, Inc.                                                               | Viper Energy, Inc., Class A                                                                                       | CUSIP: 927959106<br>LEI: 5299009LINL232255G03 | Long             | EC               | CORP              | US        |       1298 | NS      | $49492.74     | 0.01%             |  |  |  | No            | 1                  | On Loan: No      |
| Republic Finance Issuance Trust                                                  | Republic Finance Issuance Trust, Series 2024-B, Class A                                                           | CUSIP: 76042GAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     465000 | PA      | $471907.11    | 0.05%             | 2037-11-20      | Fixed         | 5.42%                 | No            | 2                  | On Loan: No      |
| Alabama Power Co.                                                                | Alabama Power Co.                                                                                                 | CUSIP: 010392FM5<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |      62000 | PA      | $48327.70     | 0.01%             | 2045-03-01      | Fixed         | 3.75%                 | No            | 2                  | On Loan: No      |
| Reynolds American, Inc.                                                          | Reynolds American, Inc.                                                                                           | CUSIP: 761713BW5<br>LEI: 02S2RPPVO9RP4NEU2740 | Long             | DBT              | CORP              | US        |      51000 | PA      | $53245.86     | 0.01%             | 2041-08-04      | Fixed         | 7.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3133USJU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     100207 | PA      | $79985.47     | 0.01%             | 2050-09-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| VICI Properties LP                                                               | VICI Properties LP                                                                                                | CUSIP: 925650AC7<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |    2022000 | PA      | $2033828.94   | 0.23%             | 2030-02-15      | Fixed         | 4.95%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Bonds                                                                                               | CUSIP: 912810UD8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2389200 | PA      | $2188824.51   | 0.25%             | 2044-08-15      | Fixed         | 4.12%                 | No            | 2                  | On Loan: No      |
| JetBlue Pass-Through Trust                                                       | JetBlue Pass-Through Trust, Series 2019-1, Class AA                                                               | CUSIP: 477143AH4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      29758 | PA      | $26041.47     | 0.00%             | 2032-05-15      | Fixed         | 2.75%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | OIS                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   16222000 | PA      | $-31401.53    | -0.00%            |  |  |  | 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        |      11341 | PA      | $11010.49     | 0.00%             | 2032-11-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Madison Park Funding LXXI Ltd.                                                   | Madison Park Funding LXXI Ltd., Series 2025-71A, Class A1                                                         | CUSIP: 55817DAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $249631.43    | 0.03%             | 2038-04-23      | Floating      | 5.41%                 | No            | 2                  | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                                  | CHL Mortgage Pass-Through Trust, Series 2006-17, Class A6                                                         | CUSIP: 17025AAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      12012 | PA      | $5303.40      | 0.00%             | 2036-12-25      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| CIFC Funding Ltd.                                                                | CIFC Funding Ltd., Series 2018-1A, Class BR                                                                       | CUSIP: 17181NAG9<br>LEI: 635400VBVF8AYJQBI411 | Long             | ABS-CBDO         | CORP              | KY        |     860000 | PA      | $861249.75    | 0.10%             | 2038-01-18      | Floating      | 5.97%                 | 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        |     312390 | PA      | $817.21       | 0.00%             | 2032-02-10      | Variable      | 0.22%                 | No            | 2                  | On Loan: No      |
| Charter Communications Operating LLC                                             | Charter Communications Operating LLC                                                                              | CUSIP: 161175CA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1602000 | PA      | $1099468.35   | 0.12%             | 2052-06-01      | Fixed         | 3.90%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | OIS                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        | 1158897844 | PA      | $-16121.86    | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| American Home Mortgage Assets Trust                                              | American Home Mortgage Assets Trust, Series 2007-1, Class A1                                                      | CUSIP: 02660BAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      49128 | PA      | $16993.35     | 0.00%             | 2047-02-25      | Floating      | 5.10%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DPF86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     337527 | PA      | $334461.53    | 0.04%             | 2052-12-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QSQK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     559387 | PA      | $573775.16    | 0.06%             | 2053-07-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Ashton Woods USA LLC                                                             | Ashton Woods USA LLC                                                                                              | CUSIP: 045086AP0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      95000 | PA      | $90339.80     | 0.01%             | 2030-04-01      | Fixed         | 4.62%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31410KFF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5371 | PA      | $5630.17      | 0.00%             | 2038-05-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Citicorp Mortgage Securities Trust                                               | Citicorp Mortgage Securities Trust, Series 2007-9, Class 1A1                                                      | CUSIP: 17313VAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      28780 | PA      | $27100.34     | 0.00%             | 2037-12-25      | Fixed         | 6.25%                 | No            | 2                  | On Loan: No      |
| Vistra Corp.                                                                     | Vistra Corp.                                                                                                      | CUSIP: 92840M102<br>LEI: 549300KP43CPCUJOOG15 | Long             | EC               | CORP              | US        |        618 | NS      | $119774.58    | 0.01%             |  |  |  | No            | 1                  | On Loan: No      |
| Becton Dickinson & Co.                                                           | Becton Dickinson & Co.                                                                                            | CUSIP: 075887CU1<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |     171000 | PA      | $174721.11    | 0.02%             | 2029-06-07      | Fixed         | 5.08%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | SOP                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |    1604680 | PA      | $103486.93    | 0.01%             |  |  |  | No            | 2                  | On Loan: No      |
| 1345T                                                                            | 1345T, Series 2025-AOA, Class A                                                                                   | CUSIP: 68271CAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     255000 | PA      | $255397.95    | 0.03%             | 2030-06-15      | Floating      | 5.90%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DMY33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      50230 | PA      | $40384.25     | 0.00%             | 2051-09-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | SOP                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     892500 | PA      | $43708.86     | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QDYC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     243514 | PA      | $228711.24    | 0.03%             | 2050-06-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QQTM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     304378 | PA      | $311438.76    | 0.03%             | 2052-11-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Oaktree CLO Ltd.                                                                 | Oaktree CLO Ltd., Series 2021-2A, Class AR                                                                        | CUSIP: 67389BAQ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $249835.88    | 0.03%             | 2035-01-15      | Floating      | 5.23%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31418EBJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     144412 | PA      | $124175.26    | 0.01%             | 2042-02-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Symphony CLO XXI Ltd.                                                            | Symphony CLO XXI Ltd., Series 2019-21A, Class AR2                                                                 | CUSIP: 87166RGE1<br>LEI: 5493005CJY0RF4FJJP54 | Long             | ABS-CBDO         | CORP              | KY        |     246810 | PA      | $246444.24    | 0.03%             | 2032-07-15      | Floating      | 5.16%                 | No            | 2                  | On Loan: No      |
| Paramount Global                                                                 | Paramount Global                                                                                                  | CUSIP: 92553PAU6<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |     157000 | PA      | $136639.98    | 0.02%             | 2043-09-01      | Fixed         | 5.85%                 | No            | 2                  | On Loan: No      |
| Morgan Stanley                                                                   | Morgan Stanley                                                                                                    | CUSIP: 61748UAF9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     483000 | PA      | $495806.74    | 0.06%             | 2036-01-18      | Variable      | 5.59%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QLSV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     100619 | PA      | $93951.81     | 0.01%             | 2051-08-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QSAX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     571122 | PA      | $576049.26    | 0.06%             | 2053-05-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138ALJW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6758 | PA      | $6839.65      | 0.00%             | 2041-07-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Republic of Peru                                                                 | Republic of Peru                                                                                                  | CUSIP: 715638DT6<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     636000 | PA      | $436296.00    | 0.05%             | 2051-03-10      | Fixed         | 3.55%                 | No            | 2                  | On Loan: No      |
| Miltonia Mortgage Finance SRL                                                    | Miltonia Mortgage Finance SRL, Series 1, Class B                                                                  | CUSIP: N/A<br>LEI: 815600BC278905BA4594       | Long             | ABS-MBS          | CORP              | IT        |     100000 | PA      | $116135.62    | 0.01%             | 2062-04-28      | Floating      | 3.46%                 | No            | 2                  | On Loan: No      |
| BAHA Trust                                                                       | BAHA Trust, Series 2024-MAR, Class B                                                                              | CUSIP: 05493XAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     223000 | PA      | $233029.80    | 0.03%             | 2041-12-10      | Variable      | 7.07%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QGSZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      56632 | PA      | $53679.89     | 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        |     140581 | PA      | $135901.87    | 0.02%             | 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        |      15991 | PA      | $15134.98     | 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        |      16889 | PA      | $15870.02     | 0.00%             | 2042-08-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Towd Point Mortgage Trust                                                        | Towd Point Mortgage Trust, Series 2025-CRM1, Class A1                                                             | CUSIP: 891946AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1675613 | PA      | $1687646.02   | 0.19%             | 2065-01-25      | Variable      | 5.80%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DNAY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1432777 | PA      | $1203676.61   | 0.13%             | 2052-01-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QLST4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      91842 | PA      | $86161.73     | 0.01%             | 2051-08-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Boeing Co. (The)                                                                 | Boeing Co. (The)                                                                                                  | CUSIP: 097023DU6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     257000 | PA      | $282275.19    | 0.03%             | 2064-05-01      | Fixed         | 7.01%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WJF94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1982 | PA      | $1882.49      | 0.00%             | 2031-11-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Sasol Financing USA LLC                                                          | Sasol Financing USA LLC                                                                                           | CUSIP: N/A<br>LEI: 549300XRB1PFMESFEL85       | Long             | DBT              | CORP              | US        |     331000 | PA      | $326518.26    | 0.04%             | 2029-05-03      | Fixed         | 8.75%                 | 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        |      84854 | PA      | $73908.60     | 0.01%             | 2034-05-10      | Fixed         | 2.86%                 | No            | 2                  | On Loan: No      |
| Paramount Global                                                                 | Paramount Global                                                                                                  | CUSIP: 92553PAW2<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |      60000 | PA      | $47760.13     | 0.01%             | 2044-04-01      | Fixed         | 5.25%                 | No            | 2                  | On Loan: No      |
| GoodLeap Home Improvement Solutions Trust                                        | GoodLeap Home Improvement Solutions Trust, Series 2024-1A, Class A                                                | CUSIP: 381935AA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     281674 | PA      | $284878.96    | 0.03%             | 2046-10-20      | Fixed         | 5.35%                 | 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      | $817.86       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31418CS54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      65282 | PA      | $61801.05     | 0.01%             | 2048-01-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31418CCL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6098 | PA      | $5796.86      | 0.00%             | 2031-10-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QGS73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      62304 | PA      | $59175.64     | 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        |     126035 | PA      | $115532.79    | 0.01%             | 2048-01-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Broadcom, Inc.                                                                   | Broadcom, Inc.                                                                                                    | CUSIP: 11135FBV2<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |      63000 | PA      | $61143.01     | 0.01%             | 2037-05-15      | Fixed         | 4.93%                 | No            | 2                  | On Loan: No      |
| Option One Mortgage Loan Trust                                                   | Option One Mortgage Loan Trust, Series 2007-FXD1, Class 2A1                                                       | CUSIP: 68402VAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     139294 | PA      | $120001.54    | 0.01%             | 2037-01-25      | Variable      | 5.87%                 | No            | 2                  | On Loan: No      |
| Wells Fargo & Co.                                                                | Wells Fargo & Co.                                                                                                 | CUSIP: 95000U3L5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    1184000 | PA      | $1209711.22   | 0.14%             | 2028-04-22      | Variable      | 5.71%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140X8XE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     337330 | PA      | $271358.64    | 0.03%             | 2050-12-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| HarborView Mortgage Loan Trust                                                   | HarborView Mortgage Loan Trust, Series 2007-4, Class 2A2                                                          | CUSIP: 41164YAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      72059 | PA      | $67166.89     | 0.01%             | 2047-07-19      | Floating      | 4.68%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | SOP                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |    1604680 | PA      | $33284.89     | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XCGT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     690231 | PA      | $553334.05    | 0.06%             | 2051-08-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                                  | CHL Mortgage Pass-Through Trust, Series 2007-9, Class A11                                                         | CUSIP: 12544XAV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      31238 | PA      | $14612.16     | 0.00%             | 2037-07-25      | Fixed         | 5.75%                 | No            | 2                  | On Loan: No      |
| Regional Management Issuance Trust                                               | Regional Management Issuance Trust, Series 2024-2, Class A                                                        | CUSIP: 75907AAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     100000 | PA      | $100547.14    | 0.01%             | 2033-12-15      | Fixed         | 5.11%                 | No            | 2                  | On Loan: No      |
| Paramount Global                                                                 | Paramount Global                                                                                                  | CUSIP: 124857AN3<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |     152000 | PA      | $112438.04    | 0.01%             | 2045-01-15      | Fixed         | 4.60%                 | 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        |      70110 | PA      | $65116.69     | 0.01%             | 2047-12-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| MidOcean Credit CLO XI Ltd.                                                      | MidOcean Credit CLO XI Ltd., Series 2022-11A, Class A1R2                                                          | CUSIP: 59801ABA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     780000 | PA      | $779927.38    | 0.09%             | 2036-01-18      | Floating      | 5.48%                 | No            | 2                  | On Loan: No      |
| Banc of America Funding Trust                                                    | Banc of America Funding Trust, Series 2014-R2, Class 1C                                                           | CUSIP: 05968KAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     116007 | PA      | $40202.51     | 0.00%             | 2036-11-26      | Variable      | 0.00%                 | No            | 2                  | On Loan: No      |
| RALI Trust                                                                       | RALI Trust, Series 2007-QH9, Class A1                                                                             | CUSIP: 749241AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      18971 | PA      | $15882.58     | 0.00%             | 2037-11-25      | Variable      | 6.10%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140X83Z8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      70671 | PA      | $64923.60     | 0.01%             | 2049-06-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| BAT Capital Corp.                                                                | BAT Capital Corp.                                                                                                 | CUSIP: 054989AD0<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    1774000 | PA      | $1975972.05   | 0.22%             | 2053-08-02      | Fixed         | 7.08%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140J76Q3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      82196 | PA      | $79103.12     | 0.01%             | 2032-08-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                                  | Goldman Sachs Group, Inc. (The)                                                                                   | CUSIP: 38141GA87<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     396000 | PA      | $412217.86    | 0.05%             | 2030-04-25      | Variable      | 5.73%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp.        | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 01F042673<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -21397000 | PA      | $-20464550.41 | -2.29%            | 2055-07-25      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140J8HY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      79327 | PA      | $77861.34     | 0.01%             | 2048-04-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Verus Securitization Trust                                                       | Verus Securitization Trust, Series 2023-2, Class B1                                                               | CUSIP: 92539DAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     289000 | PA      | $288682.76    | 0.03%             | 2068-03-25      | Variable      | 7.47%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140X83D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13353 | PA      | $12419.01     | 0.00%             | 2048-04-01      | 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      | $-44436.43    | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Republic of the Philippines                                                      | Republic of Philippines                                                                                           | CUSIP: 718286CC9<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |     516000 | PA      | $498456.00    | 0.06%             | 2028-02-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Equinix, Inc.                                                                    | Equinix, Inc.                                                                                                     | CUSIP: 29444UBM7<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |      31000 | PA      | $19109.25     | 0.00%             | 2051-09-15      | Fixed         | 2.95%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WH3H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     181192 | PA      | $162295.26    | 0.02%             | 2046-09-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | USCPI                                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DO               |  | GB        |    2271000 | PA      | $-13553.56    | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust                           | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2016-JP3, Class XC                                 | CUSIP: 46590RAM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     900000 | PA      | $6006.51      | 0.00%             | 2049-08-15      | Variable      | 0.75%                 | No            | 2                  | On Loan: No      |
| NRG Energy, Inc.                                                                 | NRG Energy, Inc.                                                                                                  | CUSIP: 629377CL4<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |     614000 | PA      | $604068.85    | 0.07%             | 2029-06-15      | Fixed         | 4.45%                 | No            | 2                  | On Loan: No      |
| AEP Texas, Inc.                                                                  | AEP Texas, Inc.                                                                                                   | CUSIP: 00108WAN0<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |      59000 | PA      | $39587.85     | 0.00%             | 2051-05-15      | Fixed         | 3.45%                 | No            | 2                  | On Loan: No      |
| Duke Energy Florida LLC                                                          | Duke Energy Florida LLC                                                                                           | CUSIP: 26444HAF8<br>LEI: 7MOHLM3DKE63RX2ZCN83 | Long             | DBT              | CORP              | US        |       4000 | PA      | $3204.25      | 0.00%             | 2048-07-15      | Fixed         | 4.20%                 | No            | 2                  | On Loan: No      |
| BRAVO Residential Funding Trust                                                  | BRAVO Residential Funding Trust, Series 2025-NQM2, Class A1                                                       | CUSIP: 10569NAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     381821 | PA      | $383657.51    | 0.04%             | 2064-11-25      | Variable      | 5.68%                 | No            | 2                  | On Loan: No      |
| Japan                                                                            | Japan Government Bond                                                                                             | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |  160950000 | PA      | $1025584.74   | 0.11%             | 2055-03-20      | Fixed         | 2.40%                 | No            | 2                  | On Loan: No      |
