# EDGAR Filing Document

**Accession Number:** 0001426439
**File Stem:** 0001752724-23-069723
**Filing Date:** 2023-3
**Character Count:** 279415
**Document Hash:** 528bae522ae61e93b6bab78eaa7d0be8
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-069723.hdr.sgml**: 20230328

**ACCESSION NUMBER**: 0001752724-23-069723

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20230131

**FILED AS OF DATE**: 20230328

**DATE AS OF CHANGE**: 20230328

**PERIOD START**: 20230430

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** IndexIQ Active ETF Trust
- **CENTRAL INDEX KEY:** 0001426439
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0430

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22739
- **FILM NUMBER:** 23767961

**BUSINESS ADDRESS:**
- **STREET 1:** 51 MADISON AVENUE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10010
- **BUSINESS PHONE:** 888-474-7725

**MAIL ADDRESS:**
- **STREET 1:** 51 MADISON AVENUE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10010

## Series and Classes Contracts Data

### IQ MacKay ESG Core Plus Bond ETF (Series ID: S000071156)

| Class ID   | Class Name                       | Ticker Symbol   |
|:---|:---|:---|
| C000225893 | IQ MacKay ESG Core Plus Bond ETF | ESGB            |

## Nport-Ex

+for

Schedule of Investments ─ IQ MacKay ESG Core Plus Bond ETF

January 31, 2023 (unaudited)

---

| | | |
|:---|:---|:---|
|  | **Principal<br> Amount** | **Value** |
| **Long - Term Bonds 99.2%** | | |
| **Collateralized Mortgage Obligations — 8.6%** | **Collateralized Mortgage Obligations — 8.6%** | |
| **Mortgage Securities — 8.6%** |  |  |
| CHL Mortgage Pass-Through Trust 2005-9 |  |  |
| &nbsp;&nbsp;Series 2005-9 1A1, 5.106%, (1-Month LIBOR + 0.60%), due 5/25/35<sup>(a)</sup> | $47879 | $37138 |
| Connecticut Avenue Securities Trust 2019-HRP1 |  |  |
| &nbsp;&nbsp;Series 2019-HRP1 M2, 6.656%, (1-Month LIBOR + 2.15%), due 11/25/39<sup>(a)</sup> | 583950 | 579228 |
| Connecticut Avenue Securities Trust 2020-R02 |  |  |
| &nbsp;&nbsp;Series 2020-R02 2M2, 6.506%, (1-Month LIBOR + 2.00%), due 1/25/40<sup>(a)</sup> | 222091 | 221309 |
| Connecticut Avenue Securities Trust 2021-R01 |  |  |
| &nbsp;&nbsp;Series 2021-R01 1B1, 7.410%, (SOFR30A + 3.10%), due 10/25/41<sup>(a)</sup> | 300000 | 286968 |
| &nbsp;&nbsp;Series 2021-R01 1M2, 5.860%, (SOFR30A + 1.55%), due 10/25/41<sup>(a)</sup> | 409445 | 403196 |
| Connecticut Avenue Securities Trust 2022-R04 |  |  |
| &nbsp;&nbsp;Series 2022-R04 1M2, 7.410%, (SOFR30A + 3.10%), due 3/25/42<sup>(a)</sup> | 95000 | 95354 |
| Fannie Mae Connecticut Avenue Securities |  |  |
| &nbsp;&nbsp;Series 2016-C01 1M2, 11.256%, (1-Month LIBOR + 6.75%), due 8/25/28<sup>(a)</sup> | 49313 | 52605 |
| &nbsp;&nbsp;Series 2017-C01 1B1, 10.256%, (1-Month LIBOR + 5.75%), due 7/25/29<sup>(a)</sup> | 135000 | 147890 |
| &nbsp;&nbsp;Series 2017-C02 2M2C, 8.156%, (1-Month LIBOR + 3.65%), due 9/25/29<sup>(a)</sup> | 245000 | 253404 |
| &nbsp;&nbsp;Series 2017-C03 1B1, 9.356%, (1-Month LIBOR + 4.85%), due 10/25/29<sup>(a)</sup> | 510000 | 543543 |
| &nbsp;&nbsp;Series 2017-C05 1B1, 8.106%, (1-Month LIBOR + 3.60%), due 1/25/30<sup>(a)</sup> | 375000 | 383959 |
| &nbsp;&nbsp;Series 2017-C07 1B1, 8.506%, (1-Month LIBOR + 4.00%), due 5/25/30<sup>(a)</sup> | 560000 | 579586 |
| &nbsp;&nbsp;Series 2018-C01 1B1, 8.056%, (1-Month LIBOR + 3.55%), due 7/25/30<sup>(a)</sup> | 1240000 | 1272035 |
| &nbsp;&nbsp;Series 2018-C05 1B1, 8.756%, (1-Month LIBOR + 4.25%), due 1/25/31<sup>(a)</sup> | 625000 | 646861 |
| &nbsp;&nbsp;Series 2021-R02 2M2, 6.310%, (SOFR30A + 2.00%), due 11/25/41<sup>(a)</sup> | 203045 | 192141 |
| Fannie Mae Interest Strip |  |  |
| &nbsp;&nbsp;Series 2022-427 C77, 2.500%, due 9/25/51<sup>(b)</sup> | 2162484 | 316817 |
| Freddie Mac STACR Remic Trust 2020-DNA2 |  |  |
| &nbsp;&nbsp;Series 2020-DNA2 B1, 7.006%, (1-Month LIBOR + 2.50%), due 2/25/50<sup>(a)</sup> | 610000 | 583351 |
| &nbsp;&nbsp;Series 2020-DNA2 M2, 6.356%, (1-Month LIBOR + 1.85%), due 2/25/50<sup>(a)</sup> | 52598 | 52486 |
| Freddie Mac STACR REMIC Trust 2020-DNA6 |  |  |
| &nbsp;&nbsp;Series 2020-DNA6 B1, 7.310%, (SOFR30A + 3.00%), due 12/25/50<sup>(a)</sup> | 425000 | 409221 |
| Freddie Mac STACR REMIC Trust 2021-DNA5 |  |  |
| &nbsp;&nbsp;Series 2021-DNA5 B1, 7.360%, (SOFR30A + 3.05%), due 1/25/34<sup>(a)</sup> | 785000 | 747734 |
| &nbsp;&nbsp;Series 2021-DNA5 M2, 5.960%, (SOFR30A + 1.65%), due 1/25/34<sup>(a)</sup> | 45111 | 44633 |
| Freddie Mac STACR REMIC Trust 2021-DNA6 |  |  |
| &nbsp;&nbsp;Series 2021-DNA6 B1, 7.710%, (SOFR30A + 3.40%), due 10/25/41<sup>(a)</sup> | 425000 | 405875 |
| Freddie Mac STACR REMIC Trust 2021-HQA1 |  |  |
| &nbsp;&nbsp;Series 2021-HQA1 B1, 7.310%, (SOFR30A + 3.00%), due 8/25/33<sup>(a)</sup> | 980000 | 847837 |
| &nbsp;&nbsp;Series 2021-HQA1 M2, 6.560%, (SOFR30A + 2.25%), due 8/25/33<sup>(a)</sup> | 795000 | 772993 |
| Freddie Mac STACR REMIC Trust 2021-HQA2 |  |  |
| &nbsp;&nbsp;Series 2021-HQA2 B1, 7.460%, (SOFR30A + 3.15%), due 12/25/33<sup>(a)</sup> | 630000 | 546525 |
| &nbsp;&nbsp;Series 2021-HQA2 M2, 6.360%, (SOFR30A + 2.05%), due 12/25/33<sup>(a)</sup> | 575000 | 549865 |
| Freddie Mac STACR REMIC Trust 2021-HQA3 |  |  |
| &nbsp;&nbsp;Series 2021-HQA3 B1, 7.660%, (SOFR30A + 3.35%), due 9/25/41<sup>(a)</sup> | 945000 | 849544 |
| Freddie Mac STACR REMIC Trust 2022-DNA1 |  |  |
| &nbsp;&nbsp;Series 2022-DNA1 B1, 7.710%, (SOFR30A + 3.40%), due 1/25/42<sup>(a)</sup> | 410000 | 384430 |
| &nbsp;&nbsp;Series 2022-DNA1 M1B, 6.160%, (SOFR30A + 1.85%), due 1/25/42<sup>(a)</sup> | 155000 | 150122 |
| Freddie Mac STACR REMIC Trust 2022-DNA2 |  |  |
| &nbsp;&nbsp;Series 2022-DNA2 M1B, 6.710%, (SOFR30A + 2.40%), due 2/25/42<sup>(a)</sup> | 425000 | 417328 |
| Freddie Mac STACR REMIC Trust 2022-DNA3 |  |  |
| &nbsp;&nbsp;Series 2022-DNA3 M1B, 7.210%, (SOFR30A + 2.90%), due 4/25/42<sup>(a)</sup> | 870000 | 872843 |
| Freddie Mac STACR Trust 2018-DNA2 |  |  |
| &nbsp;&nbsp;Series 2018-DNA2 B1, 8.206%, (1-Month LIBOR + 3.70%), due 12/25/30<sup>(a)</sup> | 585000 | 597175 |
| Freddie Mac STACR Trust 2019-DNA1 |  |  |
| &nbsp;&nbsp;Series 2019-DNA1 B1, 9.156%, (1-Month LIBOR + 4.65%), due 1/25/49<sup>(a)</sup> | 595000 | 631431 |
| Freddie Mac STACR Trust 2019-DNA2 |  |  |
| &nbsp;&nbsp;Series 2019-DNA2 B1, 8.856%, (1-Month LIBOR + 4.35%), due 3/25/49<sup>(a)</sup> | 755000 | 788809 |
| Freddie Mac Structured Agency Credit Risk Debt Notes |  |  |
| &nbsp;&nbsp;Series 2018-DNA1 B1, 7.656%, (1-Month LIBOR + 3.15%), due 7/25/30<sup>(a)</sup> | 505000 | 508170 |
| &nbsp;&nbsp;Series 2018-HQA1 M2, 6.806%, (1-Month LIBOR + 2.30%), due 9/25/30<sup>(a)</sup> | 384305 | 387184 |
| &nbsp;&nbsp;Series 2021-DNA2 B1, 7.710%, (SOFR30A + 3.40%), due 8/25/33<sup>(a)</sup> | 435000 | 414368 |
| &nbsp;&nbsp;Series 2021-DNA2 M2, 6.610%, (SOFR30A + 2.30%), due 8/25/33<sup>(a)</sup> | 455000 | 456993 |
| Government National Mortgage Association |  |  |
| &nbsp;&nbsp;Series 2020-34 SC, 1.564%, (1-Month LIBOR + 6.05%), due 3/20/50<sup>(a)(b)</sup> | 1142083 | 123725 |
| &nbsp;&nbsp;Series 2020-97 HB, 1.000%, due 7/20/50 | 336173 | 262829 |
| &nbsp;&nbsp;Series 2021-122 HS, 1.814%, (1-Month LIBOR + 6.30%), due 7/20/51<sup>(a)(b)</sup> | 1035904 | 142666 |
| &nbsp;&nbsp;Series 2022-83 IO, 2.500%, due 11/20/51<sup>(b)</sup> | 1013202 | 134833 |
| &nbsp;&nbsp;Series 2023-1 HD, 3.500%, due 1/20/52 | 1015000 | 950377 |
| &nbsp;&nbsp;Series 2023-1 MA, 3.500%, due 5/20/50 | 845000 | 801858 |

---

Schedule of Investments ─ IQ MacKay ESG Core Plus Bond ETF (continued)

January 31, 2023 (unaudited)

