# EDGAR Filing Document

**Accession Number:** 0001501825
**File Stem:** 0001752724-23-073984
**Filing Date:** 2023-3
**Character Count:** 546307
**Document Hash:** 1448e688077e7b3f40593c5ebf13b506
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-073984.hdr.sgml**: 20230330

**ACCESSION NUMBER**: 0001752724-23-073984

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20230131

**FILED AS OF DATE**: 20230330

**DATE AS OF CHANGE**: 20230330

**PERIOD START**: 20230731

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Hartford Funds Exchange-Traded Trust
- **CENTRAL INDEX KEY:** 0001501825
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** DE

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-23222
- **FILM NUMBER:** 23778832

**BUSINESS ADDRESS:**
- **STREET 1:** 690 LEE ROAD
- **CITY:** WAYNE
- **STATE:** PA
- **ZIP:** 19087
- **BUSINESS PHONE:** 610-386-4068

**MAIL ADDRESS:**
- **STREET 1:** 690 LEE ROAD
- **CITY:** WAYNE
- **STATE:** PA
- **ZIP:** 19087

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** Hartford Active Exchange-Traded Fund Trust
- **DATE OF NAME CHANGE:** 20100921

## Series and Classes Contracts Data

### Hartford Total Return Bond ETF (Series ID: S000057958)

| Class ID   | Class Name                     | Ticker Symbol   |
|:---|:---|:---|
| C000189003 | Hartford Total Return Bond ETF | HTRB            |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Hartford Funds Exchange-Traded Trust

- **b. Investment Company Act file number:** 811-23222

- **c. CIK number of Registrant:** 0001501825

- **d. LEI of Registrant:** 549300IA3XO4BB2LUL19

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

  - **Street Address 1:** 690 LEE ROAD

  - **City:** WAYNE

  - **State:** PA

  - **Foreign country:** US

  - **Zip / Postal Code:** 19087

  - **Telephone number:** 610-386-4068

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

- **a. Name of Series:** Hartford Total Return Bond ETF

- **b. EDGAR series identifier (if any):** S000057958

- **c. LEI of Series:** 549300TXMIMTONBLXT62

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

- **a. Date of fiscal year-end:** 2023-07-31

- **b. Date as of which information is reported:** 2023-01-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $1274690585.97

**Total Liabilities:** $278617055.71

**Net Assets:** $996073530.26

**Delayed Delivery Securities:** $130000.00

**Cash Not Reported:** $6655032.35

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -923.50000000 | **1-Year:** -20466.48000000 | **5-Year:** -85325.30000000 | **10-Year:** -98648.17000000 | **30-Year:** -45408.32000000

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

- **3-Month:** -347.41000000 | **1-Year:** -8289.23000000 | **5-Year:** -25203.98000000 | **10-Year:** -10584.99000000 | **30-Year:** -1012.58000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000189003 | 3.65%                | 0.20%                | 3.40%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-1395004.44             | $37297095.02                               |
| Month 2  | $2637695.77              | $-5978038.60                               |
| Month 3  | $-88870.55               | $32672258.09                               |