| FirstEnergy Transmission LLC                                                     | FirstEnergy Transmission LLC                                                                                      | CUSIP: 33767BAA7<br>LEI: 549300AINIIPOLYX2R63 | Long             | DBT              | CORP              | US        |     340000 | PA      | $324010.39    | 0.04%             | 2044-07-15      | Fixed         | 5.45%                 | No            | 2                  | On Loan: No      |
| Synchrony Financial                                                              | Synchrony Financial                                                                                               | CUSIP: 87165BAP8<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |     452000 | PA      | $453824.76    | 0.05%             | 2029-03-19      | Fixed         | 5.15%                 | No            | 2                  | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust                 | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2006-4, Class 1A1                        | CUSIP: 939344AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      30461 | PA      | $28638.71     | 0.00%             | 2036-04-25      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 21H052678<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5667000 | PA      | $5674436.75   | 0.64%             | 2055-07-15      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Verus Securitization Trust                                                       | Verus Securitization Trust, Series 2023-3, Class B1                                                               | CUSIP: 92539GAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $100183.03    | 0.01%             | 2068-03-25      | Variable      | 7.76%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36179USV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     115960 | PA      | $112433.32    | 0.01%             | 2049-05-20      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QGKB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     114748 | PA      | $109975.72    | 0.01%             | 2035-12-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Paramount Global                                                                 | Paramount Global                                                                                                  | CUSIP: 92553PAP7<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |     137000 | PA      | $100855.64    | 0.01%             | 2043-03-15      | Fixed         | 4.38%                 | No            | 2                  | On Loan: No      |
| Charter Communications Operating LLC                                             | Charter Communications Operating LLC                                                                              | CUSIP: 161175BN3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     298000 | PA      | $270987.11    | 0.03%             | 2048-04-01      | Fixed         | 5.75%                 | No            | 2                  | On Loan: No      |
| GSAA Home Equity Trust                                                           | GSAA Home Equity Trust, Series 2007-2, Class AF3                                                                  | CUSIP: 3622EUAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      23955 | PA      | $4269.98      | 0.00%             | 2037-03-25      | Variable      | 5.92%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | USCPI                                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DO               |  | GB        |    1419000 | PA      | $-8326.17     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Cali                                                                             | Cali, Series 2024-SUN, Class A                                                                                    | CUSIP: 12988DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     311000 | PA      | $311388.75    | 0.03%             | 2041-07-15      | Floating      | 6.20%                 | No            | 2                  | On Loan: No      |
| JPMorgan Chase & Co.                                                             | JPMorgan Chase & Co.                                                                                              | CUSIP: 46647PDW3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     640000 | PA      | $653898.51    | 0.07%             | 2027-10-22      | Variable      | 6.07%                 | No            | 2                  | On Loan: No      |
| AEP Transmission Co. LLC                                                         | AEP Transmission Co. LLC, Series N                                                                                | CUSIP: 00115AAN9<br>LEI: 549300X123Z1I0LA3Y84 | Long             | DBT              | CORP              | US        |      50000 | PA      | $30587.07     | 0.00%             | 2051-08-15      | Fixed         | 2.75%                 | No            | 2                  | On Loan: No      |
| Citigroup, Inc.                                                                  | Citigroup, Inc.                                                                                                   | CUSIP: 17327CAT0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     304000 | PA      | $302622.02    | 0.03%             | 2030-09-19      | Variable      | 4.54%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31410KHE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2024 | PA      | $2122.23      | 0.00%             | 2038-03-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| BAMLL Commercial Mortgage Securities Trust                                       | BAMLL Commercial Mortgage Securities Trust, Series 2016-SS1, Class XA                                             | CUSIP: 05525JAC7<br>LEI: 5493002AJGYQZUG0NT80 | Long             | ABS-MBS          | CORP              | US        |   15000000 | PA      | $216.75       | 0.00%             | 2035-12-15      | Variable      | 0.70%                 | No            | 2                  | On Loan: No      |
| RR 24 Ltd.                                                                       | RR 24 Ltd., Series 2022-24A, Class A1A2                                                                           | CUSIP: 75000HBA1<br>LEI: 2549005CH9FMTJFP8I04 | Long             | ABS-CBDO         | CORP              | BM        |     500000 | PA      | $501621.00    | 0.06%             | 2037-01-15      | Floating      | 5.57%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QSA76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     439165 | PA      | $450451.09    | 0.05%             | 2053-05-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Alternative Loan Trust                                                           | Alternative Loan Trust, Series 2006-OA14, Class 1A1                                                               | CUSIP: 02146SAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      43151 | PA      | $35612.31     | 0.00%             | 2046-11-25      | Floating      | 6.13%                 | No            | 2                  | On Loan: No      |
| Republic of Indonesia                                                            | Republic of Indonesia                                                                                             | CUSIP: 455780CQ7<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |     390000 | PA      | $365504.10    | 0.04%             | 2030-02-14      | Fixed         | 2.85%                 | No            | 2                  | On Loan: No      |
| Port Authority of New York & New Jersey                                          | Port Authority of New York & New Jersey, Series 2014-181                                                          | CUSIP: 73358WRP1<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |     195000 | PA      | $182483.10    | 0.02%             | 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        |       8681 | PA      | $7753.31      | 0.00%             | 2050-07-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Rakuten Group, Inc.                                                              | Rakuten Group, Inc.                                                                                               | CUSIP: N/A<br>LEI: 529900IMXUCQKUL1H943       | Long             | DBT              | CORP              | JP        |     700000 | PA      | $766765.13    | 0.09%             | 2029-04-15      | Fixed         | 9.75%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | TRSIBOXX                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | FR        |     509000 | PA      | $-10495.48    | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31416BMP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23252 | PA      | $23812.93     | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Sabine Pass Liquefaction LLC                                                     | Sabine Pass Liquefaction LLC                                                                                      | CUSIP: 785592AV8<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |    1033000 | PA      | $1038621.66   | 0.12%             | 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        |      71142 | PA      | $68173.18     | 0.01%             | 2052-07-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| General Dynamics Corp.                                                           | General Dynamics Corp.                                                                                            | CUSIP: 369550BR8<br>LEI: 9C1X8XOOTYY2FNYTVH06 | Long             | DBT              | CORP              | US        |      50000 | PA      | $50191.24     | 0.01%             | 2035-08-15      | Fixed         | 4.95%                 | No            | 2                  | On Loan: No      |
| Tenneco, Inc.                                                                    | Tenneco, Inc.                                                                                                     | CUSIP: 880349AU9<br>LEI: 549300U0EXXFAQFAD785 | Long             | DBT              | CORP              | US        |      89000 | PA      | $88011.87     | 0.01%             | 2028-11-17      | Fixed         | 8.00%                 | No            | 2                  | On Loan: No      |
| MCR Mortgage Trust                                                               | MCR Mortgage Trust, Series 2024-HF1, Class A                                                                      | CUSIP: 55287FAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     138000 | PA      | $138086.25    | 0.02%             | 2041-12-15      | Floating      | 6.10%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DMQ81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     172387 | PA      | $157012.06    | 0.02%             | 2050-06-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XFAD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     271362 | PA      | $241869.76    | 0.03%             | 2036-12-01      | Fixed         | 1.50%                 | No            | 2                  | On Loan: No      |
| First Franklin Mortgage Loan Trust                                               | First Franklin Mortgage Loan Trust, Series 2006-FF16, Class 2A3                                                   | CUSIP: 320275AD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     496052 | PA      | $199532.49    | 0.02%             | 2036-12-25      | Floating      | 4.71%                 | No            | 2                  | On Loan: No      |
| Angel Oak Mortgage Trust                                                         | Angel Oak Mortgage Trust, Series 2025-1, Class A1                                                                 | CUSIP: 034934AA7<br>LEI: 254900HC0S1X9R2JZB30 | Long             | ABS-MBS          | CORP              | US        |     407243 | PA      | $408725.30    | 0.05%             | 2070-01-25      | Variable      | 5.69%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 31307MSF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6004 | PA      | $5817.81      | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Duke Energy Progress LLC                                                         | Duke Energy Progress LLC                                                                                          | CUSIP: 26442UAU8<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |     314000 | PA      | $315330.36    | 0.04%             | 2035-03-15      | Fixed         | 5.05%                 | No            | 2                  | On Loan: No      |
| BFLD Commercial Mortgage Trust                                                   | BFLD Commercial Mortgage Trust, Series 2024-UNIV, Class A                                                         | CUSIP: 08861RAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     160000 | PA      | $160200.00    | 0.02%             | 2041-11-15      | Floating      | 5.80%                 | No            | 2                  | On Loan: No      |
| CIFC Funding Ltd.                                                                | CIFC Funding Ltd., Series 2025-2A, Class A                                                                        | CUSIP: 17181DAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $249634.00    | 0.03%             | 2038-04-15      | Floating      | 5.41%                 | No            | 2                  | On Loan: No      |
| T-Mobile USA, Inc.                                                               | T-Mobile USA, Inc.                                                                                                | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    1456000 | PA      | $1414093.12   | 0.16%             | 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        |      70000 | PA      | $59500.00     | 0.01%             | 2031-07-05      | Fixed         | 3.06%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Bonds                                                                                               | CUSIP: 912810TN8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3272000 | PA      | $2671025.61   | 0.30%             | 2053-02-15      | Fixed         | 3.62%                 | No            | 2                  | On Loan: No      |
| BlackRock Liquidity Funds                                                        | BlackRock Liquidity Funds, T-Fund, Institutional Class                                                            | CUSIP: 09248U718<br>LEI: 5493002L9DNZ83RX7V61 | Long             | STIV             | RF                | US        |   22507768 | NS      | $22507767.57  | 2.52%             |  |  |  | No            | 1                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138EQA36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11164 | PA      | $10907.37     | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| GoldenTree Loan Management US CLO 23 Ltd.                                        | GoldenTree Loan Management US CLO 23 Ltd., Series 2024-23A, Class A                                               | CUSIP: 38139KAC3<br>LEI: 254900TP00US14X9AP48 | Long             | ABS-CBDO         | CORP              | KY        |     820000 | PA      | $821375.47    | 0.09%             | 2039-01-20      | Floating      | 5.55%                 | No            | 2                  | On Loan: No      |
| Amgen, Inc.                                                                      | Amgen, Inc.                                                                                                       | CUSIP: 031162DG2<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |     273000 | PA      | $213095.67    | 0.02%             | 2062-02-22      | Fixed         | 4.40%                 | No            | 2                  | On Loan: No      |
| Golden Bar Securitisation SRL                                                    | Golden Bar Securitisation SRL, Series 2024-1, Class B                                                             | CUSIP: N/A<br>LEI: 549300GESLGUWWGJRM09       | Long             | ABS-O            | CORP              | IT        |      78828 | PA      | $93716.12     | 0.01%             | 2043-09-22      | Floating      | 3.54%                 | No            | 2                  | On Loan: No      |
| Charter Communications Operating LLC                                             | Charter Communications Operating LLC                                                                              | CUSIP: 161175BS2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     218000 | PA      | $181258.90    | 0.02%             | 2049-07-01      | Fixed         | 5.12%                 | No            | 2                  | On Loan: No      |
| Citigroup Mortgage Loan Trust                                                    | Citigroup Mortgage Loan Trust, Series 2007-AHL2, Class A3B                                                        | CUSIP: 17312TAJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     143955 | PA      | $94041.48     | 0.01%             | 2037-05-25      | Floating      | 4.63%                 | No            | 2                  | On Loan: No      |
| BlackRock Allocation Target Shares                                               | BlackRock Allocation Target Shares - BATS Series A                                                                | CUSIP: 092480706<br>LEI: 5493001N6IPQ853IL862 | Long             |  | RF                | US        |   14408518 | NS      | $137601344.32 | 15.40%            |  |  |  | No            | N/A                | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3133KLUA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2139798 | PA      | $1805079.81   | 0.20%             | 2051-05-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QS5C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     145915 | PA      | $152602.01    | 0.02%             | 2053-09-01      | Fixed         | 6.50%                 | No            | 2                  | On Loan: No      |
| American Tower Corp.                                                             | American Tower Corp.                                                                                              | CUSIP: 03027XCH1<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |     841000 | PA      | $865909.45    | 0.10%             | 2034-02-15      | Fixed         | 5.45%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31418MGR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1550 | PA      | $1625.12      | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DWBP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4223339 | PA      | $3359918.58   | 0.38%             | 2051-05-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DM7F6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     482835 | PA      | $389711.18    | 0.04%             | 2052-01-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36179VXX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     192911 | PA      | $157180.43    | 0.02%             | 2050-11-20      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QKPN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      96282 | PA      | $88950.80     | 0.01%             | 2036-05-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Fontainebleau Miami Beach Mortgage Trust                                         | Fontainebleau Miami Beach Mortgage Trust, Series 2024-FBLU, Class G                                               | CUSIP: 34461WAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     155000 | PA      | $154831.72    | 0.02%             | 2039-12-15      | Floating      | 9.96%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 312942DD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      29349 | PA      | $29285.41     | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | Russell 2000 E-Mini Index                                                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |        -11 | NC      | $-40355.53    | -0.00%            |  |  |  | No            | 1                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138EKF59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     278703 | PA      | $277811.05    | 0.03%             | 2041-12-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust                                   | Structured Adjustable Rate Mortgage Loan Trust, Series 2006-3, Class 4A                                           | CUSIP: 863579Y69<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      34136 | PA      | $17843.35     | 0.00%             | 2036-04-25      | Variable      | 4.08%                 | No            | 2                  | On Loan: No      |
| Lehman XS Trust                                                                  | Lehman XS Trust, Series 2007-20N, Class A1                                                                        | CUSIP: 52525AAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      10877 | PA      | $10594.19     | 0.00%             | 2037-12-25      | Floating      | 6.73%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Federal National Mortgage Association Variable Rate Notes, Series 2024-P015, Class A1                             | CUSIP: 3137HDJN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      89617 | PA      | $87792.24     | 0.01%             | 2032-11-25      | Variable      | 4.45%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3133A7JB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3932 | PA      | $3511.53      | 0.00%             | 2050-07-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Five Point Operating Co. LP                                                      | Five Point Operating Co. LP                                                                                       | CUSIP: 33834YAB4<br>LEI: N/A                  | Long             | SN               | CORP              | US        |      85404 | PA      | $86886.70     | 0.01%             | 2028-01-15      | Variable      | 10.50%                | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31418CQB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      51907 | PA      | $49144.30     | 0.01%             | 2047-10-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | IRS                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    1455000 | PA      | $80060.13     | 0.01%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | EUR Currency                                                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | CH        |     205000 | PA      | $0.13         | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QEUA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      83706 | PA      | $80225.13     | 0.01%             | 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        |      42357 | PA      | $38540.00     | 0.00%             | 2045-02-15      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132CWR71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     121990 | PA      | $109316.36    | 0.01%             | 2036-04-01      | Fixed         | 1.50%                 | No            | 2                  | On Loan: No      |
| Edison International                                                             | Edison International, Series B                                                                                    | CUSIP: 281020AT4<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |      80000 | PA      | $69155.35     | 0.01%             | 2026-12-15      | Variable      | 5.00%                 | No            | 2                  | On Loan: No      |
| Washington Mutual Asset-Backed CertificatesTrust                                 | Washington Mutual Asset-Backed CertificatesTrust, Series 2006-HE5, Class 1A                                       | CUSIP: 93934XAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      94223 | PA      | $70910.35     | 0.01%             | 2036-10-25      | Floating      | 4.42%                 | No            | 2                  | On Loan: No      |
| Duke Energy Ohio, Inc.                                                           | Duke Energy Ohio, Inc.                                                                                            | CUSIP: 26442EAH3<br>LEI: L6KC0HABGHNFU1Z6QY21 | Long             | DBT              | CORP              | US        |     309000 | PA      | $278222.52    | 0.03%             | 2030-06-01      | Fixed         | 2.12%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WPHS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18066 | PA      | $16313.25     | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Bonds                                                                                               | CUSIP: 912810SH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2491000 | PA      | $1788168.24   | 0.20%             | 2049-05-15      | Fixed         | 2.88%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31418EAA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2020069 | PA      | $1668046.46   | 0.19%             | 2041-12-01      | Fixed         | 1.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140HFE88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38820 | PA      | $35585.66     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | OIS                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   16222000 | PA      | $32407.82     | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Morgan Stanley                                                                   | Morgan Stanley                                                                                                    | CUSIP: 61747YFQ3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    2149000 | PA      | $2232189.38   | 0.25%             | 2030-04-18      | Variable      | 5.66%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | EUR Currency                                                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | GB        |     308000 | PA      | $0.02         | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36202FLP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2014 | PA      | $1998.72      | 0.00%             | 2040-10-20      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Morgan Stanley                                                                   | Morgan Stanley                                                                                                    | CUSIP: 61772BAB9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     759000 | PA      | $740670.98    | 0.08%             | 2027-05-04      | Variable      | 1.59%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140J6D46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     234629 | PA      | $230621.27    | 0.03%             | 2046-07-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QLSQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61712 | PA      | $58262.74     | 0.01%             | 2051-08-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QNE65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     596169 | PA      | $501960.98    | 0.06%             | 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        |    1561951 | PA      | $4863.60      | 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        |     612000 | PA      | $429125.69    | 0.05%             | 2061-12-01      | Fixed         | 4.40%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DM3L7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      52475 | PA      | $45821.32     | 0.01%             | 2052-01-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| OneMain Direct Auto Receivables Trust                                            | OneMain Direct Auto Receivables Trust, Series 2025-1A, Class D                                                    | CUSIP: 682684AD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     100000 | PA      | $101517.82    | 0.01%             | 2037-07-14      | Fixed         | 6.10%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QLSS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      69484 | PA      | $65316.73     | 0.01%             | 2051-08-01      | Fixed         | 4.00%                 | No            | 2                  | 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        |     100000 | PA      | $97250.00     | 0.01%             | 2034-09-15      | Floating      | 6.15%                 | No            | 2                  | On Loan: No      |