---

| | | |
|:---|:---|:---|
|  | **Principal<br> Amount** | **Value** |
| **Collateralized Mortgage Obligations (continued)** |  |  |
| **Mortgage Securities (continued)** |  |  |
| HarborView Mortgage Loan Trust 2005-2 |  |  |
| &nbsp;&nbsp;Series 2005-2 2A1A, 4.910%, (1-Month LIBOR + 0.44%), due 5/19/35<sup>(a)</sup> | $68391 | $62695 |
| Master Alternative Loan Trust 2005-5 |  |  |
| &nbsp;&nbsp;Series 2005-5 3A1, 5.750%, due 8/25/35 | 535292 | 288746 |
| NewRez Warehouse Securitization Trust 2021-1 |  |  |
| &nbsp;&nbsp;Series 2021-1 A, 5.256%, (1-Month LIBOR + 0.75%), due 5/25/55<sup>(a)</sup> | 450000 | 444233 |
| OBX 2019-INV2 Trust |  |  |
| &nbsp;&nbsp;Series 2019-INV2 A5, 4.000%, due 5/27/49<sup>(a),(c)</sup> | 352328 | 336107 |
| OBX 2022-J1 Trust |  |  |
| &nbsp;&nbsp;Series 2022-J1 A14, 2.500%, due 2/25/52<sup>(a),(c)</sup> | 246580 | 198449 |
| STACR Trust 2018-HRP2 |  |  |
| &nbsp;&nbsp;Series 2018-HRP2 B1, 8.706%, (1-Month LIBOR + 4.20%), due 2/25/47<sup>(a)</sup> | 560000 | 578823 |
| &nbsp;&nbsp;Series 2018-HRP2 M3, 6.906%, (1-Month LIBOR + 2.40%), due 2/25/47<sup>(a)</sup> | 160390 | 161191 |
| WaMu Mortgage Pass-Through Certificates Series 2004-AR13 Trust |  |  |
| &nbsp;&nbsp;Series 2004-AR13 A2B, 5.386%, (1-Month LIBOR + 0.88%), due 11/25/34<sup>(a)</sup> | 57001 | 51697 |
| WaMu Mortgage Pass-Through Certificates Series 2006-AR9 Trust |  |  |
| &nbsp;&nbsp;Series 2006-AR9 2A, 3.475%, (12MTA + 1.05%), due 8/25/46<sup>(a)</sup> | 63934 | 51775 |
|  |  | 22020955 |
| **Total Collateralized Mortgage Obligations** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**(Cost $21,761,125)** |  | **22020955** |
| **Commercial Asset-Backed Securities — 8.0%** |  |  |
| **Asset Backed Securities — 8.0%** |  |  |
| American Credit Acceptance Receivables Trust 2021-2 |  |  |
| &nbsp;&nbsp;Series 2021-2 D, 1.340%, due 7/13/27 | 615000 | 575912 |
| American Credit Acceptance Receivables Trust 2021-3 |  |  |
| &nbsp;&nbsp;Series 2021-3 D, 1.340%, due 11/15/27 | 75000 | 70532 |
| American Credit Acceptance Receivables Trust 2022-1 |  |  |
| &nbsp;&nbsp;Series 2022-1 D, 2.460%, due 3/13/28 | 660000 | 612420 |
| AMSR 2020-SFR1 Trust |  |  |
| &nbsp;&nbsp;Series 2020-SFR1 A, 1.819%, due 4/17/37 | 579444 | 538491 |
| AMSR 2020-SFR3 Trust |  |  |
| &nbsp;&nbsp;Series 2020-SFR3 B, 1.806%, due 9/17/37 | 660000 | 598993 |
| AMSR 2020-SFR4 Trust |  |  |
| &nbsp;&nbsp;Series 2020-SFR4 A, 1.355%, due 11/17/37 | 690000 | 627285 |
| Avis Budget Rental Car Funding AESOP LLC |  |  |
| &nbsp;&nbsp;Series 2020-2A A, 2.020%, due 2/20/27 | 500000 | 457065 |
| &nbsp;&nbsp;Series 2021-1A A, 1.380%, due 8/20/27 | 100000 | 88749 |
| &nbsp;&nbsp;Series 2021-1A B, 1.630%, due 8/20/27 | 315000 | 273797 |
| CarMax Auto Owner Trust 2021-4 |  |  |
| &nbsp;&nbsp;Series 2021-4 A4, 0.820%, due 4/15/27 | 330000 | 297915 |
| Carmax Auto Owner Trust 2022-3 |  |  |
| &nbsp;&nbsp;Series 2022-3 A3, 3.970%, due 4/15/27 | 550000 | 542349 |
| CF Hippolyta Issuer LLC |  |  |
| &nbsp;&nbsp;Series 2020-1 A2, 1.990%, due 7/15/60 | 551469 | 468792 |
| &nbsp;&nbsp;Series 2020-1 B1, 2.280%, due 7/15/60 | 848356 | 754780 |
| &nbsp;&nbsp;Series 2020-1 B2, 2.600%, due 7/15/60 | 514429 | 431031 |
| &nbsp;&nbsp;Series 2021-1A A1, 1.530%, due 3/15/61 | 255325 | 225037 |
| &nbsp;&nbsp;Series 2021-1A B1, 1.980%, due 3/15/61 | 269510 | 231572 |
| CPS Auto Receivables Trust 2019-C |  |  |
| &nbsp;&nbsp;Series 2019-C E, 4.300%, due 7/15/25 | 500000 | 495225 |
| CPS Auto Receivables Trust 2020-B |  |  |
| &nbsp;&nbsp;Series 2020-B E, 7.380%, due 6/15/27 | 500000 | 504852 |
| CPS Auto Receivables Trust 2021-C |  |  |
| &nbsp;&nbsp;Series 2021-C E, 3.210%, due 9/15/28 | 410000 | 356993 |
| DB Master Finance LLC |  |  |
| &nbsp;&nbsp;Series 2019-1A A23, 4.352%, due 5/20/49 | 111263 | 106236 |
| Drive Auto Receivables Trust 2021-1 |  |  |
| &nbsp;&nbsp;Series 2021-1 D, 1.450%, due 1/16/29 | 475000 | 447338 |
| Drive Auto Receivables Trust 2021-2 |  |  |
| &nbsp;&nbsp;Series 2021-2 D, 1.390%, due 3/15/29 | 85000 | 79527 |
| Enterprise Fleet Financing 2022-2 LLC |  |  |
| &nbsp;&nbsp;Series 2022-2 A3, 4.790%, due 5/21/29 | 465000 | 464708 |
| Exeter Automobile Receivables Trust 2021-3 |  |  |
| &nbsp;&nbsp;Series 2021-3A D, 1.550%, due 6/15/27 | 555000 | 508057 |
| FirstKey Homes 2020-SFR1 Trust |  |  |
| &nbsp;&nbsp;Series 2020-SFR1 A, 1.339%, due 8/17/37 | 537596 | 490834 |
| FirstKey Homes 2020-SFR2 Trust |  |  |
| &nbsp;&nbsp;Series 2020-SFR2 A, 1.266%, due 10/19/37 | 247048 | 224549 |
| FirstKey Homes 2021-SFR1 Trust |  |  |
| &nbsp;&nbsp;Series 2021-SFR1 B, 1.788%, due 8/17/38 | 100000 | 88785 |
| FirstKey Homes 2021-SFR2 Trust |  |  |
| &nbsp;&nbsp;Series 2021-SFR2 B, 1.607%, due 9/17/38 | 100000 | 88169 |
| Flagship Credit Auto Trust 2020-4 |  |  |
| &nbsp;&nbsp;Series 2020-4 C, 1.280%, due 2/16/27 | 100000 | 95766 |
| Flagship Credit Auto Trust 2021-2 |  |  |
| &nbsp;&nbsp;Series 2021-2 C, 1.270%, due 6/15/27 | 285000 | 266226 |
| Ford Credit Auto Owner Trust 2020-REV2 |  |  |
| &nbsp;&nbsp;Series 2020-2 A, 1.060%, due 4/15/33 | 100000 | 90862 |
| Ford Credit Floorplan Master Owner Trust A |  |  |
| &nbsp;&nbsp;Series 2018-4 A, 4.060%, due 11/15/30 | 560000 | 544274 |
| Gls Auto Receivables Issuer Trust 2019-3 |  |  |
| &nbsp;&nbsp;Series 2019-3A D, 3.840%, due 5/15/26 | 390000 | 380837 |
| Gls Auto Receivables Issuer Trust 2019-4 |  |  |
| &nbsp;&nbsp;Series 2019-4A D, 4.090%, due 8/17/26 | 530000 | 515063 |
| Gls Auto Receivables Issuer Trust 2020-1 |  |  |
| &nbsp;&nbsp;Series 2020-1A D, 3.680%, due 11/16/26 | 350000 | 336476 |
| GLS Auto Receivables Issuer Trust 2021-2 |  |  |
| &nbsp;&nbsp;Series 2021-2A D, 1.420%, due 4/15/27 | 430000 | 396384 |
| GLS Auto Receivables Issuer Trust 2021-3 |  |  |
| &nbsp;&nbsp;Series 2021-3A D, 1.480%, due 7/15/27 | 615000 | 558410 |
| GLS Auto Receivables Issuer Trust 2021-4 |  |  |
| &nbsp;&nbsp;Series 2021-4A C, 1.940%, due 10/15/27 | 550000 | 513335 |
| Hertz Vehicle Financing III LP |  |  |
| &nbsp;&nbsp;Series 2021-2A A, 1.680%, due 12/27/27 | 500000 | 442219 |
| &nbsp;&nbsp;Series 2021-2A B, 2.120%, due 12/27/27 | 205000 | 180282 |
| Hertz Vehicle Financing LLC |  |  |
| &nbsp;&nbsp;Series 2021-1A C, 2.050%, due 12/26/25 | 650000 | 597036 |
| Home Partners of America 2019-1 Trust |  |  |
| &nbsp;&nbsp;Series 2019-1 A, 2.908%, due 9/17/39 | 400185 | 367442 |
| Home Partners of America 2021-2 Trust |  |  |
| &nbsp;&nbsp;Series 2021-2 B, 2.302%, due 12/17/26 | 97058 | 84828 |

---

Schedule of Investments ─ IQ MacKay ESG Core Plus Bond ETF (continued)

January 31, 2023 (unaudited)