**Designated Index Information**

- **Index Name:** Barclays US Aggregate

- **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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Government National Mortgage Association               | Ginnie Mae II Pool                                                                                            | CUSIP: 36179XLE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    940000 | PA      | $888266.13    | 0.09%             | 2052-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3140J87E7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69575 | PA      | $69172.74     | 0.01%             | 2038-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                              | Towd Point Mortgage Trust 2017-6                                                                              | CUSIP: 89175JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    726355 | PA      | $693810.20    | 0.07%             | 2057-10-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                               | Benchmark 2020-B22 Mortgage Trust                                                                             | CUSIP: 08163BBF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3645206 | PA      | $314817.14    | 0.03%             | 2054-01-15      | Variable      | 1.52%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                 | United States Treasury Note/Bond                                                                              | CUSIP: 912810TL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  14330000 | PA      | $15205473.44  | 1.53%             | 2052-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                    | Southern California Edison Co                                                                                 | CUSIP: 842400HM8<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    930000 | PA      | $803116.57    | 0.08%             | 2032-02-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| EVERGY INC                                             | Evergy Inc                                                                                                    | CUSIP: 30034WAB2<br>LEI: 549300PGTHDQY6PSUI61 | Long             | DBT              | CORP              | US        |    208000 | PA      | $184539.44    | 0.02%             | 2029-09-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                                                            | CUSIP: 36179WTZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3575636 | PA      | $3292878.13   | 0.33%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                                                         | CUSIP: 3128MJ6G0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    361088 | PA      | $372252.01    | 0.04%             | 2049-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                         | Morgan Stanley                                                                                                | CUSIP: 6174468P7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    625000 | PA      | $573642.91    | 0.06%             | 2031-04-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                           | Broadcom Inc                                                                                                  | CUSIP: 11135FBQ3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    100000 | PA      | $76175.57     | 0.01%             | 2036-11-15      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                            | BNP Paribas SA                                                                                                | CUSIP: 09659T2A8<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   1275000 | PA      | $1170262.31   | 0.12%             | 2033-03-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Sempra Energy                                          | Sempra Energy                                                                                                 | CUSIP: 816851BG3<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |    713000 | PA      | $674789.40    | 0.07%             | 2028-02-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| ENERGEAN ISRAEL FINANCE                                | Energean Israel Finance Ltd                                                                                   | CUSIP: 000000000<br>LEI: 98450044QACBL3F8EB03 | Long             | DBT              | CORP              | IL        |    709000 | PA      | $639872.50    | 0.06%             | 2031-03-30      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| ROYALTY PHARMA PLC                                     | Royalty Pharma PLC                                                                                            | CUSIP: 78081BAP8<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |     18000 | PA      | $12036.28     | 0.00%             | 2051-09-02      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                               | Angel Oak Mortgage Trust 2020-R1                                                                              | CUSIP: 034651AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    418381 | PA      | $386821.56    | 0.04%             | 2053-04-25      | Variable      | 0.99%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                               | Madison Park Funding XIII Ltd                                                                                 | CUSIP: 55818MBA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    211663 | PA      | $210380.74    | 0.02%             | 2030-04-19      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| Republic of Colombia                                   | Colombia Government International Bond                                                                        | CUSIP: 195325CU7<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |   1175000 | PA      | $823279.87    | 0.08%             | 2045-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                                                         | CUSIP: 312930EC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15319 | PA      | $15567.73     | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 31418CV43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    459787 | PA      | $462651.50    | 0.05%             | 2048-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                    | JPMorgan Chase & Co                                                                                           | CUSIP: 46647PDC7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    220000 | PA      | $213006.52    | 0.02%             | 2033-04-26      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                 | United States Treasury Note/Bond                                                                              | CUSIP: 912810SN9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  23740000 | PA      | $13823913.34  | 1.39%             | 2050-05-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                                                             | CUSIP: 3136A6AN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4377 | PA      | $4190.18      | 0.00%             | 2042-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                        | BRAVO Residential Funding Trust 2021-NQM1                                                                     | CUSIP: 10569TAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    370979 | PA      | $326693.71    | 0.03%             | 2049-02-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO                                            | Southern Co/The                                                                                               | CUSIP: 842587CW5<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |      5000 | PA      | $4584.38      | 0.00%             | 2036-07-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                            | Long: B9D0UTL09 IRS USD R V 12MSOFR 99D0UTL17 CCPOIS / Short: B9D0UTL09 IRS USD P F  2.88000 99D0UTL09 CCPOIS | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   4030000 | OU      | $78722.99     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Cascade MH Asset Trust                                 | Cascade MH Asset Trust 2021-MH1                                                                               | CUSIP: 14731QAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    497090 | PA      | $418417.69    | 0.04%             | 2046-02-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM 2014-277P Mortgage Trust                                                                                 | CUSIP: 12592FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1470000 | PA      | $1399659.18   | 0.14%             | 2049-08-10      | Variable      | 3.61%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                 | United States Treasury Note/Bond                                                                              | CUSIP: 912810RN0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3145000 | PA      | $2692292.00   | 0.27%             | 2045-08-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                              | Uniform Mortgage-Backed Security, TBA                                                                         | CUSIP: 01F050627<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -5715000 | PA      | $-5728617.76  | -0.58%            | 2053-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                                              | CUSIP: 3132DNK77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    731378 | PA      | $717349.38    | 0.07%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                 | United States Treasury Inflation Indexed Bonds                                                                | CUSIP: 912810TE8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1186076 | PA      | $814755.10    | 0.08%             | 2052-02-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                   | Bank of America Corp                                                                                          | CUSIP: 06051GGL7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    761000 | PA      | $724738.58    | 0.07%             | 2028-04-24      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| Galaxy CLO Ltd                                         | Galaxy XXIII CLO Ltd                                                                                          | CUSIP: 36319TAN6<br>LEI: 5493001X8XC4DMSYH466 | Long             | ABS-CBDO         | CORP              | KY        |   3282893 | PA      | $3251301.34   | 0.33%             | 2029-04-24      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                  | Wells Fargo & Co                                                                                              | CUSIP: 949746SH5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    254000 | PA      | $239404.01    | 0.02%             | 2026-10-23      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                                                            | CUSIP: 36179W5F1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    184813 | PA      | $183566.00    | 0.02%             | 2052-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| QORVO INC                                              | Qorvo Inc                                                                                                     | CUSIP: 74736KAJ0<br>LEI: 254900YAUJV2EUEVBR11 | Long             | DBT              | CORP              | US        |    245000 | PA      | $202612.55    | 0.02%             | 2031-04-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                                              | CUSIP: 3133AGLE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1273989 | PA      | $1082924.46   | 0.11%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                                                             | CUSIP: 3136ARQA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8846 | PA      | $8211.10      | 0.00%             | 2046-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                               | Enterprise Products Operating LLC                                                                             | CUSIP: 29379VBF9<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    245000 | PA      | $224000.73    | 0.02%             | 2054-10-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                                                                      | CUSIP: 38379LS49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    365577 | PA      | $67561.60     | 0.01%             | 2045-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                 | Verizon Communications Inc                                                                                    | CUSIP: 92343VGJ7<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    100000 | PA      | $84937.31     | 0.01%             | 2031-03-21      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                     | Seasoned Credit Risk Transfer Trust Series 2020-1                                                             | CUSIP: 35563PNN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    668773 | PA      | $580392.94    | 0.06%             | 2059-08-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                     | Energy Transfer LP                                                                                            | CUSIP: 86765BAN9<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     75100 | PA      | $74238.68     | 0.01%             | 2024-04-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                                                            | CUSIP: 3137BWKN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    245228 | PA      | $229360.57    | 0.02%             | 2047-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| STANDARD INDUSTRIES INC                                | Standard Industries Inc/NJ                                                                                    | CUSIP: 853496AG2<br>LEI: 54930064UHXCIUWVI755 | Long             | DBT              | CORP              | US        |   2610000 | PA      | $2231206.63   | 0.22%             | 2030-07-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| OZLM Ltd                                               | OZLM VII Ltd                                                                                                  | CUSIP: 67108WBE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    155406 | PA      | $154031.70    | 0.02%             | 2029-07-17      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                                                            | CUSIP: 36179WQA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3480116 | PA      | $3104742.84   | 0.31%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                                                            | CUSIP: 3622AAXY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1025256 | PA      | $1042075.02   | 0.10%             | 2049-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                                                            | CUSIP: 36179WNE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1047082 | PA      | $934390.09    | 0.09%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                              | Uniform Mortgage-Backed Security, TBA                                                                         | CUSIP: 01F040628<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2075000 | PA      | $2001159.17   | 0.20%             | 2053-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                                                             | CUSIP: 3136ARX60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    436040 | PA      | $25470.93     | 0.00%             | 2034-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SS&C Technologies Inc                                  | SS&C Technologies Inc                                                                                         | CUSIP: 78466CAC0<br>LEI: 549300KY09TR3J12JU49 | Long             | DBT              | CORP              | US        |   2260000 | PA      | $2173574.10   | 0.22%             | 2027-09-30      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                             | Verus Securitization Trust 2021-R1                                                                            | CUSIP: 92538BAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    187413 | PA      | $169193.05    | 0.02%             | 2063-10-25      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                               | AT&T Inc                                                                                                      | CUSIP: 00206RMN9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   1787000 | PA      | $1347572.41   | 0.14%             | 2057-12-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| REGAL REXNORD CORP                                     | Regal Rexnord Corp                                                                                            | CUSIP: 758750AD5<br>LEI: QH78R09VCJGQKPBPYU33 | Long             | DBT              | CORP              | US        |   1425000 | PA      | $1444229.66   | 0.14%             | 2028-04-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                  | Athene Global Funding                                                                                         | CUSIP: 04685A3E9<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    890000 | PA      | $707976.43    | 0.07%             | 2031-10-04      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                 | United States Treasury Inflation Indexed Bonds                                                                | CUSIP: 912810SM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4192032 | PA      | $3018222.37   | 0.30%             | 2050-02-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                               | PURCHASED EUR / SOLD USD                                                                                      | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |         1 | NC      | $-85.82       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTALEXCHANGE                               | Intercontinental Exchange Inc                                                                                 | CUSIP: 45866FAW4<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |    110000 | PA      | $108637.58    | 0.01%             | 2033-03-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| AES CORP/THE                                           | AES Corp/The                                                                                                  | CUSIP: 00130HCB9<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |    693000 | PA      | $660502.83    | 0.07%             | 2025-07-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| IHS HOLDING LTD                                        | IHS Holding Ltd                                                                                               | CUSIP: 44963HAB1<br>LEI: 213800CLGMKL63VKTD94 | Long             | DBT              | CORP              | KY        |    735000 | PA      | $600553.80    | 0.06%             | 2028-11-29      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                               | Capital One Financial Corp                                                                                    | CUSIP: 14040HCT0<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |     19000 | PA      | $18553.34     | 0.00%             | 2033-05-10      | Fixed         | 5.27%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                           | GS Mortgage Securities Trust 2016-GS2                                                                         | CUSIP: 36252TAR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1882518.80   | 0.19%             | 2049-05-10      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| PENSKE TRUCK LEASING/PTL                               | Penske Truck Leasing Co Lp / PTL Finance Corp                                                                 | CUSIP: 709599BG8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    885000 | PA      | $843542.11    | 0.08%             | 2024-11-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                                                             | CUSIP: 3136BDFB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3860940 | PA      | $228032.55    | 0.02%             | 2035-11-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                                                             | CUSIP: 3136BDR42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1705877 | PA      | $275133.67    | 0.03%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                 | United States Treasury Note/Bond                                                                              | CUSIP: 91282CFF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  25595000 | PA      | $24015308.59  | 2.41%             | 2032-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                               | Angel Oak Mortgage Trust 2021-1                                                                               | CUSIP: 03465CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    589302 | PA      | $502664.57    | 0.05%             | 2066-01-25      | Variable      | 0.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                                                             | CUSIP: 3136AW3K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1071114 | PA      | $1003847.10   | 0.10%             | 2047-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3138MABR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2643 | PA      | $2647.72      | 0.00%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                               | BX Trust 2022-PSB                                                                                             | CUSIP: 05606DAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1196161 | PA      | $1198029.61   | 0.12%             | 2039-08-15      | Floating      | 6.93%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                             | Verus Securitization Trust 2021-5                                                                             | CUSIP: 92538KAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2557802 | PA      | $2140959.59   | 0.21%             | 2066-09-25      | Variable      | 1.01%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                       | 99D0USBA0 SWAPTION                                                                                            | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              |  | GB        |   1957000 | NC      | $74895.98     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                 | Credit Suisse Group AG                                                                                        | CUSIP: 225401AZ1<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   3105000 | PA      | $2968605.14   | 0.30%             | 2033-08-12      | Fixed         | 6.54%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                                                         | CUSIP: 3132XWCU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    176054 | PA      | $168429.83    | 0.02%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                       | Paramount Global                                                                                              | CUSIP: 92556HAB3<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |   1664000 | PA      | $1532399.32   | 0.15%             | 2031-01-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                 | PURCHASED EUR / SOLD USD                                                                                      | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | XX        |         1 | NC      | $9057.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HUNGARY                                                | Hungary Government International Bond                                                                         | CUSIP: 000000000<br>LEI: 5299003F3UFKGCCMAP43 | Long             | DBT              | NUSS              | HU        |   2980000 | PA      | $2453303.59   | 0.25%             | 2032-04-28      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust                  | PRPM 2021-6 LLC                                                                                               | CUSIP: 69360FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    957454 | PA      | $886892.49    | 0.09%             | 2026-07-25      | Variable      | 1.79%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                   | Bank of America Corp                                                                                          | CUSIP: 06051GHZ5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   2076000 | PA      | $1762015.80   | 0.18%             | 2031-02-13      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                                 | Williams Cos Inc/The                                                                                          | CUSIP: 96949LAB1<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |     85000 | PA      | $83067.56     | 0.01%             | 2025-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                             | Verus Securitization Trust 2022-1                                                                             | CUSIP: 92538WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1723317 | PA      | $1546854.59   | 0.16%             | 2067-01-25      | Variable      | 2.72%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates                                                  | CUSIP: 3137F82T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1474524 | PA      | $77246.93     | 0.01%             | 2030-11-25      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3140XH3G0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    884160 | PA      | $805851.91    | 0.08%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM 2015-3BP Mortgage Trust                                                                                  | CUSIP: 12592TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    700000 | PA      | $655805.64    | 0.07%             | 2035-02-10      | Fixed         | 3.18%                 | No            |                  2 | On Loan: No      |
| NORTHROP GRUMMAN CORP                                  | Northrop Grumman Corp                                                                                         | CUSIP: 666807BT8<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |    155000 | PA      | $157873.64    | 0.02%             | 2040-05-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                                                            | CUSIP: 36179SGL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    119903 | PA      | $114949.24    | 0.01%             | 2046-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                               | Warnermedia Holdings Inc                                                                                      | CUSIP: 55903VAQ6<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |   2070000 | PA      | $1710714.92   | 0.17%             | 2052-03-15      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                 | United States Treasury Inflation Indexed Bonds                                                                | CUSIP: 9128287D6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  16061958 | PA      | $15024832.39  | 1.51%             | 2029-07-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| Bank                                                   | BANK 2017-BNK7                                                                                                | CUSIP: 06541XAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1790000 | PA      | $1689605.52   | 0.17%             | 2060-09-15      | Fixed         | 3.44%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                       | Freddie Mac Strips                                                                                            | CUSIP: 31325YQS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5580926 | PA      | $339867.16    | 0.03%             | 2037-05-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                    | Exeter Automobile Receivables Trust 2022-6                                                                    | CUSIP: 30168AAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    362000 | PA      | $367214.36    | 0.04%             | 2027-08-16      | Fixed         | 6.03%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                           | Comcast Corp                                                                                                  | CUSIP: 20030NDS7<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |      2000 | PA      | $1386.16      | 0.00%             | 2051-11-01      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                | Goldman Sachs Group Inc/The                                                                                   | CUSIP: 38141GYJ7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1575000 | PA      | $1282141.63   | 0.13%             | 2032-07-21      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Chicago Transit Authority Sales Tax Receipts Fund      | CHICAGO IL TRANSIT AUTH SALES TAX RECPTS REVENUE                                                              | CUSIP: 16772PCX2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    250000 | PA      | $221277.00    | 0.02%             | 2040-12-01      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3140QMV68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    429726 | PA      | $390612.57    | 0.04%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREEPORT INDONESIA PT                                  | Freeport Indonesia PT                                                                                         | CUSIP: 69377FAB2<br>LEI: 549300T4HTQHRKLNE619 | Long             | DBT              | CORP              | ID        |    508000 | PA      | $482661.42    | 0.05%             | 2032-04-14      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                   | Bank of America Corp                                                                                          | CUSIP: 06051GJB6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    515000 | PA      | $439740.24    | 0.04%             | 2031-04-29      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                  | Athene Global Funding                                                                                         | CUSIP: 04685A3G4<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |   1810000 | PA      | $1548326.45   | 0.16%             | 2029-01-07      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| AVANTOR FUNDING INC                                    | Avantor Funding Inc                                                                                           | CUSIP: 05352TAA7<br>LEI: 5493003VM0XB4U8YD238 | Long             | DBT              | CORP              | US        |   1550000 | PA      | $1458627.50   | 0.15%             | 2028-07-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                 | PURCHASED EUR / SOLD USD                                                                                      | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | XX        |         1 | NC      | $2151.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                                                             | CUSIP: 31397UKE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    150158 | PA      | $119396.62    | 0.01%             | 2041-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                           | Centene Corp                                                                                                  | CUSIP: 15135BAR2<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    215000 | PA      | $206333.35    | 0.02%             | 2027-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                                                                      | CUSIP: 38381RLB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    622859 | PA      | $107646.57    | 0.01%             | 2046-12-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                         | Morgan Stanley                                                                                                | CUSIP: 6174468L6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    504000 | PA      | $436408.77    | 0.04%             | 2031-01-22      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                                    | Dominion Energy Inc                                                                                           | CUSIP: 25746UDR7<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |    975000 | PA      | $1000498.86   | 0.10%             | 2032-11-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                       | T-Mobile USA Inc                                                                                              | CUSIP: 87264ABD6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    100000 | PA      | $96034.02     | 0.01%             | 2027-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                       | Paramount Global                                                                                              | CUSIP: 92553PAW2<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |    595000 | PA      | $482306.97    | 0.05%             | 2044-04-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Firstkey Homes Trust                                   | FirstKey Homes 2021-SFR2 Trust                                                                                | CUSIP: 33767TAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2046849 | PA      | $1798060.86   | 0.18%             | 2038-09-17      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                 | Standard Chartered PLC                                                                                        | CUSIP: 853254CS7<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $208170.83    | 0.02%             | 2029-01-09      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| CLEAN HARBORS INC                                      | Clean Harbors Inc                                                                                             | CUSIP: 184496AN7<br>LEI: 5493000SJVZVZJKHJF48 | Long             | DBT              | CORP              | US        |   1971000 | PA      | $1901581.38   | 0.19%             | 2027-07-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                                              | CUSIP: 3132DNTS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    589865 | PA      | $539442.82    | 0.05%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                             | Verus Securitization Trust 2021-2                                                                             | CUSIP: 92538FAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    426474 | PA      | $369589.71    | 0.04%             | 2066-02-25      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| WF-RBS Commercial Mortgage Trust                       | WFRBS Commercial Mortgage Trust 2014-C24                                                                      | CUSIP: 92939KAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1025000 | PA      | $992784.76    | 0.10%             | 2047-11-15      | Fixed         | 3.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 31418AFF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65853 | PA      | $64983.39     | 0.01%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3140FXHP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    419349 | PA      | $409677.74    | 0.04%             | 2041-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ONEOK Inc                                              | ONEOK Inc                                                                                                     | CUSIP: 682680AN3<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     60000 | PA      | $59765.11     | 0.01%             | 2035-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3140XGYT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    285623 | PA      | $240995.45    | 0.02%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential Trust                    | Starwood Mortgage Residential Trust 2021-2                                                                    | CUSIP: 85573HAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    282691 | PA      | $263136.84    | 0.03%             | 2065-05-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae                                                                                                    | CUSIP: 21H020626<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4365000 | PA      | $3770268.75   | 0.38%             | 2053-02-21      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3140M2CY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1356342 | PA      | $1200855.31   | 0.12%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                           | CSMC 2021-NQM4                                                                                                | CUSIP: 12659PAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1286093 | PA      | $1055639.26   | 0.11%             | 2066-05-25      | Variable      | 1.10%                 | No            |                  2 | On Loan: No      |
| MFRA TRUST                                             | MFA 2021-NQM2 Trust                                                                                           | CUSIP: 55283WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    595762 | PA      | $495055.03    | 0.05%             | 2064-11-25      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                                                            | CUSIP: 3622AALD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    720941 | PA      | $672855.89    | 0.07%             | 2047-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AT&T Inc                                               | AT&T Inc                                                                                                      | CUSIP: 00206RCQ3<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |      5000 | PA      | $4585.44      | 0.00%             | 2046-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                                                                      | CUSIP: 38375GQW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     63563 | PA      | $61242.23     | 0.01%             | 2040-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                        | Csail 2015-C2 Commercial Mortgage Trust                                                                       | CUSIP: 12634NAV0<br>LEI: 549300D5DIOOMKWXVZ20 | Long             | ABS-MBS          | CORP              | US        |  12247315 | PA      | $147834.88    | 0.01%             | 2057-06-15      | Variable      | 0.72%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                   | Bank of America Corp                                                                                          | CUSIP: 06051GJT7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   4010000 | PA      | $3376957.34   | 0.34%             | 2032-04-22      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| Symphony CLO Ltd                                       | Symphony CLO XXV Ltd                                                                                          | CUSIP: 87167WAC9<br>LEI: 5493006CLZCEH6WYKR81 | Long             | ABS-CBDO         | CORP              | KY        |   2590000 | PA      | $2541232.89   | 0.26%             | 2034-04-19      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                                  | Truist Financial Corp                                                                                         | CUSIP: 89788MAM4<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |    170000 | PA      | $171705.24    | 0.02%             | 2034-01-26      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3140KYEH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    877222 | PA      | $740530.12    | 0.07%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                      | HSBC Holdings PLC                                                                                             | CUSIP: 404280CV9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    630000 | PA      | $533315.12    | 0.05%             | 2029-08-17      | Fixed         | 2.21%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                 | United States Treasury Note/Bond - WI Reopening                                                               | CUSIP: 912810TM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  14100000 | PA      | $14514187.50  | 1.46%             | 2042-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                                                             | CUSIP: 3136B4EJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    665261 | PA      | $641097.22    | 0.06%             | 2057-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                                 | BP Capital Markets America Inc                                                                                | CUSIP: 10373QBL3<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |    731000 | PA      | $693942.61    | 0.07%             | 2030-04-06      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| NMLT Trust                                             | NMLT 2021-INV1 Trust                                                                                          | CUSIP: 62923JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1579344 | PA      | $1261670.19   | 0.13%             | 2056-05-25      | Variable      | 1.19%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3140XGV48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1798945 | PA      | $1657449.39   | 0.17%             | 2050-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CHNGE Mortgage Trust 2022-2                            | CHNGE Mortgage Trust 2022-2                                                                                   | CUSIP: 12546YAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2608228 | PA      | $2491224.13   | 0.25%             | 2067-03-25      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| DAE FUNDING LLC                                        | DAE Funding LLC                                                                                               | CUSIP: 23371DAJ3<br>LEI: 635400SZTPQL3Y1P2C76 | Long             | DBT              | CORP              | US        |   1615000 | PA      | $1524637.75   | 0.15%             | 2024-08-01      | Fixed         | 1.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3140XHNB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    875462 | PA      | $849164.85    | 0.09%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                                              | CUSIP: 3133A8Z59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    816174 | PA      | $744067.28    | 0.07%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                    | New Residential Mortgage Loan Trust 2022-NQM1                                                                 | CUSIP: 64830JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2520982 | PA      | $2227897.75   | 0.22%             | 2061-04-25      | Variable      | 2.28%                 | No            |                  2 | On Loan: No      |
| L3HARRIS TECH INC                                      | L3Harris Technologies Inc                                                                                     | CUSIP: 413875AS4<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |     10000 | PA      | $9753.24      | 0.00%             | 2035-04-27      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| TAYLOR MORRISON COMM                                   | Taylor Morrison Communities Inc                                                                               | CUSIP: 87724RAB8<br>LEI: 549300O1Z08HI2MRK572 | Long             | DBT              | CORP              | US        |   1191000 | PA      | $1155287.87   | 0.12%             | 2028-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3140XJLH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1966348 | PA      | $1734794.25   | 0.17%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| TRANSCONT GAS PIPE LINE                                | Transcontinental Gas Pipe Line Co LLC                                                                         | CUSIP: 893574AK9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     35000 | PA      | $33730.31     | 0.00%             | 2028-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                 | United States Treasury Inflation Indexed Bonds                                                                | CUSIP: 91282CGK1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15926714 | PA      | $15696211.89  | 1.58%             | 2033-01-15      | Fixed         | 1.13%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                       | Freddie Mac Strips                                                                                            | CUSIP: 31325XV31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    596483 | PA      | $49098.45     | 0.00%             | 2034-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                 | Pacific Gas and Electric Co                                                                                   | CUSIP: 694308JN8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   2109000 | PA      | $1750668.18   | 0.18%             | 2050-07-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Vericrest Opportunity Loan Transferee                  | VOLT XCIV LLC                                                                                                 | CUSIP: 92873AAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    942595 | PA      | $882413.67    | 0.09%             | 2051-02-27      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3140KP7D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2734419 | PA      | $2310122.38   | 0.23%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ENERGO PRO AS                                          | Energo-Pro AS                                                                                                 | CUSIP: 000000000<br>LEI: 315700IQCL9IX158RO36 | Long             | DBT              | CORP              | CZ        |   1430000 | PA      | $1358500.00   | 0.14%             | 2027-02-04      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                         | Morgan Stanley                                                                                                | CUSIP: 61772BAB9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    719000 | PA      | $645256.72    | 0.06%             | 2027-05-04      | Fixed         | 1.59%                 | No            |                  2 | On Loan: No      |
| Duke Energy Corp                                       | Duke Energy Corp                                                                                              | CUSIP: 26441CAT2<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |     77700 | PA      | $61418.04     | 0.01%             | 2046-09-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                                                                      | CUSIP: 38380KPS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    313246 | PA      | $62684.39     | 0.01%             | 2043-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 31418DWR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    451076 | PA      | $380968.15    | 0.04%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                 | Pacific Gas and Electric Co                                                                                   | CUSIP: 694308KC0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    245000 | PA      | $221465.65    | 0.02%             | 2032-03-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch Large Loan Inc           | BAMLL Commercial Mortgage Securities Trust 2019-BPR                                                           | CUSIP: 05492PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    965000 | PA      | $890830.20    | 0.09%             | 2032-11-05      | Fixed         | 3.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3140J6GM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    540304 | PA      | $530491.48    | 0.05%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                           | Ecopetrol SA                                                                                                  | CUSIP: 279158AS8<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |    725000 | PA      | $744212.50    | 0.07%             | 2033-01-13      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| ALCON FINANCE CORP                                     | Alcon Finance Corp                                                                                            | CUSIP: 01400EAA1<br>LEI: 549300CUZUI9VU7XNK42 | Long             | DBT              | CORP              | US        |    806000 | PA      | $748185.43    | 0.08%             | 2026-09-23      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3140QKP28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4355054 | PA      | $3827379.81   | 0.38%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                                              | CUSIP: 3133AUDY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1207005 | PA      | $1106862.18   | 0.11%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                           | GS Mortgage Securities Trust 2014-GC18                                                                        | CUSIP: 36252RAM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $98059.07     | 0.01%             | 2047-01-10      | Fixed         | 4.07%                 | No            |                  2 | On Loan: No      |