| Washington Mutual Asset-Backed CertificatesTrust                                 | Washington Mutual Asset-Backed CertificatesTrust, Series 2006-HE4, Class 2A2                                      | CUSIP: 93934QAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     115101 | PA      | $29162.82     | 0.00%             | 2036-09-25      | Floating      | 4.79%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140NGTP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     118991 | PA      | $119824.03    | 0.01%             | 2053-05-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140H1WJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      64957 | PA      | $59501.18     | 0.01%             | 2048-03-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association, Series 2021-97, Class LI                                                | CUSIP: 38382VHH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1404814 | PA      | $233749.87    | 0.03%             | 2050-08-20      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| EQT Corp.                                                                        | EQT Corp.                                                                                                         | CUSIP: 26884LAL3<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |    1610000 | PA      | $1623642.80   | 0.18%             | 2029-01-15      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| VEGAS Trust                                                                      | VEGAS Trust, Series 2024-TI, Class A                                                                              | CUSIP: 92254AAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     110000 | PA      | $111471.28    | 0.01%             | 2039-11-10      | Fixed         | 5.52%                 | No            | 2                  | On Loan: No      |
| California Resources Corp.                                                       | California Resources Corp.                                                                                        | CUSIP: 13057QAK3<br>LEI: 5493003Q8F0T4F4YMR48 | Long             | DBT              | CORP              | US        |      85000 | PA      | $87250.55     | 0.01%             | 2029-06-15      | Fixed         | 8.25%                 | No            | 2                  | On Loan: No      |
| Republic of Italy                                                                | Buoni Poliennali del Tesoro                                                                                       | CUSIP: N/A<br>LEI: 815600DE60799F5A9309       | Long             | DBT              | NUSS              | IT        |    5312000 | PA      | $6371252.84   | 0.71%             | 2035-08-01      | Fixed         | 3.65%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association, Series 2022-85, Class IK                                                | CUSIP: 38383R2G1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     908678 | PA      | $156247.41    | 0.02%             | 2051-05-20      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QTEX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     393305 | PA      | $410666.53    | 0.05%             | 2053-10-01      | Fixed         | 6.50%                 | No            | 2                  | On Loan: No      |
| Wildfire Intermediate Holdings LLC                                               | Wildfire Intermediate Holdings LLC                                                                                | CUSIP: 96812HAA6<br>LEI: 5493003RHEMQJZEXIR02 | Long             | DBT              | CORP              | US        |      87000 | PA      | $86423.33     | 0.01%             | 2029-10-15      | Fixed         | 7.50%                 | 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      | $9144.25      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Carlyle Global Market Strategies CLO Ltd.                                        | Carlyle Global Market Strategies CLO Ltd., Series 2014-3RA, Class A1A                                             | CUSIP: 14315LAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     128463 | PA      | $128451.56    | 0.01%             | 2031-07-27      | Floating      | 5.59%                 | 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        |       6549 | PA      | $6434.63      | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 3128MEVG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      79027 | PA      | $78098.45     | 0.01%             | 2031-04-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DVL94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1136123 | PA      | $956178.36    | 0.11%             | 2052-01-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DPQ43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      47298 | PA      | $47706.39     | 0.01%             | 2053-01-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| JPMorgan Chase & Co.                                                             | JPMorgan Chase & Co.                                                                                              | CUSIP: 46647PCC8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      50000 | PA      | $44653.69     | 0.00%             | 2032-04-22      | Variable      | 2.58%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DV6T7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     500800 | PA      | $377007.38    | 0.04%             | 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 2011CC                                                    | CUSIP: 64972FY34<br>LEI: 549300Q2EHQ6RJPQKP05 | Long             | DBT              | MUN               | US        |     155000 | PA      | $156637.02    | 0.02%             | 2044-06-15      | Fixed         | 5.88%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | IRS                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    1790910 | PA      | $112508.46    | 0.01%             |  |  |  | No            | 2                  | On Loan: No      |
| Altria Group, Inc.                                                               | Altria Group, Inc.                                                                                                | CUSIP: 02209SBM4<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |     856000 | PA      | $635000.15    | 0.07%             | 2041-02-04      | Fixed         | 3.40%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 3128M6RM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5989 | PA      | $6135.84      | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Angel Oak Mortgage Trust                                                         | Angel Oak Mortgage Trust, Series 2024-10, Class A1                                                                | CUSIP: 034933AA9<br>LEI: 254900QN92XYN8GJBJ44 | Long             | ABS-MBS          | CORP              | US        |      92816 | PA      | $92611.10     | 0.01%             | 2069-10-25      | Variable      | 5.35%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138W7G40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17864 | PA      | $16141.73     | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DM2W4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      47362 | PA      | $38532.79     | 0.00%             | 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        |      51034 | PA      | $46991.94     | 0.01%             | 2047-03-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Pacific Gas and Electric Co.                                                     | Pacific Gas & Electric Co.                                                                                        | CUSIP: 694308KV8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     126000 | PA      | $117560.35    | 0.01%             | 2055-03-01      | Fixed         | 6.15%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140HJF71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27785 | PA      | $27272.75     | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36179TNS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      54607 | PA      | $51420.38     | 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        |       9907 | PA      | $9856.88      | 0.00%             | 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        |       8851 | PA      | $8410.26      | 0.00%             | 2031-12-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Taurus UK DAC                                                                    | Taurus UK DAC, Series 2025-UK2X, Class D                                                                          | CUSIP: N/A<br>LEI: 635400ZUSGYHROR9ZX12       | Long             | ABS-MBS          | CORP              | IE        |     215621 | PA      | $296643.72    | 0.03%             | 2035-02-18      | Floating      | 7.44%                 | No            | 2                  | On Loan: No      |
| UK Logistics DAC                                                                 | UK Logistics DAC, Series 2024-1X, Class A                                                                         | CUSIP: N/A<br>LEI: 635400H22JMICKOJRJ36       | Long             | ABS-MBS          | CORP              | IE        |     100000 | PA      | $137539.53    | 0.02%             | 2034-05-17      | Floating      | 5.89%                 | No            | 2                  | On Loan: No      |
| Oracle Corp.                                                                     | Oracle Corp.                                                                                                      | CUSIP: 68389XDB8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     738000 | PA      | $736756.40    | 0.08%             | 2055-08-03      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Synchrony Financial                                                              | Synchrony Financial                                                                                               | CUSIP: 87165BAW3<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |    1449000 | PA      | $1461633.38   | 0.16%             | 2031-03-06      | Variable      | 5.45%                 | No            | 2                  | On Loan: No      |
| Chase Mortgage Finance Trust                                                     | Chase Mortgage Finance Trust, Series 2007-S6, Class 1A1                                                           | CUSIP: 161636AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     649909 | PA      | $261437.20    | 0.03%             | 2037-12-25      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36179N2J6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     183367 | PA      | $171177.63    | 0.02%             | 2044-02-20      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| JPMorgan Chase & Co.                                                             | JPMorgan Chase & Co.                                                                                              | CUSIP: 46647PEV4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    1929000 | PA      | $1978148.93   | 0.22%             | 2031-01-24      | Variable      | 5.14%                 | No            | 2                  | On Loan: No      |
| Alternative Loan Trust                                                           | Alternative Loan Trust, Series 2006-11CB, Class 3A1                                                               | CUSIP: 12668BWF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      47371 | PA      | $21378.48     | 0.00%             | 2036-05-25      | Fixed         | 6.50%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | USCPI                                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DO               |  | GB        |    1419000 | PA      | $-8290.10     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | USCPI                                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DO               |  | GB        |    1307250 | PA      | $1617.96      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| NXP BV                                                                           | NXP BV                                                                                                            | CUSIP: 62954HBA5<br>LEI: 724500RKKW4NOJ9YQF60 | Long             | DBT              | CORP              | US        |      79000 | PA      | $69317.37     | 0.01%             | 2031-05-11      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Vistra Operations Co. LLC                                                        | Vistra Operations Co. LLC                                                                                         | CUSIP: 92840VAT9<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |     235000 | PA      | $236148.92    | 0.03%             | 2026-12-30      | Fixed         | 5.05%                 | No            | 2                  | On Loan: No      |
| EQT Corp.                                                                        | EQT Corp.                                                                                                         | CUSIP: 26884LAM1<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |    1003000 | PA      | $987555.46    | 0.11%             | 2026-05-15      | Fixed         | 3.12%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XLEB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     451938 | PA      | $455836.47    | 0.05%             | 2053-05-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Equinix, Inc.                                                                    | Equinix, Inc.                                                                                                     | CUSIP: 29444UBU9<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |    1208000 | PA      | $1144123.99   | 0.13%             | 2032-04-15      | Fixed         | 3.90%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WJH27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21976 | PA      | $20702.28     | 0.00%             | 2036-11-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| EQT Corp.                                                                        | EQT Corp.                                                                                                         | CUSIP: 26884LAF6<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     221000 | PA      | $218070.51    | 0.02%             | 2027-10-01      | Fixed         | 3.90%                 | 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        |      27513 | PA      | $27557.88     | 0.00%             | 2048-11-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| JPMorgan Chase & Co.                                                             | JPMorgan Chase & Co.                                                                                              | CUSIP: 46647PEG7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    4586000 | PA      | $4761904.56   | 0.53%             | 2030-04-22      | Variable      | 5.58%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp.        | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 01F042681<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -18300000 | PA      | $-17496794.33 | -1.96%            | 2055-08-25      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| KSL Commercial Mortgage Trust                                                    | KSL Commercial Mortgage Trust, Series 2024-HT2, Class A                                                           | CUSIP: 500937AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     650000 | PA      | $648745.76    | 0.07%             | 2039-12-15      | Floating      | 5.85%                 | No            | 2                  | On Loan: No      |
| GSAMP Trust                                                                      | GSAMP Trust, Series 2007-HS1, Class M6                                                                            | CUSIP: 362429AG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      40000 | PA      | $39397.70     | 0.00%             | 2047-02-25      | Floating      | 7.81%                 | No            | 2                  | On Loan: No      |
| Sage AR Funding                                                                  | Sage AR Funding, Series 2025-1X, Class D                                                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | GB        |     100000 | PA      | $138063.33    | 0.02%             | 2037-05-17      | Floating      | 8.14%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Federal National Mortgage Association                                                                             | CUSIP: 3138EP6D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5562 | PA      | $5326.29      | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Notes                                                                                               | CUSIP: 91282CLR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    8705000 | PA      | $8829454.34   | 0.99%             | 2029-10-31      | Fixed         | 4.12%                 | No            | 2                  | On Loan: No      |
| Option One Mortgage Loan Trust                                                   | Option One Mortgage Loan Trust, Series 2007-FXD1, Class 3A4                                                       | CUSIP: 68402VAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      40232 | PA      | $39250.93     | 0.00%             | 2037-01-25      | Variable      | 5.86%                 | No            | 2                  | On Loan: No      |
| FirstEnergy Corp.                                                                | FirstEnergy Corp., Series B                                                                                       | CUSIP: 337932AH0<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |    1154000 | PA      | $1141061.44   | 0.13%             | 2027-07-15      | Fixed         | 3.90%                 | 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        |       4460 | PA      | $4460.65      | 0.00%             | 2030-10-20      | Floating      | 5.78%                 | No            | 2                  | On Loan: No      |
| American Tower Corp.                                                             | American Tower Corp.                                                                                              | CUSIP: 03027XAW0<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |      81000 | PA      | $78753.52     | 0.01%             | 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        |       1382 | PA      | $1302.36      | 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        |       6106 | PA      | $6031.67      | 0.00%             | 2030-08-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138EM3N9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2084 | PA      | $2135.20      | 0.00%             | 2040-03-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| HCA, Inc.                                                                        | HCA, Inc.                                                                                                         | CUSIP: 404119CT4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     639000 | PA      | $658897.42    | 0.07%             | 2031-04-01      | Fixed         | 5.45%                 | No            | 2                  | On Loan: No      |
| Vedanta Resources Finance II plc                                                 | Vedanta Resources Finance II plc                                                                                  | CUSIP: N/A<br>LEI: 8945002DGA3BBXO3N634       | Long             | DBT              | CORP              | GB        |     319000 | PA      | $330563.75    | 0.04%             | 2029-09-17      | Fixed         | 10.88%                | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36179UPB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     195711 | PA      | $191123.32    | 0.02%             | 2049-03-20      | Fixed         | 4.50%                 | 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        |       -771 | NC      | $-1766694.67  | -0.20%            |  |  |  | No            | 1                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Bonds                                                                                               | CUSIP: 912810RH3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1681400 | PA      | $1325744.49   | 0.15%             | 2044-08-15      | Fixed         | 3.12%                 | No            | 2                  | On Loan: No      |
| Caesars Entertainment, Inc.                                                      | Caesars Entertainment, Inc.                                                                                       | CUSIP: 12769G100<br>LEI: 549300FA4CTCW903Y781 | Long             | EC               | CORP              | US        |       3483 | NS      | $98882.37     | 0.01%             |  |  |  | No            | 1                  | 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        |      72245 | PA      | $0.75         | 0.00%             | 2047-09-15      | Variable      | 0.55%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132CWS47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     163538 | PA      | $150375.32    | 0.02%             | 2035-09-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QLZ82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1272647 | PA      | $1068622.17   | 0.12%             | 2051-09-01      | 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        |     270234 | PA      | $239132.60    | 0.03%             | 2051-12-20      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Amgen, Inc.                                                                      | Amgen, Inc.                                                                                                       | CUSIP: 031162DU1<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |     199000 | PA      | $193465.79    | 0.02%             | 2063-03-02      | Fixed         | 5.75%                 | 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      | $-36445.75    | -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        |       9557 | PA      | $9535.04      | 0.00%             | 2042-09-01      | Fixed         | 4.50%                 | 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        |      47663 | PA      | $46543.63     | 0.01%             | 2047-07-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Midwest Gaming Borrower LLC                                                      | Midwest Gaming Borrower LLC                                                                                       | CUSIP: 59833DAB6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      92000 | PA      | $88620.51     | 0.01%             | 2029-05-01      | Fixed         | 4.88%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 3132JNEF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20526 | PA      | $18578.87     | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | 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        |      75886 | PA      | $73878.10     | 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        |       2957 | PA      | $2780.24      | 0.00%             | 2036-10-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132CWTB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     338342 | PA      | $311915.83    | 0.03%             | 2036-01-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Broadcom, Inc.                                                                   | Broadcom, Inc.                                                                                                    | CUSIP: 11135FBK6<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     326000 | PA      | $295658.75    | 0.03%             | 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        |      20264 | PA      | $19467.58     | 0.00%             | 2036-05-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| CAFL Issuer LLC                                                                  | CAFL Issuer LLC, Series 2024-RTL1, Class A1                                                                       | CUSIP: 12770DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     173000 | PA      | $175372.40    | 0.02%             | 2031-11-28      | Variable      | 6.75%                 | No            | 2                  | On Loan: No      |
| Benefit Street Partners CLO XXXVII Ltd.                                          | Benefit Street Partners CLO XXXVII Ltd., Series 2024-37A, Class A                                                 | CUSIP: 08182TAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $1003569.10   | 0.11%             | 2038-01-25      | Floating      | 5.70%                 | No            | 2                  | On Loan: No      |
| TAGUS-Sociedade de Titularizacao de Creditos SA                                  | TAGUS-Sociedade de Titularizacao de Creditos SA, Series 2, Class D                                                | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | PT        |     100000 | PA      | $118648.19    | 0.01%             | 2042-10-27      | Floating      | 5.98%                 | No            | 2                  | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                           | Velocity Commercial Capital Loan Trust, Series 2024-6, Class M4                                                   | CUSIP: 92261BAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      99181 | PA      | $98889.26     | 0.01%             | 2054-12-25      | Variable      | 9.67%                 | No            | 2                  | On Loan: No      |
| Duke Energy Corp.                                                                | Duke Energy Corp.                                                                                                 | CUSIP: 26441CBU8<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |     275000 | PA      | $241093.58    | 0.03%             | 2052-08-15      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138M5G37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9582 | PA      | $9533.62      | 0.00%             | 2042-08-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| AbbVie, Inc.                                                                     | AbbVie, Inc.                                                                                                      | CUSIP: 00287YBD0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |      50000 | PA      | $45269.87     | 0.01%             | 2048-11-14      | Fixed         | 4.88%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Notes                                                                                               | CUSIP: 91282CJT9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2094800 | PA      | $2099791.51   | 0.24%             | 2027-01-15      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140X83P0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     104085 | PA      | $83809.55     | 0.01%             | 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        |      65000 | PA      | $77921.69     | 0.01%             | 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        |     452000 | PA      | $363489.22    | 0.04%             | 2043-02-15      | Fixed         | 3.12%                 | No            | 2                  | On Loan: No      |