---

| | | |
|:---|:---|:---|
|  | **Principal<br> Amount** | **Value** |
| **Commercial Asset-Backed Securities (continued)** |  |  |
| **Asset Backed Securities (continued)** |  |  |
| Hyundai Auto Receivables Trust 2021-A |  |  |
| &nbsp;&nbsp;Series 2021-A C, 1.330%, due 11/15/27 | $540000 | $487834 |
| Mosaic Solar Loan Trust 2020-1 |  |  |
| &nbsp;&nbsp;Series 2020-1A A, 2.100%, due 4/20/46 | 858832 | 754319 |
| Navient Private Education Refi Loan Trust 2021-A |  |  |
| &nbsp;&nbsp;Series 2021-A B, 2.240%, due 5/15/69 | 100000 | 73441 |
| Navient Private Education Refi Loan Trust 2021-E |  |  |
| &nbsp;&nbsp;Series 2021-EA B, 2.030%, due 12/16/69 | 100000 | 67988 |
| New Economy Assets Phase 1 Sponsor LLC |  |  |
| &nbsp;&nbsp;Series 2021-1 A1, 1.910%, due 10/20/61 | 550000 | 478977 |
| PFS Financing Corp. |  |  |
| &nbsp;&nbsp;Series 2022-D A, 4.270%, due 8/15/27 | 335000 | 331404 |
| Progress Residential 2020-SFR3 Trust |  |  |
| &nbsp;&nbsp;Series 2020-SFR3 A, 1.294%, due 10/17/27 | 99588 | 90383 |
| Progress Residential 2022-SFR6 Trust |  |  |
| &nbsp;&nbsp;Series 2022-SFR6 A, 4.451%, due 7/20/39 | 335000 | 328852 |
| Santander Drive Auto Receivables Trust 2021-3 |  |  |
| &nbsp;&nbsp;Series 2021-3 D, 1.330%, due 9/15/27 | 555000 | 520335 |
| Santander Drive Auto Receivables Trust 2022-2 |  |  |
| &nbsp;&nbsp;Series 2022-2 B, 3.440%, due 9/15/27 | 440000 | 427954 |
| Santander Revolving Auto Loan Trust 2019-A |  |  |
| &nbsp;&nbsp;Series 2019-A A, 2.510%, due 1/26/32 | 550000 | 525131 |
| Taco Bell Funding LLC |  |  |
| &nbsp;&nbsp;Series 2021-1A A23, 2.542%, due 8/25/51 | 287100 | 231757 |
| Tricon American Homes 2020-SFR1 |  |  |
| &nbsp;&nbsp;Series 2020-SFR1 A, 1.499%, due 7/17/38 | 269450 | 241677 |
|  |  | 20579485 |
| **Total Commercial Asset-Backed Securities** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**(Cost $21,179,250)** |  | **20579485** |
| **Commercial Mortgage-Backed Securities — 7.3%** |  |  |
| **Mortgage Securities — 7.3%** |  |  |
| Arbor Multifamily Mortgage Securities Trust 2021-MF2 |  |  |
| &nbsp;&nbsp;Series 2021-MF2 A5, 2.513%, due 6/15/54 | 100000 | 84033 |
| Arbor Multifamily Mortgage Securities Trust 2021-MF3 |  |  |
| &nbsp;&nbsp;Series 2021-MF3 A5, 2.575%, due 10/15/54 | 100000 | 84051 |
| BAMLL Commercial Mortgage Securities Trust 2022-DKLX |  |  |
| &nbsp;&nbsp;Series 2022-DKLX D, 7.479%, (TSFR1M + 3.00%), due 1/15/39<sup>(a)</sup> | 100000 | 95066 |
| &nbsp;&nbsp;Series 2022-DKLX E, 8.606%, (TSFR1M + 4.13%), due 1/15/39<sup>(a)</sup> | 305000 | 289269 |
| Bayview Commercial Asset Trust 2006-4 |  |  |
| &nbsp;&nbsp;Series 2006-4A A1, 4.851%, (1-Month LIBOR + 0.35%), due 12/25/36<sup>(a)</sup> | 59741 | 55716 |
| BOCA Commercial Mortgage Trust 2022-BOCA |  |  |
| &nbsp;&nbsp;Series 2022-BOCA A, 6.248%, (TSFR1M + 1.77%), due 5/15/39<sup>(a)</sup> | 370000 | 366087 |
| BX 2021-MFM1 |  |  |
| &nbsp;&nbsp;Series 2021-MFM1 A, 5.159%, (1-Month LIBOR + 0.70%), due 1/15/34<sup>(a)</sup> | 630000 | 616981 |
| BX Commercial Mortgage Trust 2021-ACNT |  |  |
| &nbsp;&nbsp;Series 2021-ACNT B, 5.710%, (1-Month LIBOR + 1.25%), due 11/15/38<sup>(a)</sup> | 360000 | 350651 |
| &nbsp;&nbsp;Series 2021-ACNT D, 6.310%, (1-Month LIBOR + 1.85%), due 11/15/38<sup>(a)</sup> | 740000 | 716038 |
| BX Commercial Mortgage Trust 2021-VOLT |  |  |
| &nbsp;&nbsp;Series 2021-VOLT C, 5.559%, (1-Month LIBOR + 1.10%), due 9/15/36<sup>(a)</sup> | 295000 | 282908 |
| &nbsp;&nbsp;Series 2021-VOLT D, 6.109%, (1-Month LIBOR + 1.65%), due 9/15/36<sup>(a)</sup> | 260000 | 249831 |
| &nbsp;&nbsp;Series 2021-VOLT E, 6.459%, (1-Month LIBOR + 2.00%), due 9/15/36<sup>(a)</sup> | 200000 | 192240 |
| BX Trust 2018-BILT |  |  |
| &nbsp;&nbsp;Series 2018-BILT A, 5.259%, (1-Month LIBOR + 0.80%), due 5/15/30<sup>(a)</sup> | 630000 | 618930 |
| BX Trust 2021-ARIA |  |  |
| &nbsp;&nbsp;Series 2021-ARIA E, 6.704%, (1-Month LIBOR + 2.24%), due 10/15/36<sup>(a)</sup> | 320000 | 298375 |
| BX Trust 2021-LBA |  |  |
| &nbsp;&nbsp;Series 2021-LBA AJV, 5.260%, (1-Month LIBOR + 0.80%), due 2/15/36<sup>(a)</sup> | 160000 | 154851 |
| BX Trust 2021-RISE |  |  |
| &nbsp;&nbsp;Series 2021-RISE B, 5.709%, (1-Month LIBOR + 1.25%), due 11/15/36<sup>(a)</sup> | 320000 | 314498 |
| &nbsp;&nbsp;Series 2021-RISE C, 5.909%, (1-Month LIBOR + 1.45%), due 11/15/36<sup>(a)</sup> | 342000 | 329921 |
| BX Trust 2022-PSB |  |  |
| &nbsp;&nbsp;Series 2022-PSB D, 9.171%, (TSFR1M + 4.69%), due 8/15/39<sup>(a)</sup> | 158170 | 158961 |
| Bx Trust 2023-Life |  |  |
| &nbsp;&nbsp;Series 2023-LIFE A, 5.045%, due 2/15/28 | 255000 | 255000 |
| &nbsp;&nbsp;Series 2023-LIFE B, 5.391%, due 2/15/28 | 260000 | 260000 |
| BXHPP Trust 2021-FILM |  |  |
| &nbsp;&nbsp;Series 2021-FILM B, 5.359%, (1-Month LIBOR + 0.90%), due 8/15/36<sup>(a)</sup> | 615000 | 574203 |
| &nbsp;&nbsp;Series 2021-FILM C, 5.559%, (1-Month LIBOR + 1.10%), due 8/15/36<sup>(a)</sup> | 345000 | 319591 |
| Citigroup Commercial Mortgage Trust 2013-Gc17 |  |  |
| &nbsp;&nbsp;Series 2013-GC17 A4, 4.131%, due 11/10/46 | 428000 | 422475 |
| Citigroup Commercial Mortgage Trust 2015-GC35 |  |  |
| &nbsp;&nbsp;Series 2015-GC35 AS, 4.072%, due 11/10/48<sup>(a),(c)</sup> | 395000 | 371117 |
| COMM 2012-CCRE4 Mortgage Trust |  |  |
| &nbsp;&nbsp;Series 2012-CR4 AM, 3.251%, due 10/15/45 | 185000 | 170200 |
| COMM 2020-SBX Mortgage Trust |  |  |
| &nbsp;&nbsp;Series 2020-SBX A, 1.670%, due 1/10/38 | 545000 | 489751 |
| CSAIL 2015-C3 Commercial Mortgage Trust |  |  |
| &nbsp;&nbsp;Series 2015-C3 A4, 3.718%, due 8/15/48 | 100000 | 96615 |
| CSMC 2020-WEST Trust |  |  |
| &nbsp;&nbsp;Series 2020-WEST A, 3.040%, due 2/15/35 | 800000 | 649633 |
| DROP Mortgage Trust 2021-FILE |  |  |
| &nbsp;&nbsp;Series 2021-FILE A, 5.610%, (1-Month LIBOR + 1.15%), due 10/15/43<sup>(a)</sup> | 425000 | 406906 |

---

Schedule of Investments ─ IQ MacKay ESG Core Plus Bond ETF (continued)

January 31, 2023 (unaudited)

---

| | | |
|:---|:---|:---|
|  | **Principal<br> Amount** | **Value** |
| **Commercial Mortgage-Backed Securities (continued)** |  |  |
| **Mortgage Securities (continued)** |  |  |
| Extended Stay America Trust 2021-ESH |  |  |
| &nbsp;&nbsp;Series 2021-ESH B, 5.839%, (1-Month LIBOR + 1.38%), due 7/15/38<sup>(a)</sup> | $302620 | $295800 |
| &nbsp;&nbsp;Series 2021-ESH D, 6.709%, (1-Month LIBOR + 2.25%), due 7/15/38<sup>(a)</sup> | 292858 | 285342 |
| Fremf 2016-K55 Mortgage Trust |  |  |
| &nbsp;&nbsp;Series 2016-K55 B, 4.167%, due 4/25/49<sup>(a),(c)</sup> | 150000 | 144890 |
| Fremf 2016-K58 Mortgage Trust |  |  |
| &nbsp;&nbsp;Series 2016-K58 C, 3.738%, due 9/25/49<sup>(a),(c)</sup> | 200000 | 187478 |
| FREMF 2017-K71 Mortgage Trust |  |  |
| &nbsp;&nbsp;Series 2017-K71 B, 3.752%, due 11/25/50<sup>(a),(c)</sup> | 505000 | 473476 |
| Fremf 2018-K84 Mortgage Trust |  |  |
| &nbsp;&nbsp;Series 2018-K84 C, 4.185%, due 10/25/28<sup>(a),(c)</sup> | 200000 | 186844 |
| Fremf 2019-K97 Mortgage Trust |  |  |
| &nbsp;&nbsp;Series 2019-K97 B, 3.767%, due 9/25/51<sup>(a),(c)</sup> | 315000 | 290093 |
| FREMF 2019-K99 Mortgage Trust |  |  |
| &nbsp;&nbsp;Series 2019-K99 B, 3.645%, due 10/25/52<sup>(a),(c)</sup> | 200000 | 181996 |
| Hawaii Hotel Trust 2019-MAUI |  |  |
| &nbsp;&nbsp;Series 2019-MAUI A, 5.609%, (1-Month LIBOR + 1.15%), due 5/15/38<sup>(a)</sup> | 240000 | 235790 |
| Hudson Yards 2019-30HY Mortgage Trust |  |  |
| &nbsp;&nbsp;Series 2019-30HY A, 3.228%, due 7/10/39 | 615000 | 552248 |
| J.P. Morgan Chase Commercial Mortgage Securities Trust 2019-OSB |  |  |
| &nbsp;&nbsp;Series 2019-OSB A, 3.397%, due 6/5/39 | 775000 | 692903 |
| J.P. Morgan Chase Commercial Mortgage Securities Trust 2021-2NU |  |  |
| &nbsp;&nbsp;Series 2021-2NU A, 1.974%, due 1/5/40 | 400000 | 329319 |
| Manhattan West 2020-1MW Mortgage Trust |  |  |
| &nbsp;&nbsp;Series 2020-1MW A, 2.130%, due 9/10/39 | 400000 | 351071 |
| &nbsp;&nbsp;Series 2020-1MW D, 2.335%, due 9/10/39<sup>(a),(c)</sup> | 260000 | 214304 |
| Multifamily Connecticut Avenue Securities Trust 2019-01 |  |  |
| &nbsp;&nbsp;Series 2019-01 M10, 7.756%, (1-Month LIBOR + 3.25%), due 10/25/49<sup>(a)</sup> | 867596 | 821195 |
| Multifamily Connecticut Avenue Securities Trust 2020-01 |  |  |
| &nbsp;&nbsp;Series 2020-01 M10, 8.256%, (1-Month LIBOR + 3.75%), due 3/25/50<sup>(a)</sup> | 385000 | 363341 |
| One Bryant Park Trust 2019-OBP |  |  |
| &nbsp;&nbsp;Series 2019-OBP A, 2.516%, due 9/15/54 | 1180000 | 999886 |
| SLG Office Trust 2021-OVA |  |  |
| &nbsp;&nbsp;Series 2021-OVA A, 2.585%, due 7/15/41 | 1689000 | 1412152 |
| UBS-Barclays Commercial Mortgage Trust 2013-C6 |  |  |
| &nbsp;&nbsp;Series 2013-C6 B, 3.875%, due 4/10/46<sup>(a),(c)</sup> | 695000 | 687309 |
| Wells Fargo Commercial Mortgage Trust 2015-NXS4 |  |  |
| &nbsp;&nbsp;Series 2015-NXS4 A4, 3.718%, due 12/15/48 | 100000 | 96650 |
| Wells Fargo Commercial Mortgage Trust 2018-AUS |  |  |
| &nbsp;&nbsp;Series 2018-AUS A, 4.058%, due 8/17/36<sup>(a),(c)</sup> | 100000 | 91356 |
| WFRBS Commercial Mortgage Trust 2014-C21 |  |  |
| &nbsp;&nbsp;Series 2014-C21 AS, 3.891%, due 8/15/47 | 500000 | 480648 |
|  |  | 18647989 |
| **Total Commercial Mortgage-Backed Securities** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**(Cost $18,964,271)** |  | **18647989** |
| **Corporate Bonds — 27.9%** |  |  |
| **Airlines — 1.2%** |  |  |
| American Airlines 2019-1 Class B Pass Through Trust |  |  |
| &nbsp;&nbsp;Series 2019-1B, 3.850%, due 2/15/28 | 373640 | 330523 |
| American Airlines 2021-1 Class B Pass Through Trust |  |  |
| &nbsp;&nbsp;Series 2021-1B, 3.950%, due 7/11/30 | 281725 | 237307 |
| Delta Air Lines Inc / SkyMiles IP Ltd. |  |  |
| &nbsp;&nbsp;4.500%, due 10/20/25 | 325001 | 321121 |
| &nbsp;&nbsp;4.750%, due 10/20/28 | 610000 | 594330 |
| JetBlue 2019-1 Class AA Pass Through Trust |  |  |
| &nbsp;&nbsp;Series 2019-1, AA2.750%, due 5/15/32 | 839902 | 704586 |
| Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd. |  |  |
| &nbsp;&nbsp;6.500%, due 6/20/27 | 436500 | 441000 |
| United Airlines 2020-1 Class A Pass-Through Trust |  |  |
| &nbsp;&nbsp;Series 2020-1, 5.875%, due 10/15/27 | 403675 | 408473 |
|  |  | 3037340 |
| **Auto Manufacturers — 2.1%** |  |  |
| American Honda Finance Corp. |  |  |
| &nbsp;&nbsp;4.700%, due 1/12/28 | 1175000 | 1186548 |
| Ford Motor Co. |  |  |
| &nbsp;&nbsp;4.750%, due 1/15/43 | 45000 | 35128 |
| Ford Motor Credit Co. LLC |  |  |
| &nbsp;&nbsp;4.125%, due 8/17/27 | 1190000 | 1097513 |
| &nbsp;&nbsp;6.950%, due 3/6/26 | 435000 | 444822 |
| General Motors Co. |  |  |
| &nbsp;&nbsp;5.200%, due 4/1/45 | 205000 | 179071 |
| &nbsp;&nbsp;5.600%, due 10/15/32 | 165000 | 163004 |
| General Motors Financial Co., Inc. |  |  |
| &nbsp;&nbsp;2.350%, due 1/8/31 | 640000 | 511297 |
| &nbsp;&nbsp;4.300%, due 4/6/29 | 475000 | 444123 |
| Nissan Motor Acceptance Co. LLC |  |  |
| &nbsp;&nbsp;1.125%, due 9/16/24 | 340000 | 315184 |
| &nbsp;&nbsp;1.850%, due 9/16/26 | 995000 | 859464 |
|  |  | 5236154 |
| **Banks — 8.7%** |  |  |
| Bank of America Corp. |  |  |
| &nbsp;&nbsp;2.496%, (3-Month LIBOR + 0.99%), due 2/13/31<sup>(a)</sup> | 80000 | 68050 |
| &nbsp;&nbsp;2.572%, (SOFR + 1.21%), due 10/20/32<sup>(a)</sup> | 940000 | 777236 |
| &nbsp;&nbsp;2.687%, (SOFR + 1.32%), due 4/22/32<sup>(a)</sup> | 440000 | 371471 |
| &nbsp;&nbsp;3.384%, (SOFR + 1.33%), due 4/2/26<sup>(a)</sup> | 155000 | 149933 |
| &nbsp;&nbsp;3.419%, (3-Month LIBOR + 1.04%), due 12/20/28<sup>(a)</sup> | 555000 | 519083 |
| &nbsp;&nbsp;3.974%, (3-Month LIBOR + 1.21%), due 2/7/30<sup>(a)</sup> | 245000 | 231706 |
| &nbsp;&nbsp;5.080%, (SOFR + 1.29%), due 1/20/27<sup>(a)</sup> | 775000 | 777848 |