| ALCON FINANCE CORP                                     | Alcon Finance Corp                                                                                            | CUSIP: 01400EAB9<br>LEI: 549300CUZUI9VU7XNK42 | Long             | DBT              | CORP              | US        |    435000 | PA      | $387543.74    | 0.04%             | 2029-09-23      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                           | Comcast Corp                                                                                                  | CUSIP: 20030NDH1<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    473000 | PA      | $416784.48    | 0.04%             | 2040-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| General Motors                                         | GMF Floorplan Owner Revolving Trust                                                                           | CUSIP: 361886CH5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    280000 | PA      | $273280.95    | 0.03%             | 2025-08-15      | Fixed         | 0.68%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3140XGCK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    408261 | PA      | $378992.10    | 0.04%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                                                            | CUSIP: 3137AJUU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    750657 | PA      | $732867.56    | 0.07%             | 2041-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC            | BBCMS Mortgage Trust 2022-C18                                                                                 | CUSIP: 054975AD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    715000 | PA      | $757495.67    | 0.08%             | 2055-12-15      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3140XHBE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    920243 | PA      | $810657.78    | 0.08%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                     | VICI Properties LP                                                                                            | CUSIP: 925650AD5<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              |  | US        |    350000 | PA      | $334810.00    | 0.03%             | 2032-05-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| CLECO CORPORATE HOLDINGS                               | Cleco Corporate Holdings LLC                                                                                  | CUSIP: 18551PAE9<br>LEI: 5493002H80P81B3HXL31 | Long             | DBT              | CORP              | US        |    784000 | PA      | $674488.25    | 0.07%             | 2029-09-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                           | CSMC 2021-NQM5 Trust                                                                                          | CUSIP: 22946DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    802907 | PA      | $646429.73    | 0.06%             | 2066-05-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO LTD                                    | Sound Point CLO II Ltd                                                                                        | CUSIP: 83608GAN6<br>LEI: 549300Q00FJ0WHHYC788 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $248174.75    | 0.02%             | 2031-01-26      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                 | Pacific Gas and Electric Co                                                                                   | CUSIP: 694308KD8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    290000 | PA      | $250594.96    | 0.03%             | 2052-03-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3140X6GA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    432306 | PA      | $413218.20    | 0.04%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3140XCJ82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1384578 | PA      | $1332032.59   | 0.13%             | 2038-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| OVINTIV INC                                            | Ovintiv Inc                                                                                                   | CUSIP: 292505AD6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    180000 | PA      | $190974.30    | 0.02%             | 2034-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ball Corp                                              | Ball Corp                                                                                                     | CUSIP: 058498AS5<br>LEI: 0BGI85ALH27ZJP15DY16 | Long             | DBT              | CORP              | US        |   3265000 | PA      | $3218604.35   | 0.32%             | 2023-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HOWARD UNIVERSITY                                      | Howard University                                                                                             | CUSIP: 442851AR2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    100000 | PA      | $88732.94     | 0.01%             | 2027-10-01      | Fixed         | 2.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3140X7K40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    281480 | PA      | $269415.87    | 0.03%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| EQUITABLE FINANCIAL LIFE                               | Equitable Financial Life Global Funding                                                                       | CUSIP: 29449WAF4<br>LEI: 635400B4JJBON4TCHF02 | Long             | DBT              | CORP              | US        |   1639000 | PA      | $1404759.50   | 0.14%             | 2028-03-08      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust                     | Ellington Financial Mortgage Trust 2017-1                                                                     | CUSIP: 31574XAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    140163 | PA      | $116686.06    | 0.01%             | 2066-02-25      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                                              | CUSIP: 3132A9T64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1407696 | PA      | $1362568.41   | 0.14%             | 2032-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SG Capital Partners                                    | SG Residential Mortgage Trust 2021-1                                                                          | CUSIP: 784212AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1352752 | PA      | $1162227.34   | 0.12%             | 2061-07-25      | Variable      | 1.16%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                           | GS Mortgage Securities Trust 2017-GS7                                                                         | CUSIP: 36254CAV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2440000 | PA      | $2299233.96   | 0.23%             | 2050-08-10      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                                | GLP Capital LP / GLP Financing II Inc                                                                         | CUSIP: 361841AQ2<br>LEI: N/A                  | Long             | DBT              |  | US        |    890000 | PA      | $785610.08    | 0.08%             | 2031-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                       | Fannie Mae Connecticut Avenue Securities                                                                      | CUSIP: 30711XAP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    218610 | PA      | $227136.57    | 0.02%             | 2024-11-25      | Floating      | 9.41%                 | No            |                  2 | On Loan: No      |
| WENDYS FUNDING LLC                                     | Wendy's Funding LLC                                                                                           | CUSIP: 95058XAL2<br>LEI: 5493009DRVSTWJOXUL48 | Long             | ABS-O            | CORP              | US        |   3274140 | PA      | $2671419.94   | 0.27%             | 2051-06-15      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                              | Towd Point Mortgage Trust 2017-4                                                                              | CUSIP: 89173UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    545718 | PA      | $520459.66    | 0.05%             | 2057-06-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| Vericrest Opportunity Loan Transferee                  | VOLT XCVII LLC                                                                                                | CUSIP: 91835EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    942969 | PA      | $846372.52    | 0.08%             | 2051-04-25      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                               | Benchmark 2019-B10 Mortgage Trust                                                                             | CUSIP: 08162VAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8877112 | PA      | $457235.18    | 0.05%             | 2062-03-15      | Variable      | 1.22%                 | No            |                  2 | On Loan: No      |
| Residential Mortgage Loan Trust                        | Residential Mortgage Loan Trust 2021-1R                                                                       | CUSIP: 76090NAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    355050 | PA      | $327670.26    | 0.03%             | 2065-01-25      | Variable      | 0.86%                 | No            |                  2 | On Loan: No      |
| GE HEALTHCARE TECH INC                                 | GE HealthCare Technologies Inc                                                                                | CUSIP: 36267VAE3<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |    585000 | PA      | $604871.07    | 0.06%             | 2027-11-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| CONOCOPHILLIPS COMPANY                                 | ConocoPhillips Co                                                                                             | CUSIP: 20826FBD7<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |    181000 | PA      | $154750.06    | 0.02%             | 2062-03-15      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                       | BAT Capital Corp                                                                                              | CUSIP: 05526DBW4<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    516000 | PA      | $475651.61    | 0.05%             | 2032-03-16      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| Conagra Brands Inc                                     | Conagra Brands Inc                                                                                            | CUSIP: 205887CE0<br>LEI: 54930035UDEIH090K650 | Long             | DBT              | CORP              | US        |    135000 | PA      | $132458.38    | 0.01%             | 2048-11-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| SHELL INTERNATIONAL FIN                                | Shell International Finance BV                                                                                | CUSIP: 822582CB6<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |     22000 | PA      | $21589.99     | 0.00%             | 2028-11-13      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| L3HARRIS TECH INC                                      | L3Harris Technologies Inc                                                                                     | CUSIP: 502431AJ8<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |    785000 | PA      | $781539.30    | 0.08%             | 2023-06-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| GALAXY PIPELINE ASSETS                                 | Galaxy Pipeline Assets Bidco Ltd                                                                              | CUSIP: 36321PAE0<br>LEI: 549300L82YB0C6JQIC26 | Long             | DBT              | CORP              | JE        |    551889 | PA      | $450819.74    | 0.05%             | 2040-09-30      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limited                       | Bain Capital Credit CLO 2017-2 Ltd                                                                            | CUSIP: 05683HAN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2400000 | PA      | $2364600.00   | 0.24%             | 2034-07-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| INVEST ENERGY RES LTD                                  | Investment Energy Resources Ltd                                                                               | CUSIP: 46143NAB6<br>LEI: 254900A71Y7WHN7L5K89 | Long             | DBT              | CORP              | BM        |    545000 | PA      | $520238.27    | 0.05%             | 2029-04-26      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                             | Verus Securitization Trust 2021-8                                                                             | CUSIP: 92538GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1079089 | PA      | $937961.64    | 0.09%             | 2066-11-25      | Variable      | 1.82%                 | No            |                  2 | On Loan: No      |
| GCAT                                                   | GCAT 2021-NQM7 Trust                                                                                          | CUSIP: 36167YAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    762087 | PA      | $682422.97    | 0.07%             | 2066-08-25      | Variable      | 1.92%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                              | Uniform Mortgage-Backed Security, TBA                                                                         | CUSIP: 01F040628<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -7906000 | PA      | $-7624657.56  | -0.77%            | 2053-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                 | Credit Suisse Group AG                                                                                        | CUSIP: 225401AU2<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    350000 | PA      | $265407.55    | 0.03%             | 2032-05-14      | Fixed         | 3.09%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                             | Navient Private Education Refi Loan Trust 2021-E                                                              | CUSIP: 63942EAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    653290 | PA      | $565366.59    | 0.06%             | 2069-12-16      | Fixed         | 0.97%                 | No            |                  2 | On Loan: No      |
| DCP MIDSTREAM OPERATING                                | DCP Midstream Operating LP                                                                                    | CUSIP: 23311VAD9<br>LEI: 549300Y6CTBSE0QIPL28 | Long             | DBT              | CORP              | US        |    180000 | PA      | $179281.80    | 0.02%             | 2023-03-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                 | US LONG BOND(CBT) MAR23                                                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        -1 | NC      | $-1408.08     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| AXIS Equipment Finance Receivables LLC                 | Amur Equipment Finance Receivables XI LLC                                                                     | CUSIP: 03236XAB3<br>LEI: 549300IFG1NMINYRYF89 | Long             | ABS-O            | CORP              | US        |    565000 | PA      | $561685.65    | 0.06%             | 2028-06-21      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                 | United States Treasury Note/Bond                                                                              | CUSIP: 912810SC3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1390000 | PA      | $1243669.92   | 0.12%             | 2048-05-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| EQM MIDSTREAM PARTNERS L                               | EQM Midstream Partners LP                                                                                     | CUSIP: 26885BAH3<br>LEI: 549300NELT611CL6XM83 | Long             | DBT              | CORP              | US        |     55000 | PA      | $54010.55     | 0.01%             | 2027-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Wingstop Funding LLC                                   | Wingstop Funding LLC                                                                                          | CUSIP: 974153AB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    242550 | PA      | $214427.30    | 0.02%             | 2050-12-05      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| METINVEST BV                                           | Metinvest BV                                                                                                  | CUSIP: 591555AF4<br>LEI: 635400TMCKVEU87EJ582 | Long             | DBT              | CORP              | NL        |    200000 | PA      | $97757.72     | 0.01%             | 2029-10-17      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                               | OBX 2022-NQM1 Trust                                                                                           | CUSIP: 67114VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2285722 | PA      | $2011308.64   | 0.20%             | 2061-11-25      | Variable      | 2.31%                 | No            |                  2 | On Loan: No      |
| MSCI INC                                               | MSCI Inc                                                                                                      | CUSIP: 55354GAM2<br>LEI: 549300HTIN2PD78UB763 | Long             | DBT              | CORP              | US        |    584000 | PA      | $499211.12    | 0.05%             | 2031-11-01      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Bank                                                   | BANK 2020-BNK28                                                                                               | CUSIP: 06540YAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7186246 | PA      | $712611.11    | 0.07%             | 2063-03-15      | Variable      | 1.76%                 | No            |                  2 | On Loan: No      |
| NORTH MACEDONIA                                        | North Macedonia Government International Bond                                                                 | CUSIP: 000000000<br>LEI: 635400RD1N6RVNCE4958 | Long             | DBT              | NUSS              | MK        |    770000 | PA      | $782707.78    | 0.08%             | 2025-01-18      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Vantage Data Centers LLC                               | Vantage Data Centers Issuer LLC                                                                               | CUSIP: 92212KAB2<br>LEI: 5493000RL8X7WTQ7HO20 | Long             | ABS-O            | CORP              | US        |   1640000 | PA      | $1470508.95   | 0.15%             | 2045-09-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                                                            | CUSIP: 36179S5L7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    148487 | PA      | $142738.49    | 0.01%             | 2047-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| OPEN TEXT CORP                                         | Open Text Corp                                                                                                | CUSIP: 683715AD8<br>LEI: 549300HP7ONDQODZJV16 | Long             | DBT              | CORP              | CA        |   2395000 | PA      | $1991982.09   | 0.20%             | 2029-12-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTALEXCHANGE                               | Intercontinental Exchange Inc                                                                                 | CUSIP: 45866FAX2<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |     90000 | PA      | $88255.98     | 0.01%             | 2052-06-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates                                                  | CUSIP: 3137FREK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3435986 | PA      | $208765.36    | 0.02%             | 2030-01-25      | Variable      | 1.13%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                           | UBS Group AG                                                                                                  | CUSIP: 902613AP3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    755000 | PA      | $741073.19    | 0.07%             | 2028-05-12      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                                              | CUSIP: 3133KMYL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    623249 | PA      | $545618.96    | 0.05%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                              | Morgan Stanley Bank of America Merrill Lynch Trust 2014 C19                                                   | CUSIP: 61764PBU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1410000 | PA      | $1366124.89   | 0.14%             | 2047-12-15      | Fixed         | 3.53%                 | No            |                  2 | On Loan: No      |
| FIRSTCASH INC                                          | FirstCash Inc                                                                                                 | CUSIP: 31944TAA8<br>LEI: 549300V2X3UU7K0DG350 | Long             | DBT              | CORP              | US        |    810000 | PA      | $741095.00    | 0.07%             | 2030-01-01      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| EQM MIDSTREAM PARTNERS L                               | EQM Midstream Partners LP                                                                                     | CUSIP: 26885BAC4<br>LEI: 549300NELT611CL6XM83 | Long             | DBT              | CORP              | US        |     60000 | PA      | $55350.00     | 0.01%             | 2028-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF CHILE                                      | Chile Government International Bond                                                                           | CUSIP: 000000000<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |   1495000 | PA      | $888198.55    | 0.09%             | 2051-01-22      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 31418D2K7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    225000 | PA      | $179966.41    | 0.02%             | 2051-07-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| PUGET ENERGY INC                                       | Puget Energy Inc                                                                                              | CUSIP: 745310AM4<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |     40000 | PA      | $35224.32     | 0.00%             | 2028-06-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| ARCELORMITTAL SA                                       | ArcelorMittal SA                                                                                              | CUSIP: 03938LBF0<br>LEI: 2EULGUTUI56JI9SAL165 | Long             | DBT              | CORP              | LU        |    495000 | PA      | $519029.37    | 0.05%             | 2032-11-29      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| MONDELEZ INTERNATIONAL                                 | Mondelez International Inc                                                                                    | CUSIP: 609207BB0<br>LEI: 549300DV9GIB88LZ5P30 | Long             | DBT              | CORP              | US        |    245000 | PA      | $216630.38    | 0.02%             | 2032-03-17      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                 | US ULTRA BOND CBT MAR23                                                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       130 | NC      | $740590.14    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3138WKWC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1071698 | PA      | $1049726.86   | 0.11%             | 2037-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                                                            | CUSIP: 36179TLS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    111418 | PA      | $106624.97    | 0.01%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM 2014-CR14 Mortgage Trust                                                                                 | CUSIP: 12630DAZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9995904 | PA      | $34515.86     | 0.00%             | 2047-02-10      | Variable      | 0.51%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank Commercial Mortgage Trust                | DBJPM 2016-C3 Mortgage Trust                                                                                  | CUSIP: 23312VAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2660000 | PA      | $2472496.60   | 0.25%             | 2049-08-10      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                | Goldman Sachs Group Inc/The                                                                                   | CUSIP: 38141GYN8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    140000 | PA      | $115180.37    | 0.01%             | 2032-10-21      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY ENERG                               | Berkshire Hathaway Energy Co                                                                                  | CUSIP: 084659AF8<br>LEI: 549300JD0S5IZJE9LY15 | Long             | DBT              | CORP              | US        |     15000 | PA      | $13878.96     | 0.00%             | 2045-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Education                             | CHICAGO IL BRD OF EDU                                                                                         | CUSIP: 167505KH8<br>LEI: 54930099NR6T9V7LVB43 | Long             | DBT              | MUN               | US        |    220000 | PA      | $204460.15    | 0.02%             | 2039-12-01      | Fixed         | 6.14%                 | No            |                  2 | On Loan: No      |
| Republic of Colombia                                   | Colombia Government International Bond                                                                        | CUSIP: 195325BR5<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |   1410000 | PA      | $1072870.02   | 0.11%             | 2044-02-26      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                             | Verus Securitization Trust 2021-7                                                                             | CUSIP: 92538QAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2120839 | PA      | $1835050.07   | 0.18%             | 2066-10-25      | Variable      | 1.83%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                    | New Residential Mortgage Loan Trust 2018-4                                                                    | CUSIP: 64828FCQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    159634 | PA      | $156328.76    | 0.02%             | 2048-01-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS IN                               | Rogers Communications Inc                                                                                     | CUSIP: 775109CD1<br>LEI: 54930030NVF3Y2OL0A78 | Long             | DBT              | CORP              | CA        |    565000 | PA      | $472045.04    | 0.05%             | 2052-03-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                                                                      | CUSIP: 38380XDV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    266002 | PA      | $48206.36     | 0.00%             | 2048-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| IVORY COAST                                            | Ivory Coast Government International Bond                                                                     | CUSIP: 000000000<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |    845000 | PA      | $718293.32    | 0.07%             | 2032-01-30      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                              | Uniform Mortgage-Backed Security, TBA                                                                         | CUSIP: 01F030629<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -10058000 | PA      | $-9123493.72  | -0.92%            | 2053-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                            | BNP Paribas SA                                                                                                | CUSIP: 09659W2L7<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   1050000 | PA      | $978413.03    | 0.10%             | 2026-06-09      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3140XTAL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    518777 | PA      | $500444.66    | 0.05%             | 2041-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                                                                      | CUSIP: 38380KLM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    378534 | PA      | $68485.32     | 0.01%             | 2047-11-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Education                             | CHICAGO IL BRD OF EDU                                                                                         | CUSIP: 167505NG7<br>LEI: 54930099NR6T9V7LVB43 | Long             | DBT              | MUN               | US        |   1335000 | PA      | $1324815.95   | 0.13%             | 2029-11-01      | Fixed         | 6.32%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                                              | CUSIP: 3132DV7K5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    750233 | PA      | $634296.97    | 0.06%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                         | NRG Energy Inc                                                                                                | CUSIP: 629377CP5<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    890000 | PA      | $762772.22    | 0.08%             | 2027-12-02      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                                                                      | CUSIP: 38381TR23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    394121 | PA      | $64345.05     | 0.01%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Mercury Financial Credit Card Master Trust             | Mercury Financial Credit Card Master Trust                                                                    | CUSIP: 58940BAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    865000 | PA      | $865000.00    | 0.09%             | 2026-03-20      | Fixed         | 1.54%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust                     | Ellington Financial Mortgage Trust 2022-1                                                                     | CUSIP: 31573CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1134714 | PA      | $977738.88    | 0.10%             | 2067-01-25      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| Firstkey Homes Trust                                   | FirstKey Homes 2022-SFR2 Trust                                                                                | CUSIP: 33767PAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2485941 | PA      | $2395971.49   | 0.24%             | 2039-07-17      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| ONEOK Inc                                              | ONEOK Inc                                                                                                     | CUSIP: 682680AU7<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    205000 | PA      | $199635.23    | 0.02%             | 2028-07-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Life Financial Services Trust                          | Life 2021-BMR Mortgage Trust                                                                                  | CUSIP: 53218CAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    358784 | PA      | $342796.68    | 0.03%             | 2038-03-15      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                              | Boeing Co/The                                                                                                 | CUSIP: 097023CU7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    257000 | PA      | $259151.63    | 0.03%             | 2027-05-01      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| Genworth Mortgage Insurance Corporation                | Triangle Re 2021-3 Ltd                                                                                        | CUSIP: 89600HAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |    858400 | PA      | $856942.20    | 0.09%             | 2034-02-25      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                               | Enterprise Products Operating LLC                                                                             | CUSIP: 29379VBJ1<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |      7000 | PA      | $6565.21      | 0.00%             | 2046-05-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                           | Voya CLO 2016-3 Ltd                                                                                           | CUSIP: 92915HAL7<br>LEI: 549300001G5S0D8B8343 | Long             | ABS-CBDO         | CORP              | KY        |    705000 | PA      | $700732.64    | 0.07%             | 2031-10-18      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp                                        | CVS Health Corp                                                                                               | CUSIP: 126650CN8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     52000 | PA      | $49828.32     | 0.01%             | 2045-07-20      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                             | Verus Securitization Trust 2021-4                                                                             | CUSIP: 92538HAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2216590 | PA      | $1818297.66   | 0.18%             | 2066-07-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| PENSKE TRUCK LEASING/PTL                               | Penske Truck Leasing Co Lp / PTL Finance Corp                                                                 | CUSIP: 709599BJ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    955000 | PA      | $922605.00    | 0.09%             | 2025-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                                                            | CUSIP: 36179XFF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5272478 | PA      | $4982626.38   | 0.50%             | 2052-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                                                                      | CUSIP: 38380FBE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    292053 | PA      | $51574.18     | 0.01%             | 2047-06-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                                                             | CUSIP: 3136B5PK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    381097 | PA      | $352715.68    | 0.04%             | 2049-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                             | Progress Residential 2022-SFR5 Trust                                                                          | CUSIP: 74332YAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    453826 | PA      | $440647.83    | 0.04%             | 2039-06-17      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Bank                                                   | BANK 2020-BNK25                                                                                               | CUSIP: 06539WBC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11025089 | PA      | $514112.03    | 0.05%             | 2063-01-15      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| The Montreal Exchange / Bourse De Montreal             | CAN 10YR BOND FUT MAR23                                                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |      -344 | NC      | $-288257.53   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| CON EDISON CO OF NY INC                                | Consolidated Edison Co of New York Inc                                                                        | CUSIP: 209111FY4<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |     12000 | PA      | $10199.22     | 0.00%             | 2050-04-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                                | GLP Capital LP / GLP Financing II Inc                                                                         | CUSIP: 361841AL3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    260000 | PA      | $253172.40    | 0.03%             | 2029-01-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3140QNWJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8248810 | PA      | $6948795.77   | 0.70%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                                                            | CUSIP: 36179SEH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    548484 | PA      | $525823.73    | 0.05%             | 2046-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                             | Intel Corp                                                                                                    | CUSIP: 458140CB4<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    615000 | PA      | $577693.74    | 0.06%             | 2052-08-05      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 31418DYB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6651306 | PA      | $5618015.82   | 0.56%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| KAISER FOUNDATION HOSPIT                               | Kaiser Foundation Hospitals                                                                                   | CUSIP: 48305QAG8<br>LEI: DW4Z57L3G4IRMHYZYK62 | Long             | DBT              | CORP              | US        |    795000 | PA      | $583046.93    | 0.06%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                             | Verus Securitization Trust 2021-R2                                                                            | CUSIP: 92538DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    468807 | PA      | $415660.95    | 0.04%             | 2064-02-25      | Variable      | 0.92%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                       | COLT 2022-4 Mortgage Loan Trust                                                                               | CUSIP: 19685GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    426065 | PA      | $405749.93    | 0.04%             | 2067-03-25      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| Buckhorn Park CLO, Ltd.                                | Buckhorn Park CLO Ltd                                                                                         | CUSIP: 118382AQ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3300000 | PA      | $3255436.80   | 0.33%             | 2034-07-18      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3140QGGN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    220735 | PA      | $193958.91    | 0.02%             | 2040-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                                 | Williams Cos Inc/The                                                                                          | CUSIP: 96950FAL8<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |     60000 | PA      | $59791.62     | 0.01%             | 2023-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FAIR ISAAC CORP                                        | Fair Isaac Corp                                                                                               | CUSIP: 303250AF1<br>LEI: RI6HET5SJUEY30V1PS26 | Long             | DBT              | CORP              | US        |    752000 | PA      | $693471.84    | 0.07%             | 2028-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                                | GLP Capital LP / GLP Financing II Inc                                                                         | CUSIP: 361841AP4<br>LEI: N/A                  | Long             | DBT              |  | US        |      6000 | PA      | $5420.25      | 0.00%             | 2030-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                 | US 10YR ULTRA FUT MAR23                                                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |      -101 | NC      | $-228233.96   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                 | UnitedHealth Group Inc                                                                                        | CUSIP: 91324PEP3<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1040655.99   | 0.10%             | 2028-02-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3140XFBM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    901036 | PA      | $836455.67    | 0.08%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                              | Uniform Mortgage-Backed Security, TBA                                                                         | CUSIP: 01F052623<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7441000 | PA      | $7553487.01   | 0.76%             | 2053-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NBM US Holdings Inc                                    | NBM US Holdings Inc                                                                                           | CUSIP: 000000000<br>LEI: 5493008K1QMSP0J8UC24 | Long             | DBT              | CORP              | US        |    575000 | PA      | $574545.75    | 0.06%             | 2026-05-14      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 31418CRD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    279604 | PA      | $274617.70    | 0.03%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Avantor Funding, Inc.                                  | Avantor Funding, Inc. 2021 Term Loan B5                                                                       | CUSIP: 05350NAL8<br>LEI: 5493003VM0XB4U8YD238 | Long             | LON              | CORP              | US        |         0 | PA      | $0.00         | 0.00%             | 2027-11-08      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| Starwood Residential Mortgage Trust                    | STAR 2021-1 Trust                                                                                             | CUSIP: 85573GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    796153 | PA      | $708518.88    | 0.07%             | 2065-05-25      | Variable      | 1.22%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust                  | PRPM 2021-5 LLC                                                                                               | CUSIP: 69358DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1007475 | PA      | $927001.50    | 0.09%             | 2026-06-25      | Variable      | 1.79%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                           | NiSource Inc                                                                                                  | CUSIP: 65473PAH8<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |     76000 | PA      | $67920.86     | 0.01%             | 2029-09-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                       | Fannie Mae Connecticut Avenue Securities                                                                      | CUSIP: 30711XEP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    394593 | PA      | $403140.12    | 0.04%             | 2029-07-25      | Floating      | 8.06%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                       | T-Mobile USA Inc                                                                                              | CUSIP: 87264ACA1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    647000 | PA      | $568716.97    | 0.06%             | 2028-02-15      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                       | Connecticut Avenue Securities Trust 2019-HRP1                                                                 | CUSIP: 20754PAC4<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |    197203 | PA      | $195608.01    | 0.02%             | 2039-11-25      | Floating      | 6.66%                 | No            |                  2 | On Loan: No      |
| New Residential Advance Receivables Trust Advance      | NRZ Advance Receivables Trust 2015-ON1                                                                        | CUSIP: 62942QCW1<br>LEI: 549300RNWDDBV4LFKJ17 | Long             | ABS-O            | CORP              | US        |   2205000 | PA      | $2134380.69   | 0.21%             | 2053-09-15      | Fixed         | 1.48%                 | No            |                  2 | On Loan: No      |
| Oracle Corp                                            | Oracle Corp                                                                                                   | CUSIP: 68389XBX2<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    614000 | PA      | $449319.35    | 0.05%             | 2050-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                                                                      | CUSIP: 38379DHB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    573051 | PA      | $106989.19    | 0.01%             | 2044-07-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                               | Charter Communications Operating LLC / Charter Communications Operating Capital                               | CUSIP: 161175BN3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    802000 | PA      | $710333.99    | 0.07%             | 2048-04-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS IN                               | Rogers Communications Inc                                                                                     | CUSIP: 775109BF7<br>LEI: 54930030NVF3Y2OL0A78 | Long             | DBT              | CORP              | CA        |    100000 | PA      | $92972.31     | 0.01%             | 2026-11-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Constellation Brands Inc                               | Constellation Brands Inc                                                                                      | CUSIP: 21036PAY4<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |      5000 | PA      | $4744.70      | 0.00%             | 2028-02-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3138ERX70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19737 | PA      | $19476.17     | 0.00%             | 2043-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                     | Energy Transfer LP                                                                                            | CUSIP: 86765BAK5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      9000 | PA      | $8824.80      | 0.00%             | 2042-02-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                            | Long: B9D0UXBE1 IRS USD R V 12MSOFR 99D0UXBF8 CCPOIS / Short: B9D0UXBE1 IRS USD P F  2.97000 99D0UXBE1 CCPOIS | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   5185000 | OU      | $11046.90     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Sempra Energy                                          | Sempra Energy                                                                                                 | CUSIP: 816851BJ7<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |    605000 | PA      | $505128.00    | 0.05%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                                                                      | CUSIP: 38378FNA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    381737 | PA      | $56026.29     | 0.01%             | 2042-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Arab Republic of Egypt                                 | Egypt Government International Bond                                                                           | CUSIP: 000000000<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |    200000 | PA      | $140778.80    | 0.01%             | 2047-01-31      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PHILIPPINES                                | Philippine Government International Bond                                                                      | CUSIP: 000000000<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |   1400000 | PA      | $1173924.38   | 0.12%             | 2033-04-28      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                                              | CUSIP: 3133A7SX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    793511 | PA      | $730681.09    | 0.07%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GCAT                                                   | GCAT 2021-NQM2 Trust                                                                                          | CUSIP: 36166XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    736808 | PA      | $628292.47    | 0.06%             | 2066-05-25      | Variable      | 1.04%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Inc                                 | UnitedHealth Group Inc                                                                                        | CUSIP: 91324PDQ2<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    110000 | PA      | $103713.51    | 0.01%             | 2048-12-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE NEW YORK                                 | Credit Suisse AG/New York NY                                                                                  | CUSIP: 22550L2M2<br>LEI: 549300D0YARF5HYP1809 | Long             | DBT              | CORP              | CH        |    605000 | PA      | $634286.17    | 0.06%             | 2028-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                    | New Residential Mortgage Loan Trust 2017-6                                                                    | CUSIP: 64830BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    351626 | PA      | $333353.83    | 0.03%             | 2057-08-27      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                                | GLP Capital LP / GLP Financing II Inc                                                                         | CUSIP: 361841AK5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    158000 | PA      | $160937.22    | 0.02%             | 2028-06-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Republic of Colombia                                   | Colombia Government International Bond                                                                        | CUSIP: 195325DQ5<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |    200000 | PA      | $140692.89    | 0.01%             | 2049-05-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Bank                                                   | BANK 2019-BNK24                                                                                               | CUSIP: 06540VBC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14019552 | PA      | $491646.06    | 0.05%             | 2062-11-15      | Variable      | 0.64%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PANAMA                                     | Panama Government International Bond                                                                          | CUSIP: 698299BS2<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |    400000 | PA      | $298043.96    | 0.03%             | 2063-01-19      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3140QKVB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    536934 | PA      | $473586.74    | 0.05%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC            | BBCMS Mortgage Trust 2022-C18                                                                                 | CUSIP: 054975AE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    235000 | PA      | $254026.00    | 0.03%             | 2055-12-15      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| RR Ltd                                                 | RR 16 Ltd                                                                                                     | CUSIP: 74971CAA1<br>LEI: 549300FLUOZC8QYYKL96 | Long             | ABS-CBDO         | CORP              | KY        |   2025000 | PA      | $1996036.43   | 0.20%             | 2036-07-15      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                 | UnitedHealth Group Inc                                                                                        | CUSIP: 91324PES7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     60000 | PA      | $68271.03     | 0.01%             | 2053-02-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                                                                      | CUSIP: 38380KPR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    297439 | PA      | $65480.65     | 0.01%             | 2045-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                                 | BP Capital Markets America Inc                                                                                | CUSIP: 10373QBR0<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |    100000 | PA      | $79449.03     | 0.01%             | 2041-06-17      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                        | Fannie Mae Interest Strip                                                                                     | CUSIP: 31395Q3D0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    628777 | PA      | $69095.65     | 0.01%             | 2033-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3140XBWX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    656613 | PA      | $649586.67    | 0.07%             | 2038-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                  | Wells Fargo & Co                                                                                              | CUSIP: 95000U3A9<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    664000 | PA      | $661536.70    | 0.07%             | 2028-07-25      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO LTD                                    | Sound Point CLO XXIX Ltd                                                                                      | CUSIP: 83614VAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2270000 | PA      | $2214873.05   | 0.22%             | 2034-04-25      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                               | Warnermedia Holdings Inc                                                                                      | CUSIP: 55903VAL7<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    958000 | PA      | $849191.64    | 0.09%             | 2032-03-15      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                                                            | CUSIP: 3137FXBZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    677709 | PA      | $549858.46    | 0.06%             | 2040-10-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                                                            | CUSIP: 3137BSCE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    401957 | PA      | $78211.00     | 0.01%             | 2046-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| INTL AIRPORT FINANCE SA                                | International Airport Finance SA                                                                              | CUSIP: 000000000<br>LEI: 959800M9M5LP0KXUP789 | Long             | DBT              | CORP              | ES        |    518324 | PA      | $519852.57    | 0.05%             | 2033-03-15      | Fixed         | 12.00%                | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                                                            | CUSIP: 36179WNF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1669628 | PA      | $1539363.20   | 0.15%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                       | Societe Generale SA                                                                                           | CUSIP: 83368RBR2<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   1155000 | PA      | $1196103.27   | 0.12%             | 2029-01-10      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| MARVELL TECHNOLOGY INC                                 | Marvell Technology Inc                                                                                        | CUSIP: 573874AF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    611000 | PA      | $534507.19    | 0.05%             | 2028-04-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                 | US 10YR NOTE (CBT)MAR23                                                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |      -742 | NC      | $-1005382.26  | -0.10%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                                              | CUSIP: 31329QM40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    616482 | PA      | $605857.91    | 0.06%             | 2049-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC            | BBCMS Mortgage Trust 2022-C16                                                                                 | CUSIP: 05552YAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    520000 | PA      | $517121.07    | 0.05%             | 2055-06-15      | Variable      | 4.60%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                   | Bank of America Corp                                                                                          | CUSIP: 06051GKW8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    831000 | PA      | $831112.87    | 0.08%             | 2028-07-22      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3140XFX71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    850103 | PA      | $774964.33    | 0.08%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WOR                               | Anheuser-Busch InBev Worldwide Inc                                                                            | CUSIP: 03523TBV9<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |     30000 | PA      | $32008.25     | 0.00%             | 2049-01-23      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                            | BNP Paribas SA                                                                                                | CUSIP: 09659W2T0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    570000 | PA      | $516173.57    | 0.05%             | 2028-01-20      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae                                                                                                    | CUSIP: 21H030625<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8540000 | PA      | $7838605.62   | 0.79%             | 2053-02-21      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                              | Towd Point Mortgage Trust 2018-5                                                                              | CUSIP: 89176VAK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     84125 | PA      | $81031.37     | 0.01%             | 2058-07-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                           | GS Mortgage Securities Trust 2020-GC45                                                                        | CUSIP: 36258YBJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6594906 | PA      | $214399.09    | 0.02%             | 2053-02-13      | Variable      | 0.67%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                       | COLT 2021-2R Mortgage Loan Trust                                                                              | CUSIP: 12656YAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    245767 | PA      | $212179.27    | 0.02%             | 2054-07-27      | Fixed         | 0.80%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM 2014-CR14 Mortgage Trust                                                                                 | CUSIP: 12630DAY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    360000 | PA      | $355876.45    | 0.04%             | 2047-02-10      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                       | Crown Castle Inc                                                                                              | CUSIP: 22822VAF8<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              |  | US        |      5000 | PA      | $4491.62      | 0.00%             | 2047-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                 | Santander Drive Auto Receivables Trust 2023-1                                                                 | CUSIP: 80287GAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    650000 | PA      | $648425.90    | 0.07%             | 2028-02-15      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                           | NiSource Inc                                                                                                  | CUSIP: 65473PAL9<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |     52000 | PA      | $41240.22     | 0.00%             | 2031-02-15      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3140HKX29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88916 | PA      | $84832.38     | 0.01%             | 2048-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VCAT Asset Securitization, LLC                         | VCAT 2021-NPL3 LLC                                                                                            | CUSIP: 91824MAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    857506 | PA      | $763126.27    | 0.08%             | 2051-05-25      | Variable      | 1.74%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                                  | Mexico Government International Bond                                                                          | CUSIP: 91087BAV2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    330000 | PA      | $350283.56    | 0.04%             | 2035-02-09      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| WENDYS FUNDING LLC                                     | Wendy's Funding LLC                                                                                           | CUSIP: 95058XAK4<br>LEI: 5493009DRVSTWJOXUL48 | Long             | ABS-O            | CORP              | US        |   2127600 | PA      | $1800709.15   | 0.18%             | 2051-06-15      | Fixed         | 2.37%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                   | Bank of America Corp                                                                                          | CUSIP: 06051GKY4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    289000 | PA      | $288258.22    | 0.03%             | 2033-07-22      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| GAP INC/THE                                            | Gap Inc/The                                                                                                   | CUSIP: 364760AQ1<br>LEI: T2ZG1WRWZ4BUCMQL9224 | Long             | DBT              | CORP              | US        |   1726000 | PA      | $1285714.66   | 0.13%             | 2031-10-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Bank                                                   | BANK 2019-BNK22                                                                                               | CUSIP: 06540XBH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5731867 | PA      | $183598.00    | 0.02%             | 2062-11-15      | Variable      | 0.59%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                | MPLX LP                                                                                                       | CUSIP: 55336VBR0<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    286000 | PA      | $259757.12    | 0.03%             | 2026-03-01      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                 | Diamondback Energy Inc                                                                                        | CUSIP: 25278XAV1<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |    210000 | PA      | $222978.79    | 0.02%             | 2033-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| VIPER ENERGY PARTNERS LP                               | Viper Energy Partners LP                                                                                      | CUSIP: 92763MAA3<br>LEI: 5299009LINL232255G03 | Long             | DBT              | CORP              | US        |   2025000 | PA      | $1959187.50   | 0.20%             | 2027-11-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                     | Seasoned Credit Risk Transfer Trust Series 2019-2                                                             | CUSIP: 35563PKJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    271796 | PA      | $253851.14    | 0.03%             | 2058-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VCAT Asset Securitization, LLC                         | VCAT 2021-NPL2 LLC                                                                                            | CUSIP: 91822YAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    255798 | PA      | $242367.68    | 0.02%             | 2051-03-27      | Variable      | 2.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3140XGGS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    577995 | PA      | $508797.04    | 0.05%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GEN DIGITAL INC                                        | Gen Digital Inc                                                                                               | CUSIP: 871503AU2<br>LEI: YF6ZV0M6AU4FY94MK914 | Long             | DBT              | CORP              | US        |   3015000 | PA      | $2954700.00   | 0.30%             | 2025-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                                                            | CUSIP: 36179XHW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  16409105 | PA      | $15507006.89  | 1.56%             | 2052-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                           | Centene Corp                                                                                                  | CUSIP: 15135BAT8<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |   1805000 | PA      | $1711085.85   | 0.17%             | 2029-12-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| SIRIUS XM RADIO INC                                    | Sirius XM Radio Inc                                                                                           | CUSIP: 82967NBG2<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |    141000 | PA      | $120738.30    | 0.01%             | 2030-07-01      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                                                                      | CUSIP: 38380WH28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    545648 | PA      | $105331.40    | 0.01%             | 2045-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                        | CVS Health Corp                                                                                               | CUSIP: 126650DK3<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    315000 | PA      | $274106.80    | 0.03%             | 2040-04-01      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential Trust                    | Starwood Mortgage Residential Trust 2021-3                                                                    | CUSIP: 85573JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1153447 | PA      | $937269.95    | 0.09%             | 2056-06-25      | Variable      | 1.13%                 | No            |                  2 | On Loan: No      |
| Bank                                                   | BANK 2019-BNK18                                                                                               | CUSIP: 065402BD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3456585 | PA      | $147635.94    | 0.01%             | 2062-05-15      | Variable      | 0.89%                 | No            |                  2 | On Loan: No      |
| DISCOVERY COMMUNICATIONS                               | Discovery Communications LLC                                                                                  | CUSIP: 25470DBL2<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |     15000 | PA      | $10252.82     | 0.00%             | 2055-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS IN                               | Rogers Communications Inc                                                                                     | CUSIP: 775109CC3<br>LEI: 54930030NVF3Y2OL0A78 | Long             | DBT              | CORP              | CA        |     35000 | PA      | $31419.63     | 0.00%             | 2032-03-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                             | Intel Corp                                                                                                    | CUSIP: 458140BW9<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    669000 | PA      | $460346.16    | 0.05%             | 2051-08-12      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                                                                      | CUSIP: 38378PE79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1229642 | PA      | $1129487.39   | 0.11%             | 2044-01-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates                                                  | CUSIP: 3137FL2N3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3108791 | PA      | $116621.65    | 0.01%             | 2034-01-25      | Variable      | 0.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3140XGGR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    557201 | PA      | $492829.37    | 0.05%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                              | ONEOK Inc                                                                                                     | CUSIP: 682680BG7<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    385000 | PA      | $403858.91    | 0.04%             | 2032-11-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust                            | Extended Stay America Trust 2021-ESH                                                                          | CUSIP: 30227FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2479528 | PA      | $2444017.93   | 0.25%             | 2038-07-15      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                        | BRAVO Residential Funding Trust 2021-C                                                                        | CUSIP: 105692AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1684001 | PA      | $1522989.73   | 0.15%             | 2061-03-01      | Variable      | 1.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3138EHTF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     97631 | PA      | $96341.18     | 0.01%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GE HEALTHCARE TECH INC                                 | GE HealthCare Technologies Inc                                                                                | CUSIP: 36267VAG8<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |    355000 | PA      | $375986.25    | 0.04%             | 2030-03-15      | Fixed         | 5.86%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                | Goldman Sachs Group Inc/The                                                                                   | CUSIP: 38141GZM9<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     10000 | PA      | $8543.29      | 0.00%             | 2033-02-24      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                           | NiSource Inc                                                                                                  | CUSIP: 65473PAJ4<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |    934000 | PA      | $861838.75    | 0.09%             | 2030-05-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Mercury Financial Credit Card Master Trust             | Mercury Financial Credit Card Master Trust                                                                    | CUSIP: 58940BAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1389105.00   | 0.14%             | 2026-09-21      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH CO/INBEV                                | Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc                                                   | CUSIP: 03522AAH3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    120000 | PA      | $118597.89    | 0.01%             | 2036-02-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                                    | Synchrony Financial                                                                                           | CUSIP: 87165BAU7<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |    600000 | PA      | $599094.59    | 0.06%             | 2033-02-02      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| L3HARRIS TECH INC                                      | L3Harris Technologies Inc                                                                                     | CUSIP: 502431AF6<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |    105000 | PA      | $92856.14     | 0.01%             | 2029-12-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust                                    | DT Auto Owner Trust 2023-1                                                                                    | CUSIP: 23346KAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    555000 | PA      | $554515.87    | 0.06%             | 2028-10-16      | Fixed         | 5.19%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust          | JP Morgan Chase Commercial Mortgage Securities Trust 2020-NNN                                                 | CUSIP: 46652BAY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    415000 | PA      | $379052.33    | 0.04%             | 2037-01-16      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                             | Progress Residential 2021-SFR8 Trust                                                                          | CUSIP: 74333TAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1715902 | PA      | $1516621.11   | 0.15%             | 2038-10-17      | Fixed         | 1.51%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                       | COLT 2021-1 Mortgage Loan Trust                                                                               | CUSIP: 19688EAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    845318 | PA      | $687659.81    | 0.07%             | 2066-06-25      | Variable      | 0.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3140M2G63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    626399 | PA      | $548325.52    | 0.06%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                 | United States Treasury Note/Bond                                                                              | CUSIP: 912810RP5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2525000 | PA      | $2208092.78   | 0.22%             | 2045-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MARVELL TECHNOLOGY INC                                 | Marvell Technology Inc                                                                                        | CUSIP: 573874AN4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     40000 | PA      | $39461.06     | 0.00%             | 2028-06-22      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                | Goldman Sachs Group Inc/The                                                                                   | CUSIP: 38141GGM0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     15000 | PA      | $16954.00     | 0.00%             | 2041-02-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                         | Morgan Stanley                                                                                                | CUSIP: 61747YER2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1156000 | PA      | $1120613.53   | 0.11%             | 2028-04-20      | Fixed         | 4.21%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Education                             | CHICAGO IL BRD OF EDU                                                                                         | CUSIP: 167505KG0<br>LEI: 54930099NR6T9V7LVB43 | Long             | DBT              | MUN               | US        |    270000 | PA      | $263541.03    | 0.03%             | 2029-12-01      | Fixed         | 6.04%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3140XJAR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1419591 | PA      | $1335966.88   | 0.13%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CAMB Commercial Mortgage Trust                         | CAMB Commercial Mortgage Trust 2019-LIFE                                                                      | CUSIP: 12482HAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    785000 | PA      | $761389.63    | 0.08%             | 2037-12-15      | Floating      | 7.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                    | Freddie Mac Structured Agency Credit Risk Debt Notes                                                          | CUSIP: 3137G0AD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    530585 | PA      | $542480.70    | 0.05%             | 2023-11-25      | Floating      | 8.76%                 | No            |                  2 | On Loan: No      |
| Toorak Mortgage Corp.                                  | Toorak Mortgage Corp 2021-1 Ltd                                                                               | CUSIP: 89053BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1210000 | PA      | $1150376.89   | 0.12%             | 2024-06-25      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| NRZ Excess Spread Collateralized Notes                 | NRZ Excess Spread-Collateralized Notes Series 2020-PLS1                                                       | CUSIP: 433674AA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    155358 | PA      | $141932.35    | 0.01%             | 2025-12-25      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| GCAT                                                   | GCAT 2021-NQM4 Trust                                                                                          | CUSIP: 36168HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1408531 | PA      | $1151536.88   | 0.12%             | 2066-08-25      | Variable      | 1.09%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                              | Towd Point Mortgage Trust 2018-3                                                                              | CUSIP: 89175MAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     49539 | PA      | $47549.75     | 0.00%             | 2058-05-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| UNITED RENTALS NORTH AM                                | United Rentals North America Inc                                                                              | CUSIP: 911365BG8<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |     80000 | PA      | $77350.00     | 0.01%             | 2028-01-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Financial Square Funds - Government Fund | Goldman Sachs Financial Square Funds - Government Fund                                                        | CUSIP: 38141W273<br>LEI: 549300BRJMXN4GUWZ402 | Long             | STIV             | RF                | US        |     31950 | NS      | $31950.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMORGAN CHASE & CO                                    | JPMorgan Chase & Co                                                                                           | CUSIP: 46647PDH6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    240000 | PA      | $238287.83    | 0.02%             | 2033-07-25      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| Ashtead Capital Inc                                    | Ashtead Capital Inc                                                                                           | CUSIP: 045054AF0<br>LEI: 213800J1134IW58IC398 | Long             | DBT              | CORP              | US        |   1400000 | PA      | $1340124.53   | 0.13%             | 2027-08-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| RR 1 Ltd                                               | RR 1 LLC                                                                                                      | CUSIP: 78108YAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2365000 | PA      | $2334562.45   | 0.23%             | 2035-07-15      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                | MPLX LP                                                                                                       | CUSIP: 55336VBT6<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    480000 | PA      | $422804.28    | 0.04%             | 2052-03-14      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| OZLM Ltd                                               | OZLM IX Ltd                                                                                                   | CUSIP: 67109KBC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    550000 | PA      | $543433.55    | 0.05%             | 2031-10-20      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                       | Fannie Mae Connecticut Avenue Securities                                                                      | CUSIP: 20755DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    344222 | PA      | $347664.31    | 0.03%             | 2042-07-25      | Floating      | 6.86%                 | No            |                  2 | On Loan: No      |
| NVIDIA CORP                                            | NVIDIA Corp                                                                                                   | CUSIP: 67066GAG9<br>LEI: 549300S4KLFTLO7GSQ80 | Long             | DBT              | CORP              | US        |    628000 | PA      | $543718.90    | 0.05%             | 2040-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                           | Broadcom Inc                                                                                                  | CUSIP: 11135FBR1<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   1270000 | PA      | $1186597.11   | 0.12%             | 2029-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF INDONESIA                                  | Indonesia Government International Bond                                                                       | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |   2600000 | PA      | $2100459.62   | 0.21%             | 2033-03-12      | Fixed         | 1.10%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                       | Freddie Mac Strips                                                                                            | CUSIP: 31325YB31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1720286 | PA      | $252528.93    | 0.03%             | 2052-03-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                                              | CUSIP: 3133KJJQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    431226 | PA      | $395159.39    | 0.04%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 31418D2N1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1512247 | PA      | $1377253.50   | 0.14%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                       | Societe Generale SA                                                                                           | CUSIP: 83368RBL5<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   2705000 | PA      | $2679239.80   | 0.27%             | 2033-06-15      | Fixed         | 6.22%                 | No            |                  2 | On Loan: No      |
| Invesco Government & Agency Portfolio                  | Invesco Government & Agency Portfolio                                                                         | CUSIP: 825252885<br>LEI: 5493007T1J7WZ5QI1A47 | Long             | STIV             | RF                | US        |     31950 | NS      | $31950.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3138A5M33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30902 | PA      | $30493.96     | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Toronto-Dominion Bank                                  | PURCHASED USD / SOLD EUR                                                                                      | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | N/A              | DFE              |  | US        |         1 | NC      | $705.08       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BAT Capital Corp                                       | BAT Capital Corp                                                                                              | CUSIP: 05526DBB0<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     98700 | PA      | $91890.16     | 0.01%             | 2027-08-15      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                                   | Keurig Dr Pepper Inc                                                                                          | CUSIP: 49271VAP5<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |    925000 | PA      | $888605.60    | 0.09%             | 2029-04-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Metlife Securitization Trust                           | METLIFE SECURITIZATION TRUST 2018-1                                                                           | CUSIP: 59166DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    568897 | PA      | $539640.40    | 0.05%             | 2057-03-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                                                            | CUSIP: 36179RLQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    519185 | PA      | $512645.70    | 0.05%             | 2045-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                                              | CUSIP: 3132DVL86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    460975 | PA      | $422336.39    | 0.04%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                                              | CUSIP: 3132DMPV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    566179 | PA      | $499787.56    | 0.05%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| NBM US Holdings Inc                                    | NBM US Holdings Inc                                                                                           | CUSIP: 62877VAA9<br>LEI: 5493008K1QMSP0J8UC24 | Long             | DBT              | CORP              | US        |    835000 | PA      | $834340.35    | 0.08%             | 2026-05-14      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Dominion Energy Inc                                    | Dominion Energy Inc                                                                                           | CUSIP: 25746UDG1<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |     95000 | PA      | $86386.54     | 0.01%             | 2030-04-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                 | United States Treasury Inflation Indexed Bonds                                                                | CUSIP: 912828Y38<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5236455 | PA      | $5073275.92   | 0.51%             | 2028-07-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                       | Paramount Global                                                                                              | CUSIP: 92553PAP7<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |    126000 | PA      | $92495.85     | 0.01%             | 2043-03-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                               | OBX 2021-NQM1 Trust                                                                                           | CUSIP: 67114BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    968390 | PA      | $810010.15    | 0.08%             | 2066-02-25      | Variable      | 1.07%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                 | Santander Drive Auto Receivables Trust 2022-4                                                                 | CUSIP: 80286FAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1540000 | PA      | $1517239.26   | 0.15%             | 2027-11-15      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3138EKY74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8445 | PA      | $8333.44      | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae                                                                                                    | CUSIP: 21H040624<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11930000 | PA      | $11578158.17  | 1.16%             | 2053-02-21      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                                              | CUSIP: 3131XYTF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    164111 | PA      | $156791.64    | 0.02%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                            | Legacy Mortgage Asset Trust 2021-GS4                                                                          | CUSIP: 52475WAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    383865 | PA      | $324178.97    | 0.03%             | 2060-11-25      | Variable      | 1.65%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                                 | PNC Financial Services Group Inc/The                                                                          | CUSIP: 693475BM6<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    160000 | PA      | $160867.80    | 0.02%             | 2034-01-24      | Fixed         | 5.07%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                                              | CUSIP: 31329NVE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    436802 | PA      | $436993.94    | 0.04%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3140X7GK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    824351 | PA      | $795198.37    | 0.08%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae                                                                                                    | CUSIP: 21H022622<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5435000 | PA      | $4842669.95   | 0.49%             | 2053-02-21      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM 2014-CCRE19 Mortgage Trust                                                                               | CUSIP: 12592GBD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    900000 | PA      | $874844.82    | 0.09%             | 2047-08-10      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3140XFM32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4616448 | PA      | $4054900.06   | 0.41%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SUTTER HEALTH                                          | Sutter Health                                                                                                 | CUSIP: 86944BAJ2<br>LEI: 549300MJCC12LU768G81 | Long             | DBT              | CORP              | US        |    352000 | PA      | $262526.18    | 0.03%             | 2050-08-15      | Fixed         | 3.36%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                  | Westlake Automobile Receivables Trust 2020-3                                                                  | CUSIP: 96042QAL4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    610000 | PA      | $580918.62    | 0.06%             | 2026-02-17      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                                                            | CUSIP: 36179SWX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    553015 | PA      | $530168.69    | 0.05%             | 2047-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROGRESS LLC                               | Duke Energy Progress LLC                                                                                      | CUSIP: 26442UAP9<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |    225000 | PA      | $190983.49    | 0.02%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                             | CUSIP: 3622AAFK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    210696 | PA      | $220328.83    | 0.02%             | 2045-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CDW LLC/CDW FINANCE                                    | CDW LLC / CDW Finance Corp                                                                                    | CUSIP: 12513GBD0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     19000 | PA      | $17641.50     | 0.00%             | 2028-04-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                              | BPR Trust 2022-STAR                                                                                           | CUSIP: 055980AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1180000 | PA      | $1176293.50   | 0.12%             | 2024-08-15      | Floating      | 7.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                                                             | CUSIP: 3136AWCM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    104355 | PA      | $101832.69    | 0.01%             | 2044-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust                  | PRPM 2021-3 LLC                                                                                               | CUSIP: 69357PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    694356 | PA      | $650977.90    | 0.07%             | 2026-04-25      | Variable      | 1.87%                 | No            |                  2 | On Loan: No      |
| CDW LLC/CDW FINANCE                                    | CDW LLC / CDW Finance Corp                                                                                    | CUSIP: 12513GBH1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    210000 | PA      | $184384.20    | 0.02%             | 2028-12-01      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                       | Fannie Mae Connecticut Avenue Securities                                                                      | CUSIP: 30711XBB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    150465 | PA      | $157306.18    | 0.02%             | 2025-07-25      | Floating      | 9.51%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                                              | CUSIP: 3133KYVC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1145065 | PA      | $1006157.62   | 0.10%             | 2041-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                                                                      | CUSIP: 38379HFZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    234801 | PA      | $39201.15     | 0.00%             | 2044-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PUGET ENERGY INC                                       | Puget Energy Inc                                                                                              | CUSIP: 745310AK8<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |    620000 | PA      | $570671.71    | 0.06%             | 2030-06-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3140X8XH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1087693 | PA      | $919533.83    | 0.09%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                               | Ajax Mortgage Loan Trust 2021-C                                                                               | CUSIP: 009733AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    445315 | PA      | $421800.18    | 0.04%             | 2061-01-25      | Variable      | 2.12%                 | No            |                  2 | On Loan: No      |
| DISCOVERY COMMUNICATIONS                               | Discovery Communications LLC                                                                                  | CUSIP: 25470DAR0<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |     75600 | PA      | $70522.83     | 0.01%             | 2028-03-20      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Toorak Mortgage Corp.                                  | TRK 2021-INV1 Trust                                                                                           | CUSIP: 89688WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    634191 | PA      | $550331.53    | 0.06%             | 2056-07-25      | Variable      | 1.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                                                         | CUSIP: 31335CAH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     97633 | PA      | $90373.78     | 0.01%             | 2047-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                       | T-Mobile USA Inc                                                                                              | CUSIP: 87264ACX1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      5000 | PA      | $5217.66      | 0.00%             | 2062-09-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| REGAL REXNORD CORP                                     | Regal Rexnord Corp                                                                                            | CUSIP: 758750AE3<br>LEI: QH78R09VCJGQKPBPYU33 | Long             | DBT              | CORP              | US        |    650000 | PA      | $661367.93    | 0.07%             | 2030-02-15      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                   | Bank of America Corp                                                                                          | CUSIP: 06051GJF7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    155000 | PA      | $124997.42    | 0.01%             | 2031-07-23      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3140XAUM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    914993 | PA      | $809611.18    | 0.08%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                 | United States Treasury Note/Bond                                                                              | CUSIP: 912810TK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9205000 | PA      | $8668521.09   | 0.87%             | 2042-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners LLC                   | Pretium Mortgage Credit Partners LLC                                                                          | CUSIP: 74140QAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1571451 | PA      | $1446504.48   | 0.15%             | 2061-02-25      | Variable      | 1.99%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                             | CUSIP: 3622AAN26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    337905 | PA      | $334048.34    | 0.03%             | 2042-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| MARVELL TECHNOLOGY INC                                 | Marvell Technology Inc                                                                                        | CUSIP: 573874AJ3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    265000 | PA      | $223522.61    | 0.02%             | 2031-04-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Marlette Funding Trust                                 | Marlette Funding Trust 2021-2                                                                                 | CUSIP: 57108TAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    410165 | PA      | $401100.81    | 0.04%             | 2031-09-15      | Fixed         | 1.06%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                    | Exeter Automobile Receivables Trust 2022-4                                                                    | CUSIP: 30166BAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    760000 | PA      | $748501.50    | 0.08%             | 2027-01-15      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                                                             | CUSIP: 3136B3Z94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    287023 | PA      | $275563.14    | 0.03%             | 2049-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                               | Angel Oak Mortgage Trust 2022-1                                                                               | CUSIP: 03464BAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2606233 | PA      | $2378488.54   | 0.24%             | 2066-12-25      | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                       | T-Mobile USA Inc                                                                                              | CUSIP: 87264ACV5<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    230000 | PA      | $234022.49    | 0.02%             | 2033-01-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| DISCOVERY COMMUNICATIONS                               | Discovery Communications LLC                                                                                  | CUSIP: 25470DAT6<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |    444000 | PA      | $368985.49    | 0.04%             | 2047-09-20      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                                                            | CUSIP: 36179TUA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    136987 | PA      | $131182.91    | 0.01%             | 2048-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HOWARD UNIVERSITY                                      | Howard University                                                                                             | CUSIP: 442851AT8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    100000 | PA      | $86304.47     | 0.01%             | 2029-10-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                       | Deutsche Bank AG/New York NY                                                                                  | CUSIP: 251526CP2<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    700000 | PA      | $617809.25    | 0.06%             | 2027-11-16      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                            | OCP CLO 2016-12 Ltd                                                                                           | CUSIP: 67092RAL2<br>LEI: 254900U8BS6KLMI9K654 | Long             | ABS-CBDO         | CORP              | KY        |    925000 | PA      | $915547.43    | 0.09%             | 2033-04-18      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| Fixed Income Clearing Corp                             | FIXED INC CLEARING CORP.REPO                                                                                  | CUSIP: 000000000<br>LEI: 549300H47WTHXPU08X20 | Long             | RA               | CORP              | US        |   1459721 | PA      | $1459721.00   | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| IMPERIAL FUND LLC                                      | Imperial Fund Mortgage Trust 2021-NQM2                                                                        | CUSIP: 452761AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    788364 | PA      | $646546.55    | 0.06%             | 2056-09-25      | Variable      | 1.07%                 | No            |                  2 | On Loan: No      |
| OPEN TEXT HOLDINGS INC                                 | Open Text Holdings Inc                                                                                        | CUSIP: 683720AC0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    380000 | PA      | $308951.40    | 0.03%             | 2031-12-01      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                               | Madison Park Funding XXXVIII Ltd                                                                              | CUSIP: 55821KAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1750000 | PA      | $1725241.00   | 0.17%             | 2034-07-17      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates                                                  | CUSIP: 3137FVNJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4266342 | PA      | $276280.22    | 0.03%             | 2030-06-25      | Variable      | 1.12%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                         | Morgan Stanley Capital I Trust 2017-H1                                                                        | CUSIP: 61691JAW4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3944084 | PA      | $144728.97    | 0.01%             | 2050-06-15      | Variable      | 1.32%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                    | JPMorgan Chase & Co                                                                                           | CUSIP: 46647PBA3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    490000 | PA      | $478307.04    | 0.05%             | 2027-01-29      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3140Q7QD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    476236 | PA      | $455007.98    | 0.05%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust             | JPMBB Commercial Mortgage Securities Trust 2013-C12                                                           | CUSIP: 46639NAP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     81574 | PA      | $81070.22     | 0.01%             | 2045-07-15      | Fixed         | 3.36%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                      | EURO-SCHATZ FUT MAR23                                                                                         | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |      -261 | NC      | $219054.41    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| TARGA RESOURCES CORP                                   | Targa Resources Corp                                                                                          | CUSIP: 87612GAA9<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |    503000 | PA      | $454624.21    | 0.05%             | 2033-02-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| BINOM Securitization Trust                             | BINOM Securitization Trust 2021-INV1                                                                          | CUSIP: 05552UAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    667550 | PA      | $595959.27    | 0.06%             | 2056-06-25      | Variable      | 2.03%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3140X4TQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    202190 | PA      | $203240.89    | 0.02%             | 2049-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                 | Pacific Gas and Electric Co                                                                                   | CUSIP: 694308JG3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    830500 | PA      | $668493.58    | 0.07%             | 2031-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust                  | PRPM 2021-9 LLC                                                                                               | CUSIP: 69360XAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1780542 | PA      | $1653749.84   | 0.17%             | 2026-10-25      | Variable      | 2.36%                 | No            |                  2 | On Loan: No      |