| Morgan Stanley                                                                   | Morgan Stanley                                                                                                    | CUSIP: 61747YFH3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     263000 | PA      | $278575.32    | 0.03%             | 2029-11-01      | Variable      | 6.41%                 | No            | 2                  | On Loan: No      |
| Mariner Finance Issuance Trust                                                   | Mariner Finance Issuance Trust, Series 2025-AA, Class A                                                           | CUSIP: 567920AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     176000 | PA      | $178388.07    | 0.02%             | 2038-05-20      | Fixed         | 4.98%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Notes                                                                                               | CUSIP: 91282CGP0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3991000 | PA      | $4021244.28   | 0.45%             | 2028-02-29      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QKWL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43609 | PA      | $41800.73     | 0.00%             | 2036-05-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Citigroup, Inc.                                                                  | Citigroup, Inc.                                                                                                   | CUSIP: 172967MY4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     292000 | PA      | $258688.30    | 0.03%             | 2032-05-01      | Variable      | 2.56%                 | No            | 2                  | On Loan: No      |
| Bank of America Corp.                                                            | Bank of America Corp.                                                                                             | CUSIP: 06051GHD4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     990000 | PA      | $967708.94    | 0.11%             | 2028-12-20      | Variable      | 3.42%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QU2G0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1607170 | PA      | $1659967.63   | 0.19%             | 2054-07-01      | Fixed         | 6.50%                 | No            | 2                  | On Loan: No      |
| Morgan Stanley                                                                   | Morgan Stanley                                                                                                    | CUSIP: 6174468U6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     551000 | PA      | $471405.18    | 0.05%             | 2032-02-13      | Variable      | 1.79%                 | No            | 2                  | On Loan: No      |
| VICI Properties LP                                                               | VICI Properties LP                                                                                                | CUSIP: 92564RAD7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     651000 | PA      | $641022.23    | 0.07%             | 2027-02-15      | Fixed         | 3.75%                 | No            | 2                  | On Loan: No      |
| BX Trust                                                                         | BX Trust, Series 2025-VLT6, Class A                                                                               | CUSIP: 12433KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1123832 | PA      | $1123129.61   | 0.13%             | 2042-03-15      | Floating      | 5.75%                 | No            | 2                  | On Loan: No      |
| DIRECTV Financing LLC                                                            | DIRECTV Financing LLC, 1st Lien Term Loan B                                                                       | CUSIP: 25460HAF9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     187210 | PA      | $178130.32    | 0.02%             | 2031-02-17      | Variable      | 9.83%                 | No            | 2                  | On Loan: No      |
| Wells Fargo & Co.                                                                | Wells Fargo & Co.                                                                                                 | CUSIP: 94974BGK0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      13000 | PA      | $10327.49     | 0.00%             | 2045-05-01      | Fixed         | 3.90%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QANL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     783132 | PA      | $768299.56    | 0.09%             | 2049-02-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Equinix, Inc.                                                                    | Equinix, Inc.                                                                                                     | CUSIP: 29444UBS4<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |     677000 | PA      | $599809.46    | 0.07%             | 2031-05-15      | Fixed         | 2.50%                 | 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        |        307 | PA      | $297.47       | 0.00%             | 2041-04-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140FCTM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36787 | PA      | $33047.24     | 0.00%             | 2047-02-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XATV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     258633 | PA      | $208250.72    | 0.02%             | 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        |     429616 | PA      | $405157.97    | 0.05%             | 2049-09-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                           | Velocity Commercial Capital Loan Trust, Series 2024-1, Class A                                                    | CUSIP: 92261CAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     140028 | PA      | $141704.38    | 0.02%             | 2054-01-25      | Variable      | 6.55%                 | No            | 2                  | On Loan: No      |
| Home Equity Mortgage Trust                                                       | Home Equity Mortgage Trust, Series 2006-2, Class 1A1                                                              | CUSIP: 225470W25<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      48295 | PA      | $4545.51      | 0.00%             | 2036-07-25      | Variable      | 5.87%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31418CLH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     146923 | PA      | $139682.06    | 0.02%             | 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        |       5530 | PA      | $5431.84      | 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        |     361490 | PA      | $291407.80    | 0.03%             | 2052-01-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QK2B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     539696 | PA      | $465478.88    | 0.05%             | 2041-06-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QNJM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     159464 | PA      | $146527.20    | 0.02%             | 2037-02-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                           | Velocity Commercial Capital Loan Trust, Series 2024-5, Class A                                                    | CUSIP: 92261ABA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      88052 | PA      | $87864.12     | 0.01%             | 2054-10-25      | Variable      | 5.49%                 | No            | 2                  | On Loan: No      |
| Neuberger Berman CLO XX Ltd.                                                     | Neuberger Berman CLO XX Ltd., Series 2015-20A, Class A1R3                                                         | CUSIP: 64130TBJ3<br>LEI: 549300NPF57YF6WBDP72 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $249860.48    | 0.03%             | 2039-04-15      | Floating      | 5.47%                 | No            | 2                  | On Loan: No      |
| BX Commercial Mortgage Trust                                                     | BX Commercial Mortgage Trust, Series 2024-PURE, Class A                                                           | CUSIP: 74625PAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      60000 | PA      | $44517.02     | 0.00%             | 2041-11-15      | Floating      | 4.65%                 | No            | 2                  | On Loan: No      |
| Vedanta Holdings Mauritius II Ltd.                                               | Vedanta Holdings Mauritius II Ltd., 1st Lien Term Loan                                                            | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |      97680 | PA      | $98656.82     | 0.01%             | 2030-12-01      | Variable      | 18.00%                | No            | 3                  | On Loan: No      |
| Charter Communications Operating LLC                                             | Charter Communications Operating LLC                                                                              | CUSIP: 161175AZ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     274000 | PA      | $287784.49    | 0.03%             | 2035-10-23      | Fixed         | 6.38%                 | No            | 2                  | On Loan: No      |
| SoFi Consumer Loan Program Trust                                                 | SoFi Consumer Loan Program Trust, Series 2025-1, Class A                                                          | CUSIP: 83406YAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     921666 | PA      | $923383.41    | 0.10%             | 2034-02-27      | Fixed         | 4.80%                 | 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        |     110000 | PA      | $116743.81    | 0.01%             | 2042-08-01      | Fixed         | 6.60%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Bonds                                                                                               | CUSIP: 912810TR9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2726000 | PA      | $2223393.75   | 0.25%             | 2053-05-15      | Fixed         | 3.62%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36179WTY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     499529 | PA      | $424606.22    | 0.05%             | 2051-12-20      | 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      | $-21818.37    | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Level 3 Financing, Inc.                                                          | Level 3 Financing, Inc.                                                                                           | CUSIP: 527298CK7<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |      52178 | PA      | $52699.38     | 0.01%             | 2032-10-15      | Fixed         | 10.00%                | No            | 2                  | On Loan: No      |
| Expand Energy Corp.                                                              | Expand Energy Corp.                                                                                               | CUSIP: 845467AT6<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |    1044000 | PA      | $1015170.88   | 0.11%             | 2032-02-01      | Fixed         | 4.75%                 | No            | 2                  | On Loan: No      |
| PG&E Corp.                                                                       | PG&E Corp.                                                                                                        | CUSIP: 69331CAM0<br>LEI: 8YQ2GSDWYZXO2EDN3511 | Long             | DBT              | CORP              | US        |     937000 | PA      | $887357.88    | 0.10%             | 2055-03-15      | Variable      | 7.38%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138XQL58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8397 | PA      | $8218.44      | 0.00%             | 2029-05-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| VICI Properties LP                                                               | VICI Properties LP                                                                                                | CUSIP: 92564RAB1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     187000 | PA      | $183715.89    | 0.02%             | 2029-12-01      | Fixed         | 4.62%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | CDI                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |   37603808 | PA      | $1023693.84   | 0.11%             |  |  |  | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Notes                                                                                               | CUSIP: 91282CMC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2906500 | PA      | $2996873.98   | 0.34%             | 2031-12-31      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DVLP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     767064 | PA      | $650913.85    | 0.07%             | 2051-02-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36202FDB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        954 | PA      | $947.09       | 0.00%             | 2039-12-20      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3133A8RR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      65428 | PA      | $52534.86     | 0.01%             | 2050-08-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| FIGRE Trust                                                                      | FIGRE Trust, Series 2024-SL1, Class A1                                                                            | CUSIP: 31684JAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     198808 | PA      | $201042.50    | 0.02%             | 2053-07-25      | Variable      | 5.75%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Notes                                                                                               | CUSIP: 91282CCV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1981000 | PA      | $1829174.93   | 0.20%             | 2028-08-31      | Fixed         | 1.12%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QHPG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      86148 | PA      | $77198.51     | 0.01%             | 2036-03-01      | Fixed         | 1.50%                 | 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        |       2332 | PA      | $2156.68      | 0.00%             | 2045-09-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | USCPI                                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DO               |  | GB        |    2653717 | PA      | $3408.54      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America Corp.                                                            | Bank of America Corp.                                                                                             | CUSIP: 06051GHM4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     395000 | PA      | $393698.82    | 0.04%             | 2029-07-23      | Variable      | 4.27%                 | No            | 2                  | On Loan: No      |
| EQT Corp.                                                                        | EQT Corp.                                                                                                         | CUSIP: 26884LAY5<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     898000 | PA      | $926282.18    | 0.10%             | 2029-04-01      | Fixed         | 6.38%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XDK88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      69364 | PA      | $64015.81     | 0.01%             | 2036-11-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WFAD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11327 | PA      | $10954.65     | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| AMC Networks, Inc.                                                               | AMC Networks, Inc., Class A                                                                                       | CUSIP: 00164V103<br>LEI: 549300VGG9K75226LR46 | Long             | EC               | CORP              | US        |       7408 | NS      | $46448.16     | 0.01%             |  |  |  | No            | 1                  | On Loan: No      |
| Charter Communications Operating LLC                                             | Charter Communications Operating LLC                                                                              | CUSIP: 161175CE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      32000 | PA      | $22817.55     | 0.00%             | 2042-03-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XHVB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     148572 | PA      | $147346.59    | 0.02%             | 2052-07-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140E42P1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1656 | PA      | $1610.73      | 0.00%             | 2030-11-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Mariner Finance issuance Trust                                                   | Mariner Finance issuance Trust, Series 2024-BA, Class A                                                           | CUSIP: 56847GAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     338000 | PA      | $341669.02    | 0.04%             | 2038-11-20      | Fixed         | 4.91%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140NGT26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61366 | PA      | $62942.74     | 0.01%             | 2053-05-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Boeing Co. (The)                                                                 | Boeing Co. (The)                                                                                                  | CUSIP: 097023204<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | EP               | CORP              | US        |       1700 | NS      | $115600.00    | 0.01%             |  |  |  | No            | 1                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 3132KFAB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8822 | PA      | $8532.42      | 0.00%             | 2030-08-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31417F4H8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21705 | PA      | $19590.16     | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DPCT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     158718 | PA      | $157275.80    | 0.02%             | 2052-11-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DPML9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     294745 | PA      | $300061.30    | 0.03%             | 2053-01-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp.        | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 01F042475<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1302000 | PA      | $1293596.48   | 0.14%             | 2040-07-25      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36241KXQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5974 | PA      | $6046.32      | 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        |    3228000 | PA      | $3131160.00   | 0.35%             | 2027-08-15      | Fixed         | 2.25%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XHKM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     420316 | PA      | $316150.17    | 0.04%             | 2052-04-01      | Fixed         | 1.50%                 | 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      | $2477.27      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Prosus NV                                                                        | Prosus NV                                                                                                         | CUSIP: N/A<br>LEI: 635400Z5LQ5F9OLVT688       | Long             | DBT              | CORP              | NL        |     438000 | PA      | $408982.50    | 0.05%             | 2032-01-19      | Fixed         | 4.19%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QST68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1201900 | PA      | $1225943.15   | 0.14%             | 2053-08-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Affirm Master Trust                                                              | Affirm Master Trust, Series 2025-1A, Class B                                                                      | CUSIP: 00833BAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     100000 | PA      | $100648.20    | 0.01%             | 2033-02-15      | Fixed         | 5.13%                 | No            | 2                  | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                                  | Goldman Sachs Group, Inc. (The)                                                                                   | CUSIP: 38141GC77<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    2510000 | PA      | $2529562.69   | 0.28%             | 2028-04-23      | Variable      | 4.94%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36179UWA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3596 | PA      | $3487.90      | 0.00%             | 2049-07-20      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Gartner, Inc.                                                                    | Gartner, Inc.                                                                                                     | CUSIP: 366651AC1<br>LEI: PP55B5R38BFB8O8HH686 | Long             | DBT              | CORP              | US        |    1564000 | PA      | $1547695.77   | 0.17%             | 2028-07-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Service Properties Trust                                                         | Service Properties Trust                                                                                          | CUSIP: 81761LAE2<br>LEI: 529900IS770AG1K9QG27 | Long             | DBT              | CORP              | US        |     271000 | PA      | $278657.92    | 0.03%             | 2032-06-15      | Fixed         | 8.88%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WHD25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16835 | PA      | $16210.71     | 0.00%             | 2031-06-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | USCPI                                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DO               |  | GB        |    2838000 | PA      | $-16399.80    | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QHP66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19319 | PA      | $18196.68     | 0.00%             | 2036-03-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Orbia Advance Corp. SAB de CV                                                    | Orbia Advance Corp. SAB de CV                                                                                     | CUSIP: 68560EAC2<br>LEI: 549300MVHZ20SBIOEQ79 | Long             | DBT              | CORP              | MX        |     404000 | PA      | $413898.00    | 0.05%             | 2030-05-13      | Fixed         | 6.80%                 | No            | 2                  | On Loan: No      |
| LCM 26 Ltd.                                                                      | LCM 26 Ltd., Series 26A, Class A1                                                                                 | CUSIP: 50200FAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      24784 | PA      | $24796.44     | 0.00%             | 2031-01-20      | Floating      | 5.60%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QC6E1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     174870 | PA      | $164126.93    | 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        |    1416603 | PA      | $1204127.76   | 0.13%             | 2052-05-20      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| COLT Mortgage Loan Trust                                                         | COLT Mortgage Loan Trust, Series 2024-6, Class A1                                                                 | CUSIP: 19688XAA4<br>LEI: 213800U2X2TO1PQH1O75 | Long             | ABS-MBS          | CORP              | US        |      98838 | PA      | $98905.21     | 0.01%             | 2069-11-25      | Variable      | 5.39%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Bonds                                                                                               | CUSIP: 912810SS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1535800 | PA      | $809114.64    | 0.09%             | 2050-11-15      | Fixed         | 1.62%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140E1RT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        466 | PA      | $454.30       | 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        |      72020 | PA      | $67441.19     | 0.01%             | 2050-04-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | SOP                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | FR        |     929200 | PA      | $30567.51     | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DMR23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      29216 | PA      | $27766.18     | 0.00%             | 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        |     508469 | PA      | $428701.17    | 0.05%             | 2050-07-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Alternative Loan Trust                                                           | Alternative Loan Trust, Series 2006-OA16, Class A4C                                                               | CUSIP: 23242GAZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     102499 | PA      | $75620.25     | 0.01%             | 2046-10-25      | Floating      | 5.11%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140HH6H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6465 | PA      | $6304.16      | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| European Union                                                                   | European Union                                                                                                    | CUSIP: N/A<br>LEI: 529900FZRK8FGMPEOM08       | Long             | DBT              | NUSS              | BE        |     505000 | PA      | $462378.85    | 0.05%             | 2052-10-04      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| EQT Corp.                                                                        | EQT Corp.                                                                                                         | CUSIP: 26884LAS8<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     505000 | PA      | $516378.89    | 0.06%             | 2027-07-01      | Fixed         | 6.50%                 | No            | 2                  | On Loan: No      |
| BANK5                                                                            | BANK5, Series 2024-5YR11, Class A3                                                                                | CUSIP: 06644WBD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      17000 | PA      | $17809.06     | 0.00%             | 2057-11-15      | Fixed         | 5.89%                 | No            | 2                  | On Loan: No      |
| Star Energy Geothermal Wayang Windu Ltd.                                         | Star Energy Geothermal Wayang Windu Ltd.                                                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | VG        |     136900 | PA      | $139466.88    | 0.02%             | 2033-04-24      | Fixed         | 6.75%                 | No            | 2                  | On Loan: No      |
| Bank of America Corp.                                                            | Bank of America Corp.                                                                                             | CUSIP: 06051GFG9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     271000 | PA      | $251106.65    | 0.03%             | 2044-04-01      | Fixed         | 4.88%                 | No            | 2                  | On Loan: No      |