---

Schedule of Investments ─ IQ MacKay ESG Core Plus Bond ETF (continued)

January 31, 2023 (unaudited)

---

| | | |
|:---|:---|:---|
|  | **Principal<br> Amount** | **Value** |
| **Corporate Bonds (continued)** |  |  |
| **Banks (continued)** |  |  |
| Bank of New York Mellon Corp. (The) |  |  |
| &nbsp;&nbsp;4.414%, (SOFR + 1.35%), due 7/24/26<sup>(a)</sup> | $925000 | $918609 |
| Citigroup, Inc. |  |  |
| &nbsp;&nbsp;2.520%, (SOFR + 1.18%), due 11/3/32<sup>(a)</sup> | 825000 | 675382 |
| &nbsp;&nbsp;3.980%, (3-Month LIBOR + 1.34%), due 3/20/30<sup>(a)</sup> | 90000 | 84638 |
| &nbsp;&nbsp;4.125%, due 7/25/28 | 710000 | 681090 |
| &nbsp;&nbsp;5.300%, due 5/6/44 | 60000 | 58967 |
| &nbsp;&nbsp;5.498%, (SOFR + 1.28%), due 2/24/28<sup>(a)</sup> | 225000 | 222648 |
| &nbsp;&nbsp;Series W, 4.000%, (5 Year US CMT T-Note + 3.60%), due 3/10/71<sup>(a)</sup> | 70000 | 64760 |
| &nbsp;&nbsp;Series Y, 4.150%, (5 Year US CMT T-Note + 3.00%), due 2/15/71<sup>(a)</sup> | 235000 | 209150 |
| Citizens Bank NA/Providence RI |  |  |
| &nbsp;&nbsp;6.064%, (SOFR + 1.45%), due 10/24/25<sup>(a)</sup> | 795000 | 806539 |
| Citizens Financial Group, Inc. |  |  |
| &nbsp;&nbsp;3.250%, due 4/30/30 | 285000 | 257102 |
| &nbsp;&nbsp;Series G, 4.000%, (5 Year US CMT T-Note + 3.22%), due 10/6/71<sup>(a)</sup> | 250000 | 216606 |
| Fifth Third Bancorp |  |  |
| &nbsp;&nbsp;4.772%, (SOFR + 2.13%), due 7/28/30<sup>(a)</sup> | 860000 | 849864 |
| First Horizon Bank |  |  |
| &nbsp;&nbsp;5.750%, due 5/1/30 | 666000 | 674719 |
| Goldman Sachs Group, Inc. (The) |  |  |
| &nbsp;&nbsp;1.948%, (SOFR + 0.91%), due 10/21/27<sup>(a)</sup> | 800000 | 716104 |
| &nbsp;&nbsp;3.102%, (SOFR + 1.41%), due 2/24/33<sup>(a)</sup> | 845000 | 724133 |
| &nbsp;&nbsp;3.500%, due 11/16/26 | 340000 | 326570 |
| &nbsp;&nbsp;Series V, 4.125%, (5 Year US CMT T-Note + 2.95%), due 5/10/71<sup>(a)</sup> | 185000 | 164554 |
| Huntington National Bank (The) |  |  |
| &nbsp;&nbsp;5.650%, due 1/10/30 | 910000 | 946832 |
| JPMorgan Chase & Co. |  |  |
| &nbsp;&nbsp;2.182%, (SOFR + 1.89%), due 6/1/28<sup>(a)</sup> | 845000 | 757664 |
| &nbsp;&nbsp;4.323%, (SOFR + 1.56%), due 4/26/28<sup>(a)</sup> | 640000 | 627269 |
| &nbsp;&nbsp;4.912%, (SOFR + 2.08%), due 7/25/33<sup>(a)</sup> | 500000 | 498169 |
| &nbsp;&nbsp;5.382%, (SOFR + 1.18%), due 2/24/28<sup>(a)</sup> | 220000 | 217779 |
| Keybank NA/Cleveland Oh |  |  |
| &nbsp;&nbsp;5.850%, due 11/15/27 | 985000 | 1032219 |
| Keybank NA/Cleveland OH |  |  |
| &nbsp;&nbsp;4.150%, due 8/8/25 | 485000 | 479427 |
| Morgan Stanley |  |  |
| &nbsp;&nbsp;2.484%, (SOFR + 1.36%), due 9/16/36<sup>(a)</sup> | 1190000 | 922446 |
| &nbsp;&nbsp;2.511%, (SOFR + 1.20%), due 10/20/32<sup>(a)</sup> | 950000 | 784564 |
| &nbsp;&nbsp;2.630%, (SOFR + 0.94%), due 2/18/26<sup>(a)</sup> | 225000 | 213807 |
| &nbsp;&nbsp;5.123%, (SOFR + 1.73%), due 2/1/29<sup>(a)(d)</sup> | 530000 | 535907 |
| &nbsp;&nbsp;Series G, 4.431%, (3-Month LIBOR + 1.63%), due 1/23/30<sup>(a)</sup> | 510000 | 496986 |
| Santander Holdings USA, Inc. |  |  |
| &nbsp;&nbsp;4.400%, due 7/13/27 | 365000 | 355046 |
| SVB Financial Group |  |  |
| &nbsp;&nbsp;3.125%, due 6/5/30 | 440000 | 377714 |
| &nbsp;&nbsp;Series C, 4.000%, (5 Year US CMT T-Note + 3.20%), due 8/15/71<sup>(a)</sup> | 300000 | 240186 |
| Synchrony Bank |  |  |
| &nbsp;&nbsp;5.400%, due 8/22/25 | 715000 | 712125 |
| Texas Capital Bancshares, Inc. |  |  |
| &nbsp;&nbsp;4.000%, (5 Year US CMT T-Note + 3.15%), due 5/6/31<sup>(a)</sup> | 240000 | 218500 |
| US Bancorp |  |  |
| &nbsp;&nbsp;4.548%, (SOFR + 1.66%), due 7/22/28<sup>(a)(d)</sup> | 720000 | 718919 |
| &nbsp;&nbsp;5.727%, (SOFR + 1.43%), due 10/21/26<sup>(a)</sup> | 440000 | 452094 |
| Wells Fargo & Co. |  |  |
| &nbsp;&nbsp;3.350%, (SOFR + 1.50%), due 3/2/33<sup>(a)</sup> | 930000 | 820076 |
|  |  | 21954491 |
| **Building Materials — 0.1%** |  |  |
| Carrier Global Corp. |  |  |
| &nbsp;&nbsp;2.722%, due 2/15/30 | 430000 | 375606 |
| Owens Corning |  |  |
| &nbsp;&nbsp;4.400%, due 1/30/48 | 85000 | 72876 |
|  |  | 448482 |
| **Chemicals — 0.3%** |  |  |
| Huntsman International LLC |  |  |
| &nbsp;&nbsp;4.500%, due 5/1/29 | 655000 | 614196 |
| LYB International Finance III LLC |  |  |
| &nbsp;&nbsp;3.800%, due 10/1/60 | 440000 | 316561 |
|  |  | 930757 |
| **Commercial Services — 0.3%** |  |  |
| Service Corp. International |  |  |
| &nbsp;&nbsp;3.375%, due 8/15/30 | 390000 | 327733 |
| United Rentals North America, Inc. |  |  |
| &nbsp;&nbsp;3.875%, due 2/15/31 | 555000 | 488438 |
|  |  | 816171 |
| **Computers — 0.9%** |  |  |
| Apple, Inc. |  |  |
| &nbsp;&nbsp;2.700%, due 8/5/51 | 560000 | 398157 |
| Dell International LLC / EMC Corp. |  |  |
| &nbsp;&nbsp;3.375%, due 12/15/41 | 650000 | 468020 |
| &nbsp;&nbsp;4.900%, due 10/1/26 | 480000 | 477305 |
| &nbsp;&nbsp;5.300%, due 10/1/29 | 490000 | 494655 |
| &nbsp;&nbsp;5.450%, due 6/15/23 | 28000 | 28034 |
| &nbsp;&nbsp;5.750%, due 2/1/33<sup>(d)</sup> | 355000 | 354721 |
|  |  | 2220892 |
| **Consumer Discretionary — 0.1%** |  |  |
| Hilton Domestic Operating Co., Inc. |  |  |
| &nbsp;&nbsp;5.375%, due 5/1/25 | 230000 | 228410 |
| **Diversified Financial Services — 1.2%** |  |  |
| Air Lease Corp. |  |  |
| &nbsp;&nbsp;3.250%, due 3/1/25 | 460000 | 441174 |
| Aircastle Ltd. |  |  |
| &nbsp;&nbsp;5.250%, (5 Year US CMT T-Note + 4.41%), due 9/15/71<sup>(a)</sup> | 420000 | 344400 |
| Ally Financial, Inc. |  |  |
| &nbsp;&nbsp;8.000%, due 11/1/31 | 415000 | 457059 |
| &nbsp;&nbsp;Series C, 4.700%, (7 Year US CMT T-Note + 3.48%), due 8/15/71<sup>(a)</sup> | 520000 | 399100 |
| Aviation Capital Group LLC |  |  |
| &nbsp;&nbsp;1.950%, due 1/30/26 | 660000 | 587080 |
| Capital One Financial Corp. |  |  |
| &nbsp;&nbsp;5.247%, (SOFR + 2.60%), due 7/26/30<sup>(a)</sup> | 290000 | 285177 |
| OneMain Finance Corp. |  |  |
| &nbsp;&nbsp;3.500%, due 1/15/27 | 400000 | 347886 |
| &nbsp;&nbsp;4.000%, due 9/15/30 | 245000 | 195373 |
|  |  | 3057249 |
| **Electric — 3.2%** |  |  |
| AEP Texas, Inc. |  |  |
| &nbsp;&nbsp;3.450%, due 5/15/51 | 540000 | 415186 |
| &nbsp;&nbsp;4.700%, due 5/15/32 | 250000 | 249005 |
| &nbsp;&nbsp;5.250%, due 5/15/52 | 375000 | 382666 |
| Arizona Public Service Co. |  |  |
| &nbsp;&nbsp;6.350%, due 12/15/32 | 665000 | 726435 |
| Baltimore Gas and Electric Co. |  |  |
| &nbsp;&nbsp;4.550%, due 6/1/52 | 555000 | 522749 |