| SIRIUS XM RADIO INC                                    | Sirius XM Radio Inc                                                                                           | CUSIP: 82967NBJ6<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |     75000 | PA      | $66757.50     | 0.01%             | 2028-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GARTNER INC                                            | Gartner Inc                                                                                                   | CUSIP: 366651AC1<br>LEI: PP55B5R38BFB8O8HH686 | Long             | DBT              | CORP              | US        |   1971000 | PA      | $1872430.29   | 0.19%             | 2028-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                 | United States Treasury Note/Bond                                                                              | CUSIP: 91282CDJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  16965000 | PA      | $14264516.56  | 1.43%             | 2031-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| HOWARD UNIVERSITY                                      | Howard University                                                                                             | CUSIP: 442851AY7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    265000 | PA      | $205009.85    | 0.02%             | 2041-10-01      | Fixed         | 3.48%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY INDIANA LLC                                | Duke Energy Indiana LLC                                                                                       | CUSIP: 26443TAC0<br>LEI: 6URPHM2EAWGJ2C6ISB97 | Long             | DBT              | CORP              | US        |    220000 | PA      | $148322.00    | 0.01%             | 2050-04-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                                                             | CUSIP: 3136B2DL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    344866 | PA      | $58634.29     | 0.01%             | 2048-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                                   | BlueMountain CLO XXIV Ltd                                                                                     | CUSIP: 09609NAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1440000 | PA      | $1418101.92   | 0.14%             | 2034-04-20      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                              | Uniform Mortgage-Backed Security, TBA                                                                         | CUSIP: 01F050627<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9865000 | PA      | $9888506.42   | 0.99%             | 2053-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF GHANA                                      | Ghana Government International Bond                                                                           | CUSIP: 37443GAG6<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |    204000 | PA      | $75480.00     | 0.01%             | 2027-02-11      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                                                             | CUSIP: 3136A9Q43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1137479 | PA      | $1074817.27   | 0.11%             | 2042-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WOR                               | Anheuser-Busch InBev Worldwide Inc                                                                            | CUSIP: 03523TBU1<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |    788000 | PA      | $822743.60    | 0.08%             | 2039-01-23      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                    | New Residential Mortgage Loan Trust 2017-3                                                                    | CUSIP: 64828MAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    318751 | PA      | $303670.98    | 0.03%             | 2057-04-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                              | Uniform Mortgage-Backed Security, TBA                                                                         | CUSIP: 01F042426<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     97000 | PA      | $97608.87     | 0.01%             | 2038-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Puget Energy Inc                                       | Puget Energy Inc                                                                                              | CUSIP: 745310AH5<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |    130000 | PA      | $124518.12    | 0.01%             | 2025-05-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                       | Fannie Mae Connecticut Avenue Securities                                                                      | CUSIP: 30711XAR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81354 | PA      | $82285.14     | 0.01%             | 2024-11-25      | Floating      | 9.51%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FDG/NXP USA                                 | NXP BV / NXP Funding LLC / NXP USA Inc                                                                        | CUSIP: 62954HAX6<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |     95000 | PA      | $88404.54     | 0.01%             | 2027-05-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3140FXC75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    749326 | PA      | $706062.81    | 0.07%             | 2056-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                    | Citigroup Commercial Mortgage Trust 2014-GC23                                                                 | CUSIP: 17322VAT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1300000 | PA      | $1260633.66   | 0.13%             | 2047-07-10      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| EVERGY INC                                             | Evergy Inc                                                                                                    | CUSIP: 30034WAA4<br>LEI: 549300PGTHDQY6PSUI61 | Long             | DBT              | CORP              | US        |    368000 | PA      | $352328.93    | 0.04%             | 2024-09-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3140EUXE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    245774 | PA      | $235112.75    | 0.02%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                                   | Targa Resources Corp                                                                                          | CUSIP: 87612KAC6<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |    465000 | PA      | $468644.19    | 0.05%             | 2052-07-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| New York Transportation Development Corp               | NEW YORK TRANSPRTN DEV CORP LEASE REVENUE                                                                     | CUSIP: 650117AA2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1705000 | PA      | $1667835.77   | 0.17%             | 2035-09-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                               | Charter Communications Operating LLC / Charter Communications Operating Capital                               | CUSIP: 161175BZ6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     10000 | PA      | $7000.33      | 0.00%             | 2041-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                               | BX Trust 2018-GW                                                                                              | CUSIP: 12433UAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    580000 | PA      | $563264.80    | 0.06%             | 2035-05-15      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust                           | Upstart Securitization Trust 2021-3                                                                           | CUSIP: 91679LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    175544 | PA      | $172120.66    | 0.02%             | 2031-07-20      | Fixed         | 0.83%                 | No            |                  2 | On Loan: No      |
| FIRSTCASH INC                                          | FirstCash Inc                                                                                                 | CUSIP: 33767DAB1<br>LEI: 549300V2X3UU7K0DG350 | Long             | DBT              | CORP              | US        |   2699000 | PA      | $2411846.43   | 0.24%             | 2028-09-01      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| ALABAMA POWER CO                                       | Alabama Power Co                                                                                              | CUSIP: 010392FT0<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |    470000 | PA      | $359639.03    | 0.04%             | 2049-10-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3138E44D0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13463 | PA      | $13284.96     | 0.00%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3140XJUT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    482317 | PA      | $491486.54    | 0.05%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                              | Uniform Mortgage-Backed Security, TBA                                                                         | CUSIP: 01F040420<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    340000 | PA      | $337635.94    | 0.03%             | 2038-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                                              | CUSIP: 3133KL2S5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    403661 | PA      | $355508.16    | 0.04%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ONSLOW BAY FINANCIAL LLC                               | OBX 2021-NQM3 Trust                                                                                           | CUSIP: 67114JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    995675 | PA      | $791461.70    | 0.08%             | 2061-07-25      | Variable      | 1.05%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                               | Capital One Financial Corp                                                                                    | CUSIP: 14040HCV5<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   1605000 | PA      | $1574747.10   | 0.16%             | 2030-07-26      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                                                            | CUSIP: 36179TG58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    705632 | PA      | $696136.17    | 0.07%             | 2047-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PENSKE TRUCK LEASING/PTL                               | Penske Truck Leasing Co Lp / PTL Finance Corp                                                                 | CUSIP: 709599BN3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    600000 | PA      | $584213.19    | 0.06%             | 2027-07-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                     | Seasoned Credit Risk Transfer Trust Series 2019-3                                                             | CUSIP: 35563PLK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    939473 | PA      | $880068.33    | 0.09%             | 2058-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3140X4XJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    630790 | PA      | $617524.69    | 0.06%             | 2049-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3140X6QS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92436 | PA      | $88296.86     | 0.01%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                 | United States Treasury Note/Bond                                                                              | CUSIP: 91282CFM8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  30910000 | PA      | $31485940.16  | 3.16%             | 2027-09-30      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust             | JPMBB Commercial Mortgage Securities Trust 2014-C23                                                           | CUSIP: 46643ABE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $97654.27     | 0.01%             | 2047-09-15      | Fixed         | 3.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3140XF3N9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    594438 | PA      | $522332.88    | 0.05%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                                              | CUSIP: 3132DVLW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    866121 | PA      | $741018.96    | 0.07%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                                              | CUSIP: 3132A1NB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    104192 | PA      | $106947.73    | 0.01%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3140QD6H2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    464428 | PA      | $409906.63    | 0.04%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| OGLETHORPE POWER CORP                                  | Oglethorpe Power Corp                                                                                         | CUSIP: 677050AR7<br>LEI: 3EERXCUSWMS9GV5D9M98 | Long             | DBT              | CORP              | US        |    484000 | PA      | $410839.61    | 0.04%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                               | Angel Oak Mortgage Trust 2021-3                                                                               | CUSIP: 03465EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1077849 | PA      | $915565.63    | 0.09%             | 2066-05-25      | Variable      | 1.07%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                     | Energy Transfer LP                                                                                            | CUSIP: 86765BAS8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    136000 | PA      | $138968.27    | 0.01%             | 2025-12-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                 | Credit Suisse Group AG                                                                                        | CUSIP: 225401AV0<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    525000 | PA      | $506978.68    | 0.05%             | 2028-08-11      | Fixed         | 6.44%                 | No            |                  2 | On Loan: No      |
| Stack Infrastructure Issuer LLC                        | Stack Infrastructure Issuer LLC                                                                               | CUSIP: 85236KAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    310000 | PA      | $281913.81    | 0.03%             | 2045-08-25      | Fixed         | 1.89%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                    | Southern California Edison Co                                                                                 | CUSIP: 842400HS5<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    270000 | PA      | $283775.47    | 0.03%             | 2027-11-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                       | Fannie Mae Connecticut Avenue Securities                                                                      | CUSIP: 30711XEC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    327694 | PA      | $338532.00    | 0.03%             | 2029-05-25      | Floating      | 8.86%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3140X77H6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2418280 | PA      | $2051107.40   | 0.21%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GCAT                                                   | GCAT 2021-NQM1 Trust                                                                                          | CUSIP: 36167TAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    665733 | PA      | $604835.36    | 0.06%             | 2066-01-25      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3140LHG53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    760000 | PA      | $726228.24    | 0.07%             | 2032-11-01      | Fixed         | 3.52%                 | No            |                  2 | On Loan: No      |
| Imperial Fund LLC                                      | Imperial Fund Mortgage Trust 2022-NQM2                                                                        | CUSIP: 45276PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2740510 | PA      | $2559647.18   | 0.26%             | 2067-03-25      | Variable      | 3.64%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                                                                      | CUSIP: 38378GTW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    163069 | PA      | $150735.89    | 0.02%             | 2042-06-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| 510 Assets Backed Trust                                | 510 Asset Backed 2021-NPL1 Trust                                                                              | CUSIP: 33835CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1517226 | PA      | $1398497.38   | 0.14%             | 2061-06-25      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3138E7EF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    227918 | PA      | $224909.20    | 0.02%             | 2042-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 31418DYX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    348221 | PA      | $294061.51    | 0.03%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SBA Tower Trust                                        | SBA Tower Trust                                                                                               | CUSIP: 78403DAN0<br>LEI: N/A                  | Long             | DBT              |  | US        |    675000 | PA      | $637844.42    | 0.06%             | 2025-01-15      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                                 | Williams Cos Inc/The                                                                                          | CUSIP: 96950FAQ7<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    104000 | PA      | $101817.28    | 0.01%             | 2025-01-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae                                                                                                    | CUSIP: 21H042620<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9255000 | PA      | $9181257.55   | 0.92%             | 2053-02-21      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                 | Verizon Communications Inc                                                                                    | CUSIP: 92343VGN8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    934000 | PA      | $767067.09    | 0.08%             | 2032-03-15      | Fixed         | 2.36%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                           | CSMC 2022-NQM1                                                                                                | CUSIP: 126416AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2789516 | PA      | $2469143.59   | 0.25%             | 2066-11-25      | Variable      | 2.27%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust          | JPMCC Commercial Mortgage Securities Trust 2017-JP5                                                           | CUSIP: 46647TAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2050000 | PA      | $1948149.03   | 0.20%             | 2050-03-15      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3140QG4T1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    882731 | PA      | $745763.46    | 0.07%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3140MHUW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    756025 | PA      | $692205.35    | 0.07%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                       | Duke Energy Corp                                                                                              | CUSIP: 26441CBT1<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    750000 | PA      | $727399.26    | 0.07%             | 2032-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Dominos Pizza Master Issuer LLC                        | Domino's Pizza Master Issuer LLC                                                                              | CUSIP: 25755TAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     47875 | PA      | $45833.66     | 0.00%             | 2048-07-25      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| WF-RBS Commercial Mortgage Trust                       | WFRBS Commercial Mortgage Trust 2014-LC14                                                                     | CUSIP: 96221TAE7<br>LEI: 549300QGM7D5K3CV2643 | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $98284.86     | 0.01%             | 2047-03-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                    | JPMorgan Chase & Co                                                                                           | CUSIP: 46647PDA1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1870000 | PA      | $1826556.18   | 0.18%             | 2028-04-26      | Fixed         | 4.32%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                                              | CUSIP: 3133B3CE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1352464 | PA      | $1139311.52   | 0.11%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage Trust                   | Deephaven Residential Mortgage Trust 2021-2                                                                   | CUSIP: 24381WAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    371437 | PA      | $321959.93    | 0.03%             | 2066-04-25      | Variable      | 0.90%                 | No            |                  2 | On Loan: No      |
| MARSH & MCLENNAN COS INC                               | Marsh & McLennan Cos Inc                                                                                      | CUSIP: 571748BH4<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |    260000 | PA      | $254691.22    | 0.03%             | 2039-03-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Summit Issuer, LLC                                     | Summit Issuer LLC                                                                                             | CUSIP: 86613XAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    490000 | PA      | $437482.49    | 0.04%             | 2050-12-20      | Fixed         | 2.29%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                     | Energy Transfer LP                                                                                            | CUSIP: 29273RAT6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    415000 | PA      | $370256.07    | 0.04%             | 2043-02-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3140QHM77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3843479 | PA      | $3244972.86   | 0.33%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3140QFB32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1576757 | PA      | $1405408.45   | 0.14%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| State of California                                    | CALIFORNIA ST                                                                                                 | CUSIP: 13063A7D0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    335000 | PA      | $426887.49    | 0.04%             | 2039-10-01      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3140M9X51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1003138 | PA      | $887203.91    | 0.09%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ALCON FINANCE CORP                                     | Alcon Finance Corp                                                                                            | CUSIP: 01400EAE3<br>LEI: 549300CUZUI9VU7XNK42 | Long             | DBT              | CORP              | US        |    255000 | PA      | $266215.19    | 0.03%             | 2032-12-06      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                                              | CUSIP: 3133KTYL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1285834 | PA      | $1118686.25   | 0.11%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Regatta VI Funding Ltd.                                | Regatta VI Funding Ltd                                                                                        | CUSIP: 75887NAW9<br>LEI: 2549001NU08X5ZRD6A39 | Long             | ABS-CBDO         | CORP              | KY        |   2065000 | PA      | $2035906.22   | 0.20%             | 2034-04-20      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 31419KKH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2625 | PA      | $2590.06      | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                           | CSMC 2021-NQM8                                                                                                | CUSIP: 12659FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1016852 | PA      | $835554.25    | 0.08%             | 2066-10-25      | Variable      | 1.84%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                              | Uniform Mortgage-Backed Security, TBA                                                                         | CUSIP: 01F032625<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5781000 | PA      | $5417768.03   | 0.54%             | 2053-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                              | Uniform Mortgage-Backed Security, TBA                                                                         | CUSIP: 01F032427<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    405000 | PA      | $394669.34    | 0.04%             | 2038-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                              | ONEOK Inc                                                                                                     | CUSIP: 682680AY9<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    465000 | PA      | $415945.02    | 0.04%             | 2029-09-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                                                            | CUSIP: 36178WF38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    269651 | PA      | $256514.73    | 0.03%             | 2042-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 31419BBT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2163 | PA      | $2106.67      | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                               | Angel Oak Mortgage Trust 2021-8                                                                               | CUSIP: 03465MAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    990757 | PA      | $841889.43    | 0.08%             | 2066-11-25      | Variable      | 1.82%                 | No            |                  2 | On Loan: No      |
| BAT INTL FINANCE PLC                                   | BAT International Finance PLC                                                                                 | CUSIP: 05530QAP5<br>LEI: 21380041YBGOQDFAC823 | Long             | DBT              | CORP              | GB        |   1496000 | PA      | $1429143.13   | 0.14%             | 2028-03-16      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                         | Morgan Stanley                                                                                                | CUSIP: 61747YEK7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1172000 | PA      | $1066994.73   | 0.11%             | 2028-01-21      | Fixed         | 2.48%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                                              | CUSIP: 3133KNA94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    375648 | PA      | $318249.90    | 0.03%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                    | New Residential Mortgage Loan Trust 2019-1                                                                    | CUSIP: 64830CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    416351 | PA      | $389727.41    | 0.04%             | 2057-09-25      | Variable      | 3.92%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                               | Charter Communications Operating LLC / Charter Communications Operating Capital                               | CUSIP: 161175BS2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    997000 | PA      | $820824.35    | 0.08%             | 2049-07-01      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                              | ONEOK Inc                                                                                                     | CUSIP: 682680BB8<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    747000 | PA      | $655522.12    | 0.07%             | 2030-03-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                                                            | CUSIP: 3137FKH82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    445800 | PA      | $89923.41     | 0.01%             | 2046-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NORTH MACEDONIA                                        | North Macedonia Government International Bond                                                                 | CUSIP: 000000000<br>LEI: 635400RD1N6RVNCE4958 | Long             | DBT              | NUSS              | MK        |    500000 | PA      | $502026.57    | 0.05%             | 2026-06-03      | Fixed         | 3.68%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                            | Legacy Mortgage Asset Trust 2021-GS3                                                                          | CUSIP: 52474XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    710823 | PA      | $661836.32    | 0.07%             | 2061-07-25      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| Oracle Corp                                            | Oracle Corp                                                                                                   | CUSIP: 68389XBW4<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    151000 | PA      | $119236.13    | 0.01%             | 2040-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3140LBZA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    412619 | PA      | $351976.30    | 0.04%             | 2033-04-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                                 | BP Capital Markets America Inc                                                                                | CUSIP: 10373QBG4<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |     31000 | PA      | $22477.16     | 0.00%             | 2050-02-24      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                                                            | CUSIP: 36179UMK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    645311 | PA      | $619449.00    | 0.06%             | 2049-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GEORGIA POWER CO                                       | Georgia Power Co                                                                                              | CUSIP: 373334KQ3<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |     70000 | PA      | $69348.53     | 0.01%             | 2032-05-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                 | UnitedHealth Group Inc                                                                                        | CUSIP: 91324PER9<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    740000 | PA      | $785823.09    | 0.08%             | 2033-02-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| FORESIGHT ENERGY LLC                                   | FORESIGHT ENERGY LLC                                                                                          | CUSIP: 000000000<br>LEI: 549300HM3UR1W0JJ7F28 | Long             | EC               | CORP              | US        |       934 | NS      | $9807.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                       | Fannie Mae Connecticut Avenue Securities                                                                      | CUSIP: 30711XC36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92304 | PA      | $92534.06     | 0.01%             | 2030-08-25      | Floating      | 6.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3140XFU58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1567218 | PA      | $1326773.99   | 0.13%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                 | Santander Drive Auto Receivables Trust 2022-7                                                                 | CUSIP: 80287FAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1430000 | PA      | $1459355.90   | 0.15%             | 2028-01-17      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Hologic Inc                                            | Hologic Inc                                                                                                   | CUSIP: 436440AM3<br>LEI: 549300DYP6F5ZJL0LB74 | Long             | DBT              | CORP              | US        |    647000 | PA      | $616573.24    | 0.06%             | 2028-02-01      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Equinor ASA                                            | Equinor ASA                                                                                                   | CUSIP: 85771PAC6<br>LEI: OW6OFBNCKXC4US5C7523 | Long             | DBT              | CORP              | NO        |      5000 | PA      | $5191.06      | 0.00%             | 2040-08-17      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 31418DVA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    785755 | PA      | $664339.82    | 0.07%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| HUNGARY                                                | Hungary Government International Bond                                                                         | CUSIP: 445545AT3<br>LEI: 5299003F3UFKGCCMAP43 | Long             | DBT              | NUSS              | HU        |    525000 | PA      | $553875.00    | 0.06%             | 2052-09-25      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Crown Finance US, Inc.                                 | Crown Finance US, Inc. 2018 USD Term Loan                                                                     | CUSIP: 22834KAB7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    281600 | PA      | $46430.27     | 0.00%             | 2025-02-28      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| NORTH MACEDONIA                                        | North Macedonia Government International Bond                                                                 | CUSIP: 000000000<br>LEI: 635400RD1N6RVNCE4958 | Long             | DBT              | NUSS              | MK        |    985000 | PA      | $988992.34    | 0.10%             | 2026-06-03      | Fixed         | 3.68%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust                             | GLS Auto Receivables Issuer Trust 2022-3                                                                      | CUSIP: 38014QAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    195000 | PA      | $193241.82    | 0.02%             | 2027-01-15      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| STEEL DYNAMICS INC                                     | Steel Dynamics Inc                                                                                            | CUSIP: 858119BK5<br>LEI: 549300HGGKEL4FYTTQ83 | Long             | DBT              | CORP              | US        |    195000 | PA      | $178809.76    | 0.02%             | 2030-04-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                               | Angel Oak Mortgage Trust 2021-5                                                                               | CUSIP: 03465HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1390778 | PA      | $1203656.06   | 0.12%             | 2066-07-25      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| STANDARD INDUSTRIES INC                                | Standard Industries Inc/NJ                                                                                    | CUSIP: 853496AD9<br>LEI: 54930064UHXCIUWVI755 | Long             | DBT              | CORP              | US        |    155000 | PA      | $145204.00    | 0.01%             | 2028-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                    | JPMorgan Chase & Co                                                                                           | CUSIP: 46647PAW6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      5000 | PA      | $5012.05      | 0.00%             | 2024-07-23      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| TICP CLO Ltd                                           | TICP CLO III-2 Ltd                                                                                            | CUSIP: 87249FAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    150908 | PA      | $150211.91    | 0.02%             | 2028-04-20      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| Cox Communications Inc                                 | Cox Communications Inc                                                                                        | CUSIP: 224044CH8<br>LEI: 5493001NEDZNIFRP2R92 | Long             | DBT              | CORP              | US        |     67000 | PA      | $64979.09     | 0.01%             | 2024-08-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                               | Corebridge Financial Inc                                                                                      | CUSIP: 21871XAG4<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |    150000 | PA      | $136265.63    | 0.01%             | 2032-04-05      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                         | Morgan Stanley                                                                                                | CUSIP: 6174468U6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1467000 | PA      | $1157636.77   | 0.12%             | 2032-02-13      | Fixed         | 1.79%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                        | Long: S9D0TO211 CDS USD R F  5.00000 1 CCPCDX / Short: S9D0TO211 CDS USD P V 03MEVENT 2 CCPCDX                | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |   6760000 | OU      | $221879.23    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BENIN INTL GOV BOND                                    | Benin Government International Bond                                                                           | CUSIP: 000000000<br>LEI: 635400Q11P6AE5A5Y230 | Long             | DBT              | NUSS              | BJ        |    560000 | PA      | $443381.18    | 0.04%             | 2035-01-22      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                 | UnitedHealth Group Inc                                                                                        | CUSIP: 91324PEH1<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    738000 | PA      | $722160.14    | 0.07%             | 2029-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Metropolitan Transportation Authority                  | MET TRANSPRTN AUTH NY REVENUE                                                                                 | CUSIP: 59261AG76<br>LEI: 5493000TKYODLXADQD60 | Long             | DBT              | MUN               | US        |   1840000 | PA      | $1697235.69   | 0.17%             | 2049-11-15      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                                              | CUSIP: 3131XJGV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4751 | PA      | $4688.58      | 0.00%             | 2042-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                               | Corebridge Financial Inc                                                                                      | CUSIP: 21871XAN9<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |   2060000 | PA      | $2038479.49   | 0.20%             | 2052-12-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                               | Angel Oak Mortgage Trust 2021-4                                                                               | CUSIP: 03464EAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    540317 | PA      | $435345.77    | 0.04%             | 2065-01-20      | Variable      | 1.24%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust 2019-XL                   | BX Commercial Mortgage Trust 2019-XL                                                                          | CUSIP: 056054AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1606928 | PA      | $1599913.21   | 0.16%             | 2036-10-15      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                                              | CUSIP: 3133KLTH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1566108 | PA      | $1321940.26   | 0.13%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates                                                  | CUSIP: 3137F83S0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2588028 | PA      | $154213.62    | 0.02%             | 2030-10-25      | Variable      | 1.02%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                                                         | CUSIP: 3132GUH23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6634 | PA      | $6565.67      | 0.00%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3138E2KR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71715 | PA      | $70767.71     | 0.01%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CON EDISON CO OF NY INC                                | Consolidated Edison Co of New York Inc                                                                        | CUSIP: 209111GC1<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |    220000 | PA      | $162649.70    | 0.02%             | 2051-12-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Affirm Asset Securitization Trust                      | Affirm Asset Securitization Trust 2020-Z1                                                                     | CUSIP: 00832PAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     60208 | PA      | $59761.76     | 0.01%             | 2024-10-15      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3140XDGU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    262985 | PA      | $240492.41    | 0.02%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                               | Benchmark 2018-B4 Mortgage Trust                                                                              | CUSIP: 08161HAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  20266175 | PA      | $339701.62    | 0.03%             | 2051-07-15      | Variable      | 0.51%                 | No            |                  2 | On Loan: No      |
| GCAT                                                   | GCAT 2021-NQM3 Trust                                                                                          | CUSIP: 36167HAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1001228 | PA      | $827010.59    | 0.08%             | 2066-05-25      | Variable      | 1.09%                 | No            |                  2 | On Loan: No      |
| Hanesbrands Inc                                        | Hanesbrands Inc                                                                                               | CUSIP: 410345AL6<br>LEI: GX5LWVWZLL5S4W1L2F20 | Long             | DBT              | CORP              | US        |    260000 | PA      | $243279.40    | 0.02%             | 2026-05-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| HOWARD UNIVERSITY                                      | Howard University                                                                                             | CUSIP: 442851AV3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    105000 | PA      | $88106.79     | 0.01%             | 2031-10-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                                                         | CUSIP: 3132GRYU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    171682 | PA      | $169587.36    | 0.02%             | 2042-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                     | Seasoned Credit Risk Transfer Trust Series 2019-1                                                             | CUSIP: 35563PJH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1365288 | PA      | $1278660.48   | 0.13%             | 2058-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                 | Standard Chartered PLC                                                                                        | CUSIP: 853254CN8<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |   1375000 | PA      | $1518157.42   | 0.15%             | 2028-11-16      | Fixed         | 7.77%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                 | US 5YR NOTE (CBT) MAR23                                                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       420 | NC      | $317531.80    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Bank                                                   | BANK 2017-BNK9                                                                                                | CUSIP: 06540RAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3581979 | PA      | $107193.94    | 0.01%             | 2054-11-15      | Variable      | 0.77%                 | No            |                  2 | On Loan: No      |
| PulteGroup Inc                                         | PulteGroup Inc                                                                                                | CUSIP: 745867AW1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    112000 | PA      | $112970.45    | 0.01%             | 2026-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GSK CONSUMER HEALTHCARE                                | GSK Consumer Healthcare Capital US LLC                                                                        | CUSIP: 36264FAM3<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |    255000 | PA      | $232726.64    | 0.02%             | 2032-03-24      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3140KLH47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    132648 | PA      | $117408.11    | 0.01%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                 | Pacific Gas and Electric Co                                                                                   | CUSIP: 694308KG1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    750000 | PA      | $752288.66    | 0.08%             | 2032-06-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| UBS-Barclays Commercial Mortgage Trust                 | UBS-Barclays Commercial Mortgage Trust 2013-C6                                                                | CUSIP: 90349GBF1<br>LEI: 549300G1IXWLFE766Q13 | Long             | ABS-MBS          | CORP              | US        |    303680 | PA      | $302088.17    | 0.03%             | 2046-04-10      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                                | Romanian Government International Bond                                                                        | CUSIP: 77586RAS9<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    392000 | PA      | $422488.19    | 0.04%             | 2053-01-17      | Fixed         | 7.63%                 | No            |                  2 | On Loan: No      |
| OPEN TEXT CORP                                         | Open Text Corp                                                                                                | CUSIP: 683715AF3<br>LEI: 549300HP7ONDQODZJV16 | Long             | DBT              | CORP              | CA        |    895000 | PA      | $917375.00    | 0.09%             | 2027-12-01      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO                                            | Southern Co/The                                                                                               | CUSIP: 842587CV7<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |   1213000 | PA      | $1152219.60   | 0.12%             | 2026-07-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| SHELL INTERNATIONAL FIN                                | Shell International Finance BV                                                                                | CUSIP: 822582CK6<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |      8000 | PA      | $6184.25      | 0.00%             | 2041-11-26      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3140FXJJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1165675 | PA      | $1102685.84   | 0.11%             | 2058-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CELANESE US HOLDINGS LLC                               | Celanese US Holdings LLC                                                                                      | CUSIP: 15089QAM6<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |    825000 | PA      | $834494.85    | 0.08%             | 2027-07-15      | Fixed         | 6.17%                 | No            |                  2 | On Loan: No      |
| Oracle Corp                                            | Oracle Corp                                                                                                   | CUSIP: 68389XBP9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      6000 | PA      | $5023.91      | 0.00%             | 2037-11-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 31418DXK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1413126 | PA      | $1193569.65   | 0.12%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTALEXCHANGE                               | Intercontinental Exchange Inc                                                                                 | CUSIP: 45866FAV6<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |    240000 | PA      | $236409.07    | 0.02%             | 2029-06-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Comcast Corp                                           | Comcast Corp                                                                                                  | CUSIP: 20030NBT7<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    201000 | PA      | $171530.79    | 0.02%             | 2036-07-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                             | MFA 2021-NQM1 Trust                                                                                           | CUSIP: 55283FAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    445090 | PA      | $418044.96    | 0.04%             | 2065-04-25      | Variable      | 1.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3140FXFR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1290274 | PA      | $1127941.65   | 0.11%             | 2057-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                              | Uniform Mortgage-Backed Security, TBA                                                                         | CUSIP: 01F020620<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10463000 | PA      | $8797502.90   | 0.88%             | 2053-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners LLC                   | PRET 2021-RN2 LLC                                                                                             | CUSIP: 74143FAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    782778 | PA      | $715854.77    | 0.07%             | 2051-07-25      | Variable      | 1.74%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                              | Towd Point Mortgage Trust 2021-R1                                                                             | CUSIP: 89179TAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2129837 | PA      | $1723911.23   | 0.17%             | 2060-11-30      | Variable      | 2.92%                 | No            |                  2 | On Loan: No      |