| NYC Trust                                                                        | NYC Trust, Series 2024-3ELV, Class A                                                                              | CUSIP: 62956HAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $100527.52    | 0.01%             | 2029-08-15      | Floating      | 6.30%                 | No            | 2                  | On Loan: No      |
| Sabine Pass Liquefaction LLC                                                     | Sabine Pass Liquefaction LLC                                                                                      | CUSIP: 785592AZ9<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |     753000 | PA      | $783225.71    | 0.09%             | 2037-09-15      | Fixed         | 5.90%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140X8MY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     103581 | PA      | $88056.04     | 0.01%             | 2050-11-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Alternative Loan Trust                                                           | Alternative Loan Trust, Series 2006-OC10, Class 2A3                                                               | CUSIP: 23245FAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      54214 | PA      | $46764.05     | 0.01%             | 2036-11-25      | Floating      | 4.89%                 | No            | 2                  | On Loan: No      |
| Puma International Financing SA                                                  | Puma International Financing SA                                                                                   | CUSIP: N/A<br>LEI: 222100YFBPO7IDRUBR17       | Long             | DBT              | CORP              | LU        |     400000 | PA      | $409800.00    | 0.05%             | 2029-04-25      | Fixed         | 7.75%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | EUR Currency                                                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | CH        |    -308000 | PA      | $-0.02        | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| GSMPS Mortgage Loan Trust                                                        | GSMPS Mortgage Loan Trust, Series 2005-RP1, Class 1AF                                                             | CUSIP: 36242DXG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      25443 | PA      | $22227.53     | 0.00%             | 2035-01-25      | Floating      | 4.78%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QMZU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     406780 | PA      | $341439.05    | 0.04%             | 2052-01-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| CWHEQ Revolving Home Equity Loan Trust                                           | CWHEQ Revolving Home Equity Loan Trust, Series 2005-B, Class 2A                                                   | CUSIP: 126685AB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       1079 | PA      | $1068.45      | 0.00%             | 2035-05-15      | Floating      | 4.61%                 | 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        |     493827 | PA      | $494073.99    | 0.06%             | 2031-01-15      | Floating      | 5.64%                 | No            | 2                  | On Loan: No      |
| Sabine Pass Liquefaction LLC                                                     | Sabine Pass Liquefaction LLC                                                                                      | CUSIP: 785592AX4<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |    1682000 | PA      | $1679186.08   | 0.19%             | 2030-05-15      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Rain City Mortgage Trust                                                         | Rain City Mortgage Trust, Series 2024-RTL1, Class A1                                                              | CUSIP: 75079KAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $100747.92    | 0.01%             | 2029-11-25      | Variable      | 6.53%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WFCS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      75836 | PA      | $74134.29     | 0.01%             | 2045-07-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3133L8KJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     160694 | PA      | $148307.75    | 0.02%             | 2036-07-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Soundview Home Loan Trust                                                        | Soundview Home Loan Trust, Series 2004-WMC1, Class M2                                                             | CUSIP: 83611MBW7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       1025 | PA      | $863.30       | 0.00%             | 2035-01-25      | Floating      | 5.23%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Notes                                                                                               | CUSIP: 91282CCE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4309000 | PA      | $4019825.68   | 0.45%             | 2028-05-31      | Fixed         | 1.25%                 | No            | 2                  | On Loan: No      |
| Cheniere Energy Partners LP                                                      | Cheniere Energy Partners LP                                                                                       | CUSIP: 16411QAK7<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |    1683000 | PA      | $1601512.10   | 0.18%             | 2031-03-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QMJZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     557827 | PA      | $446105.50    | 0.05%             | 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        |    1736000 | PA      | $1289861.56   | 0.14%             | 2048-02-15      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Notes                                                                                               | CUSIP: 91282CGR6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4396000 | PA      | $4411497.61   | 0.49%             | 2026-03-15      | Fixed         | 4.62%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 31307QBA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2312 | PA      | $2274.07      | 0.00%             | 2031-02-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Broadcom, Inc.                                                                   | Broadcom, Inc.                                                                                                    | CUSIP: 11135FBP5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     914000 | PA      | $770903.44    | 0.09%             | 2035-11-15      | Fixed         | 3.14%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WJET1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17914 | PA      | $17247.31     | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| ECL Entertainment LLC                                                            | ECL Entertainment LLC, Facility 1st Lien Term Loan B                                                              | CUSIP: 26826TAL7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     208637 | PA      | $208376.48    | 0.02%             | 2030-08-30      | Variable      | 7.83%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | USCPI                                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DO               |  | GB        |    1486000 | PA      | $-7560.72     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138ERM23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      79058 | PA      | $77106.74     | 0.01%             | 2031-08-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Bank of America Corp.                                                            | Bank of America Corp.                                                                                             | CUSIP: 06051GJB6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      49000 | PA      | $44795.83     | 0.01%             | 2031-04-29      | Variable      | 2.59%                 | No            | 2                  | On Loan: No      |
| Expand Energy Corp.                                                              | Expand Energy Corp.                                                                                               | CUSIP: 845467AS8<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |     429000 | PA      | $430202.92    | 0.05%             | 2030-03-15      | Fixed         | 5.38%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DWA52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3870999 | PA      | $3082651.82   | 0.35%             | 2051-02-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| EQM Midstream Partners LP                                                        | EQM Midstream Partners LP                                                                                         | CUSIP: 26885BAH3<br>LEI: 549300NELT611CL6XM83 | Long             | DBT              | CORP              | US        |     495000 | PA      | $506153.57    | 0.06%             | 2027-07-01      | Fixed         | 6.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp.        | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 01F032476<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      48000 | PA      | $46314.90     | 0.01%             | 2040-07-25      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Washington Mutual, Inc.                                                          | Washington Mutual Escrow Bonds                                                                                    | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |     500000 | PA      | $0.05         | 0.00%             | 2017-09-29      | Fixed         | 0.00%                 | No            | 3                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31410K3K8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2441 | PA      | $2559.24      | 0.00%             | 2038-12-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | USCPI                                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DO               |  | GB        |    1136000 | PA      | $-6585.28     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QFBZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     121470 | PA      | $114247.84    | 0.01%             | 2035-10-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31410KXB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4920 | PA      | $4967.96      | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Banc of America Funding Corp.                                                    | Banc of America Funding Corp., Series 2015-R3, Class 1A2                                                          | CUSIP: 05990QAB9<br>LEI: 54930023UHZHF7UJ8596 | Long             | ABS-MBS          | CORP              | US        |      91868 | PA      | $78012.17     | 0.01%             | 2036-03-27      | Variable      | 3.70%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31416YVG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1352 | PA      | $1343.77      | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Bletchley Park Funding plc                                                       | Bletchley Park Funding plc, Series 2025-1, Class E                                                                | CUSIP: N/A<br>LEI: 635400OJVL3HJJTKNB05       | Long             | ABS-MBS          | CORP              | GB        |     100000 | PA      | $137310.02    | 0.02%             | 2070-01-27      | Floating      | 7.60%                 | No            | 2                  | On Loan: No      |
| Romark CLO Ltd.                                                                  | Romark CLO Ltd., Series 2017-1A, Class A1R                                                                        | CUSIP: 77587UAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      54373 | PA      | $54441.11     | 0.01%             | 2030-10-23      | Floating      | 5.57%                 | No            | 2                  | On Loan: No      |
| BX Commercial Mortgage Trust                                                     | BX Commercial Mortgage Trust, Series 2024-GPA3, Class A                                                           | CUSIP: 123910AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     215674 | PA      | $215876.41    | 0.02%             | 2039-12-15      | Floating      | 5.60%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31418EAB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     327867 | PA      | $282230.66    | 0.03%             | 2041-12-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Cardiff Auto Receivables Securitisation plc                                      | Cardiff Auto Receivables Securitisation plc, Series 2024-1, Class D                                               | CUSIP: N/A<br>LEI: 6354006GQBBANLIO8R45       | Long             | ABS-O            | CORP              | GB        |     100000 | PA      | $137501.37    | 0.02%             | 2031-08-20      | Floating      | 6.82%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DMRR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     308819 | PA      | $277198.88    | 0.03%             | 2047-02-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36179XND4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1514018 | PA      | $1420982.10   | 0.16%             | 2052-12-20      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| BPR Mortgage Trust                                                               | BPR Mortgage Trust, Series 2023-STON, Class A                                                                     | CUSIP: 05593GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     101000 | PA      | $105175.82    | 0.01%             | 2039-12-05      | Fixed         | 7.50%                 | No            | 2                  | On Loan: No      |
| Mariner Finance issuance Trust                                                   | Mariner Finance issuance Trust, Series 2024-BA, Class D                                                           | CUSIP: 56847GAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     100000 | PA      | $101932.13    | 0.01%             | 2038-11-20      | Fixed         | 6.36%                 | No            | 2                  | On Loan: No      |
| Commercial Mortgage Trust                                                        | Commercial Mortgage Trust, Series 2015-CR25, Class XA                                                             | CUSIP: 12593PAX0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      54921 | PA      | $0.91         | 0.00%             | 2048-08-10      | Variable      | 0.86%                 | No            | 2                  | On Loan: No      |
| BRAVO Residential Funding Trust                                                  | BRAVO Residential Funding Trust, Series 2023-NQM6, Class B1                                                       | CUSIP: 10569DAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     151000 | PA      | $152123.12    | 0.02%             | 2063-09-25      | Variable      | 8.00%                 | No            | 2                  | On Loan: No      |
| EQT Corp.                                                                        | EQT Corp.                                                                                                         | CUSIP: 26884LAN9<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |    2318000 | PA      | $2148531.65   | 0.24%             | 2031-05-15      | Fixed         | 3.62%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 3132JNVH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4314 | PA      | $4193.01      | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| AT&T, Inc.                                                                       | AT&T, Inc.                                                                                                        | CUSIP: 00206RMN9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     887000 | PA      | $620635.04    | 0.07%             | 2057-12-01      | Fixed         | 3.80%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138ETBX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15757 | PA      | $15387.92     | 0.00%             | 2031-03-01      | Fixed         | 3.00%                 | 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        |     105000 | PA      | $96034.17     | 0.01%             | 2033-03-10      | Fixed         | 3.45%                 | No            | 2                  | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                                  | CHL Mortgage Pass-Through Trust, Series 2006-OA4, Class A1                                                        | CUSIP: 126694E95<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     128397 | PA      | $34923.86     | 0.00%             | 2046-04-25      | Floating      | 5.36%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 3132QTHA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15958 | PA      | $15448.54     | 0.00%             | 2045-10-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QKWP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      53581 | PA      | $51591.29     | 0.01%             | 2036-05-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Toorak Mortgage Trust                                                            | Toorak Mortgage Trust, Series 2024-2, Class A1                                                                    | CUSIP: 89055KAA0<br>LEI: 254900ZRJRVK75Z6JJ57 | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $99793.91     | 0.01%             | 2031-10-25      | Variable      | 6.33%                 | No            | 2                  | On Loan: No      |
| ACE Securities Corp. Home Equity Loan Trust                                      | ACE Securities Corp. Home Equity Loan Trust, Series 2003-OP1, Class A2                                            | CUSIP: 004427BK5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     101095 | PA      | $96738.16     | 0.01%             | 2033-12-25      | Floating      | 5.15%                 | No            | 2                  | On Loan: No      |
| Charter Communications Operating LLC                                             | Charter Communications Operating LLC                                                                              | CUSIP: 161175CG7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     594000 | PA      | $382723.92    | 0.04%             | 2062-06-30      | Fixed         | 3.95%                 | 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        |     200000 | PA      | $189842.42    | 0.02%             | 2039-06-13      | Variable      | 3.54%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140HHWN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18840 | PA      | $17758.22     | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DVLW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     257401 | PA      | $207257.83    | 0.02%             | 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        |      27580 | PA      | $26110.00     | 0.00%             | 2036-12-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138YGYN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4449 | PA      | $4302.99      | 0.00%             | 2030-04-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Citicorp Mortgage Securities Trust                                               | Citicorp Mortgage Securities Trust, Series 2008-2, Class 1A1                                                      | CUSIP: 17314DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      43844 | PA      | $36633.94     | 0.00%             | 2038-06-25      | Fixed         | 6.50%                 | No            | 2                  | On Loan: No      |
| Republic of Panama                                                               | Republic of Panama                                                                                                | CUSIP: 698299BM5<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |     718000 | PA      | $466475.63    | 0.05%             | 2056-04-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QEP89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     791888 | PA      | $728704.64    | 0.08%             | 2050-08-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Oakwood Mortgage Investors, Inc.                                                 | Oakwood Mortgage Investors, Inc., Series 2001-D, Class A4                                                         | CUSIP: 67087TCW9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       7022 | PA      | $2968.77      | 0.00%             | 2031-09-15      | Variable      | 6.93%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WFGY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5686 | PA      | $5499.31      | 0.00%             | 2030-08-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Diamond II Ltd.                                                                  | Diamond II Ltd.                                                                                                   | CUSIP: N/A<br>LEI: 254900KL4GQ2XC50XL44       | Long             | DBT              | CORP              | MU        |     750000 | PA      | $756075.00    | 0.08%             | 2026-07-28      | Fixed         | 7.95%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Notes                                                                                               | CUSIP: 91282CHF1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3526500 | PA      | $3518648.04   | 0.39%             | 2030-05-31      | Fixed         | 3.75%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3133A8S40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      22894 | PA      | $20446.43     | 0.00%             | 2050-08-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust                           | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2024-IGLG, Class D                                 | CUSIP: 46593KAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $99913.04     | 0.01%             | 2039-11-09      | Variable      | 6.70%                 | No            | 2                  | On Loan: No      |
| Structured Asset Mortgage Investments II Trust                                   | Structured Asset Mortgage Investments II Trust, Series 2006-AR4, Class 3A1                                        | CUSIP: 86360QAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      48678 | PA      | $42283.41     | 0.00%             | 2036-06-25      | Floating      | 4.81%                 | No            | 2                  | On Loan: No      |
| Northwind Midstream                                                              | Northwind Midstream, 1st Lien Term Loan                                                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |     921000 | PA      | $903777.30    | 0.10%             | 2032-02-01      | Variable      | 6.25%                 | No            | 3                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-7297.85     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| KeyBank NA                                                                       | KeyBank NA                                                                                                        | CUSIP: 49327M3H5<br>LEI: HUX2X73FUCYHUVH1BK78 | Long             | DBT              | CORP              | US        |     786000 | PA      | $775618.96    | 0.09%             | 2033-01-26      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36179WVV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     141652 | PA      | $125385.01    | 0.01%             | 2052-01-20      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | USCPI                                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DO               |  | GB        |    1420500 | PA      | $2122.75      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | OIS                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   12449000 | PA      | $-11840.20    | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Elmwood CLO 36 Ltd.                                                              | Elmwood CLO 36 Ltd., Series 2024-12RA, Class AR                                                                   | CUSIP: 29004MAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $501704.55    | 0.06%             | 2037-10-20      | Floating      | 5.61%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 21H032670<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |    -400000 | PA      | $-363613.40   | -0.04%            | 2055-07-15      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31417FR75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      79421 | PA      | $71452.77     | 0.01%             | 2043-03-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| First Franklin Mortgage Loan Trust                                               | First Franklin Mortgage Loan Trust, Series 2006-FF17, Class A5                                                    | CUSIP: 32028KAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     258535 | PA      | $221923.68    | 0.02%             | 2036-12-25      | Floating      | 4.58%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36196FZG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10151 | PA      | $9334.36      | 0.00%             | 2046-10-20      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust                               | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C26, Class XD                                     | CUSIP: 61690VAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     120000 | PA      | $948.71       | 0.00%             | 2048-10-15      | Variable      | 1.39%                 | No            | 2                  | On Loan: No      |
| Antero Resources Corp.                                                           | Antero Resources Corp.                                                                                            | CUSIP: 03674XAS5<br>LEI: APVBKPOULHUX7YZLKU17 | Long             | DBT              | CORP              | US        |    2195000 | PA      | $2209043.61   | 0.25%             | 2030-03-01      | Fixed         | 5.38%                 | No            | 2                  | On Loan: No      |
| Warnermedia Holdings, Inc.                                                       | Warnermedia Holdings, Inc.                                                                                        | CUSIP: 55903VBA0<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    5245000 | PA      | $4881577.67   | 0.55%             | 2027-03-15      | Fixed         | 3.75%                 | No            | 2                  | On Loan: No      |
| J.P. Morgan Mortgage Trust                                                       | J.P. Morgan Mortgage Trust, Series 2024-VIS1, Class B2                                                            | CUSIP: 465970AF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     150000 | PA      | $148214.82    | 0.02%             | 2064-07-25      | Variable      | 8.07%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36179DEK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21689 | PA      | $20299.26     | 0.00%             | 2042-12-15      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QGKD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50027 | PA      | $47946.16     | 0.01%             | 2035-12-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XBNR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4535031 | PA      | $4129358.40   | 0.46%             | 2051-01-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| EFMT                                                                             | Ellington Financial Mortgage Trust, Series 2024-NQM1, Class A1A                                                   | CUSIP: 26845DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     181111 | PA      | $181689.37    | 0.02%             | 2069-11-25      | Variable      | 5.71%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140J6DA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1986 | PA      | $1912.02      | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp.        | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 01F062671<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -2087000 | PA      | $-2154778.69  | -0.24%            | 2055-07-25      | Fixed         | 6.50%                 | No            | 2                  | On Loan: No      |