---

Schedule of Investments ─ IQ MacKay ESG Core Plus Bond ETF (continued)

January 31, 2023 (unaudited)

---

| | | |
|:---|:---|:---|
|  | **Principal<br> Amount** | **Value** |
| **Corporate Bonds (continued)** |  |  |
| **Electric (continued)** |  |  |
| Commonwealth Edison Co. |  |  |
| &nbsp;&nbsp;5.300%, due 2/1/53 | $445000 | $474174 |
| Connecticut Light and Power Co. (The) |  |  |
| &nbsp;&nbsp;4.000%, due 4/1/48 | 85000 | 76704 |
| Edison International |  |  |
| &nbsp;&nbsp;Series B, 5.000%, (5 Year US CMT T-Note + 3.90%), due 3/15/71<sup>(a)</sup> | 510000 | 453436 |
| Indianapolis Power & Light Co. |  |  |
| &nbsp;&nbsp;5.650%, due 12/1/32 | 370000 | 393448 |
| National Rural Utilities Cooperative Finance Corp. |  |  |
| &nbsp;&nbsp;5.800%, due 1/15/33 | 460000 | 496013 |
| Nevada Power Co. |  |  |
| &nbsp;&nbsp;Series GG, 5.900%, due 5/1/53 | 345000 | 393970 |
| NSTAR Electric Co. |  |  |
| &nbsp;&nbsp;4.950%, due 9/15/52 | 340000 | 348331 |
| PPL Electric Utilities Corp. |  |  |
| &nbsp;&nbsp;3.950%, due 6/1/47 | 215000 | 188582 |
| Public Service Electric And Gas Co. |  |  |
| &nbsp;&nbsp;4.900%, due 12/15/32 | 1000000 | 1039975 |
| Puget Energy, Inc. |  |  |
| &nbsp;&nbsp;4.224%, due 3/15/32 | 540000 | 493246 |
| Southern California Edison Co. |  |  |
| &nbsp;&nbsp;5.950%, due 11/1/32 | 605000 | 658549 |
| Virginia Electric and Power Co. |  |  |
| &nbsp;&nbsp;Series C, 4.625%, due 5/15/52 | 500000 | 469414 |
|  |  | 7781883 |
| **Environmental Control — 0.8%** |  |  |
| Clean Harbors, Inc. |  |  |
| &nbsp;&nbsp;4.875%, due 7/15/27 | 290000 | 279786 |
| &nbsp;&nbsp;6.375%, due 2/1/31 | 340000 | 346358 |
| Covanta Holding Corp. |  |  |
| &nbsp;&nbsp;4.875%, due 12/1/29 | 801000 | 699874 |
| Waste Connections, Inc. |  |  |
| &nbsp;&nbsp;2.200%, due 1/15/32 | 885000 | 733637 |
|  |  | 2059655 |
| **Food — 1.2%** |  |  |
| General Mills, Inc. |  |  |
| &nbsp;&nbsp;5.241%, due 11/18/25 | 980000 | 985133 |
| JBS USA LUX SA / JBS USA Food Co. / JBS USA Finance, Inc. |  |  |
| &nbsp;&nbsp;5.500%, due 1/15/30 | 515000 | 500451 |
| &nbsp;&nbsp;5.750%, due 4/1/33 | 790000 | 774642 |
| Kraft Heinz Foods Co. |  |  |
| &nbsp;&nbsp;3.875%, due 5/15/27 | 30000 | 29226 |
| &nbsp;&nbsp;5.000%, due 7/15/35 | 324000 | 324541 |
| Smithfield Foods, Inc. |  |  |
| &nbsp;&nbsp;3.000%, due 10/15/30 | 170000 | 133977 |
| &nbsp;&nbsp;4.250%, due 2/1/27 | 265000 | 248153 |
|  |  | 2996123 |
| **Gas — 0.4%** |  |  |
| Brooklyn Union Gas Co. (The) |  |  |
| &nbsp;&nbsp;4.866%, due 8/5/32 | 760000 | 737276 |
| Southern California Gas Co. |  |  |
| &nbsp;&nbsp;6.350%, due 11/15/52 | 200000 | 233861 |
|  |  | 971137 |
| **Home Builders — 0.4%** |  |  |
| Lennar Corp. |  |  |
| &nbsp;&nbsp;4.750%, due 11/29/27 | 590000 | 581993 |
| Toll Brothers Finance Corp. |  |  |
| &nbsp;&nbsp;3.800%, due 11/1/29 | 570000 | 512030 |
|  |  | 1094023 |
| **Insurance — 0.3%** |  |  |
| Athene Global Funding |  |  |
| &nbsp;&nbsp;2.500%, due 3/24/28 | 155000 | 134895 |
| Hartford Financial Services Group, Inc. (The) |  |  |
| &nbsp;&nbsp;Series ICON, 6.731%, (3-Month LIBOR + 2.13%), due 2/12/47<sup>(a)</sup> | 50000 | 42762 |
| Lincoln National Corp. |  |  |
| &nbsp;&nbsp;7.007%, (3-Month LIBOR + 2.36%), due 5/17/66<sup>(a)</sup> | 50000 | 40012 |
| Protective Life Corp. |  |  |
| &nbsp;&nbsp;8.450%, due 10/15/39 | 138000 | 173973 |
| Prudential Financial, Inc. |  |  |
| &nbsp;&nbsp;5.125%, (5 Year US CMT T-Note + 3.16%), due 3/1/52<sup>(a)</sup> | 320000 | 298528 |
| Willis North America, Inc. |  |  |
| &nbsp;&nbsp;2.950%, due 9/15/29 | 80000 | 70791 |
|  |  | 760961 |
| **Internet — 0.2%** |  |  |
| Expedia Group, Inc. |  |  |
| &nbsp;&nbsp;3.250%, due 2/15/30 | 520000 | 457117 |
| VeriSign, Inc. |  |  |
| &nbsp;&nbsp;4.750%, due 7/15/27 | 50000 | 49566 |
|  |  | 506683 |
| **Lodging — 0.2%** |  |  |
| Marriott International, Inc. |  |  |
| &nbsp;&nbsp;Series R, 3.125%, due 6/15/26 | 665000 | 631979 |
| **Media — 0.7%** |  |  |
| Charter Communications Operating LLC / Charter Communications Operating Capital |  |  |
| &nbsp;&nbsp;3.700%, due 4/1/51 | 825000 | 548096 |
| DISH DBS Corp. |  |  |
| &nbsp;&nbsp;5.750%, due 12/1/28 | 415000 | 339546 |
| Fox Corp. |  |  |
| &nbsp;&nbsp;5.576%, due 1/25/49 | 375000 | 362542 |
| Match Group Holdings II LLC |  |  |
| &nbsp;&nbsp;3.625%, due 10/1/31 | 450000 | 361125 |
| Time Warner Cable LLC |  |  |
| &nbsp;&nbsp;6.750%, due 6/15/39 | 485000 | 498635 |
|  |  | 2109944 |
| **Mining — 0.1%** |  |  |
| Freeport-McMoRan, Inc. |  |  |
| &nbsp;&nbsp;5.450%, due 3/15/43 | 225000 | 218588 |
| **Office/Business Equipment — 0.0%<sup>(e)</sup>** |  |  |
| CDW LLC / CDW Finance Corp. |  |  |
| &nbsp;&nbsp;3.250%, due 2/15/29 | 50000 | 43310 |
| **Packaging & Containers — 0.6%** |  |  |
| Berry Global, Inc. |  |  |
| &nbsp;&nbsp;4.875%, due 7/15/26 | 755000 | 735370 |
| Sealed Air Corp. |  |  |
| &nbsp;&nbsp;5.125%, due 12/1/24 | 205000 | 203462 |
| &nbsp;&nbsp;6.125%, due 2/1/28 | 500000 | 504450 |
|  |  | 1443282 |
| **Pharmaceuticals — 0.0%<sup>(e)</sup>** |  |  |
| Becton Dickinson and Co. |  |  |
| &nbsp;&nbsp;4.669%, due 6/6/47 | 75000 | 70777 |
| CVS Health Corp. |  |  |
| &nbsp;&nbsp;4.780%, due 3/25/38 | 65000 | 62218 |

---

Schedule of Investments ─ IQ MacKay ESG Core Plus Bond ETF (continued)

January 31, 2023 (unaudited)