| HSBC U.S. Government Money Market Fund                 | HSBC U.S. Government Money Market Fund                                                                        | CUSIP: 40428X107<br>LEI: 213800MK2OTSN7TSAV83 | Long             | STIV             | RF                | US        |    106500 | NS      | $106500.00    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF AMERICA CORP                                   | Bank of America Corp                                                                                          | CUSIP: 06051GHV4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    835000 | PA      | $747156.31    | 0.08%             | 2030-07-23      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                                                            | CUSIP: 3137BGWY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1137086 | PA      | $244072.24    | 0.02%             | 2045-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                                                         | CUSIP: 3128MJZ86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    134254 | PA      | $128454.29    | 0.01%             | 2047-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                    | New Residential Mortgage Loan Trust 2021-NQM1R                                                                | CUSIP: 64828BAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    493238 | PA      | $425810.16    | 0.04%             | 2055-07-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                                                         | CUSIP: 3128P8GB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    374227 | PA      | $368212.03    | 0.04%             | 2038-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| State of California                                    | CALIFORNIA ST                                                                                                 | CUSIP: 13063A5G5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     10000 | PA      | $13316.41     | 0.00%             | 2039-04-01      | Fixed         | 7.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                                                            | CUSIP: 36179WQB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    519462 | PA      | $476781.46    | 0.05%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                 | Philip Morris International Inc                                                                               | CUSIP: 718172CV9<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |   1035000 | PA      | $1056024.60   | 0.11%             | 2027-11-17      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3140QCYW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    430927 | PA      | $397932.61    | 0.04%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                     | Energy Transfer LP                                                                                            | CUSIP: 29273VAP5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    540000 | PA      | $548764.20    | 0.06%             | 2028-02-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3140QNWC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1161942 | PA      | $978466.49    | 0.10%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Union Electric Co                                      | Union Electric Co                                                                                             | CUSIP: 906548CN0<br>LEI: QMPJLLDULY5C1M8PNY21 | Long             | DBT              | CORP              | US        |    153000 | PA      | $129983.28    | 0.01%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                     | Seasoned Credit Risk Transfer Trust Series 2018-2                                                             | CUSIP: 35563PFJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    514282 | PA      | $484419.56    | 0.05%             | 2057-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BANK OF NY MELLON CORP                                 | Bank of New York Mellon Corp/The                                                                              | CUSIP: 06406RBP1<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |    165000 | PA      | $163867.26    | 0.02%             | 2034-02-01      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                       | CIFC Funding 2015-III Ltd                                                                                     | CUSIP: 12550MAJ9<br>LEI: 549300UDPJ30BQP2HX62 | Long             | ABS-CBDO         | CORP              | KY        |    287946 | PA      | $285458.97    | 0.03%             | 2029-04-19      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                               | Benchmark 2018-B2 Mortgage Trust                                                                              | CUSIP: 08161CAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2200000 | PA      | $2115430.46   | 0.21%             | 2051-02-15      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| Oglethorpe Power Corp                                  | Oglethorpe Power Corp                                                                                         | CUSIP: 677050AN6<br>LEI: 3EERXCUSWMS9GV5D9M98 | Long             | DBT              | CORP              | US        |     17000 | PA      | $15543.62     | 0.00%             | 2048-10-01      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                         | Morgan Stanley                                                                                                | CUSIP: 6174468G7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    745000 | PA      | $723842.91    | 0.07%             | 2030-01-23      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                                                             | CUSIP: 3136ANRA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    347461 | PA      | $320434.65    | 0.03%             | 2044-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                               | Charter Communications Operating LLC / Charter Communications Operating Capital                               | CUSIP: 161175BA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1204000 | PA      | $1181160.95   | 0.12%             | 2045-10-23      | Fixed         | 6.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3140XGQX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1382842 | PA      | $1351970.76   | 0.14%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AKER BP ASA                                            | Aker BP ASA                                                                                                   | CUSIP: 00973RAJ2<br>LEI: 549300NFTY73920OYK69 | Long             | DBT              | CORP              | NO        |    165000 | PA      | $150058.54    | 0.02%             | 2031-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                    | New Residential Mortgage Loan Trust 2021-NQM2R                                                                | CUSIP: 64831EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    354234 | PA      | $320915.77    | 0.03%             | 2058-10-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3140Q8KB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    314555 | PA      | $300750.96    | 0.03%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                                                            | CUSIP: 3137AWF91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    259095 | PA      | $227635.83    | 0.02%             | 2042-10-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| NATIONAL RURAL UTIL COOP                               | National Rural Utilities Cooperative Finance Corp                                                             | CUSIP: 63743HFG2<br>LEI: 4NYF266XZC35SCTGX023 | Long             | DBT              | CORP              | US        |    680000 | PA      | $685129.65    | 0.07%             | 2028-03-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                  | Wells Fargo & Co                                                                                              | CUSIP: 95000U2U6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1153000 | PA      | $1014865.20   | 0.10%             | 2033-03-02      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates                                                  | CUSIP: 3137F9YZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6572205 | PA      | $291972.86    | 0.03%             | 2030-12-25      | Variable      | 0.72%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                                                            | CUSIP: 3137FYEV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3148023 | PA      | $326959.68    | 0.03%             | 2036-04-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| INTL AIRPORT FINANCE SA                                | International Airport Finance SA                                                                              | CUSIP: 45900TAA0<br>LEI: 959800M9M5LP0KXUP789 | Long             | DBT              | CORP              | ES        |   1124666 | PA      | $1127981.99   | 0.11%             | 2033-03-15      | Fixed         | 12.00%                | No            |                  2 | On Loan: —       |
| CF Hippolyta Issuer LLC                                | CF Hippolyta Issuer LLC                                                                                       | CUSIP: 12530MAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    193858 | PA      | $165506.54    | 0.02%             | 2061-03-15      | Fixed         | 1.98%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                         | Morgan Stanley                                                                                                | CUSIP: 61747YEU5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     30000 | PA      | $29636.90     | 0.00%             | 2033-07-20      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| Municipal Electric Authority of Georgia                | MUNI ELEC AUTH OF GEORGIA                                                                                     | CUSIP: 626207YF5<br>LEI: JA0WNILDDF2KUPS83B16 | Long             | DBT              | MUN               | US        |    367000 | PA      | $417815.52    | 0.04%             | 2057-04-01      | Fixed         | 6.64%                 | No            |                  2 | On Loan: No      |
| SERVICE CORP INTL                                      | Service Corp International/US                                                                                 | CUSIP: 817565CF9<br>LEI: 549300RKVM2ME20JHZ15 | Long             | DBT              | CORP              | US        |   1855000 | PA      | $1558830.70   | 0.16%             | 2030-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3140XDDV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    315024 | PA      | $274074.99    | 0.03%             | 2041-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                               | Benchmark 2020-B18 Mortgage Trust                                                                             | CUSIP: 08163AAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1861901 | PA      | $145516.29    | 0.01%             | 2053-07-15      | Variable      | 1.79%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                               | Charter Communications Operating LLC / Charter Communications Operating Capital                               | CUSIP: 161175CE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    529000 | PA      | $365069.78    | 0.04%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                | MPLX LP                                                                                                       | CUSIP: 55336VBU3<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    505000 | PA      | $495902.26    | 0.05%             | 2032-09-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| SIRIUS XM RADIO INC                                    | Sirius XM Radio Inc                                                                                           | CUSIP: 82967NBL1<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |   2075000 | PA      | $1867417.54   | 0.19%             | 2026-09-01      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| LSTAR Securities Investment Ltd                        | LSTAR Securities Investment Ltd 2020-1                                                                        | CUSIP: 54912MAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    818136 | PA      | $764917.47    | 0.08%             | 2026-02-01      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 31418D5G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    621109 | PA      | $540374.06    | 0.05%             | 2041-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| NGPL PIPECO LLC                                        | NGPL PipeCo LLC                                                                                               | CUSIP: 62928CAA0<br>LEI: 549300K3NT1HSQFEM073 | Long             | DBT              | CORP              | US        |    484000 | PA      | $408551.84    | 0.04%             | 2031-07-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| BLACK KNIGHT INFOSERV LL                               | Black Knight InfoServ LLC                                                                                     | CUSIP: 092174AA9<br>LEI: 549300H5PS5C68DAUX66 | Long             | DBT              | CORP              | US        |   3175000 | PA      | $2824353.00   | 0.28%             | 2028-09-01      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                 | UnitedHealth Group Inc                                                                                        | CUSIP: 91324PEL2<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    125000 | PA      | $124772.49    | 0.01%             | 2062-05-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| IPALCO Enterprises Inc                                 | IPALCO Enterprises Inc                                                                                        | CUSIP: 462613AM2<br>LEI: 5493000YFVK2DZX0JV43 | Long             | DBT              | CORP              | US        |    248000 | PA      | $241254.77    | 0.02%             | 2024-09-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                                                            | CUSIP: 3137BBPC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    840630 | PA      | $758574.65    | 0.08%             | 2044-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BUILDERS FIRSTSOURCE INC                               | Builders FirstSource Inc                                                                                      | CUSIP: 12008RAN7<br>LEI: 549300W0SKP6L3H7DP63 | Long             | DBT              | CORP              | US        |   2330000 | PA      | $2172580.07   | 0.22%             | 2030-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                        | BRAVO Residential Funding Trust 2021-NQM2                                                                     | CUSIP: 10569EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    334019 | PA      | $317042.02    | 0.03%             | 2060-03-25      | Variable      | 0.97%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                       | CIFC Funding 2018-I Ltd                                                                                       | CUSIP: 12551RAA6<br>LEI: 635400VBVF8AYJQBI411 | Long             | ABS-CBDO         | CORP              | KY        |    970000 | PA      | $960595.85    | 0.10%             | 2031-04-18      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                           | Ecopetrol SA                                                                                                  | CUSIP: 279158AP4<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |    780000 | PA      | $616902.00    | 0.06%             | 2031-11-02      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Commonwealth Bank of Australia                         | PURCHASED EUR / SOLD USD                                                                                      | CUSIP: 000000000<br>LEI: MSFSBD3QN1GSN7Q6C537 | N/A              | DFE              |  | XX        |         1 | NC      | $-135.53      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                                                         | CUSIP: 3128P7LP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12055 | PA      | $12250.31     | 0.00%             | 2029-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ITC HOLDINGS CORP                                      | ITC Holdings Corp                                                                                             | CUSIP: 465685AQ8<br>LEI: 549300HTO5U9D3SLE207 | Long             | DBT              | CORP              | US        |    621000 | PA      | $543834.73    | 0.05%             | 2030-05-14      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                                                                      | CUSIP: 38381BD76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1086420 | PA      | $178948.70    | 0.02%             | 2044-07-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                       | COLT 2021-2 Mortgage Loan Trust                                                                               | CUSIP: 19685WAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    988988 | PA      | $792968.42    | 0.08%             | 2066-08-25      | Variable      | 1.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                       | Fannie Mae Connecticut Avenue Securities                                                                      | CUSIP: 30711XY24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    114050 | PA      | $115053.79    | 0.01%             | 2031-01-25      | Floating      | 6.86%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                                                             | CUSIP: 3136A36C0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2779 | PA      | $2555.92      | 0.00%             | 2041-09-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AMER PIPELINE                               | Plains All American Pipeline LP / PAA Finance Corp                                                            | CUSIP: 72650RBH4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    214000 | PA      | $179500.34    | 0.02%             | 2045-02-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                  | Wells Fargo & Co                                                                                              | CUSIP: 95000U2N2<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     89000 | PA      | $83686.23     | 0.01%             | 2026-04-30      | Fixed         | 2.19%                 | No            |                  2 | On Loan: No      |
| LEVIATHAN BOND LTD                                     | Leviathan Bond Ltd                                                                                            | CUSIP: 000000000<br>LEI: 254900D9T8VKYVQNZ220 | Long             | DBT              | CORP              | IL        |   1225000 | PA      | $1205093.75   | 0.12%             | 2027-06-30      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                       | Duke Energy Corp                                                                                              | CUSIP: 26441CBL8<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |   1143000 | PA      | $967120.45    | 0.10%             | 2031-06-15      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                           | Broadcom Inc                                                                                                  | CUSIP: 11135FBK6<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   1026000 | PA      | $858220.58    | 0.09%             | 2033-04-15      | Fixed         | 3.42%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                            | CITIBANK NA DDCA                                                                                              | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | Long             | STIV             | RF                | US        |     10650 | NS      | $10650.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Towd Point Mortgage Trust                              | Towd Point Mortgage Trust 2017-1                                                                              | CUSIP: 89173FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    137412 | PA      | $135362.62    | 0.01%             | 2056-10-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3138EKMR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    986552 | PA      | $973522.04    | 0.10%             | 2043-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| County of Riverside CA                                 | RIVERSIDE CNTY CA PENSN OBLG                                                                                  | CUSIP: 76913CBC2<br>LEI: 254900CB5HEOBAVTY629 | Long             | DBT              | MUN               | US        |   1630000 | PA      | $1515236.59   | 0.15%             | 2028-02-15      | Fixed         | 3.07%                 | No            |                  2 | On Loan: No      |
| AKER BP ASA                                            | Aker BP ASA                                                                                                   | CUSIP: 55037AAB4<br>LEI: 549300NFTY73920OYK69 | Long             | DBT              | CORP              | NO        |    420000 | PA      | $355919.30    | 0.04%             | 2031-07-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                                              | CUSIP: 3132DNF73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1455222 | PA      | $1235659.06   | 0.12%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                    | JPMorgan Chase & Co                                                                                           | CUSIP: 46647PDG8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1224000 | PA      | $1222168.22   | 0.12%             | 2028-07-25      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3140X6WG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    219977 | PA      | $210801.64    | 0.02%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 31418DU67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2280051 | PA      | $2003500.22   | 0.20%             | 2040-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CON EDISON CO OF NY INC                                | Consolidated Edison Co of New York Inc                                                                        | CUSIP: 209111FN8<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |    160000 | PA      | $131793.58    | 0.01%             | 2057-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                      | Citigroup Mortgage Loan Trust 2018-RP3                                                                        | CUSIP: 17327DAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     74371 | PA      | $70833.05     | 0.01%             | 2061-03-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                                              | CUSIP: 3132DN3R2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1082291 | PA      | $955371.40    | 0.10%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                         | Morgan Stanley                                                                                                | CUSIP: 6174468R3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     27000 | PA      | $25014.61     | 0.00%             | 2025-10-21      | Fixed         | 0.86%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                    | JPMorgan Chase & Co                                                                                           | CUSIP: 46647PCR5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    745000 | PA      | $616450.44    | 0.06%             | 2032-11-08      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Ovintiv Inc                                            | Ovintiv Inc                                                                                                   | CUSIP: 292505AE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    545000 | PA      | $572576.63    | 0.06%             | 2037-08-15      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                               | Benchmark 2018-B1 Mortgage Trust                                                                              | CUSIP: 08162PAY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8608590 | PA      | $169240.58    | 0.02%             | 2051-01-15      | Variable      | 0.56%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                               | AT&T Inc                                                                                                      | CUSIP: 00206RKA9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     45000 | PA      | $34391.15     | 0.00%             | 2051-06-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential Trust                    | Starwood Mortgage Residential Trust 2021-6                                                                    | CUSIP: 85573RAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1561838 | PA      | $1333480.77   | 0.13%             | 2066-11-25      | Variable      | 1.92%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                                                                      | CUSIP: 38380BUW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    304385 | PA      | $51807.44     | 0.01%             | 2046-11-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                            | Long: B9D0URR98 IRS USD R V 12MSOFR 99D0URRA5 CCPOIS / Short: B9D0URR98 IRS USD P F  2.98500 99D0URR98 CCPOIS | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     71000 | OU      | $276.09       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NXP BV/NXP FUNDING LLC                                 | NXP BV / NXP Funding LLC                                                                                      | CUSIP: 62947QBC1<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |     80000 | PA      | $81986.59     | 0.01%             | 2028-12-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| SAUDI INTERNATIONAL BOND                               | Saudi Government International Bond                                                                           | CUSIP: 000000000<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |   1325000 | PA      | $1072067.01   | 0.11%             | 2039-07-09      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3140X6YJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    171682 | PA      | $164793.30    | 0.02%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                      | PURCHASED EUR / SOLD USD                                                                                      | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | XX        |         1 | NC      | $249.16       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                               | Charter Communications Operating LLC / Charter Communications Operating Capital                               | CUSIP: 161175BK9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     75000 | PA      | $71220.91     | 0.01%             | 2028-03-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                 | United States Treasury Note/Bond                                                                              | CUSIP: 91282CFC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10345000 | PA      | $9756628.13   | 0.98%             | 2029-07-31      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM 2013-CCRE9 Mortgage Trust                                                                                | CUSIP: 12625UBF9<br>LEI: 549300C72XVZH4MIKU63 | Long             | ABS-MBS          | CORP              | US        |    725657 | PA      | $723816.87    | 0.07%             | 2045-07-10      | Variable      | 4.27%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                                                         | CUSIP: 3128MJ4Y3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     50787 | PA      | $51763.79     | 0.01%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ASHTEAD CAPITAL INC                                    | Ashtead Capital Inc                                                                                           | CUSIP: 045054AQ6<br>LEI: 213800J1134IW58IC398 | Long             | DBT              | CORP              | US        |    205000 | PA      | $205333.07    | 0.02%             | 2033-05-30      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                                 | General Motors Financial Co Inc                                                                               | CUSIP: 37045XBQ8<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |     95000 | PA      | $91383.25     | 0.01%             | 2026-10-06      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust                  | PRPM 2021-10 LLC                                                                                              | CUSIP: 69360HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    846044 | PA      | $790192.46    | 0.08%             | 2026-10-25      | Variable      | 2.49%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                       | Freddie Mac Strips                                                                                            | CUSIP: 3128HUFQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    347630 | PA      | $60986.44     | 0.01%             | 2036-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ALCON FINANCE CORP                                     | Alcon Finance Corp                                                                                            | CUSIP: 01400EAF0<br>LEI: 549300CUZUI9VU7XNK42 | Long             | DBT              | CORP              | US        |    200000 | PA      | $214426.41    | 0.02%             | 2052-12-06      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| XCEL ENERGY INC                                        | Xcel Energy Inc                                                                                               | CUSIP: 98388MAB3<br>LEI: LGJNMI9GH8XIDG5RCM61 | Long             | DBT              | CORP              | US        |    100000 | PA      | $89838.96     | 0.01%             | 2027-03-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                           | Broadcom Inc                                                                                                  | CUSIP: 11135FAY7<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    110000 | PA      | $107731.08    | 0.01%             | 2024-10-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                                                            | CUSIP: 3137BTKX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    666239 | PA      | $628924.67    | 0.06%             | 2046-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GSK CONSUMER HEALTHCARE                                | GSK Consumer Healthcare Capital US LLC                                                                        | CUSIP: 36264FAL5<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |    730000 | PA      | $671826.91    | 0.07%             | 2029-03-24      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                      | HSBC Holdings PLC                                                                                             | CUSIP: 404280DH9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   2940000 | PA      | $2928559.64   | 0.29%             | 2033-08-11      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3140QKN87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    640965 | PA      | $562388.75    | 0.06%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                                                             | CUSIP: 3136B9YK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    796277 | PA      | $55137.75     | 0.01%             | 2033-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Republic of Indonesia                                  | Indonesia Government International Bond                                                                       | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |    145000 | PA      | $157080.39    | 0.02%             | 2023-06-14      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                                                            | CUSIP: 36179SNV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    124932 | PA      | $119771.72    | 0.01%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                                                            | CUSIP: 36179XQT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1939806 | PA      | $1833933.39   | 0.18%             | 2053-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Oracle Corp                                            | Oracle Corp                                                                                                   | CUSIP: 68389XBQ7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    295000 | PA      | $232577.20    | 0.02%             | 2047-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                    | JPMorgan Chase & Co                                                                                           | CUSIP: 46647PBP0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    300000 | PA      | $259704.36    | 0.03%             | 2031-05-13      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                                                             | CUSIP: 3136AJL46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    373291 | PA      | $65099.63     | 0.01%             | 2044-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                                 | BP Capital Markets America Inc                                                                                | CUSIP: 10373QBP4<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |    390000 | PA      | $277499.21    | 0.03%             | 2051-06-04      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                                                             | CUSIP: 3136A4TG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4864 | PA      | $4443.03      | 0.00%             | 2041-12-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| COX COMMUNICATIONS INC                                 | Cox Communications Inc                                                                                        | CUSIP: 224044CN5<br>LEI: 5493001NEDZNIFRP2R92 | Long             | DBT              | CORP              | US        |    645000 | PA      | $533804.15    | 0.05%             | 2031-06-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Eagle Re 2018-1 Ltd.                                   | Eagle RE 2018-1 Ltd                                                                                           | CUSIP: 269826AA1<br>LEI: 549300BLEDGL5R7YKU33 | Long             | ABS-MBS          | CORP              | US        |    149008 | PA      | $148834.46    | 0.01%             | 2028-11-25      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                    | Southern California Edison Co                                                                                 | CUSIP: 842400FV0<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     13000 | PA      | $10976.97     | 0.00%             | 2042-03-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                 | Verizon Communications Inc                                                                                    | CUSIP: 92343VFU3<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     35000 | PA      | $23533.93     | 0.00%             | 2050-11-20      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                              | Towd Point Mortgage Trust 2020-4                                                                              | CUSIP: 89179JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    813423 | PA      | $728721.11    | 0.07%             | 2060-10-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                                                            | CUSIP: 36179W2V9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1442283 | PA      | $1325992.42   | 0.13%             | 2052-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                       | Crown Castle Inc                                                                                              | CUSIP: 22822VBA8<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              |  | US        |    600000 | PA      | $605362.82    | 0.06%             | 2028-01-11      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                           | CSMC 2021-NQM1                                                                                                | CUSIP: 126407AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    241611 | PA      | $205571.43    | 0.02%             | 2065-05-25      | Variable      | 0.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3140XHCY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    425294 | PA      | $389537.28    | 0.04%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                                                            | CUSIP: 3137FUSU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1677957 | PA      | $247980.20    | 0.02%             | 2050-06-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank Commercial Mortgage Trust                | DBJPM 20-C9 Mortgage Trust                                                                                    | CUSIP: 233063AW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3947200 | PA      | $272390.76    | 0.03%             | 2053-09-15      | Variable      | 1.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3140XGRG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1258222 | PA      | $1155542.19   | 0.12%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| METINVEST BV                                           | Metinvest BV                                                                                                  | CUSIP: 000000000<br>LEI: 635400TMCKVEU87EJ582 | Long             | DBT              | CORP              | NL        |    440000 | PA      | $258953.40    | 0.03%             | 2025-06-17      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| Apollo Aviation Securitization Equity Trust            | AASET 2020-1 Trust                                                                                            | CUSIP: 00255UAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    151943 | PA      | $123086.13    | 0.01%             | 2040-01-16      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                                                            | CUSIP: 36202FEH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1023908 | PA      | $1044153.85   | 0.10%             | 2040-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                    | STACR Trust 2018-HRP1                                                                                         | CUSIP: 3137G0VC0<br>LEI: 549300D2VO9JVX6KU482 | Long             | ABS-MBS          | USGSE             | US        |     63968 | PA      | $63968.06     | 0.01%             | 2043-04-25      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                               | Capital One Financial Corp                                                                                    | CUSIP: 14040HCX1<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    130000 | PA      | $130602.72    | 0.01%             | 2029-02-01      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| Oracle Corp                                            | Oracle Corp                                                                                                   | CUSIP: 68389XBF1<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     35000 | PA      | $28280.94     | 0.00%             | 2045-05-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                                                            | CUSIP: 36179TCX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    151903 | PA      | $145651.13    | 0.01%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NOTA DO TESOURO NACIONAL                               | Brazil Notas do Tesouro Nacional Serie F                                                                      | CUSIP: 000000000<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |  22100000 | PA      | $3722615.86   | 0.37%             | 2031-01-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae                                                                                                    | CUSIP: 21H050623<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9130000 | PA      | $9182782.81   | 0.92%             | 2053-02-21      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                  | Wells Fargo & Co                                                                                              | CUSIP: 95000U3B7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   2738000 | PA      | $2720658.71   | 0.27%             | 2033-07-25      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                         | Morgan Stanley                                                                                                | CUSIP: 61747YFA8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    760000 | PA      | $767033.71    | 0.08%             | 2029-02-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| CDW LLC/CDW FINANCE                                    | CDW LLC / CDW Finance Corp                                                                                    | CUSIP: 12513GBF5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2674000 | PA      | $2316228.75   | 0.23%             | 2029-02-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Baxter International Inc                               | Baxter International Inc                                                                                      | CUSIP: 071813BQ1<br>LEI: J5OIVXX3P24RJRW5CK77 | Long             | DBT              | CORP              | US        |    100000 | PA      | $93026.06     | 0.01%             | 2026-08-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| STANDARD INDUSTRIES INC                                | Standard Industries Inc/NJ                                                                                    | CUSIP: 853496AH0<br>LEI: 54930064UHXCIUWVI755 | Long             | DBT              | CORP              | US        |    549000 | PA      | $436081.57    | 0.04%             | 2031-01-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                 | US 2YR NOTE (CBT) MAR23                                                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |      -604 | NC      | $-251666.59   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| WELLS FARGO & COMPANY                                  | Wells Fargo & Co                                                                                              | CUSIP: 95000U2G7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    200000 | PA      | $176577.81    | 0.02%             | 2030-10-30      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategies                       | Carlyle Global Market Strategies CLO 2013-4 Ltd                                                               | CUSIP: 14310KAS0<br>LEI: 549300TYZXFDHLTKDG17 | Long             | ABS-CBDO         | CORP              | KY        |    936202 | PA      | $928244.16    | 0.09%             | 2031-01-15      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                       | COLT 2021-3 Mortgage Loan Trust                                                                               | CUSIP: 19688FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1635332 | PA      | $1323188.65   | 0.13%             | 2066-09-27      | Variable      | 0.96%                 | No            |                  2 | On Loan: No      |
| Danske Bank A/S                                        | Danske Bank A/S                                                                                               | CUSIP: 23636AAT8<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |    530000 | PA      | $530160.19    | 0.05%             | 2024-01-12      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                       | Fannie Mae Connecticut Avenue Securities                                                                      | CUSIP: 30711XAD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    461217 | PA      | $474171.68    | 0.05%             | 2024-01-25      | Floating      | 8.91%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                                                            | CUSIP: 3137BKMD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    515812 | PA      | $464509.44    | 0.05%             | 2045-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bank                                                   | BANK 2017-BNK8                                                                                                | CUSIP: 06650AAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5833117 | PA      | $159108.75    | 0.02%             | 2050-11-15      | Variable      | 0.71%                 | No            |                  2 | On Loan: No      |
| OTIS WORLDWIDE CORP                                    | Otis Worldwide Corp                                                                                           | CUSIP: 68902VAK3<br>LEI: 549300ZLBKR8VSU25153 | Long             | DBT              | CORP              | US        |    868000 | PA      | $755613.66    | 0.08%             | 2030-02-15      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                              | Boeing Co/The                                                                                                 | CUSIP: 097023BV6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     10000 | PA      | $7339.75      | 0.00%             | 2047-03-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| BAXTER INTERNATIONAL INC                               | Baxter International Inc                                                                                      | CUSIP: 071813CS6<br>LEI: J5OIVXX3P24RJRW5CK77 | Long             | DBT              | CORP              | US        |    995000 | PA      | $811989.52    | 0.08%             | 2032-02-01      | Fixed         | 2.54%                 | No            |                  2 | On Loan: No      |
| Vericrest Opportunity Loan Transferee                  | VOLT XCV LLC                                                                                                  | CUSIP: 92873BAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    813939 | PA      | $751033.39    | 0.08%             | 2051-03-27      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                             | Humana Inc                                                                                                    | CUSIP: 444859BQ4<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |    100000 | PA      | $87918.42     | 0.01%             | 2027-02-03      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3140XJNJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    544862 | PA      | $478817.78    | 0.05%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CLECO CORPORATE HOLDINGS                               | Cleco Corporate Holdings LLC                                                                                  | CUSIP: 18551PAD1<br>LEI: 5493002H80P81B3HXL31 | Long             | DBT              | CORP              | US        |     97000 | PA      | $85672.86     | 0.01%             | 2046-05-01      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| Humana Inc                                             | Humana Inc                                                                                                    | CUSIP: 444859BB7<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |      5000 | PA      | $4588.02      | 0.00%             | 2042-12-01      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3140XCR75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1532368 | PA      | $1400121.76   | 0.14%             | 2051-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| XCEL ENERGY INC                                        | Xcel Energy Inc                                                                                               | CUSIP: 98388MAD9<br>LEI: LGJNMI9GH8XIDG5RCM61 | Long             | DBT              | CORP              | US        |    408000 | PA      | $402909.85    | 0.04%             | 2032-06-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                                | Romanian Government International Bond                                                                        | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |   1589000 | PA      | $1286748.17   | 0.13%             | 2049-04-03      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3138ASR38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5186 | PA      | $5117.02      | 0.00%             | 2041-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                                                             | CUSIP: 3136AL3J8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    977193 | PA      | $881923.43    | 0.09%             | 2045-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SHELL INTERNATIONAL FIN                                | Shell International Finance BV                                                                                | CUSIP: 822582CH3<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |     99000 | PA      | $76730.75     | 0.01%             | 2050-04-06      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Philadelphia Authority for Industrial Development      | PHILADELPHIA PA AUTH FOR INDL DEV PENSION FUNDING                                                             | CUSIP: 71781LBH1<br>LEI: 549300DIY68KQZEW7M79 | Long             | DBT              | MUN               | US        |   1530000 | PA      | $1641096.36   | 0.16%             | 2028-10-15      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                                              | CUSIP: 3131XH2W5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10424 | PA      | $10286.12     | 0.00%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                              | Towd Point Mortgage Trust 2019-4                                                                              | CUSIP: 89178BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    897930 | PA      | $836308.32    | 0.08%             | 2059-10-25      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Loan Obligation Ltd        | Arbor Realty Commercial Real Estate Notes 2021-FL2 Ltd                                                        | CUSIP: 03881EAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    375000 | PA      | $368244.00    | 0.04%             | 2036-05-15      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| Conagra Brands Inc                                     | Conagra Brands Inc                                                                                            | CUSIP: 205887CA8<br>LEI: 54930035UDEIH090K650 | Long             | DBT              | CORP              | US        |    107000 | PA      | $105863.06    | 0.01%             | 2024-05-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Vericrest Opportunity Loan Transferee                  | Vericrest Opportunity Loan Transferee                                                                         | CUSIP: 92873HAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1674881 | PA      | $1484604.49   | 0.15%             | 2051-08-25      | Variable      | 1.87%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                    | American Tower Corp                                                                                           | CUSIP: 03027XBR0<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |    100000 | PA      | $88477.43     | 0.01%             | 2026-09-15      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3140XCPV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1798056 | PA      | $1769312.10   | 0.18%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                                                             | CUSIP: 3136APKJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6147 | PA      | $5874.89      | 0.00%             | 2043-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ITC Holdings Corp                                      | ITC Holdings Corp                                                                                             | CUSIP: 465685AP0<br>LEI: 549300HTO5U9D3SLE207 | Long             | DBT              | CORP              | US        |      9000 | PA      | $8511.18      | 0.00%             | 2027-11-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                         | Fannie Mae-Aces                                                                                               | CUSIP: 3136B6WW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4463735 | PA      | $249117.01    | 0.03%             | 2029-05-25      | Variable      | 1.39%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                       | COLT 2022-1 Mortgage Loan Trust                                                                               | CUSIP: 19688HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2562577 | PA      | $2291325.69   | 0.23%             | 2066-12-27      | Variable      | 2.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3140XHB89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    636828 | PA      | $560550.05    | 0.06%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                                              | CUSIP: 3133AG7H6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    965115 | PA      | $814998.26    | 0.08%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Vericrest Opportunity Loan Transferee                  | VOLT XCIII LLC                                                                                                | CUSIP: 92873CAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1208302 | PA      | $1084365.54   | 0.11%             | 2051-02-27      | Variable      | 1.89%                 | No            |                  2 | On Loan: No      |