| Cross Mortgage Trust                                                             | Cross Mortgage Trust, Series 2023-H2, Class A1A                                                                   | CUSIP: 22757NAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      96644 | PA      | $98099.71     | 0.01%             | 2068-11-25      | Variable      | 7.13%                 | No            | 2                  | On Loan: No      |
| Irwin Home Equity Loan Trust                                                     | Irwin Home Equity Loan Trust, Series 2006-3, Class 2A3                                                            | CUSIP: 464125AD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       2661 | PA      | $2669.47      | 0.00%             | 2037-09-25      | Variable      | 6.53%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WD6X4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1424 | PA      | $1380.27      | 0.00%             | 2030-02-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                           | Velocity Commercial Capital Loan Trust, Series 2025-1, Class M1                                                   | CUSIP: 922955AD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     898849 | PA      | $909529.37    | 0.10%             | 2055-02-25      | Variable      | 6.68%                 | 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        |       2437 | PA      | $2359.38      | 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        |     145460 | PA      | $130270.23    | 0.01%             | 2046-12-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| JPMorgan Chase & Co.                                                             | JPMorgan Chase & Co.                                                                                              | CUSIP: 46647PEP7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    2075000 | PA      | $2081205.76   | 0.23%             | 2028-10-22      | Variable      | 4.50%                 | No            | 2                  | On Loan: No      |
| Expand Energy Corp.                                                              | Expand Energy Corp.                                                                                               | CUSIP: 845467AR0<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |     821000 | PA      | $821764.09    | 0.09%             | 2029-02-01      | Fixed         | 5.38%                 | No            | 2                  | On Loan: No      |
| University of California                                                         | University of California, Series 2012AD                                                                           | CUSIP: 91412GHA6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      75000 | PA      | $62935.03     | 0.01%             | 2112-05-15      | Fixed         | 4.86%                 | 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      | $2299.60      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DP3F3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     102766 | PA      | $104612.13    | 0.01%             | 2053-03-01      | Fixed         | 6.00%                 | 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        |      10711 | PA      | $9880.78      | 0.00%             | 2044-06-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp. Seasoned Credit Risk Transfer Trust Variable Rate Notes, Series 2018-1, Class BX | CUSIP: 35563PEX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      18483 | PA      | $8179.08      | 0.00%             | 2057-05-25      | Variable      | 3.49%                 | No            | 2                  | On Loan: No      |
| Last Mile Logistics Pan Euro Finance DAC                                         | Last Mile Logistics Pan Euro Finance DAC, Series 1X, Class E                                                      | CUSIP: N/A<br>LEI: 635400NOPX1IKIAX7N90       | Long             | ABS-MBS          | CORP              | IE        |     114877 | PA      | $133678.42    | 0.01%             | 2033-08-17      | Floating      | 4.83%                 | 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        |       9543 | PA      | $8772.25      | 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        |     131755 | PA      | $115152.63    | 0.01%             | 2052-05-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Wells Fargo & Co.                                                                | Wells Fargo & Co.                                                                                                 | CUSIP: 95000U3V3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      79000 | PA      | $81545.33     | 0.01%             | 2036-04-23      | Variable      | 5.61%                 | No            | 2                  | On Loan: No      |
| Bayview Financial Revolving Asset Trust                                          | Bayview Financial Revolving Asset Trust, Series 2004-B, Class A1                                                  | CUSIP: 073250BE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      52493 | PA      | $43120.07     | 0.00%             | 2039-05-28      | Floating      | 5.44%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WPHP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5984 | PA      | $5405.91      | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | SOP                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   12736000 | PA      | $25937.12     | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Corp. Nacional del Cobre de Chile                                                | Corp. Nacional del Cobre de Chile                                                                                 | CUSIP: N/A<br>LEI: 549300UVMBCBCIPSUI70       | Long             | DBT              | NUSS              | CL        |     389000 | PA      | $405921.50    | 0.05%             | 2036-01-26      | Fixed         | 6.44%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Notes                                                                                               | CUSIP: 912828X88<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1195000 | PA      | $1165451.76   | 0.13%             | 2027-05-15      | Fixed         | 2.38%                 | No            | 2                  | On Loan: No      |
| Morgan Stanley                                                                   | Morgan Stanley                                                                                                    | CUSIP: 61747YFK6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $1020948.86   | 0.11%             | 2030-01-16      | Variable      | 5.17%                 | No            | 2                  | On Loan: No      |
| Alternative Loan Trust                                                           | Alternative Loan Trust, Series 2006-15CB, Class A1                                                                | CUSIP: 021467AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       7532 | PA      | $3439.94      | 0.00%             | 2036-06-25      | Fixed         | 6.50%                 | No            | 2                  | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                                  | Goldman Sachs Group, Inc. (The)                                                                                   | CUSIP: 38141GC93<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     839000 | PA      | $860118.85    | 0.10%             | 2031-04-23      | Variable      | 5.22%                 | No            | 2                  | On Loan: No      |
| BRAVO Residential Funding Trust                                                  | BRAVO Residential Funding Trust, Series 2024-CES2, Class A1A                                                      | CUSIP: 10570PAA1<br>LEI: 2549009UFWL9U1TS6959 | Long             | ABS-O            | CORP              | US        |     133581 | PA      | $134045.53    | 0.02%             | 2054-09-25      | Variable      | 5.55%                 | No            | 2                  | On Loan: No      |
| IREN Ltd.                                                                        | IREN Ltd., Series IREN                                                                                            | CUSIP: 46270CAC3<br>LEI: 254900FZF02RB3NNGB71 | Long             | DBT              | CORP              | AU        |      71000 | PA      | $91803.00     | 0.01%             | 2029-12-15      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Mong Duong Finance Holdings BV                                                   | Mong Duong Finance Holdings BV                                                                                    | CUSIP: N/A<br>LEI: 549300995KGQFMWSV879       | Long             | DBT              | CORP              | NL        |     508200 | PA      | $495685.26    | 0.06%             | 2029-05-07      | Fixed         | 5.12%                 | No            | 2                  | On Loan: No      |
| Broadcom, Inc.                                                                   | Broadcom, Inc.                                                                                                    | CUSIP: 11135FCD1<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     443000 | PA      | $437648.00    | 0.05%             | 2034-10-15      | Fixed         | 4.80%                 | No            | 2                  | On Loan: No      |
| Deutsche Alt-B Securities Mortgage Loan Trust                                    | Deutsche Alt-B Securities Mortgage Loan Trust, Series 2006-AB3, Class A8                                          | CUSIP: 25151EAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       6003 | PA      | $5227.43      | 0.00%             | 2036-07-25      | Variable      | 6.36%                 | 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      | $-5431.39     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Foundry JV Holdco LLC                                                            | Foundry JV Holdco LLC                                                                                             | CUSIP: 350930AH6<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |     272000 | PA      | $281414.78    | 0.03%             | 2036-01-25      | Fixed         | 6.10%                 | No            | 2                  | On Loan: No      |
| 245 Park Avenue Trust                                                            | 245 Park Avenue Trust, Series 2017-245P, Class E                                                                  | CUSIP: 90187LAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     200000 | PA      | $186950.94    | 0.02%             | 2037-06-05      | Variable      | 3.78%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XGPR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     268175 | PA      | $245691.65    | 0.03%             | 2037-03-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Cheniere Energy Partners LP                                                      | Cheniere Energy Partners LP                                                                                       | CUSIP: 16411QAQ4<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |     570000 | PA      | $594986.14    | 0.07%             | 2033-06-30      | Fixed         | 5.95%                 | No            | 2                  | On Loan: No      |
| Southern Co. (The)                                                               | Southern Co. (The)                                                                                                | CUSIP: 842587DR5<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |     108000 | PA      | $109884.23    | 0.01%             | 2033-06-15      | Fixed         | 5.20%                 | No            | 2                  | On Loan: No      |
| MidAmerican Energy Co.                                                           | MidAmerican Energy Co.                                                                                            | CUSIP: 595620AS4<br>LEI: NINLOILYRTLIMK26MZ18 | Long             | DBT              | CORP              | US        |     145000 | PA      | $108463.45    | 0.01%             | 2048-08-01      | Fixed         | 3.65%                 | No            | 2                  | On Loan: No      |
| Kinder Morgan, Inc.                                                              | Kinder Morgan, Inc.                                                                                               | CUSIP: 49456B101<br>LEI: 549300WR7IX8XE0TBO16 | Long             | EC               | CORP              | US        |       3251 | NS      | $95579.40     | 0.01%             |  |  |  | No            | 1                  | On Loan: No      |
| N/A                                                                              | Forward Foreign Currency Contract                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-4545.48     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QDS54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      55412 | PA      | $51197.10     | 0.01%             | 2035-06-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Discovery Communications LLC                                                     | Discovery Communications LLC                                                                                      | CUSIP: 25470DBS7<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |     563000 | PA      | $538025.32    | 0.06%             | 2028-03-20      | Fixed         | 3.95%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Notes                                                                                               | CUSIP: 91282CDW8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      62000 | PA      | $57921.56     | 0.01%             | 2029-01-31      | Fixed         | 1.75%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 3132J7RZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13736 | PA      | $12429.77     | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Block, Inc.                                                                      | Block, Inc.                                                                                                       | CUSIP: 852234AP8<br>LEI: 549300OHIIUWSTIZME52 | Long             | DBT              | CORP              | US        |     157000 | PA      | $144011.12    | 0.02%             | 2031-06-01      | Fixed         | 3.50%                 | 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        |      83563 | PA      | $83107.34     | 0.01%             | 2067-07-25      | Variable      | 5.08%                 | No            | 2                  | On Loan: No      |
| Sixth Street CLO XIV Ltd.                                                        | Sixth Street CLO XIV Ltd., Series 2019-14A, Class A1R2                                                            | CUSIP: 83013NAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $249893.93    | 0.03%             | 2038-01-20      | Floating      | 5.47%                 | No            | 2                  | On Loan: No      |
| Credit-Based Asset Servicing & Securitization LLC                                | Credit-Based Asset Servicing & Securitization LLC, Series 2006-MH1, Class B1                                      | CUSIP: 1248P8AK5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      39326 | PA      | $39070.51     | 0.00%             | 2036-10-25      | Variable      | 6.75%                 | No            | 2                  | On Loan: No      |
| Sage AR Funding                                                                  | Sage AR Funding, Series 2025-1X, Class C                                                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | GB        |     100000 | PA      | $138107.94    | 0.02%             | 2037-05-17      | Floating      | 6.64%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QNJL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      82316 | PA      | $75816.18     | 0.01%             | 2037-03-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36196FZE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10436 | PA      | $9621.41      | 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        |    2340000 | PA      | $2201153.90   | 0.25%             | 2027-05-31      | Fixed         | 0.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QQ3U7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     362834 | PA      | $371251.59    | 0.04%             | 2052-12-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Ohio Power Co.                                                                   | Ohio Power Co., Series Q                                                                                          | CUSIP: 677415CT6<br>LEI: 06ZODLC132CY1O2Y7D77 | Long             | DBT              | CORP              | US        |     136000 | PA      | $115440.85    | 0.01%             | 2031-01-15      | Fixed         | 1.62%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36179RF95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     137087 | PA      | $127576.81    | 0.01%             | 2045-06-20      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| 2023-MIC Trust                                                                   | 2023-MIC Trust, Series 2023-MIC, Class A                                                                          | CUSIP: 87256GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      70000 | PA      | $76330.58     | 0.01%             | 2038-12-05      | Variable      | 8.73%                 | No            | 2                  | On Loan: No      |
| Select Medical Corp.                                                             | Select Medical Corp.                                                                                              | CUSIP: 816196AV1<br>LEI: 549300X05KS0JKR8CB50 | Long             | DBT              | CORP              | US        |      89000 | PA      | $89531.42     | 0.01%             | 2032-12-01      | Fixed         | 6.25%                 | No            | 2                  | On Loan: No      |
| Diamondback Energy, Inc.                                                         | Diamondback Energy, Inc.                                                                                          | CUSIP: 25278XBB4<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |     300000 | PA      | $277659.16    | 0.03%             | 2064-04-18      | Fixed         | 5.90%                 | 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      | $159.00       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QRXY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     278702 | PA      | $285859.93    | 0.03%             | 2053-04-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Lehman ABS Manufactured Housing Contract Trust                                   | Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class M1                                           | CUSIP: 52519SAL7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      11524 | PA      | $11616.39     | 0.00%             | 2040-04-15      | Variable      | 6.63%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36202FDW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1173 | PA      | $1164.21      | 0.00%             | 2040-01-20      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Meta Platforms, Inc.                                                             | Meta Platforms, Inc.                                                                                              | CUSIP: 30303M8R6<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |     105000 | PA      | $106139.82    | 0.01%             | 2063-05-15      | Fixed         | 5.75%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36179S5M5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      43677 | PA      | $40901.38     | 0.00%             | 2047-05-20      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 3132L8EV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     160315 | PA      | $143714.55    | 0.02%             | 2046-12-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | USCPI                                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DO               |  | GB        |    1135500 | PA      | $2081.24      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | IRS                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    1790910 | PA      | $119156.70    | 0.01%             |  |  |  | No            | 2                  | On Loan: No      |
| Transocean Titan Financing Ltd.                                                  | Transocean Titan Financing Ltd.                                                                                   | CUSIP: 89386MAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |      75095 | PA      | $76278.91     | 0.01%             | 2028-02-01      | Fixed         | 8.38%                 | No            | 2                  | On Loan: No      |
| New Residential Mortgage Loan Trust                                              | New Residential Mortgage Loan Trust, Series 2025-NQM1, Class A1                                                   | CUSIP: 64832DAC5<br>LEI: 213800CZKHCTHKMD9W65 | Long             | ABS-MBS          | CORP              | US        |     241912 | PA      | $243470.73    | 0.03%             | 2065-01-25      | Variable      | 0.00%                 | No            | 2                  | On Loan: No      |
| Warwick Capital CLO 5 Ltd.                                                       | Warwick Capital CLO 5 Ltd., Series 2024-5A, Class A1                                                              | CUSIP: 93656FAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     679000 | PA      | $680979.01    | 0.08%             | 2038-01-20      | Floating      | 5.68%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QGKA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     410848 | PA      | $385839.53    | 0.04%             | 2035-12-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31402QYX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      48823 | PA      | $49487.39     | 0.01%             | 2035-02-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XCV39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     146271 | PA      | $134117.14    | 0.02%             | 2036-09-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| FTA Consumo Santander                                                            | FTA Consumo Santander, Series 7, Class B                                                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | ES        |      86311 | PA      | $101944.73    | 0.01%             | 2038-07-20      | Floating      | 3.56%                 | 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      | $6.41         | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Elmwood CLO 38 Ltd.                                                              | Elmwood CLO 38 Ltd., Series 2025-1A, Class A                                                                      | CUSIP: 289908AA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $249768.88    | 0.03%             | 2038-04-22      | Floating      | 5.43%                 | No            | 2                  | On Loan: No      |
| MASTR Specialized Loan Trust                                                     | MASTR Specialized Loan Trust, Series 2006-3, Class A                                                              | CUSIP: 57643BAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       5548 | PA      | $5426.56      | 0.00%             | 2046-06-25      | Floating      | 4.95%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XKHJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     394931 | PA      | $402287.18    | 0.05%             | 2053-01-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36202FPF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15405 | PA      | $14731.14     | 0.00%             | 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        |     220317 | PA      | $177189.19    | 0.02%             | 2051-04-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| T-Mobile USA, Inc.                                                               | T-Mobile USA, Inc.                                                                                                | CUSIP: 87264ABX2<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     265000 | PA      | $229776.82    | 0.03%             | 2031-11-15      | Fixed         | 2.25%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36179UQ62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      33662 | PA      | $32875.13     | 0.00%             | 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        |     525556 | PA      | $443154.89    | 0.05%             | 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        |    1297000 | PA      | $1146094.48   | 0.13%             | 2032-10-21      | Variable      | 2.65%                 | No            | 2                  | On Loan: No      |
| Northrop Grumman Corp.                                                           | Northrop Grumman Corp.                                                                                            | CUSIP: 666807BU5<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |     260000 | PA      | $243653.95    | 0.03%             | 2050-05-01      | Fixed         | 5.25%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WHFF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8429 | PA      | $7510.92      | 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        |      21612 | PA      | $19570.71     | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Duke Energy Corp.                                                                | Duke Energy Corp.                                                                                                 | CUSIP: 26441CCF0<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |     752000 | PA      | $734249.71    | 0.08%             | 2054-06-15      | Fixed         | 5.80%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3133WGB95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      51590 | PA      | $53627.07     | 0.01%             | 2054-07-01      | Fixed         | 6.50%                 | No            | 2                  | On Loan: No      |
| T-Mobile USA, Inc.                                                               | T-Mobile USA, Inc.                                                                                                | CUSIP: 87264ACV5<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     204000 | PA      | $207805.82    | 0.02%             | 2033-01-15      | Fixed         | 5.20%                 | No            | 2                  | On Loan: No      |
| Angel Oak Mortgage Trust                                                         | Angel Oak Mortgage Trust, Series 2025-2, Class A1                                                                 | CUSIP: 03466QAA1<br>LEI: 254900DKH168ZWJSMI96 | Long             | ABS-MBS          | CORP              | US        |     309386 | PA      | $310249.47    | 0.03%             | 2070-02-25      | Variable      | 5.64%                 | No            | 2                  | On Loan: No      |