---

| | | |
|:---|:---|:---|
|  | **Principal<br> Amount** | **Value** |
| **Corporate Bonds (continued)** |  |  |
| **Pharmaceuticals (continued)** |  |  |
| CVS Pass-Through Trust |  |  |
| &nbsp;&nbsp;5.926%, due 1/10/34 | $132057 | $132228 |
|  |  | 265223 |
| **REITS — 2.2%** |  |  |
| Alexandria Real Estate Equities, Inc. |  |  |
| &nbsp;&nbsp;3.375%, due 8/15/31 | 840000 | 760858 |
| American Homes 4 Rent LP |  |  |
| &nbsp;&nbsp;2.375%, due 7/15/31 | 1115000 | 910037 |
| American Tower Corp. |  |  |
| &nbsp;&nbsp;3.375%, due 5/15/24 | 445000 | 435396 |
| Digital Realty Trust LP |  |  |
| &nbsp;&nbsp;3.600%, due 7/1/29 | 995000 | 914438 |
| Invitation Homes Operating Partnership LP |  |  |
| &nbsp;&nbsp;2.000%, due 8/15/31 | 585000 | 454020 |
| Iron Mountain, Inc. |  |  |
| &nbsp;&nbsp;4.875%, due 9/15/29 | 205000 | 185143 |
| &nbsp;&nbsp;5.250%, due 7/15/30 | 280000 | 253383 |
| Office Properties Income Trust |  |  |
| &nbsp;&nbsp;2.400%, due 2/1/27 | 470000 | 361309 |
| &nbsp;&nbsp;4.500%, due 2/1/25 | 155000 | 144205 |
| ProLogis LP |  |  |
| &nbsp;&nbsp;2.875%, due 11/15/29 | 430000 | 386671 |
| Starwood Property Trust, Inc. |  |  |
| &nbsp;&nbsp;3.750%, due 12/31/24 | 50000 | 47484 |
| &nbsp;&nbsp;4.375%, due 1/15/27 | 680000 | 610300 |
|  |  | 5463244 |
| **Retail — 0.8%** |  |  |
| AutoNation, Inc. |  |  |
| &nbsp;&nbsp;4.750%, due 6/1/30 | 515000 | 483174 |
| Bath & Body Works, Inc. |  |  |
| &nbsp;&nbsp;9.375%, due 7/1/25 | 121000 | 129510 |
| Lowe's Cos., Inc. |  |  |
| &nbsp;&nbsp;1.700%, due 9/15/28 | 540000 | 465482 |
| Nordstrom, Inc. |  |  |
| &nbsp;&nbsp;4.250%, due 8/1/31 | 455000 | 341664 |
| QVC, Inc. |  |  |
| &nbsp;&nbsp;4.375%, due 9/1/28 | 390000 | 251541 |
| Starbucks Corp. |  |  |
| &nbsp;&nbsp;4.450%, due 8/15/49 | 300000 | 274162 |
| Victoria's Secret & Co. |  |  |
| &nbsp;&nbsp;4.625%, due 7/15/29 | 170000 | 141226 |
|  |  | 2086759 |
| **Semiconductors — 0.2%** |  |  |
| Broadcom, Inc. |  |  |
| &nbsp;&nbsp;5.000%, due 4/15/30 | 565000 | 558824 |
| **Software — 0.5%** |  |  |
| Broadridge Financial Solutions, Inc. |  |  |
| &nbsp;&nbsp;2.900%, due 12/1/29 | 330000 | 289595 |
| Fidelity National Information Services, Inc. |  |  |
| &nbsp;&nbsp;5.100%, due 7/15/32 | 715000 | 716917 |
| MSCI, Inc. |  |  |
| &nbsp;&nbsp;3.250%, due 8/15/33 | 360000 | 295200 |
|  |  | 1301712 |
| **Telecommunications — 0.8%** |  |  |
| AT&T, Inc. |  |  |
| &nbsp;&nbsp;3.500%, due 9/15/53 | 980000 | 723187 |
| Level 3 Financing, Inc. |  |  |
| &nbsp;&nbsp;3.750%, due 7/15/29 | 50000 | 36552 |
| Sprint Spectrum Co., LLC / Sprint Spectrum Co., II LLC / Sprint Spectrum Co., III LLC |  |  |
| &nbsp;&nbsp;4.738%, due 3/20/25 | 345938 | 343178 |
| T-Mobile USA, Inc. |  |  |
| &nbsp;&nbsp;2.625%, due 2/15/29 | 580000 | 506920 |
| Verizon Communications, Inc. |  |  |
| &nbsp;&nbsp;4.016%, due 12/3/29 | 435000 | 417064 |
|  |  | 2026901 |
| **Transportation — 0.3%** |  |  |
| American Airlines, Inc./AAdvantage Loyalty IP Ltd. |  |  |
| &nbsp;&nbsp;5.750%, due 4/20/29 | 355000 | 343364 |
| Burlington Northern Santa Fe LLC |  |  |
| &nbsp;&nbsp;4.450%, due 1/15/53 | 535000 | 510097 |
|  |  | 853461 |
| **Water — 0.1%** |  |  |
| American Water Capital Corp. |  |  |
| &nbsp;&nbsp;3.250%, due 6/1/51 | 460000 | 349173 |
| **Total Corporate Bonds** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**(Cost $73,445,286)** |  | **71452811** |
| **Foreign Bonds — 11.4%** |  |  |
| **Airlines — 0.1%** |  |  |
| British Airways 2021-1 Class A Pass-Through Trust, (United Kingdom) |  |  |
| &nbsp;&nbsp;Series 2021-1A, A2.900%, due 3/15/35 | 403449 | 331845 |
| **Auto Manufacturers — 0.2%** |  |  |
| BMW US Capital LLC, (Germany) |  |  |
| 3.450%, due 4/1/27 | 655000 | 630426 |
| **Banks — 8.5%** |  |  |
| Banco Santander SA, (Spain) |  |  |
| &nbsp;&nbsp;4.175%, (1 Year US CMT T-Note + 2.00%), due 3/24/28<sup>(a)</sup> | 415000 | 395406 |
| &nbsp;&nbsp;5.294%, due 8/18/27 | 600000 | 602401 |
| Bank of Montreal, (Canada) |  |  |
| &nbsp;&nbsp;3.700%, due 6/7/25 | 380000 | 371028 |
| Barclays PLC, (United Kingdom) |  |  |
| &nbsp;&nbsp;4.375%, (5 Year US CMT T-Note + 3.41%), due 12/15/71<sup>(a)</sup> | 585000 | 475505 |
| &nbsp;&nbsp;5.200%, due 5/12/26 | 750000 | 746981 |
| &nbsp;&nbsp;8.000%, (5 Year US CMT T-Note + 5.43%), due 12/15/71<sup>(a)</sup> | 320000 | 321328 |
| BNP Paribas SA, (France) |  |  |
| &nbsp;&nbsp;3.052%, (SOFR + 1.51%), due 1/13/31<sup>(a)</sup> | 600000 | 520730 |
| &nbsp;&nbsp;4.625%, (5 Year US CMT T-Note + 3.20%), due 7/12/71<sup>(a)</sup> | 465000 | 406875 |
| &nbsp;&nbsp;4.625%, (5 Year US CMT T-Note + 3.34%), due 8/25/71<sup>(a)</sup> | 240000 | 196322 |
| &nbsp;&nbsp;5.125%, (1 Year US CMT T-Note + 1.45%), due 1/13/29<sup>(a)</sup> | 650000 | 654961 |
| &nbsp;&nbsp;7.750%, (5 Year US CMT T-Note + 4.90%), due 2/16/71<sup>(a)</sup> | 220000 | 227700 |
| Bpce SA, (France) |  |  |
| &nbsp;&nbsp;5.125%, due 1/18/28 | 775000 | 780233 |
| BPCE SA, (France) |  |  |
| &nbsp;&nbsp;2.045%, (SOFR + 1.09%), due 10/19/27<sup>(a)</sup> | 1220000 | 1079500 |
| Canadian Imperial Bank of Commerce, (Canada) |  |  |
| &nbsp;&nbsp;3.300%, due 4/7/25 | 465000 | 449994 |

---

Schedule of Investments ─ IQ MacKay ESG Core Plus Bond ETF (continued)

January 31, 2023 (unaudited)

---

| | | |
|:---|:---|:---|
|  | **Principal<br> Amount** | **Value** |
| **Foreign Bonds (continued)** |  |  |
| **Banks (continued)** |  |  |
| Cooperatieve Rabobank UA, (Netherlands) |  |  |
| &nbsp;&nbsp;3.649%, (1 Year US CMT T-Note + 1.22%), due 4/6/28<sup>(a)</sup> | $870000 | $824940 |
| Credit Agricole SA, (France) |  |  |
| &nbsp;&nbsp;4.750%, (5 Year US CMT T-Note + 3.24%), due 3/23/71<sup>(a)</sup> | 560000 | 476224 |
| Credit Suisse Group AG, (Switzerland) |  |  |
| &nbsp;&nbsp;3.091%, (SOFR + 1.73%), due 5/14/32<sup>(a)</sup> | 435000 | 328862 |
| &nbsp;&nbsp;6.442%, (SOFR + 3.70%), due 8/11/28<sup>(a)</sup> | 700000 | 677006 |
| Deutsche Bank AG, (Germany) |  |  |
| &nbsp;&nbsp;3.729%, (SOFR + 2.76%), due 1/14/32<sup>(a)</sup> | 700000 | 562543 |
| Deutsche Bank AG/New York NY, (Germany) |  |  |
| &nbsp;&nbsp;2.552%, (SOFR + 1.32%), due 1/7/28<sup>(a)</sup> | 890000 | 794586 |
| HSBC Holdings PLC, (United Kingdom) |  |  |
| &nbsp;&nbsp;3.973%, (3-Month LIBOR + 1.61%), due 5/22/30<sup>(a)</sup> | 230000 | 212106 |
| Intesa Sanpaolo SpA, (Italy) |  |  |
| &nbsp;&nbsp;7.000%, due 11/21/25 | 830000 | 857121 |
| Kreditanstalt fuer Wiederaufbau, (Germany) |  |  |
| &nbsp;&nbsp;2.500%, due 11/20/24 | 190000 | 183672 |
| Lloyds Banking Group PLC, (United Kingdom) |  |  |
| &nbsp;&nbsp;4.450%, due 5/8/25 | 95000 | 93703 |
| &nbsp;&nbsp;4.582%, due 12/10/25 | 775000 | 756588 |
| &nbsp;&nbsp;4.976%, (1 Year US CMT T-Note + 2.30%), due 8/11/33<sup>(a)</sup> | 580000 | 566428 |
| Macquarie Group Ltd., (Australia) |  |  |
| &nbsp;&nbsp;2.871%, (SOFR + 1.53%), due 1/14/33<sup>(a)</sup> | 660000 | 533887 |
| &nbsp;&nbsp;4.098%, (SOFR + 2.13%), due 6/21/28<sup>(a)</sup> | 420000 | 401069 |
| Mitsubishi UFJ Financial Group, Inc., (Japan) |  |  |
| &nbsp;&nbsp;2.309%, (1 Year US CMT T-Note + 0.95%), due 7/20/32<sup>(a)</sup> | 1085000 | 879556 |
| Mizuho Financial Group, Inc., (Japan) |  |  |
| &nbsp;&nbsp;3.261%, (1 Year US CMT T-Note + 1.25%), due 5/22/30<sup>(a)</sup> | 395000 | 357225 |
| NatWest Group PLC, (United Kingdom) |  |  |
| &nbsp;&nbsp;4.892%, (3-Month LIBOR + 1.75%), due 5/18/29<sup>(a)</sup> | 905000 | 893084 |
| &nbsp;&nbsp;5.125%, due 5/28/24 | 150000 | 149664 |
| Royal Bank of Canada, (Canada) |  |  |
| &nbsp;&nbsp;Series G, 5.042%, (SOFR + 0.71%), due 1/21/27<sup>(a)</sup> | 555000 | 542322 |
| Societe Generale SA, (France) |  |  |
| &nbsp;&nbsp;3.337%, (1 Year US CMT T-Note + 1.60%), due 1/21/33<sup>(a)</sup> | 535000 | 445521 |
| &nbsp;&nbsp;4.750%, (5 Year US CMT T-Note + 3.93%), due 11/26/71<sup>(a)</sup> | 435000 | 386976 |
| &nbsp;&nbsp;5.375%, (5 Year US CMT T-Note + 4.51%), due 5/18/71<sup>(a)</sup> | 330000 | 283777 |
| Standard Chartered PLC, (United Kingdom) |  |  |
| &nbsp;&nbsp;4.750%, (5 Year US CMT T-Note + 3.81%), due 7/14/71<sup>(a)</sup> | 70000 | 60000 |
| Sumitomo Mitsui Financial Group, Inc., (Japan) |  |  |
| &nbsp;&nbsp;1.902%, due 9/17/28 | 865000 | 739475 |
| Swedbank AB, (Sweden) |  |  |
| &nbsp;&nbsp;3.356%, due 4/4/25 | 465000 | 448124 |
| UBS Group AG, (Switzerland) |  |  |
| &nbsp;&nbsp;1.364%, (1 Year US CMT T-Note + 1.08%), due 1/30/27<sup>(a)</sup> | 570000 | 510452 |
| &nbsp;&nbsp;4.375%, (5 Year US CMT T-Note + 3.31%), due 8/10/71<sup>(a)</sup> | 400000 | 327960 |
| &nbsp;&nbsp;4.875%, (5 Year US CMT T-Note + 3.40%), due 8/12/71<sup>(a)</sup> | 150000 | 134835 |
| Westpac Banking Corp., (Australia) |  |  |
| &nbsp;&nbsp;3.020%, (5 Year US CMT T-Note + 1.53%), due 11/18/36<sup>(a)</sup> | 635000 | 496049 |
| &nbsp;&nbsp;5.457%, due 11/18/27 | 740000 | 771130 |
|  |  | 21923849 |
| **Diversified Financial Services — 1.0%** |  |  |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust, (Ireland) |  |  |
| &nbsp;&nbsp;3.000%, due 10/29/28 | 200000 | 176308 |
| Avolon Holdings Funding Ltd., (Ireland) |  |  |
| &nbsp;&nbsp;2.875%, due 2/15/25 | 525000 | 492364 |
| Banco BTG Pactual SA/Cayman Islands, (Brazil) |  |  |
| &nbsp;&nbsp;2.750%, due 1/11/26 | 660000 | 601260 |
| Nomura Holdings, Inc., (Japan) |  |  |
| &nbsp;&nbsp;2.172%, due 7/14/28 | 860000 | 732617 |
| &nbsp;&nbsp;5.099%, due 7/3/25 | 440000 | 438583 |
|  |  | 2441132 |
| **Electric — 0.3%** |  |  |
| Transalta Corp., (Canada) |  |  |
| &nbsp;&nbsp;7.750%, due 11/15/29 | 830000 | 853492 |
| **Food — 0.2%** |  |  |
| MARB Bondco PLC, (Brazil) |  |  |
| &nbsp;&nbsp;3.950%, due 1/29/31 | 560000 | 441045 |
| **Multi-National — 0.2%** |  |  |
| Inter-American Development Bank, (Supranational) |  |  |
| &nbsp;&nbsp;0.875%, due 4/3/25 | 200000 | 186155 |
| International Bank for Reconstruction & Development, (Supranational) |  |  |
| &nbsp;&nbsp;0.625%, due 4/22/25 | 200000 | 184873 |
|  |  | 371028 |
| **Pharmaceuticals — 0.3%** |  |  |
| Teva Pharmaceutical Finance Netherlands III BV, (Israel) |  |  |
| &nbsp;&nbsp;3.150%, due 10/1/26 | 250000 | 224295 |
| &nbsp;&nbsp;4.750%, due 5/9/27 | 575000 | 534031 |
|  |  | 758326 |
| **Savings & Loans — 0.4%** |  |  |
| Nationwide Building Society, (United Kingdom) |  |  |
| &nbsp;&nbsp;2.972%, (SOFR + 1.29%), due 2/16/28<sup>(a)</sup> | 655000 | 595662 |
| &nbsp;&nbsp;4.850%, due 7/27/27 | 600000 | 599009 |
|  |  | 1194671 |
| **Telecommunications — 0.2%** |  |  |
| Altice France SA, (France) |  |  |
| &nbsp;&nbsp;5.125%, due 7/15/29 | 565000 | 443480 |
| **Total Foreign Bonds** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**(Cost $30,432,569)** |  | **29389294** |