| QORVO INC                                              | Qorvo Inc                                                                                                     | CUSIP: 74736KAH4<br>LEI: 254900YAUJV2EUEVBR11 | Long             | DBT              | CORP              | US        |     19000 | PA      | $17147.50     | 0.00%             | 2029-10-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FS LUXEMBOURG SARL                                     | FS Luxembourg Sarl                                                                                            | CUSIP: 30315XAB0<br>LEI: 222100EKR3JUJPGGOY81 | Long             | DBT              | CORP              | LU        |    470000 | PA      | $474679.01    | 0.05%             | 2025-12-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| EYECARE PARTNERS, LLC                                  | EyeCare Partners, LLC 2021 Incremental Term Loan                                                              | CUSIP: 30233PAH3<br>LEI: 254900ZAACWK09RJ8W93 | Long             | LON              | CORP              | US        |    148875 | PA      | $123640.69    | 0.01%             | 2028-11-15      | Floating      | 8.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3140X9AZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    411520 | PA      | $364199.37    | 0.04%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PMT CREDIT RISK TRANSFER TRUST                         | PMT Credit Risk Transfer Trust 2021-1R                                                                        | CUSIP: 69356UAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    417998 | PA      | $404830.68    | 0.04%             | 2024-02-27      | Floating      | 7.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3140M2FC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    561096 | PA      | $491316.41    | 0.05%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                                                             | CUSIP: 3136ACR60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    903978 | PA      | $826437.52    | 0.08%             | 2043-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                                                            | CUSIP: 36179WDS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1397615 | PA      | $1288466.61   | 0.13%             | 2051-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                    | JPMorgan Chase & Co                                                                                           | CUSIP: 46647PCP9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1385000 | PA      | $1224988.54   | 0.12%             | 2027-09-22      | Fixed         | 1.47%                 | No            |                  2 | On Loan: No      |
| Firstkey Homes Trust                                   | FirstKey Homes 2022-SFR1 Trust                                                                                | CUSIP: 33768NAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    671204 | PA      | $649397.60    | 0.07%             | 2039-05-17      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                 | United States Treasury Note/Bond                                                                              | CUSIP: 912810TG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     56000 | PA      | $47880.00     | 0.00%             | 2052-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                      | HSBC Holdings PLC                                                                                             | CUSIP: 404280BT5<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    780000 | PA      | $754331.32    | 0.08%             | 2029-06-19      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                             | Progress Residential 2022-SFR4 Trust                                                                          | CUSIP: 74332XAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1746924 | PA      | $1680778.01   | 0.17%             | 2041-05-17      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                                                            | CUSIP: 36179TV69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19767 | PA      | $19446.60     | 0.00%             | 2048-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                             | Progress Residential 2022-SFR7 Trust                                                                          | CUSIP: 74333CAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    755000 | PA      | $743072.66    | 0.07%             | 2039-10-27      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                        | Fannie Mae Interest Strip                                                                                     | CUSIP: 31395QTT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    511304 | PA      | $468075.65    | 0.05%             | 2042-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                                                            | CUSIP: 36179XDC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1079607 | PA      | $1020257.15   | 0.10%             | 2052-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                           | Voya CLO 2015-1 Ltd                                                                                           | CUSIP: 92914NAJ0<br>LEI: 54930085W413OSH6FR69 | Long             | ABS-CBDO         | CORP              | KY        |    514897 | PA      | $511129.29    | 0.05%             | 2029-01-18      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| TAYLOR MORRISON COMM                                   | Taylor Morrison Communities Inc                                                                               | CUSIP: 87724RAJ1<br>LEI: 549300O1Z08HI2MRK572 | Long             | DBT              | CORP              | US        |    170000 | PA      | $155465.00    | 0.02%             | 2030-08-01      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                 | United States Treasury Note/Bond                                                                              | CUSIP: 912810TJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9945000 | PA      | $8731399.22   | 0.88%             | 2052-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                 | United States Treasury Note/Bond                                                                              | CUSIP: 912810RE0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8845000 | PA      | $8594161.28   | 0.86%             | 2044-02-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                       | COLT 2021-4 Mortgage Loan Trust                                                                               | CUSIP: 19688GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2430993 | PA      | $2084299.09   | 0.21%             | 2066-10-25      | Variable      | 1.40%                 | No            |                  2 | On Loan: No      |
| NATIONAL RURAL UTIL COOP                               | National Rural Utilities Cooperative Finance Corp                                                             | CUSIP: 637432NP6<br>LEI: 4NYF266XZC35SCTGX023 | Long             | DBT              | CORP              | US        |    169000 | PA      | $160041.83    | 0.02%             | 2028-02-07      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                         | Morgan Stanley                                                                                                | CUSIP: 61747YED3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    820000 | PA      | $662212.62    | 0.07%             | 2032-07-21      | Fixed         | 2.24%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                            | BNP Paribas SA                                                                                                | CUSIP: 09659W2R4<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    200000 | PA      | $169363.38    | 0.02%             | 2029-09-15      | Fixed         | 2.16%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES                                  | Continental Resources Inc/OK                                                                                  | CUSIP: 212015AT8<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |    287000 | PA      | $281084.22    | 0.03%             | 2031-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                       | Paramount Global                                                                                              | CUSIP: 124857AZ6<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |     55000 | PA      | $50924.19     | 0.01%             | 2029-06-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3140QPSZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1153318 | PA      | $1156814.06   | 0.12%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                               | AT&T Inc                                                                                                      | CUSIP: 00206RLJ9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    781000 | PA      | $568455.33    | 0.06%             | 2055-09-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM 2022-HC Mortgage Trust                                                                                   | CUSIP: 12659DAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    389000 | PA      | $341118.96    | 0.03%             | 2039-01-10      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates                                                  | CUSIP: 3137F2LL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3306494 | PA      | $89518.71     | 0.01%             | 2027-06-25      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                               | Charter Communications Operating LLC / Charter Communications Operating Capital                               | CUSIP: 161175BR4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1234000 | PA      | $1199758.97   | 0.12%             | 2029-03-30      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                                              | CUSIP: 3132DWBB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2410244 | PA      | $2036664.25   | 0.20%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC                                | CF Hippolyta Issuer LLC                                                                                       | CUSIP: 12530MAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    343234 | PA      | $291304.25    | 0.03%             | 2060-07-15      | Fixed         | 1.99%                 | No            |                  2 | On Loan: No      |
| HOWARD UNIVERSITY                                      | Howard University                                                                                             | CUSIP: 442851AU5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    325000 | PA      | $277014.02    | 0.03%             | 2030-10-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                            | Oracle Corp                                                                                                   | CUSIP: 68389XCH6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    888000 | PA      | $947927.53    | 0.10%             | 2029-11-09      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Georgia Power Co                                       | Georgia Power Co                                                                                              | CUSIP: 373334JW2<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |    473000 | PA      | $424179.65    | 0.04%             | 2042-03-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| CSL Finance PLC                                        | CSL Finance PLC                                                                                               | CUSIP: 12661PAC3<br>LEI: 2549007CCNBNAF4HBC02 | Long             | DBT              | CORP              | GB        |    435000 | PA      | $423441.63    | 0.04%             | 2032-04-27      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Constellation Brands Inc                               | Constellation Brands Inc                                                                                      | CUSIP: 21036PAS7<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |    100000 | PA      | $95967.56     | 0.01%             | 2027-05-09      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AutoZone Inc                                           | AutoZone Inc                                                                                                  | CUSIP: 053332AT9<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |     70000 | PA      | $66802.51     | 0.01%             | 2026-04-21      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                      | Credit Acceptance Auto Loan Trust 2021-3                                                                      | CUSIP: 22535GAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    645000 | PA      | $619866.99    | 0.06%             | 2030-05-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust                  | PRPM 2021-RPL1 LLC                                                                                            | CUSIP: 69360GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    373486 | PA      | $336941.99    | 0.03%             | 2051-07-25      | Variable      | 1.32%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                 | Pacific Gas and Electric Co                                                                                   | CUSIP: 694308JQ1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    464000 | PA      | $380717.66    | 0.04%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| EVERGY METRO                                           | Evergy Metro Inc                                                                                              | CUSIP: 30037DAA3<br>LEI: 1128SIJQ26096WL7IO82 | Long             | DBT              | CORP              | US        |    182000 | PA      | $154457.23    | 0.02%             | 2030-06-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| O'REILLY AUTOMOTIVE INC                                | O'Reilly Automotive Inc                                                                                       | CUSIP: 67103HAL1<br>LEI: 549300K2RLMQL149Q332 | Long             | DBT              | CORP              | US        |    390000 | PA      | $388168.52    | 0.04%             | 2032-06-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3140X7L98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1820149 | PA      | $1680782.81   | 0.17%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                                 | General Motors Financial Co Inc                                                                               | CUSIP: 37045XDK9<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |     20000 | PA      | $17760.06     | 0.00%             | 2026-06-10      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| ROYALTY PHARMA PLC                                     | Royalty Pharma PLC                                                                                            | CUSIP: 78081BAN3<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |   1969000 | PA      | $1562205.96   | 0.16%             | 2031-09-02      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 31418DZW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1576772 | PA      | $1380839.96   | 0.14%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 31418D4Z2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    654546 | PA      | $595034.10    | 0.06%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Tricolor Auto Securitization Trust                     | Tricolor Auto Securitization Trust 2021-1                                                                     | CUSIP: 89615BAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    517167 | PA      | $516077.13    | 0.05%             | 2024-06-17      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                | Goldman Sachs Group Inc/The                                                                                   | CUSIP: 38141GWV2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    130000 | PA      | $122543.52    | 0.01%             | 2029-04-23      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                 | United States Treasury Note/Bond                                                                              | CUSIP: 912810SQ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8680000 | PA      | $5735920.29   | 0.58%             | 2040-08-15      | Fixed         | 1.13%                 | No            |                  2 | On Loan: No      |
| Sapphire Aviation Finance I Limited                    | SAPPHIRE AVIATION FINANCE II LTD                                                                              | CUSIP: 80307AAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    183804 | PA      | $147237.39    | 0.01%             | 2040-03-15      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY ENERG                               | Berkshire Hathaway Energy Co                                                                                  | CUSIP: 084659BD2<br>LEI: 549300JD0S5IZJE9LY15 | Long             | DBT              | CORP              | US        |    275000 | PA      | $220296.25    | 0.02%             | 2031-05-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                  | Westlake Automobile Receivables Trust 2023-1                                                                  | CUSIP: 96042XAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    355000 | PA      | $355218.01    | 0.04%             | 2028-01-18      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| Thompson Park CLO, LTD                                 | Thompson Park CLO Ltd                                                                                         | CUSIP: 884887AA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2280000 | PA      | $2242592.04   | 0.23%             | 2034-04-15      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| Bankers Healthcare Group Securitization Trust          | BHG Securitization Trust 2021-B                                                                               | CUSIP: 08862BAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    263972 | PA      | $249736.47    | 0.03%             | 2034-10-17      | Fixed         | 0.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                                              | CUSIP: 3133KH4B9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    551261 | PA      | $489309.56    | 0.05%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                                 | General Motors Financial Co Inc                                                                               | CUSIP: 37045XCY0<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    493000 | PA      | $432940.81    | 0.04%             | 2030-06-21      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| EPR Properties                                         | EPR Properties                                                                                                | CUSIP: 26884UAE9<br>LEI: 549300YSSXFHMPOWZ492 | Long             | DBT              |  | US        |    605000 | PA      | $546095.45    | 0.05%             | 2028-04-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                 | Verizon Communications Inc                                                                                    | CUSIP: 92343VFT6<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    744000 | PA      | $535262.41    | 0.05%             | 2040-11-20      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                       | 99D0USC68 SWAPTION                                                                                            | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              |  | GB        |   1957000 | NC      | $56340.93     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Sound Point CLO LTD                                    | Sounds Point CLO IV-R LTD                                                                                     | CUSIP: 83609YAC0<br>LEI: 549300HOEGQTNS4MTZ12 | Long             | ABS-CBDO         | CORP              | KY        |    950000 | PA      | $934859.85    | 0.09%             | 2031-04-18      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3140XJLG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    156754 | PA      | $138672.25    | 0.01%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                           | GS Mortgage Securities Trust 2014-GC26                                                                        | CUSIP: 36250HAE3<br>LEI: 549300V3F4KBEWHAZP46 | Long             | ABS-MBS          | CORP              | US        |    890000 | PA      | $859066.63    | 0.09%             | 2047-11-10      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                                                         | CUSIP: 3132WJQU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    723778 | PA      | $692481.98    | 0.07%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3140HGL88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    693064 | PA      | $609007.09    | 0.06%             | 2040-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                           | CSMC 2021-AFC1 Trust                                                                                          | CUSIP: 12657LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    592826 | PA      | $500705.34    | 0.05%             | 2056-03-25      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3140XCEW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    405040 | PA      | $362129.00    | 0.04%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3140H7ZB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    239535 | PA      | $228315.57    | 0.02%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates                                                  | CUSIP: 3137FUZX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3318656 | PA      | $271161.41    | 0.03%             | 2030-05-25      | Variable      | 1.43%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                                              | CUSIP: 3133KJGF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    679187 | PA      | $599419.97    | 0.06%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                                                            | CUSIP: 36179WLQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2593615 | PA      | $2392804.84   | 0.24%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                | Goldman Sachs Group Inc/The                                                                                   | CUSIP: 38141GWZ3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   2015000 | PA      | $1939852.09   | 0.19%             | 2029-05-01      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                  | Wells Fargo & Co                                                                                              | CUSIP: 95000U2M4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    322000 | PA      | $315532.99    | 0.03%             | 2051-04-04      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| KERNEL HOLDING SA                                      | Kernel Holding SA                                                                                             | CUSIP: 000000000<br>LEI: 5493003GR6L4DZOS2U12 | Long             | DBT              | CORP              | LU        |   1045000 | PA      | $485925.00    | 0.05%             | 2024-10-17      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                | MPLX LP                                                                                                       | CUSIP: 55336VAP5<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |      5000 | PA      | $4226.88      | 0.00%             | 2058-04-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                 | United States Treasury Inflation Indexed Bonds                                                                | CUSIP: 9128285W6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3413437 | PA      | $3316533.67   | 0.33%             | 2029-01-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                                              | CUSIP: 3132DNDQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    455697 | PA      | $398911.23    | 0.04%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                         | Fannie Mae-Aces                                                                                               | CUSIP: 3136B6XE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6672237 | PA      | $591033.42    | 0.06%             | 2034-06-25      | Variable      | 1.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                                                            | CUSIP: 36179T4P7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1025341 | PA      | $1007426.84   | 0.10%             | 2048-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CD Commercial Mortgage Trust                           | CD 2017-CD3 Mortgage Trust                                                                                    | CUSIP: 12515GAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1527000 | PA      | $1449419.24   | 0.15%             | 2050-02-10      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3140XHDR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    413118 | PA      | $378895.88    | 0.04%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                             | MFA 2020-NQM3 Trust                                                                                           | CUSIP: 552757AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     85859 | PA      | $79324.50     | 0.01%             | 2065-01-26      | Variable      | 1.01%                 | No            |                  2 | On Loan: No      |
| TAYLOR MORR COMM/HLDGS                                 | Taylor Morrison Communities Inc / Taylor Morrison Holdings II Inc                                             | CUSIP: 877249AD4<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |     65000 | PA      | $64624.95     | 0.01%             | 2024-03-01      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners LLC                   | Pretium Mortgage Credit Partners I 2021-NPL2 LLC                                                              | CUSIP: 741386AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    913359 | PA      | $840603.14    | 0.08%             | 2060-06-27      | Variable      | 1.99%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                                                             | CUSIP: 3136ANE37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    947022 | PA      | $786255.50    | 0.08%             | 2045-06-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PHILIPPINES                                | Philippine Government International Bond                                                                      | CUSIP: 718286CW5<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |    305000 | PA      | $309907.09    | 0.03%             | 2033-07-17      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                        | Long: B9D0REBG2 CDS USD R V 03MEVENT 2 CCPCORPORATE / Short: B9D0REBG2 CDS USD P F  1.00000 1 CCPCORPORATE    | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |   3350000 | OU      | $139585.10    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                              | Uniform Mortgage-Backed Security, TBA                                                                         | CUSIP: 01F022626<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10206000 | PA      | $8919087.19   | 0.90%             | 2053-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| LAMAR MEDIA CORP                                       | Lamar Media Corp                                                                                              | CUSIP: 513075BW0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     80000 | PA      | $75289.92     | 0.01%             | 2029-01-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3140XFPU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2351954 | PA      | $2110336.80   | 0.21%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| AUTOZONE INC                                           | AutoZone Inc                                                                                                  | CUSIP: 053332BB7<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |    385000 | PA      | $384022.48    | 0.04%             | 2032-08-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3140XHS73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    723356 | PA      | $695048.71    | 0.07%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                     | VICI Properties LP                                                                                            | CUSIP: 925650AC7<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              |  | US        |   1293000 | PA      | $1249524.98   | 0.13%             | 2030-02-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Bank                                                   | BANK 2018-BNK10                                                                                               | CUSIP: 065404BF1<br>LEI: 549300GL0Y86051URC66 | Long             | ABS-MBS          | CORP              | US        |  15633002 | PA      | $439237.33    | 0.04%             | 2061-02-15      | Variable      | 0.69%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                              | Boeing Co/The                                                                                                 | CUSIP: 097023CY9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    698000 | PA      | $701976.44    | 0.07%             | 2030-05-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                         | Morgan Stanley                                                                                                | CUSIP: 61747YFB6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    120000 | PA      | $122151.25    | 0.01%             | 2038-01-19      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                           | Barclays PLC                                                                                                  | CUSIP: 06738ECD5<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    550000 | PA      | $595579.88    | 0.06%             | 2028-11-02      | Fixed         | 7.39%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                           | Centene Corp                                                                                                  | CUSIP: 15135BAY7<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    470000 | PA      | $407414.80    | 0.04%             | 2028-07-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| ANGLO AMERICAN CAPITAL                                 | Anglo American Capital PLC                                                                                    | CUSIP: 034863AX8<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |   1085000 | PA      | $919832.29    | 0.09%             | 2030-09-10      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                 | United States Treasury Note/Bond                                                                              | CUSIP: 912810RH3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2645000 | PA      | $2372441.00   | 0.24%             | 2044-08-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| O'Reilly Automotive Inc                                | O'Reilly Automotive Inc                                                                                       | CUSIP: 67103HAG2<br>LEI: 549300K2RLMQL149Q332 | Long             | DBT              | CORP              | US        |     22000 | PA      | $21783.52     | 0.00%             | 2028-06-01      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                       | Deutsche Bank AG/New York NY                                                                                  | CUSIP: 251526CS6<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    560000 | PA      | $588355.24    | 0.06%             | 2029-01-18      | Fixed         | 6.72%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate Mortgage Trust            | Bear Stearns ARM Trust 2005-6                                                                                 | CUSIP: 07387ADJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     45536 | PA      | $41080.91     | 0.00%             | 2035-08-25      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WOR                               | Anheuser-Busch InBev Worldwide Inc                                                                            | CUSIP: 035240AN0<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |    386000 | PA      | $362966.64    | 0.04%             | 2048-04-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3140XCH43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3949607 | PA      | $3158494.00   | 0.32%             | 2051-09-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| UNITED RENTALS NORTH AM                                | United Rentals North America Inc                                                                              | CUSIP: 911365BP8<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |    270000 | PA      | $232494.30    | 0.02%             | 2032-01-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| ROYALTY PHARMA PLC                                     | Royalty Pharma PLC                                                                                            | CUSIP: 78081BAH6<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |    100000 | PA      | $90620.76     | 0.01%             | 2025-09-02      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                 | Santander Drive Auto Receivables Trust 2020-4                                                                 | CUSIP: 80286WAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    220000 | PA      | $211270.99    | 0.02%             | 2027-01-15      | Fixed         | 1.48%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                              | Towd Point Mortgage Trust 2022-EBO1                                                                           | CUSIP: 89180EAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    744068 | PA      | $727812.82    | 0.07%             | 2052-01-25      | Variable      | 2.16%                 | No            |                  2 | On Loan: No      |
| GOVT OF BERMUDA                                        | Bermuda Government International Bond                                                                         | CUSIP: 085209AJ3<br>LEI: 549300FP5PUZXX9FVJ40 | Long             | DBT              | NUSS              | BM        |    825000 | PA      | $828267.19    | 0.08%             | 2032-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Xcel Energy Inc                                        | Xcel Energy Inc                                                                                               | CUSIP: 98389BAV2<br>LEI: LGJNMI9GH8XIDG5RCM61 | Long             | DBT              | CORP              | US        |     59000 | PA      | $57476.64     | 0.01%             | 2028-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                     | Seasoned Credit Risk Transfer Trust Series 2019-3                                                             | CUSIP: 35563PLG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    948056 | PA      | $891756.62    | 0.09%             | 2058-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PHILIPPINES                                | Philippine Government International Bond                                                                      | CUSIP: 000000000<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |    420000 | PA      | $306161.81    | 0.03%             | 2041-04-28      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| GO DADDY OPCO/FINCO                                    | Go Daddy Operating Co LLC / GD Finance Co Inc                                                                 | CUSIP: 38016LAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2383000 | PA      | $2306219.74   | 0.23%             | 2027-12-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Cirrus Funding 2018-1, Ltd                             | Cirrus Funding 2018-1 Ltd                                                                                     | CUSIP: 17275GAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    375000 | PA      | $365425.13    | 0.04%             | 2037-01-25      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                                   | Targa Resources Corp                                                                                          | CUSIP: 87612GAC5<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |    330000 | PA      | $343347.94    | 0.03%             | 2033-03-15      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| CDW LLC/CDW FINANCE                                    | CDW LLC / CDW Finance Corp                                                                                    | CUSIP: 12513GBG3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    225000 | PA      | $202097.25    | 0.02%             | 2026-12-01      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| DAIMLER TRUCK FINAN NA                                 | Daimler Truck Finance North America LLC                                                                       | CUSIP: 233853AQ3<br>LEI: 5493003HSDTSCZRXBA58 | Long             | DBT              | CORP              | US        |    150000 | PA      | $151195.17    | 0.02%             | 2028-01-19      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Metropolitan Transportation Authority                  | MET TRANSPRTN AUTH NY REVENUE                                                                                 | CUSIP: 59261AG43<br>LEI: 5493000TKYODLXADQD60 | Long             | DBT              | MUN               | US        |    600000 | PA      | $614674.26    | 0.06%             | 2050-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                           | CSMC 2021-NQM2                                                                                                | CUSIP: 12662EAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1031761 | PA      | $858557.02    | 0.09%             | 2066-02-25      | Variable      | 1.18%                 | No            |                  2 | On Loan: No      |
| LOCKHEED MARTIN CORP                                   | Lockheed Martin Corp                                                                                          | CUSIP: 539830BV0<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |    725000 | PA      | $751201.94    | 0.08%             | 2027-11-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                 | Philip Morris International Inc                                                                               | CUSIP: 718172BD0<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    106000 | PA      | $97713.10     | 0.01%             | 2043-11-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates                                                  | CUSIP: 3137FUZE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2074701 | PA      | $184381.17    | 0.02%             | 2030-05-25      | Variable      | 1.57%                 | No            |                  2 | On Loan: No      |
| Wind River CLO Ltd                                     | THL Credit Wind River 2020-1 CLO Ltd                                                                          | CUSIP: 973142AA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2365000 | PA      | $2340228.99   | 0.23%             | 2033-10-20      | Floating      | 6.24%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                 | UnitedHealth Group Inc                                                                                        | CUSIP: 91324PET5<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    140000 | PA      | $162657.34    | 0.02%             | 2063-02-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| Emera Inc                                              | Emera Inc                                                                                                     | CUSIP: 290876AD3<br>LEI: NQZVQT2P5IUF2PGA1Q48 | Long             | DBT              | CORP              | CA        |    490000 | PA      | $481244.96    | 0.05%             | 2076-06-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| BANK OF IRELAND GROUP                                  | Bank of Ireland Group PLC                                                                                     | CUSIP: 06279JAC3<br>LEI: 635400C8EK6DRI12LJ39 | Long             | DBT              | CORP              | IE        |   1975000 | PA      | $1990507.11   | 0.20%             | 2026-09-16      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FDG/NXP USA                                 | NXP BV / NXP Funding LLC / NXP USA Inc                                                                        | CUSIP: 62954HAV0<br>LEI: 724500RKKW4NOJ9YQF60 | Long             | DBT              | CORP              | XX        |    101000 | PA      | $96935.34     | 0.01%             | 2029-06-18      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                                                            | CUSIP: 3137BTN80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    476376 | PA      | $96529.75     | 0.01%             | 2040-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                                   | Edison International                                                                                          | CUSIP: 281020AW7<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |    255000 | PA      | $276285.90    | 0.03%             | 2029-11-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| Oracle Corp                                            | Oracle Corp                                                                                                   | CUSIP: 68389XBJ3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     95000 | PA      | $75003.65     | 0.01%             | 2046-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 31418CPF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    300512 | PA      | $294743.86    | 0.03%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                   | Bank of America Corp                                                                                          | CUSIP: 06051GKD0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1054000 | PA      | $870358.37    | 0.09%             | 2032-10-20      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                                                                      | CUSIP: 38383F2D4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    908780 | PA      | $843025.89    | 0.08%             | 2052-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PANAMA                                     | Panama Government International Bond                                                                          | CUSIP: 698299BL7<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |   2645000 | PA      | $1768055.01   | 0.18%             | 2060-07-23      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                 | United States Treasury Note/Bond                                                                              | CUSIP: 912810QZ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3365000 | PA      | $3040198.62   | 0.31%             | 2043-02-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                       | Paramount Global                                                                                              | CUSIP: 124857AK9<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |     79000 | PA      | $61839.78     | 0.01%             | 2044-08-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Avant Loans Funding Trust                              | Avant Loans Funding Trust 2021-REV1                                                                           | CUSIP: 05353LAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    820000 | PA      | $790453.10    | 0.08%             | 2030-07-15      | Fixed         | 1.21%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                                   | OneMain Finance Corp                                                                                          | CUSIP: 85172FAP4<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |    275000 | PA      | $272654.25    | 0.03%             | 2024-03-15      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| State of Illinois                                      | ILLINOIS ST                                                                                                   | CUSIP: 452151LE1<br>LEI: 54930048FV8RWPR02D67 | Long             | DBT              | MUN               | US        |    276818 | PA      | $276783.51    | 0.03%             | 2023-06-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| WMG ACQUISITION CORP                                   | WMG Acquisition Corp                                                                                          | CUSIP: 92933BAQ7<br>LEI: 549300NAS11NXI33CP80 | Long             | DBT              | CORP              | US        |   2730000 | PA      | $2406495.00   | 0.24%             | 2030-07-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                                             | Affirm Asset Securitization Trust 2020-Z2                                                                     | CUSIP: 00834AAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    149333 | PA      | $146495.78    | 0.01%             | 2025-01-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AMER PIPELINE                               | Plains All American Pipeline LP / PAA Finance Corp                                                            | CUSIP: 72650RBN1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    794000 | PA      | $719760.02    | 0.07%             | 2030-09-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS IN                               | Rogers Communications Inc                                                                                     | CUSIP: 775109BG5<br>LEI: 54930030NVF3Y2OL0A78 | Long             | DBT              | CORP              | CA        |      6000 | PA      | $4851.97      | 0.00%             | 2048-02-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO                                            | Southern Co/The                                                                                               | CUSIP: 842587DG9<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |    100000 | PA      | $95528.14     | 0.01%             | 2024-02-26      | Fixed         | 0.60%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                               | Angel Oak Mortgage Trust 2021-2                                                                               | CUSIP: 03465DAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    503328 | PA      | $420818.19    | 0.04%             | 2066-04-25      | Variable      | 0.99%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                 | UnitedHealth Group Inc                                                                                        | CUSIP: 91324PEC2<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    100000 | PA      | $90412.47     | 0.01%             | 2026-05-15      | Fixed         | 1.15%                 | No            |                  2 | On Loan: No      |