| CSMC Trust                                                                       | CSMC Trust, Series 2022-NQM6, Class PT                                                                            | CUSIP: 12663YAM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     236219 | PA      | $234841.56    | 0.03%             | 2067-12-25      | Variable      | 8.85%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36179XQR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     359804 | PA      | $305840.66    | 0.03%             | 2053-01-20      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| AT&T, Inc.                                                                       | AT&T, Inc.                                                                                                        | CUSIP: 00206RKJ0<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     674000 | PA      | $456201.86    | 0.05%             | 2053-09-15      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| State of Texas                                                                   | State of Texas, Series 2009A                                                                                      | CUSIP: 882722KF7<br>LEI: 549300X9CH74QB747L76 | Long             | DBT              | MUN               | US        |     345000 | PA      | $355028.75    | 0.04%             | 2039-04-01      | Fixed         | 5.52%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Notes                                                                                               | CUSIP: 91282CAL5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1673500 | PA      | $1553870.89   | 0.17%             | 2027-09-30      | Fixed         | 0.38%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QM4T8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     260458 | PA      | $219945.10    | 0.02%             | 2052-01-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Volcan Cia Minera SAA                                                            | Volcan Cia Minera SAA                                                                                             | CUSIP: 92863UAC0<br>LEI: 549300XKJ91C4SZLG750 | Long             | DBT              | CORP              | PE        |       9000 | PA      | $8915.63      | 0.00%             | 2030-01-24      | Fixed         | 8.75%                 | No            | 2                  | On Loan: No      |
| Cameron LNG LLC                                                                  | Cameron LNG LLC                                                                                                   | CUSIP: 133434AC4<br>LEI: 549300C39FLHGVD73K22 | Long             | DBT              | CORP              | US        |    1079000 | PA      | $919341.96    | 0.10%             | 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        |       8734 | PA      | $8488.74      | 0.00%             | 2032-12-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Cheniere Energy Partners LP                                                      | Cheniere Energy Partners LP                                                                                       | CUSIP: 16411QAV3<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |     235000 | PA      | $236847.60    | 0.03%             | 2035-10-30      | Fixed         | 5.55%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Bonds                                                                                               | CUSIP: 912810QK7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     372000 | PA      | $342225.47    | 0.04%             | 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        |       7618 | PA      | $7597.87      | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| SM Energy Co.                                                                    | SM Energy Co.                                                                                                     | CUSIP: 78454LAX8<br>LEI: 84BUTVXV5ODI6BXNMH43 | Long             | DBT              | CORP              | US        |      10000 | PA      | $9963.24      | 0.00%             | 2029-08-01      | Fixed         | 6.75%                 | No            | 2                  | On Loan: No      |
| Bear Stearns Mortgage Funding Trust                                              | Bear Stearns Mortgage Funding Trust, Series 2007-AR2, Class A1                                                    | CUSIP: 07401TAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      61204 | PA      | $58235.00     | 0.01%             | 2037-03-25      | Floating      | 4.77%                 | No            | 2                  | On Loan: No      |
| WOM Mobile SA                                                                    | WOM Mobile SA                                                                                                     | CUSIP: 97810LAA7<br>LEI: 549300T600VUO0QJ3063 | Long             | DBT              | CORP              | CL        |      15796 | PA      | $15536.16     | 0.00%             | 2031-04-01      | Variable      | 11.00%                | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31417GLT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      49901 | PA      | $45048.30     | 0.01%             | 2043-05-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Alternative Loan Trust                                                           | Alternative Loan Trust, Series 2005-76, Class 2A1                                                                 | CUSIP: 12668BDE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      11323 | PA      | $10292.50     | 0.00%             | 2036-02-25      | Floating      | 5.40%                 | No            | 2                  | On Loan: No      |
| Paramount Global                                                                 | Paramount Global                                                                                                  | CUSIP: 92553PBB7<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |     180000 | PA      | $175908.15    | 0.02%             | 2026-10-04      | Fixed         | 3.70%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31418ECG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1388932 | PA      | $1193003.49   | 0.13%             | 2042-03-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp.        | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 01F030470<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     203000 | PA      | $193543.50    | 0.02%             | 2040-07-25      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140J8ZR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     119708 | PA      | $116516.35    | 0.01%             | 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        |     110000 | PA      | $3929.12      | 0.00%             | 2050-06-15      | Variable      | 2.29%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138XYBY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12466 | PA      | $11715.03     | 0.00%             | 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        |       1800 | PA      | $1756.30      | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 3132KE2B0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5831 | PA      | $5652.88      | 0.00%             | 2030-03-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| FirstEnergy Transmission LLC                                                     | FirstEnergy Transmission LLC                                                                                      | CUSIP: 33767BAH2<br>LEI: 549300AINIIPOLYX2R63 | Long             | DBT              | CORP              | US        |    1141000 | PA      | $1128720.19   | 0.13%             | 2035-01-15      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Pacific Gas & Electric Co.                                                       | Pacific Gas & Electric Co.                                                                                        | CUSIP: 694308HR1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     239000 | PA      | $171112.74    | 0.02%             | 2046-12-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| GSR Mortgage Loan Trust                                                          | GSR Mortgage Loan Trust, Series 2007-1F, Class 2A4                                                                | CUSIP: 3622MPAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        905 | PA      | $1726.60      | 0.00%             | 2037-01-25      | Fixed         | 5.50%                 | 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      | $333.43       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Morgan Stanley ABS Capital I, Inc. Trust                                         | Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-HE1, Class A2MZ                                             | CUSIP: 61744CKH8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     155481 | PA      | $146341.44    | 0.02%             | 2034-12-25      | Floating      | 5.03%                 | No            | 2                  | On Loan: No      |
| GoodLeap Home Improvement Solutions Trust                                        | GoodLeap Home Improvement Solutions Trust, Series 2025-1A, Class B                                                | CUSIP: 38237EAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     110469 | PA      | $112957.58    | 0.01%             | 2049-02-20      | Fixed         | 6.27%                 | No            | 2                  | On Loan: No      |
| Port Authority of New York & New Jersey                                          | Port Authority of New York & New Jersey, Series 2010-165                                                          | CUSIP: 73358WCX0<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |     120000 | PA      | $125436.76    | 0.01%             | 2040-11-01      | Fixed         | 5.65%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3133BUJD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     398530 | PA      | $401894.65    | 0.04%             | 2053-01-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Bank of America Corp.                                                            | Bank of America Corp.                                                                                             | CUSIP: 06051GMM8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     115000 | PA      | $118244.67    | 0.01%             | 2036-01-24      | Variable      | 5.51%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Notes                                                                                               | CUSIP: 91282CCP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4194800 | PA      | $4046834.97   | 0.45%             | 2026-07-31      | Fixed         | 0.62%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Bonds                                                                                               | CUSIP: 912810UF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1294000 | PA      | $1266704.69   | 0.14%             | 2044-11-15      | Fixed         | 4.62%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36179WQA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     738489 | PA      | $627729.28    | 0.07%             | 2051-10-20      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| ReNew Pvt Ltd.                                                                   | ReNew Pvt Ltd.                                                                                                    | CUSIP: N/A<br>LEI: 335800BITJZHVZ1CN475       | Long             | DBT              | CORP              | IN        |     700000 | PA      | $694295.00    | 0.08%             | 2027-03-05      | Fixed         | 5.88%                 | 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        |      25425 | PA      | $24927.38     | 0.00%             | 2057-12-25      | Variable      | 4.25%                 | No            | 2                  | On Loan: No      |
| Continuum Green Energy India Pvt                                                 | Continuum Green Energy India Pvt                                                                                  | CUSIP: N/A<br>LEI: 335800ZNO2SOIWFPSQ56       | Long             | DBT              | CORP              | IN        |     684075 | PA      | $703742.16    | 0.08%             | 2033-06-26      | Fixed         | 7.50%                 | No            | 2                  | On Loan: No      |
| SoftBank Group Corp.                                                             | SoftBank Group Corp.                                                                                              | CUSIP: N/A<br>LEI: 5493003BZYYYCDIO0R13       | Long             | DBT              | CORP              | JP        |     450000 | PA      | $460901.35    | 0.05%             | 2031-07-08      | Fixed         | 7.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140L6BK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     154211 | PA      | $124408.34    | 0.01%             | 2051-04-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| VICI Properties LP                                                               | VICI Properties LP                                                                                                | CUSIP: 92564RAL9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     579000 | PA      | $560099.69    | 0.06%             | 2029-02-15      | Fixed         | 3.88%                 | No            | 2                  | On Loan: No      |
| AppLovin Corp.                                                                   | AppLovin Corp.                                                                                                    | CUSIP: 03831WAE8<br>LEI: 549300LLVXMUAOL3SQ07 | Long             | DBT              | CORP              | US        |     881000 | PA      | $860412.23    | 0.10%             | 2054-12-01      | Fixed         | 5.95%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QEB50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     337779 | PA      | $285080.37    | 0.03%             | 2050-07-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| A&D Mortgage Trust                                                               | A&D Mortgage Trust, Series 2024-NQM5, Class M1                                                                    | CUSIP: 00039KAF7<br>LEI: 9845006Z1DC68561N347 | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $101332.31    | 0.01%             | 2069-11-25      | Variable      | 6.52%                 | No            | 2                  | On Loan: No      |
| Bear Stearns Mortgage Funding Trust                                              | Bear Stearns Mortgage Funding Trust, Series 2006-SL1, Class A1                                                    | CUSIP: 07400WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       8771 | PA      | $8666.55      | 0.00%             | 2036-08-25      | Floating      | 4.71%                 | No            | 2                  | On Loan: No      |
| RFMSI Trust                                                                      | RFMSI Trust, Series 2006-SA4, Class 2A1                                                                           | CUSIP: 74958CAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      41669 | PA      | $34227.80     | 0.00%             | 2036-11-25      | Variable      | 5.54%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WC7G2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11126 | PA      | $10897.10     | 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        |       4216 | PA      | $4076.44      | 0.00%             | 2040-08-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| EFMT                                                                             | Ellington Financial Mortgage Trust, Series 2025-INV1, Class A1                                                    | CUSIP: 26846XAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     249060 | PA      | $249698.51    | 0.03%             | 2070-03-25      | Variable      | 5.63%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Notes                                                                                               | CUSIP: 91282CAH4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4576300 | PA      | $4272226.33   | 0.48%             | 2027-08-31      | Fixed         | 0.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QM5X8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14281 | PA      | $12470.38     | 0.00%             | 2052-01-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| GreenSky Home Improvement Issuer Trust                                           | GreenSky Home Improvement Issuer Trust, Series 2024-2, Class B                                                    | CUSIP: 39571XAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     100000 | PA      | $100566.82    | 0.01%             | 2059-10-27      | Fixed         | 5.26%                 | No            | 2                  | On Loan: No      |
| Last Mile Securities PE DAC                                                      | Last Mile Securities PE DAC, Series 2021-1X, Class D                                                              | CUSIP: N/A<br>LEI: 635400UJZKP57EXKMQ33       | Long             | ABS-MBS          | CORP              | IE        |     202958 | PA      | $239145.88    | 0.03%             | 2031-08-17      | Floating      | 4.48%                 | No            | 2                  | On Loan: No      |
| CSMC Trust                                                                       | CSMC Trust, Series 2022-NQM3, Class A1B                                                                           | CUSIP: 12661NAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     168000 | PA      | $164022.95    | 0.02%             | 2067-03-25      | Variable      | 4.26%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Bonds                                                                                               | CUSIP: 912810SQ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1670000 | PA      | $1027376.17   | 0.12%             | 2040-08-15      | Fixed         | 1.12%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 21H042679<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3670000 | PA      | $3512402.79   | 0.39%             | 2055-07-15      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Ashton Woods USA LLC                                                             | Ashton Woods USA LLC                                                                                              | CUSIP: 045086AK1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     176000 | PA      | $176726.70    | 0.02%             | 2028-01-15      | Fixed         | 6.62%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DMUR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     489288 | PA      | $436895.20    | 0.05%             | 2050-09-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Wells Fargo & Co.                                                                | Wells Fargo & Co.                                                                                                 | CUSIP: 95000U3D3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     788000 | PA      | $806318.73    | 0.09%             | 2034-04-24      | Variable      | 5.39%                 | No            | 2                  | On Loan: No      |
| Wynn Macau Ltd.                                                                  | Wynn Macau Ltd.                                                                                                   | CUSIP: N/A<br>LEI: 254900NMDQ8ENTHU1I31       | Long             | DBT              | CORP              | KY        |     400000 | PA      | $392300.00    | 0.04%             | 2028-08-26      | Fixed         | 5.62%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | USD Currency                                                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | GB        |  -13257000 | PA      | $-71314.02    | -0.01%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                              | CDS                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     849000 | PA      | $-3977.82     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XGPU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     455199 | PA      | $361504.78    | 0.04%             | 2051-11-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Genius Sports Ltd.                                                               | Genius Sports Ltd.                                                                                                | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | GG        |      37474 | NS      | $389729.60    | 0.04%             |  |  |  | No            | 1                  | On Loan: No      |
| Credit-Based Asset Servicing & Securitization LLC                                | Credit-Based Asset Servicing & Securitization LLC, Series 2006-CB2, Class AF4                                     | CUSIP: 12498NAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       9496 | PA      | $7719.81      | 0.00%             | 2036-12-25      | Variable      | 2.99%                 | No            | 2                  | On Loan: No      |
| HCA, Inc.                                                                        | HCA, Inc.                                                                                                         | CUSIP: 404119DA4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     127000 | PA      | $131068.10    | 0.01%             | 2032-03-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Duke Energy Corp.                                                                | Duke Energy Corp.                                                                                                 | CUSIP: 26441CAY1<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |     207000 | PA      | $155549.09    | 0.02%             | 2047-08-15      | Fixed         | 3.95%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36196FZF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13152 | PA      | $12110.16     | 0.00%             | 2046-10-20      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Conseco Finance Corp.                                                            | Conseco Finance Corp., Series 1997-6, Class M1                                                                    | CUSIP: 393505XH0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       5869 | PA      | $5969.80      | 0.00%             | 2029-01-15      | Variable      | 7.21%                 | No            | 2                  | On Loan: No      |
| INV Mortgage Trust                                                               | INV Mortgage Trust, Series 2024-IND, Class A                                                                      | CUSIP: 45000DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     220000 | PA      | $219874.31    | 0.02%             | 2041-11-15      | Floating      | 6.05%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3133KQGC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     203751 | PA      | $201900.39    | 0.02%             | 2052-12-01      | Fixed         | 5.00%                 | 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        |      25796 | PA      | $26550.84     | 0.00%             | 2041-06-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| William Carter Co. (The)                                                         | William Carter Co. (The)                                                                                          | CUSIP: 96926JAC1<br>LEI: TGI2A0HXEYNQPU7TYV27 | Long             | DBT              | CORP              | US        |      86000 | PA      | $85465.40     | 0.01%             | 2027-03-15      | Fixed         | 5.62%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31418DTQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     467251 | PA      | $372822.27    | 0.04%             | 2050-10-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Turk Telekomunikasyon A/S                                                        | Turk Telekomunikasyon A/S                                                                                         | CUSIP: N/A<br>LEI: 789000A2TXOI10JZLF90       | Long             | DBT              | CORP              | TR        |     324000 | PA      | $330379.56    | 0.04%             | 2029-05-20      | Fixed         | 7.38%                 | No            | 2                  | On Loan: No      |
| Oriental Republic of Uruguay                                                     | Oriental Republic of Uruguay                                                                                      | CUSIP: 760942BB7<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |     178758 | PA      | $179204.90    | 0.02%             | 2027-10-27      | Fixed         | 4.38%                 | 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        |       3132 | PA      | $3087.12      | 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        |      11619 | PA      | $11344.50     | 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        |    1915751 | PA      | $1618335.02   | 0.18%             | 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        |     567167 | PA      | $478471.78    | 0.05%             | 2052-01-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138YBX73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8824 | PA      | $8623.63      | 0.00%             | 2030-07-01      | 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      | $3716.77      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| American Home Mortgage Assets Trust                                              | American Home Mortgage Assets Trust, Series 2006-3, Class 2A11                                                    | CUSIP: 02660UAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      39418 | PA      | $25572.27     | 0.00%             | 2046-10-25      | Floating      | 5.34%                 | No            | 2                  | On Loan: No      |
| Frontier Communications Holdings LLC                                             | Frontier Communications Holdings LLC                                                                              | CUSIP: 35906ABF4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     562000 | PA      | $561763.40    | 0.06%             | 2028-05-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| TCO Commercial Mortgage Trust                                                    | TCO Commercial Mortgage Trust, Series 2024-DPM, Class A                                                           | CUSIP: 87231EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     439000 | PA      | $438862.81    | 0.05%             | 2039-12-15      | Floating      | 5.55%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp.        | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 01F062671<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2087000 | PA      | $2154778.69   | 0.24%             | 2055-07-25      | Fixed         | 6.50%                 | No            | 2                  | On Loan: No      |
| KSL Trust 2025-MAK                                                               | KSL Trust                                                                                                         | CUSIP: 50116JAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     126000 | PA      | $128482.72    | 0.01%             | 2030-06-15      | Floating      | 0.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36179RD71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      35455 | PA      | $32998.89     | 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        |    2018000 | PA      | $1848377.17   | 0.21%             | 2031-03-24      | Fixed         | 3.12%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | CDSCMBX                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |      10000 | PA      | $-1165.62     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Option One Mortgage Loan Trust                                                   | Option One Mortgage Loan Trust, Series 2007-CP1, Class 2A3                                                        | CUSIP: 68402YAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      90000 | PA      | $77555.20     | 0.01%             | 2037-03-25      | Floating      | 4.64%                 | 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      | $-2752.23     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| SELF Commercial Mortgage Trust                                                   | SELF Commercial Mortgage Trust, Series 2024-STRG, Class A                                                         | CUSIP: 81631WAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     150000 | PA      | $150970.86    | 0.02%             | 2034-11-15      | Floating      | 5.85%                 | No            | 2                  | On Loan: No      |