---

Schedule of Investments ─ IQ MacKay ESG Core Plus Bond ETF (continued)

January 31, 2023 (unaudited)

---

| | | |
|:---|:---|:---|
|  | **Principal<br> Amount** | **Value** |
| **Foreign Government Obligations — 0.3%** |  |  |
| Chile Government International Bond, (Chile) |  |  |
| &nbsp;&nbsp;2.550%,due 7/27/33 | $425000 | $346120 |
| Colombia Government International Bond, (Colombia) |  |  |
| &nbsp;&nbsp;7.500%,due 2/2/34 | 375000 | 370577 |
| **Total Foreign Government Obligations** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**(Cost $747,811)** |  | **716697** |
| **U.S. Treasury Bonds — 7.3%** |  |  |
| U.S. Treasury Bond, 4.000%, due 11/15/42<sup>(d)</sup> | 13050000 | 13486359 |
| U.S. Treasury Bond, 4.000%, due 11/15/52 | 4860000 | 5197163 |
|  |  | 18683522 |
| **Total U.S. Treasury Bonds** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**(Cost $17,979,997)** |  | **18683522** |
| **U.S. Treasury Notes — 14.4%** |  |  |
| U.S. Treasury Note, 3.500%, due 1/31/30 | 22870000 | 22787811 |
| U.S. Treasury Note, 4.125%, due 11/15/32 | 13435000 | 14134040 |
|  |  | 36921851 |
| **Total U.S. Treasury Notes** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**(Cost $36,429,297)** |  | **36921851** |
| **United States Government Agency Mortgage-Backed Securities — 14.0%** |  |  |
| **Mortgage Securities — 14.0%** |  |  |
| Fannie Mae Pool |  |  |
| &nbsp;&nbsp;Series 2021-BT0472 2.000% due 7/1/51 | 89515 | 75495 |
| &nbsp;&nbsp;Series 2021-FM7685 3.000% due 6/1/51 | 115476 | 105257 |
| &nbsp;&nbsp;Series 2022-FS1429 3.500% due 4/1/52 | 786240 | 737673 |
| &nbsp;&nbsp;Series 2022-FS2058 4.000% due 6/1/52 | 725681 | 701251 |
| &nbsp;&nbsp;Series 2022-MA4626 4.000% due 6/1/52 | 1804306 | 1743006 |
| &nbsp;&nbsp;Series 2022-MA4644 4.000% due 5/1/52 | 924125 | 892825 |
| &nbsp;&nbsp;Series 2022-MA4655 4.000% due 7/1/52 | 1204756 | 1163824 |
| &nbsp;&nbsp;Series 2022-MA4709 5.000% due 7/1/52 | 326940 | 328246 |
| &nbsp;&nbsp;Series 2022-MA4806 5.000% due 11/1/52 | 5283497 | 5303602 |
| Fannie Mae REMICS |  |  |
| &nbsp;&nbsp;Series 2016-57 SN, 1.544% (1-Month LIBOR + 6.05%), due 6/25/46<sup>(a)(b)</sup> | 586595 | 66786 |
| &nbsp;&nbsp;Series 2019-32 SB, 1.544% (1-Month LIBOR + 6.05%), due 6/25/49<sup>(a)(b)</sup> | 1268397 | 141293 |
| &nbsp;&nbsp;Series 2020-47 BD, 1.500% due 7/25/50 | 177039 | 139795 |
| &nbsp;&nbsp;Series 2020-49 PB, 1.750% due 7/25/50 | 155803 | 125903 |
| &nbsp;&nbsp;Series 2020-70 SD, 1.744% (1-Month LIBOR + 6.25%), due 10/25/50<sup>(a)(b)</sup> | 937587 | 122861 |
| &nbsp;&nbsp;Series 2021-10 LI, 2.500% due 3/25/51<sup>(b)</sup> | 302668 | 45207 |
| &nbsp;&nbsp;Series 2021-12 JI, 2.500% due 3/25/51<sup>(b)</sup> | 448580 | 67151 |
| &nbsp;&nbsp;Series 2021-3 TI, 2.500% due 2/25/51<sup>(b)</sup> | 2258042 | 364020 |
| &nbsp;&nbsp;Series 2021-34 IS, (1-Month LIBOR + 3.00%), due 11/25/42<sup>(a)(b)</sup> | 2459794 | 111095 |
| &nbsp;&nbsp;Series 2021-34 MI, 2.500% due 3/25/51<sup>(b)</sup> | 1000350 | 125767 |
| &nbsp;&nbsp;Series 2021-40 SI, 1.444% (1-Month LIBOR + 5.95%), due 9/25/47<sup>(a)(b)</sup> | 828014 | 88791 |
| &nbsp;&nbsp;Series 2021-54 HI, 2.500% due 6/25/51<sup>(b)</sup> | 214958 | 26768 |
| &nbsp;&nbsp;Series 2021-8 ID, 3.500% due 3/25/51<sup>(b)</sup> | 797090 | 157519 |
| &nbsp;&nbsp;Series 2021-95 KI, 2.500% due 4/25/51<sup>(b)</sup> | 2609520 | 369734 |
| &nbsp;&nbsp;Series 2022-10 SA, 1.440% (SOFR30A + 5.75%), due 2/25/52<sup>(a)(b)</sup> | 657623 | 87611 |
| &nbsp;&nbsp;Series 2022-5 SN, (SOFR30A + 1.80%), due 2/25/52<sup>(a)(b)</sup> | 377757 | 1589 |
| Freddie Mac Pool |  |  |
| &nbsp;&nbsp;3.500% due 7/1/52 | 397529 | 372860 |
| &nbsp;&nbsp;4.000% due 9/1/52 | 475815 | 461856 |
| &nbsp;&nbsp;4.500% due 11/1/52 | 3914405 | 3866210 |
| &nbsp;&nbsp;Series 2019-SD8030 3.000% due 12/1/49 | 225045 | 207111 |
| &nbsp;&nbsp;Series 2022-SD8215 4.000% due 5/1/52 | 959990 | 927089 |
| Freddie Mac REMICS |  |  |
| &nbsp;&nbsp;Series 2020-4988 BA, 1.500% due 6/25/50 | 200592 | 158373 |
| &nbsp;&nbsp;Series 2020-4994 TS, 1.594% (1-Month LIBOR + 6.10%), due 7/25/50<sup>(a)(b)</sup> | 923496 | 111758 |
| &nbsp;&nbsp;Series 2020-5021 SA, (SOFR30A + 3.55%), due 10/25/50<sup>(a)(b)</sup> | 881875 | 32957 |
| &nbsp;&nbsp;Series 2020-5031 IQ, 2.500% due 10/25/50<sup>(b)</sup> | 554128 | 78947 |
| &nbsp;&nbsp;Series 2020-5036 IO, 3.500% due 11/25/50<sup>(b)</sup> | 660069 | 133013 |
| &nbsp;&nbsp;Series 2020-5038 IB, 2.500% due 10/25/50<sup>(b)</sup> | 546986 | 84253 |
| &nbsp;&nbsp;Series 2020-5038 KA, 1.500% due 11/25/50 | 365310 | 285116 |
| &nbsp;&nbsp;Series 2020-5040 IO, 3.500% due 11/25/50<sup>(b)</sup> | 889439 | 145364 |
| &nbsp;&nbsp;Series 2021-5070 PI, 3.000% due 8/25/50<sup>(b)</sup> | 940852 | 149086 |
| &nbsp;&nbsp;Series 2021-5149 LI, 2.500% due 10/25/51<sup>(b)</sup> | 1820549 | 239381 |
| &nbsp;&nbsp;Series 2021-5187 SA, (SOFR30A + 1.80%), due 1/25/52<sup>(a)(b)</sup> | 680604 | 3473 |
| &nbsp;&nbsp;Series 2022-5191 IO, 3.500% due 9/25/50<sup>(b)</sup> | 1025428 | 169193 |
| &nbsp;&nbsp;Series 2022-5200 FA, 4.000% (SOFR30A + 0.50%), due 2/25/52<sup>(a)</sup> | 724330 | 671071 |
| &nbsp;&nbsp;Series 2022-5200 SA, (SOFR30A + 3.50%), due 2/25/52<sup>(a)(b)</sup> | 743023 | 25069 |
| &nbsp;&nbsp;Series 2022-5274 IO, 2.500% due 1/25/51<sup>(b)</sup> | 1858552 | 293392 |
| Freddie Mac Strips |  |  |
| &nbsp;&nbsp;Series 2013-311 due 8/15/43<sup>(f)(g)</sup> | 181757 | 139895 |
| &nbsp;&nbsp;Series 2013-311 S1, 1.491% (1-Month LIBOR + 5.95%), due 8/15/43<sup>(a)(b)</sup> | 642325 | 69218 |
| &nbsp;&nbsp;Series 2017-358 IO, 3.500% due 10/15/47<sup>(b)</sup> | 331288 | 53059 |
| &nbsp;&nbsp;Series 2022-389 C35, 2.000% due 6/15/52<sup>(b)</sup> | 1379906 | 177263 |
| FREMF 2016-K58 Mortgage Trust |  |  |
| &nbsp;&nbsp;Series 2016-K58 B, 3.738% due 9/25/49<sup>(a),(c)</sup> | 270000 | 255710 |
| FREMF 2017-K056 Mortgage Trust |  |  |
| &nbsp;&nbsp;Series 2017-K65 C, 4.077% due 7/25/50<sup>(a),(c)</sup> | 580000 | 546331 |
| FREMF 2018-K733 Mortgage Trust |  |  |
| &nbsp;&nbsp;Series 2018-K73 B, 3.854% due 2/25/51<sup>(a),(c)</sup> | 100000 | 94098 |
| FREMF 2018-K77 Mortgage Trust |  |  |
| &nbsp;&nbsp;Series 2018-K77 C, 4.161% due 5/25/51<sup>(a),(c)</sup> | 245000 | 229585 |
| FREMF 2018-K78 Mortgage Trust |  |  |
| &nbsp;&nbsp;Series 2018-K78 B, 4.129% due 6/25/51<sup>(a),(c)</sup> | 20000 | 19019 |

---

Schedule of Investments ─ IQ MacKay ESG Core Plus Bond ETF (continued)

January 31, 2023 (unaudited)