| Hess Corp                                              | Hess Corp                                                                                                     | CUSIP: 023551AJ3<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |    719000 | PA      | $803379.61    | 0.08%             | 2031-08-15      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                                                             | CUSIP: 3136AFDM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1733692 | PA      | $151446.97    | 0.02%             | 2033-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                                  | Mexico Government International Bond                                                                          | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    200000 | PA      | $179272.09    | 0.02%             | 2030-01-17      | Fixed         | 1.13%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                      | HSBC Holdings PLC                                                                                             | CUSIP: 404280DC0<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   1485000 | PA      | $1366816.33   | 0.14%             | 2033-03-29      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                                                             | CUSIP: 3136ALR60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    363231 | PA      | $331544.49    | 0.03%             | 2044-05-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                  | Wells Fargo & Co                                                                                              | CUSIP: 949746RW3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    790000 | PA      | $749208.10    | 0.08%             | 2026-04-22      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                              | Uniform Mortgage-Backed Security, TBA                                                                         | CUSIP: 01F030421<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1875000 | PA      | $1796557.61   | 0.18%             | 2038-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                                                                      | CUSIP: 38380XDU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    268838 | PA      | $40127.34     | 0.00%             | 2044-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ASHTEAD CAPITAL INC                                    | Ashtead Capital Inc                                                                                           | CUSIP: 045054AJ2<br>LEI: 213800J1134IW58IC398 | Long             | DBT              | CORP              | US        |    425000 | PA      | $398933.38    | 0.04%             | 2028-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                 | Diamondback Energy Inc                                                                                        | CUSIP: 25278XAW9<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |    480000 | PA      | $499079.88    | 0.05%             | 2053-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                                                         | CUSIP: 3132WKH43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    462557 | PA      | $446252.09    | 0.04%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3140XDRV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3177551 | PA      | $2816257.53   | 0.28%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3140M9MX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    570271 | PA      | $522189.79    | 0.05%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 31418DYH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    668350 | PA      | $587274.92    | 0.06%             | 2041-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                              | Uniform Mortgage-Backed Security, TBA                                                                         | CUSIP: 01F060626<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    645000 | PA      | $662183.21    | 0.07%             | 2053-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                                              | CUSIP: 3133AGCV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    943394 | PA      | $801911.04    | 0.08%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3140XHG68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1916069 | PA      | $1895013.21   | 0.19%             | 2049-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ENERGEAN ISRAEL FINANCE                                | Energean Israel Finance Ltd                                                                                   | CUSIP: 000000000<br>LEI: 98450044QACBL3F8EB03 | Long             | DBT              | CORP              | IL        |    495000 | PA      | $482625.00    | 0.05%             | 2024-03-30      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                       | Paramount Global                                                                                              | CUSIP: 92556HAD9<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |    680000 | PA      | $584533.79    | 0.06%             | 2032-05-19      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                                                                      | CUSIP: 38378TVA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    778022 | PA      | $144704.82    | 0.01%             | 2043-06-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                    | Southern California Edison Co                                                                                 | CUSIP: 842400HQ9<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    680000 | PA      | $682209.27    | 0.07%             | 2027-06-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Venture CLO 43 Limited                                 | Venture 43 CLO Ltd                                                                                            | CUSIP: 92290CAB5<br>LEI: 549300OLN5VHTMLSN650 | Long             | ABS-CBDO         | CORP              | KY        |    915000 | PA      | $889907.04    | 0.09%             | 2034-04-15      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3140JLA38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    542107 | PA      | $530920.06    | 0.05%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3140KYBS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1624579 | PA      | $1371901.56   | 0.14%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| WILLIAM CARTER                                         | William Carter Co/The                                                                                         | CUSIP: 96926JAC1<br>LEI: TGI2A0HXEYNQPU7TYV27 | Long             | DBT              | CORP              | US        |   1904000 | PA      | $1852292.58   | 0.19%             | 2027-03-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                                  | Mexico Government International Bond                                                                          | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   3000000 | PA      | $2379817.72   | 0.24%             | 2033-10-25      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| WENDYS FUNDING LLC                                     | Wendy's Funding LLC                                                                                           | CUSIP: 95058XAE8<br>LEI: 5493009DRVSTWJOXUL48 | Long             | ABS-O            | CORP              | US        |    584250 | PA      | $542924.24    | 0.05%             | 2048-03-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                 | United States Treasury Note/Bond                                                                              | CUSIP: 91282CEP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3596800 | PA      | $3415836.00   | 0.34%             | 2032-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                 | UnitedHealth Group Inc                                                                                        | CUSIP: 91324PDY5<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |   1043000 | PA      | $805157.02    | 0.08%             | 2040-05-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Dominos Pizza Master Issuer LLC                        | Domino's Pizza Master Issuer LLC                                                                              | CUSIP: 25755TAN0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    928462 | PA      | $809126.29    | 0.08%             | 2051-04-25      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                 | United States Treasury Inflation Indexed Bonds                                                                | CUSIP: 91282CEZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  16989360 | PA      | $16031717.71  | 1.61%             | 2032-07-15      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                                              | CUSIP: 3133KMLL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    369143 | PA      | $311389.15    | 0.03%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                                                             | CUSIP: 3136ALTR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1172868 | PA      | $1072121.90   | 0.11%             | 2044-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Vericrest Opportunity Loan Transferee                  | VOLT C LLC                                                                                                    | CUSIP: 91835DAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    588384 | PA      | $534530.99    | 0.05%             | 2051-05-25      | Variable      | 1.99%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL                                 | NextEra Energy Capital Holdings Inc                                                                           | CUSIP: 65339KBW9<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |     15000 | PA      | $13110.76     | 0.00%             | 2028-06-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners LLC                   | PRET 2021-NPL3 LLC                                                                                            | CUSIP: 74143EAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    809605 | PA      | $716294.70    | 0.07%             | 2051-07-25      | Variable      | 1.87%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | Comm 2014-UBS2 Mortgage Trust                                                                                 | CUSIP: 12591UAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1095125 | PA      | $1076048.58   | 0.11%             | 2047-03-10      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                                                            | CUSIP: 3137BLP93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    241570 | PA      | $224200.49    | 0.02%             | 2045-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                       | Crown Castle Inc                                                                                              | CUSIP: 22822VAZ4<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              |  | US        |    695000 | PA      | $645049.71    | 0.06%             | 2027-03-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                                                         | CUSIP: 3128MJ2X7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    216658 | PA      | $213243.13    | 0.02%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                             | Humana Inc                                                                                                    | CUSIP: 444859BT8<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |    945000 | PA      | $888565.78    | 0.09%             | 2029-03-23      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust                  | PRPM 2021-4 LLC                                                                                               | CUSIP: 693583AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    947194 | PA      | $863624.00    | 0.09%             | 2026-04-25      | Variable      | 1.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                                              | CUSIP: 3131YBFP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    254334 | PA      | $242723.61    | 0.02%             | 2048-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                 | United States Treasury Note/Bond                                                                              | CUSIP: 91282CFT3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5695000 | PA      | $5826029.48   | 0.58%             | 2029-10-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                    | American Tower Corp                                                                                           | CUSIP: 03027XBV1<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |    345000 | PA      | $327258.33    | 0.03%             | 2027-03-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Nassau LTD                                             | Nassau 2021-I Ltd                                                                                             | CUSIP: 631704AA1<br>LEI: 5493000NDRKPTT45F149 | Long             | ABS-CBDO         | CORP              | KY        |   2490000 | PA      | $2401009.89   | 0.24%             | 2034-08-26      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3140QKQR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    238422 | PA      | $209501.14    | 0.02%             | 2041-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| NVIDIA CORP                                            | NVIDIA Corp                                                                                                   | CUSIP: 67066GAH7<br>LEI: 549300S4KLFTLO7GSQ80 | Long             | DBT              | CORP              | US        |      5000 | PA      | $4067.84      | 0.00%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF ANGOLA                                     | Angolan Government International Bond                                                                         | CUSIP: 000000000<br>LEI: 549300QHR2R3J8JSGK83 | Long             | DBT              | NUSS              | AO        |    580000 | PA      | $537636.80    | 0.05%             | 2029-11-26      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| EVERGY METRO                                           | Evergy Metro Inc                                                                                              | CUSIP: 485134BS8<br>LEI: 1128SIJQ26096WL7IO82 | Long             | DBT              | CORP              | US        |     21000 | PA      | $17982.62     | 0.00%             | 2049-04-01      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                            | PURCHASED USD / SOLD BRL                                                                                      | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |         1 | NC      | $-197472.19   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| ASHTEAD CAPITAL INC                                    | Ashtead Capital Inc                                                                                           | CUSIP: 04505AAA7<br>LEI: 213800J1134IW58IC398 | Long             | DBT              | CORP              | US        |    400000 | PA      | $400223.28    | 0.04%             | 2032-08-11      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM 2022-HC Mortgage Trust                                                                                   | CUSIP: 12659DAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    395000 | PA      | $330757.16    | 0.03%             | 2039-01-10      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                                                         | CUSIP: 3132XV4U4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    143542 | PA      | $132290.37    | 0.01%             | 2048-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                                 | Williams Cos Inc/The                                                                                          | CUSIP: 969457BZ2<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    535000 | PA      | $520702.47    | 0.05%             | 2032-08-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF INDONESIA                                  | Indonesia Government International Bond                                                                       | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |    100000 | PA      | $106413.34    | 0.01%             | 2024-07-18      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                               | Morgan Stanley Institutional Liquidity Funds - Government Portfolio                                           | CUSIP: 61747C707<br>LEI: 549300BI6Y5SI6BYPB26 | Long             | STIV             | RF                | US        |     31950 | NS      | $31950.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| UMBS, TBA                                              | Uniform Mortgage-Backed Security, TBA                                                                         | CUSIP: 01F042624<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        | 106587000 | PA      | $105158996.40 | 10.56%            | 2053-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                                | Romanian Government International Bond                                                                        | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |   2145000 | PA      | $1387812.91   | 0.14%             | 2041-04-14      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                    | JPMorgan Chase & Co                                                                                           | CUSIP: 46647PBD7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1416000 | PA      | $1314617.95   | 0.13%             | 2030-05-06      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                 | United States Treasury Note/Bond                                                                              | CUSIP: 91282CDY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1814800 | PA      | $1588091.77   | 0.16%             | 2032-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                    | JPMorgan Chase & Co                                                                                           | CUSIP: 46647PAR7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    852000 | PA      | $814881.25    | 0.08%             | 2029-04-23      | Fixed         | 4.01%                 | No            |                  2 | On Loan: No      |
| MSCI INC                                               | MSCI Inc                                                                                                      | CUSIP: 55354GAH3<br>LEI: 549300HTIN2PD78UB763 | Long             | DBT              | CORP              | US        |    395000 | PA      | $359450.00    | 0.04%             | 2029-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                                | Romanian Government International Bond                                                                        | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    750000 | PA      | $576324.33    | 0.06%             | 2038-02-08      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                 | Pacific Gas and Electric Co                                                                                   | CUSIP: 694308KJ5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    190000 | PA      | $194791.08    | 0.02%             | 2033-01-15      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| MSCI INC                                               | MSCI Inc                                                                                                      | CUSIP: 55354GAL4<br>LEI: 549300HTIN2PD78UB763 | Long             | DBT              | CORP              | US        |    341000 | PA      | $300830.20    | 0.03%             | 2031-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Vantage Data Centers LLC                               | Vantage Data Centers Issuer LLC                                                                               | CUSIP: 92211MAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    967917 | PA      | $947330.63    | 0.10%             | 2043-11-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF ANGOLA                                     | Angolan Government International Bond                                                                         | CUSIP: 035198AF7<br>LEI: 549300QHR2R3J8JSGK83 | Long             | DBT              | NUSS              | AO        |    290000 | PA      | $267864.30    | 0.03%             | 2032-04-14      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                      | EURO-BUXL 30Y BND MAR23                                                                                       | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |       -71 | NC      | $753801.12    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                                              | CUSIP: 3133KTMS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    197035 | PA      | $173134.37    | 0.02%             | 2040-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                      | PURCHASED USD / SOLD EUR                                                                                      | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |         1 | NC      | $-601430.14   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates                                                  | CUSIP: 3137FQXL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1563056 | PA      | $28542.65     | 0.00%             | 2026-10-25      | Variable      | 0.64%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                   | Bank of America Corp                                                                                          | CUSIP: 06051GJA8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      5000 | PA      | $4276.49      | 0.00%             | 2051-03-20      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                 | United States Treasury Note/Bond                                                                              | CUSIP: 912810SA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1395000 | PA      | $1219371.68   | 0.12%             | 2048-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                  | Westlake Automobile Receivables Trust 2022-2                                                                  | CUSIP: 96042VAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1180000 | PA      | $1155927.06   | 0.12%             | 2027-09-15      | Fixed         | 4.31%                 | No            |                  2 | On Loan: No      |
| BENIN INTL GOV BOND                                    | Benin Government International Bond                                                                           | CUSIP: 000000000<br>LEI: 635400Q11P6AE5A5Y230 | Long             | DBT              | NUSS              | BJ        |   1130000 | PA      | $894679.88    | 0.09%             | 2035-01-22      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortgage Loan Trust            | MF1 2022-FL8 Ltd                                                                                              | CUSIP: 55284JAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1300000 | PA      | $1238516.50   | 0.12%             | 2037-02-19      | Floating      | 6.06%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                                                         | CUSIP: 3132LA5H1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40073 | PA      | $41312.24     | 0.00%             | 2049-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SEMPRA ENERGY                                          | Sempra Energy                                                                                                 | CUSIP: 816851BM0<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |     79000 | PA      | $68694.53     | 0.01%             | 2052-04-01      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| VAR ENERGI ASA                                         | Var Energi ASA                                                                                                | CUSIP: 92212WAD2<br>LEI: 549300LIVN3FFOJN2K47 | Long             | DBT              | CORP              | NO        |   1170000 | PA      | $1221219.05   | 0.12%             | 2028-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3140X6MR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    213946 | PA      | $207098.09    | 0.02%             | 2033-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BOOZ ALLEN HAMILTON INC                                | Booz Allen Hamilton Inc                                                                                       | CUSIP: 09951LAA1<br>LEI: 549300D7XCH2480XU542 | Long             | DBT              | CORP              | US        |   2505000 | PA      | $2266348.65   | 0.23%             | 2028-09-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                             | Progress Residential 2022-SFR3 Trust                                                                          | CUSIP: 74331UAA6<br>LEI: 5493002EEQ4GX2578787 | Long             | ABS-O            | CORP              | US        |    640000 | PA      | $594767.17    | 0.06%             | 2039-04-17      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust                     | Ellington Financial Mortgage Trust 2021-2                                                                     | CUSIP: 31572LAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    355300 | PA      | $290484.50    | 0.03%             | 2066-06-25      | Variable      | 0.93%                 | No            |                  2 | On Loan: No      |
| NATIONAL RURAL UTIL COOP                               | National Rural Utilities Cooperative Finance Corp                                                             | CUSIP: 63743HFE7<br>LEI: 4NYF266XZC35SCTGX023 | Long             | DBT              | CORP              | US        |      5000 | PA      | $4848.68      | 0.00%             | 2025-06-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                                                             | CUSIP: 3136AD3B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1139731 | PA      | $1047279.79   | 0.11%             | 2043-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                   | Bank of America Corp                                                                                          | CUSIP: 06051GJL4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    130000 | PA      | $104324.23    | 0.01%             | 2031-10-24      | Fixed         | 1.92%                 | No            |                  2 | On Loan: No      |
| Oracle Corp                                            | Oracle Corp                                                                                                   | CUSIP: 68389XBY0<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   1144000 | PA      | $820830.99    | 0.08%             | 2060-04-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| CDW LLC/CDW FINANCE                                    | CDW LLC / CDW Finance Corp                                                                                    | CUSIP: 12513GBJ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    195000 | PA      | $167495.25    | 0.02%             | 2031-12-01      | Fixed         | 3.57%                 | No            |                  2 | On Loan: No      |
| DISCOVERY COMMUNICATIONS                               | Discovery Communications LLC                                                                                  | CUSIP: 25470DAD1<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |   1173000 | PA      | $1157801.70   | 0.12%             | 2040-06-01      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3140XHUE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    567292 | PA      | $553906.46    | 0.06%             | 2051-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                | Goldman Sachs Group Inc/The                                                                                   | CUSIP: 38141GYB4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1855000 | PA      | $1547522.03   | 0.16%             | 2032-04-22      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                                              | CUSIP: 31329QG54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    877744 | PA      | $857987.82    | 0.09%             | 2049-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTL NV                                   | Enel Finance International NV                                                                                 | CUSIP: 29278GAX6<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |    525000 | PA      | $499761.84    | 0.05%             | 2032-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                               | Enterprise Products Operating LLC                                                                             | CUSIP: 29379VCD3<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    310000 | PA      | $321471.79    | 0.03%             | 2033-01-31      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust             | JPMBB Commercial Mortgage Securities Trust 2014-C19                                                           | CUSIP: 46641WAV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $97970.97     | 0.01%             | 2047-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                         | Morgan Stanley                                                                                                | CUSIP: 61747YEH4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    100000 | PA      | $82369.43     | 0.01%             | 2032-10-20      | Fixed         | 2.51%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                       | Freddie Mac Strips                                                                                            | CUSIP: 3132HTDQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    729511 | PA      | $679000.16    | 0.07%             | 2042-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| State of Illinois                                      | ILLINOIS ST                                                                                                   | CUSIP: 452152GC9<br>LEI: 54930048FV8RWPR02D67 | Long             | DBT              | MUN               | US        |    190000 | PA      | $194789.46    | 0.02%             | 2025-07-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                            | BNP Paribas SA                                                                                                | CUSIP: 09659W2V5<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    555000 | PA      | $558780.49    | 0.06%             | 2029-01-13      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                     | Seasoned Credit Risk Transfer Trust Series 2019-2                                                             | CUSIP: 35563PKG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    276221 | PA      | $265151.76    | 0.03%             | 2058-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FIN DEPT GOVT SHARJAH                                  | Finance Department Government of Sharjah                                                                      | CUSIP: 38381CAC6<br>LEI: 254900ZNL8O3F1CLJO24 | Long             | DBT              | NUSS              | AE        |   1460000 | PA      | $1222136.80   | 0.12%             | 2033-03-10      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3140X63P4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    660424 | PA      | $583132.92    | 0.06%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL                                 | NextEra Energy Capital Holdings Inc                                                                           | CUSIP: 65339KCH1<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1200049.31   | 0.12%             | 2027-07-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust                  | PRPM 2020-6 LLC                                                                                               | CUSIP: 693587AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    216370 | PA      | $208626.70    | 0.02%             | 2025-11-25      | Variable      | 2.36%                 | No            |                  2 | On Loan: No      |
| Chesapeake Funding II LLC                              | Chesapeake Funding II LLC                                                                                     | CUSIP: 165183CD4<br>LEI: 5493000HT7H4OFOD6Z12 | Long             | ABS-O            | CORP              | US        |     32893 | PA      | $32878.87     | 0.00%             | 2031-09-15      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                     | Energy Transfer LP                                                                                            | CUSIP: 29273VAQ3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    415000 | PA      | $426138.60    | 0.04%             | 2033-02-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Wellfleet CLO Ltd                                      | Wellfleet CLO X LTD                                                                                           | CUSIP: 94949WAM8<br>LEI: 254900A99ZMAJM1OOV76 | Long             | ABS-CBDO         | CORP              | KY        |   1830000 | PA      | $1787463.48   | 0.18%             | 2032-07-20      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| ITC Holdings Corp                                      | ITC Holdings Corp                                                                                             | CUSIP: 465685AK1<br>LEI: 549300HTO5U9D3SLE207 | Long             | DBT              | CORP              | US        |     55000 | PA      | $52146.29     | 0.01%             | 2026-06-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                                                            | CUSIP: 3137FHJ20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    159349 | PA      | $33106.77     | 0.00%             | 2048-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                                                             | CUSIP: 3136B4FP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    698964 | PA      | $676097.46    | 0.07%             | 2049-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                                                            | CUSIP: 3137FT6T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    468628 | PA      | $69405.71     | 0.01%             | 2040-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3140QLRC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2270824 | PA      | $2005064.55   | 0.20%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust                  | PRPM 2021-2 LLC                                                                                               | CUSIP: 69359UAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    372780 | PA      | $352815.95    | 0.04%             | 2026-03-25      | Variable      | 2.12%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategies                       | CARLYLE US CLO 2021-3S LTD                                                                                    | CUSIP: 14315DAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2047000 | PA      | $2017598.94   | 0.20%             | 2034-04-15      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                       | Paramount Global                                                                                              | CUSIP: 124857AQ6<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |     23000 | PA      | $22291.01     | 0.00%             | 2026-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                                              | CUSIP: 3133KJJW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2039741 | PA      | $1800181.04   | 0.18%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Magnetite CLO Ltd                                      | Magnetite VII Ltd                                                                                             | CUSIP: 55951PBA4<br>LEI: 549300B54XJTQC6DWJ15 | Long             | ABS-CBDO         | CORP              | KY        |    191550 | PA      | $189255.89    | 0.02%             | 2028-01-15      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                              | Towd Point Mortgage Trust 2018-2                                                                              | CUSIP: 89175VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    743105 | PA      | $715976.38    | 0.07%             | 2058-03-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                       | T-Mobile USA Inc                                                                                              | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     76000 | PA      | $70979.23     | 0.01%             | 2030-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Group AG                                 | Credit Suisse Group AG                                                                                        | CUSIP: 225401AC2<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    295000 | PA      | $259888.11    | 0.03%             | 2028-01-09      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                                                                      | CUSIP: 38379FUE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    619765 | PA      | $551511.88    | 0.06%             | 2045-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                                              | CUSIP: 3133AQUG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    365812 | PA      | $321766.56    | 0.03%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SHELL INTERNATIONAL FIN                                | Shell International Finance BV                                                                                | CUSIP: 822582CL4<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |    552000 | PA      | $402815.02    | 0.04%             | 2051-11-26      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                           | GS Mortgage Securities Corp Trust 2022-SHIP                                                                   | CUSIP: 36269CAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    190000 | PA      | $188730.42    | 0.02%             | 2036-08-15      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3140KTS30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1172605 | PA      | $990224.98    | 0.10%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GAP INC/THE                                            | Gap Inc/The                                                                                                   | CUSIP: 364760AP3<br>LEI: T2ZG1WRWZ4BUCMQL9224 | Long             | DBT              | CORP              | US        |   2024000 | PA      | $1553420.00   | 0.16%             | 2029-10-01      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                                  | Truist Financial Corp                                                                                         | CUSIP: 89788MAL6<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |    590000 | PA      | $592481.26    | 0.06%             | 2029-01-26      | Fixed         | 4.87%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                    | New Residential Mortgage Loan Trust 2018-RPL1                                                                 | CUSIP: 64829VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    499055 | PA      | $476454.62    | 0.05%             | 2057-12-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                           | Barclays PLC                                                                                                  | CUSIP: 06738ECA1<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    245000 | PA      | $246111.87    | 0.02%             | 2033-08-09      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                       | Connecticut Avenue Securities Trust 2019-R02                                                                  | CUSIP: 20753KAB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     27231 | PA      | $27231.29     | 0.00%             | 2031-08-25      | Floating      | 6.81%                 | No            |                  2 | On Loan: No      |
| EQUINOR ASA                                            | Equinor ASA                                                                                                   | CUSIP: 29446MAH5<br>LEI: OW6OFBNCKXC4US5C7523 | Long             | DBT              | CORP              | NO        |    200000 | PA      | $169196.22    | 0.02%             | 2050-04-06      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                                | Romanian Government International Bond                                                                        | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |   1265000 | PA      | $817071.67    | 0.08%             | 2040-12-02      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                      | HSBC Holdings PLC                                                                                             | CUSIP: 404280AJ8<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    128000 | PA      | $137713.73    | 0.01%             | 2038-06-01      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| ROYALTY PHARMA PLC                                     | Royalty Pharma PLC                                                                                            | CUSIP: 78081BAK9<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |    581000 | PA      | $472412.64    | 0.05%             | 2030-09-02      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                     | Seasoned Credit Risk Transfer Trust Series 2018-3                                                             | CUSIP: 35563PGG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    331330 | PA      | $318059.48    | 0.03%             | 2057-08-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                    | Citigroup Commercial Mortgage Trust 2016-C3                                                                   | CUSIP: 17325GAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    766000 | PA      | $662139.82    | 0.07%             | 2049-11-15      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS                                  | Duke Energy Carolinas LLC                                                                                     | CUSIP: 26442CAM6<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |    765000 | PA      | $694896.92    | 0.07%             | 2041-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                           | CSMC 2021-RPL4 Trust                                                                                          | CUSIP: 12662GAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    523624 | PA      | $471337.29    | 0.05%             | 2060-12-27      | Variable      | 1.80%                 | No            |                  2 | On Loan: No      |
| Tullow Oil PLC                                         | Tullow Oil PLC                                                                                                | CUSIP: 899415AE3<br>LEI: 2138003EYHWO75RKS857 | Long             | DBT              | CORP              | GB        |    600000 | PA      | $426460.60    | 0.04%             | 2025-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Vericrest Opportunity Loan Transferee                  | VOLT XCIX LLC                                                                                                 | CUSIP: 92872VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1148992 | PA      | $1043641.16   | 0.10%             | 2051-04-25      | Variable      | 2.12%                 | No            |                  2 | On Loan: No      |
| Alabama Power Co                                       | Alabama Power Co                                                                                              | CUSIP: 010392FL7<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |    333000 | PA      | $292542.09    | 0.03%             | 2044-08-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                                                             | CUSIP: 3136B9YL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    774977 | PA      | $74790.90     | 0.01%             | 2039-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WF-RBS Commercial Mortgage Trust                       | WFRBS Commercial Mortgage Trust 2014-C20                                                                      | CUSIP: 92890FAU0<br>LEI: 549300UVB571ELWL8972 | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $97768.94     | 0.01%             | 2047-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CSL FINANCE PLC                                        | CSL Finance PLC                                                                                               | CUSIP: 12661PAB5<br>LEI: 2549007CCNBNAF4HBC02 | Long             | DBT              | CORP              | GB        |    483000 | PA      | $466970.77    | 0.05%             | 2029-04-27      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| STEEL DYNAMICS INC                                     | Steel Dynamics Inc                                                                                            | CUSIP: 858119BP4<br>LEI: 549300HGGKEL4FYTTQ83 | Long             | DBT              | CORP              | US        |     45000 | PA      | $32695.14     | 0.00%             | 2050-10-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3140XGJS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1833520 | PA      | $1669800.01   | 0.17%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TRANSCONT GAS PIPE LINE                                | Transcontinental Gas Pipe Line Co LLC                                                                         | CUSIP: 893574AP8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    365000 | PA      | $328224.32    | 0.03%             | 2030-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                               | Charter Communications Operating LLC / Charter Communications Operating Capital                               | CUSIP: 161175BL7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    930000 | PA      | $789898.63    | 0.08%             | 2047-05-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                                                             | CUSIP: 3136ASMM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80585 | PA      | $75614.20     | 0.01%             | 2046-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                                                         | CUSIP: 3128MJ6A3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32030 | PA      | $32617.32     | 0.00%             | 2049-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                 | Verizon Communications Inc                                                                                    | CUSIP: 92343VFR0<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     12000 | PA      | $9643.37      | 0.00%             | 2031-01-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Inc                                 | UnitedHealth Group Inc                                                                                        | CUSIP: 91324PDK5<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     11000 | PA      | $10722.05     | 0.00%             | 2028-06-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| DISCOVERY COMMUNICATIONS                               | Discovery Communications LLC                                                                                  | CUSIP: 25470DBG3<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |    793000 | PA      | $668559.27    | 0.07%             | 2049-05-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                 | United States Treasury Note/Bond                                                                              | CUSIP: 912810QY7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5305000 | PA      | $4516295.68   | 0.45%             | 2042-11-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| SERVICE CORP INTL                                      | Service Corp International/US                                                                                 | CUSIP: 817565CE2<br>LEI: 549300RKVM2ME20JHZ15 | Long             | DBT              | CORP              | US        |   2781000 | PA      | $2663092.47   | 0.27%             | 2029-06-01      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                            | Legacy Mortgage Asset Trust 2021-GS2                                                                          | CUSIP: 52476DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    514816 | PA      | $438929.45    | 0.04%             | 2061-04-25      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                       | Freddie Mac Strips                                                                                            | CUSIP: 31325UD86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1425726 | PA      | $155865.82    | 0.02%             | 2033-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| State Board of Administration Finance Corp             | FLORIDA ST BRD OF ADMIN FIN CORP REVENUE                                                                      | CUSIP: 341271AD6<br>LEI: 549300S34SOJ0RULXM35 | Long             | DBT              | MUN               | US        |   1430000 | PA      | $1319994.96   | 0.13%             | 2025-07-01      | Fixed         | 1.26%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                 | Philip Morris International Inc                                                                               | CUSIP: 718172CW7<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    455000 | PA      | $474166.88    | 0.05%             | 2029-11-17      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                 | Santander Drive Auto Receivables Trust 2022-6                                                                 | CUSIP: 802918AD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    350000 | PA      | $347542.09    | 0.03%             | 2027-06-15      | Fixed         | 4.72%                 | No            |                  2 | On Loan: No      |
| Duke Energy Progress LLC                               | Duke Energy Progress LLC                                                                                      | CUSIP: 26442UAC8<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |    107000 | PA      | $86214.92     | 0.01%             | 2046-10-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                                                            | CUSIP: 3137F9DQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1310775 | PA      | $1124139.69   | 0.11%             | 2051-02-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| KAISER FOUNDATION HOSPIT                               | Kaiser Foundation Hospitals                                                                                   | CUSIP: 48305QAF0<br>LEI: DW4Z57L3G4IRMHYZYK62 | Long             | DBT              | CORP              | US        |      1000 | PA      | $769.12       | 0.00%             | 2041-06-01      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| Dominos Pizza Master Issuer LLC                        | Domino's Pizza Master Issuer LLC                                                                              | CUSIP: 25755TAL4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    407400 | PA      | $366798.11    | 0.04%             | 2049-10-25      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| Atlas Senior Loan Fund LTD                             | Atlas Senior Loan Fund IX Ltd                                                                                 | CUSIP: 04941VAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     51922 | PA      | $51663.39     | 0.01%             | 2028-04-20      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                 | United States Treasury Note/Bond                                                                              | CUSIP: 912810RG5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6010000 | PA      | $5615593.75   | 0.56%             | 2044-05-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY INDIANA LLC                                | Duke Energy Indiana LLC                                                                                       | CUSIP: 26443TAB2<br>LEI: 6URPHM2EAWGJ2C6ISB97 | Long             | DBT              | CORP              | US        |    921000 | PA      | $679479.18    | 0.07%             | 2049-10-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                                                            | CUSIP: 3137ABM24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4350 | PA      | $4096.02      | 0.00%             | 2041-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                         | Fannie Mae-Aces                                                                                               | CUSIP: 3136B75H0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2429219 | PA      | $27668.80     | 0.00%             | 2030-01-25      | Variable      | 0.31%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                      | EURO-BUND FUTURE MAR23                                                                                        | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |      -106 | NC      | $384180.87    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| COMCAST CORP                                           | Comcast Corp                                                                                                  | CUSIP: 20030NDQ1<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    100000 | PA      | $62206.17     | 0.01%             | 2062-08-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| EQUINOR ASA                                            | Equinor ASA                                                                                                   | CUSIP: 29446MAC6<br>LEI: OW6OFBNCKXC4US5C7523 | Long             | DBT              | CORP              | NO        |    175000 | PA      | $136342.22    | 0.01%             | 2049-11-18      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                 | United States Treasury Note/Bond                                                                              | CUSIP: 912810SS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12400000 | PA      | $7952468.69   | 0.80%             | 2050-11-15      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| Mill City Mortgage Trust                               | Mill City Mortgage Loan Trust 2017-3                                                                          | CUSIP: 59980CAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15885 | PA      | $15395.35     | 0.00%             | 2061-01-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| GOVT OF BERMUDA                                        | Bermuda Government International Bond                                                                         | CUSIP: 085209AG9<br>LEI: 549300FP5PUZXX9FVJ40 | Long             | DBT              | NUSS              | BM        |    455000 | PA      | $389025.00    | 0.04%             | 2030-08-20      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| GO DADDY OPCO/FINCO                                    | Go Daddy Operating Co LLC / GD Finance Co Inc                                                                 | CUSIP: 38016LAC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    775000 | PA      | $668437.50    | 0.07%             | 2029-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CROWN FINANCE US, INC.                                 | Crown Finance US, Inc. 2022 DIP Term Loan                                                                     | CUSIP: 22834KAL5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    139269 | PA      | $140301.06    | 0.01%             | 2023-09-07      | Variable      | 14.67%                | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                                                                      | CUSIP: 38375C5T3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1047174 | PA      | $214096.39    | 0.02%             | 2042-09-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                  | Wells Fargo & Co                                                                                              | CUSIP: 95000U2X0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    713000 | PA      | $696247.15    | 0.07%             | 2026-04-25      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                               | CUSIP: 3140FXGL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    841443 | PA      | $844739.48    | 0.08%             | 2051-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                           | UBS Group AG                                                                                                  | CUSIP: 902613AU2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    395000 | PA      | $399650.72    | 0.04%             | 2027-01-12      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| Venture CDO Ltd                                        | Venture 42 CLO Ltd                                                                                            | CUSIP: 923260AC7<br>LEI: 5493005OM8P21GK6YE73 | Long             | ABS-CBDO         | CORP              | KY        |   2270000 | PA      | $2198320.21   | 0.22%             | 2034-04-15      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                                                            | CUSIP: 36179VVX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1431138 | PA      | $1244672.52   | 0.12%             | 2050-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-02-27

**Name of Applicant:** Hartford Funds Exchange-Traded Trust

**Signature:** John Stanziani

**Name of Signer:** John Stanziani

**Title:** Assistant Treasurer