| VICI Properties LP                                                               | VICI Properties LP                                                                                                | CUSIP: 92564RAE5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     159000 | PA      | $152611.22    | 0.02%             | 2030-08-15      | Fixed         | 4.12%                 | No            | 2                  | On Loan: No      |
| Targa Resources Corp.                                                            | Targa Resources Corp.                                                                                             | CUSIP: 87612GAA9<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |     767000 | PA      | $718679.28    | 0.08%             | 2033-02-01      | Fixed         | 4.20%                 | No            | 2                  | On Loan: No      |
| Duke Energy Florida LLC                                                          | Duke Energy Florida LLC                                                                                           | CUSIP: 26444HAJ0<br>LEI: 7MOHLM3DKE63RX2ZCN83 | Long             | DBT              | CORP              | US        |     111000 | PA      | $97908.41     | 0.01%             | 2030-06-15      | Fixed         | 1.75%                 | No            | 2                  | On Loan: No      |
| Civitas Resources, Inc.                                                          | Civitas Resources, Inc.                                                                                           | CUSIP: 097793AE3<br>LEI: IIVIHPH28S64K95M2381 | Long             | DBT              | CORP              | US        |      87000 | PA      | $85910.26     | 0.01%             | 2026-10-15      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 3132J8KH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      34619 | PA      | $31342.21     | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QLSU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      92195 | PA      | $86281.34     | 0.01%             | 2051-08-01      | Fixed         | 4.00%                 | 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        |       3322 | PA      | $3317.59      | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31418ELX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      93971 | PA      | $92651.12     | 0.01%             | 2052-12-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Flowco Holdings, Inc.                                                            | Flowco Holdings, Inc., Class A                                                                                    | CUSIP: 342909108<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      10196 | NS      | $181590.76    | 0.02%             |  |  |  | No            | 1                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QGJX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45800 | PA      | $40930.66     | 0.00%             | 2035-12-01      | Fixed         | 1.50%                 | 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        |       8417 | PA      | $8179.03      | 0.00%             | 2032-10-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140QELS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     557076 | PA      | $469782.58    | 0.05%             | 2050-08-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Charter Communications Operating LLC                                             | Charter Communications Operating LLC                                                                              | CUSIP: 161175CK8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      65000 | PA      | $55223.49     | 0.01%             | 2053-04-01      | Fixed         | 5.25%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36189MS74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2948 | PA      | $2755.53      | 0.00%             | 2046-10-20      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Taurus UK DAC                                                                    | Taurus UK DAC, Series 2025-UK2X, Class C                                                                          | CUSIP: N/A<br>LEI: 635400ZUSGYHROR9ZX12       | Long             | ABS-MBS          | CORP              | IE        |     104750 | PA      | $142635.51    | 0.02%             | 2035-02-18      | Floating      | 6.74%                 | No            | 2                  | On Loan: No      |
| PECO Energy Co.                                                                  | PECO Energy Co.                                                                                                   | CUSIP: 693304BG1<br>LEI: YH65D4JBECK76IFEJ279 | Long             | DBT              | CORP              | US        |      75000 | PA      | $71071.11     | 0.01%             | 2054-09-15      | Fixed         | 5.25%                 | No            | 2                  | On Loan: No      |
| Petroleos Mexicanos                                                              | Petroleos Mexicanos                                                                                               | CUSIP: N/A<br>LEI: 549300CAZKPF4HKMPX17       | Long             | DBT              | CORP              | MX        |     906000 | PA      | $891277.50    | 0.10%             | 2026-03-20      | Fixed         | 7.50%                 | No            | 2                  | On Loan: No      |
| DR Horton, Inc.                                                                  | DR Horton, Inc.                                                                                                   | CUSIP: 23331ABU2<br>LEI: 529900ZIUEYVSB8QDD25 | Long             | DBT              | CORP              | US        |     166000 | PA      | $169030.32    | 0.02%             | 2035-10-15      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Diamondback Energy, Inc.                                                         | Diamondback Energy, Inc.                                                                                          | CUSIP: 25278XAT6<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |     159000 | PA      | $119643.68    | 0.01%             | 2052-03-15      | Fixed         | 4.25%                 | 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        |       3851 | PA      | $3620.94      | 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        |     122989 | PA      | $108502.30    | 0.01%             | 2051-07-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36179NDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      24690 | PA      | $23087.08     | 0.00%             | 2043-05-20      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Embraer Netherlands Finance BV                                                   | Embraer Netherlands Finance BV                                                                                    | CUSIP: 29082HAE2<br>LEI: 724500PBR8LR26XBSP67 | Long             | DBT              | CORP              | NL        |     200000 | PA      | $205410.00    | 0.02%             | 2035-02-11      | Fixed         | 5.98%                 | 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        |      17549 | PA      | $16501.82     | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WKK87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25199 | PA      | $24172.19     | 0.00%             | 2032-03-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138LTL63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1110 | PA      | $1041.79      | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Federal Home Loan Mortgage Corp.                                                                                  | CUSIP: 31292LGY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      73797 | PA      | $69399.27     | 0.01%             | 2042-03-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138LTJF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32957 | PA      | $31783.41     | 0.00%             | 2042-05-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Kinder Morgan, Inc.                                                              | Kinder Morgan, Inc.                                                                                               | CUSIP: 49456BBC4<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |      64000 | PA      | $66341.41     | 0.01%             | 2035-06-01      | Fixed         | 5.85%                 | No            | 2                  | On Loan: No      |
| Regatta 30 Funding Ltd.                                                          | Regatta 30 Funding Ltd., Series 2024-4A, Class A1                                                                 | CUSIP: 75903UAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     800000 | PA      | $802648.88    | 0.09%             | 2038-01-25      | Floating      | 5.63%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Bonds                                                                                               | CUSIP: 912810QL5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     662900 | PA      | $635451.80    | 0.07%             | 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        |      30476 | PA      | $30457.66     | 0.00%             | 2048-09-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| European Union                                                                   | European Union, Series NGEU                                                                                       | CUSIP: N/A<br>LEI: 529900FZRK8FGMPEOM08       | Long             | DBT              | NUSS              | BE        |    6377196 | PA      | $6447051.48   | 0.72%             | 2053-03-04      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Bayview Financial Revolving Asset Trust                                          | Bayview Financial Revolving Asset Trust, Series 2005-A, Class A1                                                  | CUSIP: 073250BM3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      68503 | PA      | $61580.15     | 0.01%             | 2040-02-28      | Floating      | 5.44%                 | 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        |     135904 | PA      | $136074.47    | 0.02%             | 2031-04-20      | Floating      | 5.54%                 | No            | 2                  | On Loan: No      |
| BAHA Trust                                                                       | BAHA Trust, Series 2024-MAR, Class C                                                                              | CUSIP: 05493XAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     546000 | PA      | $569716.06    | 0.06%             | 2041-12-10      | Variable      | 7.77%                 | No            | 2                  | On Loan: No      |
| Crown Castle, Inc.                                                               | Crown Castle, Inc.                                                                                                | CUSIP: 22822VAT8<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |     179000 | PA      | $155723.83    | 0.02%             | 2031-01-15      | Fixed         | 2.25%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132CWSB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     680200 | PA      | $608276.82    | 0.07%             | 2036-04-01      | Fixed         | 1.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138Y4UY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1537 | PA      | $1497.57      | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138W5M21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20186 | PA      | $18227.33     | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 21H050672<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5164000 | PA      | $5071808.24   | 0.57%             | 2055-07-15      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XJTH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      90843 | PA      | $92926.25     | 0.01%             | 2052-11-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Duke Energy Ohio, Inc.                                                           | Duke Energy Ohio, Inc.                                                                                            | CUSIP: 26442EAL4<br>LEI: L6KC0HABGHNFU1Z6QY21 | Long             | DBT              | CORP              | US        |     161000 | PA      | $157285.71    | 0.02%             | 2054-03-15      | Fixed         | 5.55%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140EXEK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23406 | PA      | $22963.22     | 0.00%             | 2046-09-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Bonds                                                                                               | CUSIP: 912810QB7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      81000 | PA      | $78857.93     | 0.01%             | 2039-05-15      | Fixed         | 4.25%                 | No            | 2                  | On Loan: No      |
| Extra Space Storage LP                                                           | Extra Space Storage LP                                                                                            | CUSIP: 30225VAN7<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              | CORP              | US        |     142000 | PA      | $139256.57    | 0.02%             | 2029-06-15      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Verizon Communications, Inc.                                                     | Verizon Communications, Inc.                                                                                      | CUSIP: 92343VCQ5<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     354000 | PA      | $335971.96    | 0.04%             | 2034-11-01      | Fixed         | 4.40%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3133A04K7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      66748 | PA      | $60884.38     | 0.01%             | 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        |       9606 | PA      | $9011.39      | 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        |       6947 | PA      | $6813.99      | 0.00%             | 2043-11-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Olympic Tower Mortgage Trust                                                     | Olympic Tower Mortgage Trust, Series 2017-OT, Class E                                                             | CUSIP: 68162MAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     190000 | PA      | $142644.31    | 0.02%             | 2039-05-10      | Variable      | 4.08%                 | No            | 2                  | On Loan: No      |
| EQT Corp.                                                                        | EQT Corp.                                                                                                         | CUSIP: 26884LAR0<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |    1370000 | PA      | $1416535.38   | 0.16%             | 2034-02-01      | Fixed         | 5.75%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | Euro-Buxl                                                                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |        -21 | NC      | $37184.79     | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| HCA, Inc.                                                                        | HCA, Inc.                                                                                                         | CUSIP: 404119CQ0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     364000 | PA      | $372667.37    | 0.04%             | 2033-06-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| N/A                                                                              | USD/CAD One-touch barrier option; Barrier price USD 1.33500                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | GB        |     -18000 | PA      | $-1909.95     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| PRKCM Trust                                                                      | PRKCM Trust, Series 2023-AFC1, Class B1                                                                           | CUSIP: 693981AE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     498000 | PA      | $500142.89    | 0.06%             | 2058-02-25      | Variable      | 7.44%                 | 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        |      21165 | PA      | $19897.46     | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| GSMPS Mortgage Loan Trust                                                        | GSMPS Mortgage Loan Trust, Series 2006-RP1, Class 1AF1                                                            | CUSIP: 3623413C1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      23560 | PA      | $19015.81     | 0.00%             | 2036-01-25      | Floating      | 4.78%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3132DVMB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2681738 | PA      | $2258598.04   | 0.25%             | 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        |     469445 | PA      | $378902.77    | 0.04%             | 2052-01-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                                  | Goldman Sachs Group, Inc. (The)                                                                                   | CUSIP: 38141GB37<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     568000 | PA      | $572938.33    | 0.06%             | 2035-07-23      | Variable      | 5.33%                 | No            | 2                  | On Loan: No      |
| Cheniere Energy Partners LP                                                      | Cheniere Energy Partners LP                                                                                       | CUSIP: 16411QAN1<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |     176000 | PA      | $157772.78    | 0.02%             | 2032-01-31      | Fixed         | 3.25%                 | No            | 2                  | On Loan: No      |
| American Tower Corp.                                                             | American Tower Corp.                                                                                              | CUSIP: 03027XBA7<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |     249000 | PA      | $232023.66    | 0.03%             | 2030-01-15      | Fixed         | 2.90%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Notes                                                                                               | CUSIP: 91282CEE7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1984300 | PA      | $1890665.84   | 0.21%             | 2029-03-31      | Fixed         | 2.38%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140KKX33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      96555 | PA      | $77102.51     | 0.01%             | 2050-09-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Oriental Republic of Uruguay                                                     | Oriental Republic of Uruguay                                                                                      | CUSIP: 760942BA9<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |     533785 | PA      | $492149.77    | 0.06%             | 2050-06-18      | Fixed         | 5.10%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 21H062677<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1838000 | PA      | $1886761.40   | 0.21%             | 2055-07-15      | Fixed         | 6.50%                 | No            | 2                  | On Loan: No      |
| IREN Ltd.                                                                        | IREN Ltd.                                                                                                         | CUSIP: N/A<br>LEI: 254900FZF02RB3NNGB71       | Long             | EC               | CORP              | AU        |       4249 | NS      | $61907.93     | 0.01%             |  |  |  | No            | 1                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3138WFQ25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8859 | PA      | $8551.56      | 0.00%             | 2030-09-01      | 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      | $-96059.87    | -0.01%            |  |  |  | No            | 2                  | On Loan: No      |
| OCP CLO Ltd.                                                                     | OCP CLO Ltd., Series 2025-40A, Class A                                                                            | CUSIP: 67570FAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |     250000 | PA      | $249626.08    | 0.03%             | 2038-04-16      | Floating      | 5.46%                 | No            | 2                  | On Loan: No      |
| BX Commercial Mortgage Trust                                                     | BX Commercial Mortgage Trust, Series 2023-XL3, Class D                                                            | CUSIP: 12434GAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     123870 | PA      | $124234.65    | 0.01%             | 2040-12-09      | Floating      | 7.90%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XFG21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      67576 | PA      | $62366.09     | 0.01%             | 2037-01-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| J.P. Morgan Mortgage Trust                                                       | J.P. Morgan Mortgage Trust, Series 2024-VIS2, Class B1                                                            | CUSIP: 46658DAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     133000 | PA      | $133290.23    | 0.01%             | 2064-11-25      | Variable      | 7.72%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140XGMR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     135500 | PA      | $127304.06    | 0.01%             | 2052-04-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| VEGAS                                                                            | VEGAS, Series 2024-GCS, Class C                                                                                   | CUSIP: 92254BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     640000 | PA      | $630328.45    | 0.07%             | 2036-07-10      | Variable      | 6.42%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31416VXQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30082 | PA      | $29587.68     | 0.00%             | 2036-01-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Civitas Resources, Inc.                                                          | Civitas Resources, Inc.                                                                                           | CUSIP: 17888HAC7<br>LEI: IIVIHPH28S64K95M2381 | Long             | DBT              | CORP              | US        |      19000 | PA      | $19289.52     | 0.00%             | 2030-11-01      | Fixed         | 8.62%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3140J7R64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      83870 | PA      | $81711.41     | 0.01%             | 2047-11-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Bear Stearns Mortgage Funding Trust                                              | Bear Stearns Mortgage Funding Trust, Series 2007-AR4, Class 1A1                                                   | CUSIP: 07401YAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      25498 | PA      | $24179.68     | 0.00%             | 2047-09-25      | Floating      | 4.83%                 | No            | 2                  | On Loan: No      |
| Civitas Resources, Inc.                                                          | Civitas Resources, Inc.                                                                                           | CUSIP: 17888HAA1<br>LEI: IIVIHPH28S64K95M2381 | Long             | DBT              | CORP              | US        |      84000 | PA      | $86008.52     | 0.01%             | 2028-07-01      | Fixed         | 8.38%                 | No            | 2                  | On Loan: No      |
| BOCA Commercial Mortgage Trust                                                   | BOCA Commercial Mortgage Trust, Series 2024-BOCA, Class A                                                         | CUSIP: 096817AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $100250.00    | 0.01%             | 2041-08-15      | Floating      | 6.23%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                 | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 3133BEQS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15891 | PA      | $15708.38     | 0.00%             | 2052-06-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Symphony CLO XXVIII Ltd.                                                         | Symphony CLO XXVIII Ltd., Series 2021-28A, Class A                                                                | CUSIP: 87168BAC4<br>LEI: 54930054F3QGDZOYIH14 | Long             | ABS-CBDO         | CORP              | KY        |     520000 | PA      | $520608.61    | 0.06%             | 2034-10-23      | Floating      | 5.68%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                            | Uniform Mortgage-Backed Securities                                                                                | CUSIP: 31418CZ98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     103751 | PA      | $98148.47     | 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        |     960399 | PA      | $761709.36    | 0.09%             | 2051-08-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Southern Co. (The)                                                               | Southern Co. (The)                                                                                                | CUSIP: 842587EA1<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |     366000 | PA      | $357788.08    | 0.04%             | 2035-03-15      | Fixed         | 4.85%                 | No            | 2                  | On Loan: No      |
| United States of America                                                         | U.S. Treasury Bonds                                                                                               | CUSIP: 912810SW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1249900 | PA      | $859696.84    | 0.10%             | 2041-02-15      | Fixed         | 1.88%                 | No            | 2                  | On Loan: No      |
| Republic of the Philippines                                                      | Republic of Philippines                                                                                           | CUSIP: 718286CP0<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |     629000 | PA      | $442010.06    | 0.05%             | 2046-07-06      | Fixed         | 3.20%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                          | CUSIP: 36213FZ22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13801 | PA      | $12895.29     | 0.00%             | 2042-01-15      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |

### Signature

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

**Name of Applicant:** BlackRock Variable Series Funds II, Inc.

**Signature:** Chuck Pulsfort

**Name of Signer:** Chuck Pulsfort

**Title:** Assistant Treasurer