---

| | | |
|:---|:---|:---|
|  | **Principal<br> Amount** | **Value** |
| **United States Government Agency Mortgage-Backed Securities (continued)** |  |  |
| **Mortgage Securities (continued)** |  |  |
| &nbsp;&nbsp;Series 2018-K78 C, 4.129% due 6/25/51<sup>(a),(c)</sup> | $182000 | $170144 |
| FREMF 2018-K79 Mortgage Trust |  |  |
| &nbsp;&nbsp;Series 2018-K79 B, 4.211% due 7/25/51<sup>(a),(c)</sup> | 20000 | 19093 |
| FREMF 2018-K80 Mortgage Trust |  |  |
| &nbsp;&nbsp;Series 2018-K80 C, 4.231% due 8/25/50<sup>(a),(c)</sup> | 323000 | 303234 |
| FREMF 2018-K86 Mortgage Trust |  |  |
| &nbsp;&nbsp;Series 2018-K86 C, 4.294% due 11/25/51<sup>(a),(c)</sup> | 625000 | 587069 |
| FREMF 2019-K102 Mortgage Trust |  |  |
| &nbsp;&nbsp;Series 2019-K102 C, 3.531% due 12/25/51<sup>(a),(c)</sup> | 685000 | 604153 |
| FREMF 2019-K103 Mortgage Trust |  |  |
| &nbsp;&nbsp;Series 2019-K103 B, 3.455% due 12/25/51<sup>(a),(c)</sup> | 255000 | 228894 |
| FREMF 2019-K90 Mortgage Trust |  |  |
| &nbsp;&nbsp;Series 2019-K90 C, 4.316% due 2/25/52<sup>(a),(c)</sup> | 420000 | 390549 |
| FREMF 2019-K94 Mortgage Trust |  |  |
| &nbsp;&nbsp;Series 2019-K94 B, 3.966% due 7/25/52<sup>(a),(c)</sup> | 395000 | 368198 |
| &nbsp;&nbsp;Series 2019-K94 C, 3.966% due 7/25/52<sup>(a),(c)</sup> | 470000 | 427144 |
| FREMF 2019-K95 Mortgage Trust |  |  |
| &nbsp;&nbsp;Series 2019-K95 C, 3.921% due 8/25/52<sup>(a),(c)</sup> | 535000 | 485483 |
| FREMF 2019-K98 Mortgage Trust |  |  |
| &nbsp;&nbsp;Series 2019-K98 C, 3.738% due 10/25/52<sup>(a),(c)</sup> | 85000 | 76112 |
| FREMF 2020-K104 Mortgage Trust |  |  |
| &nbsp;&nbsp;Series 2020-K104 C, 3.541% due 2/25/52<sup>(a),(c)</sup> | 315000 | 277006 |
| Government National Mortgage Association |  |  |
| &nbsp;&nbsp;Series 2019-136 YS, (1-Month LIBOR + 2.83%), due 11/20/49<sup>(a)(b)</sup> | 322825 | 5530 |
| &nbsp;&nbsp;Series 2020-1 YS, (1-Month LIBOR + 2.83%), due 1/20/50<sup>(a)(b)</sup> | 1462238 | 20635 |
| &nbsp;&nbsp;Series 2020-129 AG, 1.000% due 9/20/50 | 194842 | 151658 |
| &nbsp;&nbsp;Series 2020-129 SB, (1-Month LIBOR + 3.20%), due 9/20/50<sup>(a)(b)</sup> | 2110008 | 35323 |
| &nbsp;&nbsp;Series 2020-146 SA, 1.814% (1-Month LIBOR + 6.30%), due 10/20/50<sup>(a)(b)</sup> | 1043807 | 134803 |
| &nbsp;&nbsp;Series 2020-160 IY, 2.500% due 10/20/50<sup>(b)</sup> | 1908704 | 245724 |
| &nbsp;&nbsp;Series 2020-176 AI, 2.000% due 11/20/50<sup>(b)</sup> | 664582 | 68478 |
| &nbsp;&nbsp;Series 2020-189 SU, 1.814% (1-Month LIBOR + 6.30%), due 12/20/50<sup>(a)(b)</sup> | 694219 | 91803 |
| &nbsp;&nbsp;Series 2021-1 PI, 2.500% due 12/20/50<sup>(b)</sup> | 850769 | 109746 |
| &nbsp;&nbsp;Series 2021-116 JI, 2.500% due 7/20/51<sup>(b)</sup> | 1212192 | 186172 |
| &nbsp;&nbsp;Series 2021-125 AF, 3.500% (SOFR30A + 0.25%), due 7/20/51<sup>(a)</sup> | 553535 | 500373 |
| &nbsp;&nbsp;Series 2021-146 IN, 3.500% due 8/20/51<sup>(b)</sup> | 1278061 | 200462 |
| &nbsp;&nbsp;Series 2021-149 CI, 2.500% due 8/20/51<sup>(b)</sup> | 917039 | 127851 |
| &nbsp;&nbsp;Series 2021-156 CI, 2.500% due 9/20/51<sup>(b)</sup> | 1038918 | 100273 |
| &nbsp;&nbsp;Series 2021-158 SB, (SOFR30A + 3.70%), due 9/20/51<sup>(a)(b)</sup> | 1058406 | 47834 |
| &nbsp;&nbsp;Series 2021-179 SA, 1.814% (1-Month LIBOR + 6.30%), due 11/20/50<sup>(a)(b)</sup> | 1435938 | 193068 |
| &nbsp;&nbsp;Series 2021-188 IO, 2.500% due 10/20/51<sup>(b)</sup> | 1636535 | 261850 |
| &nbsp;&nbsp;Series 2021-214 SA, (SOFR30A + 1.70%), due 12/20/51<sup>(a)(b)</sup> | 16441998 | 65475 |
| &nbsp;&nbsp;Series 2021-30 DI, 2.500% due 2/20/51<sup>(b)</sup> | 1429746 | 190720 |
| &nbsp;&nbsp;Series 2021-30 WI, 2.500% due 2/20/51<sup>(b)</sup> | 1472587 | 198214 |
| &nbsp;&nbsp;Series 2021-41 FS, 2.000% (SOFR30A + 0.20%), due 10/20/50<sup>(a)(b)</sup> | 1219776 | 123794 |
| &nbsp;&nbsp;Series 2021-42 BI, 2.500% due 3/20/51<sup>(b)</sup> | 668217 | 70243 |
| &nbsp;&nbsp;Series 2021-46 QS, 1.814% (1-Month LIBOR + 6.30%), due 3/20/51<sup>(a)(b)</sup> | 634519 | 82843 |
| &nbsp;&nbsp;Series 2021-57 SD, 1.814% (1-Month LIBOR + 6.30%), due 3/20/51<sup>(a)(b)</sup> | 1470675 | 187691 |
| &nbsp;&nbsp;Series 2021-83 FM, 2.500% (SOFR30A + 0.51%), due 5/20/51<sup>(a)</sup> | 1731116 | 1461614 |
| &nbsp;&nbsp;Series 2021-96 FG, 3.500% (SOFR30A + 0.30%), due 6/20/51<sup>(a)</sup> | 579452 | 521898 |
| &nbsp;&nbsp;Series 2021-97 FA, 3.000% (SOFR30A + 0.40%), due 6/20/51<sup>(a)</sup> | 360328 | 313539 |
| &nbsp;&nbsp;Series 2021-97 IN, 2.500% due 8/20/49<sup>(b)</sup> | 1447154 | 148154 |
| &nbsp;&nbsp;Series 2021-97 SA, (SOFR30A + 2.60%), due 6/20/51<sup>(a)(b)</sup> | 5200386 | 67664 |
| &nbsp;&nbsp;Series 2021-98 IN, 3.000% due 6/20/51<sup>(b)</sup> | 638660 | 112490 |
| &nbsp;&nbsp;Series 2022-1 IA, 2.500% due 6/20/50<sup>(b)</sup> | 207592 | 27798 |
| &nbsp;&nbsp;Series 2022-189 AT, 3.000% due 7/20/51 | 816975 | 747570 |
| &nbsp;&nbsp;Series 2022-19 SG, (SOFR30A + 2.45%), due 1/20/52<sup>(a)(b)</sup> | 1796495 | 17365 |
| &nbsp;&nbsp;Series 2022-206 CN, 3.000% due 2/20/52 | 700130 | 636369 |
| &nbsp;&nbsp;Series 2022-206 WN, 4.000% due 10/20/49 | 943178 | 925879 |
| &nbsp;&nbsp;Series 2022-24 SC, (SOFR30A + 2.37%), due 2/20/52<sup>(a)(b)</sup> | 8963206 | 94007 |
| &nbsp;&nbsp;Series 2022-29 FN, 4.000% (SOFR30A + 0.50%), due 7/20/51<sup>(a)</sup> | 246543 | 227688 |
| &nbsp;&nbsp;Series 2022-34 HS, 0.274% (SOFR30A + 4.10%), due 2/20/52<sup>(a)(b)</sup> | 2474496 | 89571 |
|  |  | 35822067 |
| **Total United States Government Agency Mortgage-Backed Securities** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**(Cost $35,900,622)** |  | **35822067** |

---

Schedule of Investments ─ IQ MacKay ESG Core Plus Bond ETF (continued)

January 31, 2023 (unaudited)

---

| | | |
|:---|:---|:---|
|  | **Shares** | **Value** |
| **Short-Term Investment — 0.7%** |  |  |
| **Money Market Fund — 0.7%** |  |  |
| Dreyfus Government Cash Management Fund, Institutional Shares, 4.23%<sup>(h)(i)</sup> | 715949 | $715949 |
| BlackRock Liquidity Funds Treasury Trust Fund Portfolio, Institutional Class, 4.07%<sup>(h)</sup> | 1096468 | 1096468 |
| **Total Short-Term Investment<br> (Cost $1,812,417)** |  | **1812417** |
| **Total Investments — 99.9%** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**(Cost $258,652,636)** |  | **256047088** |
| **Other Assets and Liabilities, Net — 0.1%** |  | **318638** |
| **Net Assets — 100.0%** |  | $**256365726** |

---

(a) Variable rate securities that may
 be tendered back to the issuer at any time prior to maturity at par. Rate shown is the rate in effect as of January 31, 2023.

(b) An interest only security is the interest only portion
 of a fixed income security, which is separated and sold individually from the principal portion of the security.

(c) Adjustable rate security with an interest rate that is
 not based on a published reference index and spread. The rate is based on the structure of the agreement and current market conditions.

(d) All or a portion of the security was on loan. In addition,
 "Other Assets and Liabilities, Net" may include pending sales that are also on loan. The aggregate market value of
 securities on loan was $14,542,222; total market value of collateral held by the Fund was $14,901,884. Market value of the collateral
 held includes non-cash U.S. Treasury securities collateral having a value of $14,185,935.

(e) Less than 0.05%.

(f) The security was issued on a discount basis with no stated
 coupon rate. Rate shown reflects the effective yield.

(g) A principal only security is the principal only portion
 of a fixed income security, which is separated and sold individually from the interest portion of the security.

(h) Reflects the 7-day yield at January 31, 2023.

(i) Represents security purchased with cash collateral received
 for securities on loan.

---

| | |
|:---|:---|
| **Abbreviations** | **Abbreviations** |
| CMT | - Constant Maturity Treasury Index |
| FREMF | - Freddie MAC Multifamily Securities |
| LIBOR | - London InterBank Offered Rate |
| SOFR | - Secured Financing Overnight Rate |

---

Schedule of Investments ─ IQ MacKay ESG Core Plus Bond ETF (continued)

January 31, 2023 (unaudited)

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Open futures contracts outstanding at January 31, 2023:** | **Open futures contracts outstanding at January 31, 2023:** | **Open futures contracts outstanding at January 31, 2023:** | **Open futures contracts outstanding at January 31, 2023:** | **Open futures contracts outstanding at January 31, 2023:** | **Open futures contracts outstanding at January 31, 2023:** | **Open futures contracts outstanding at January 31, 2023:** |
| **Type** | **Broker** | **Expiration Date** | **Number of<br> Contracts<br> Purchased<br> (Sold)** | **Notional <br> Value at <br> Trade Date** | **Notional Value at<br> January 31, 2023** | **Unrealized<br> Appreciation<br> (Depreciation)** |
| U.S. 10 Ultra (CBT) | Citigroup Global Markets Inc. | March 2023 | 164 | $19552450 | $19877313 | $324863 |
| U.S. 10 Year Note (CBT) | RBC Capital Markets | March 2023 | 28 | 3203876 | 3206437 | 2561 |
| U.S. Long Bond (CBT) | Citigroup Global Markets Inc. | March 2023 | 18 | 2282355 | 2337750 | 55395 |
| U.S. Ultra Bond (CBT) | Citigroup Global Markets Inc. | March 2023 | 44 | 5950878 | 6237000 | 286122 |
|  |  |  |  |  |  | $668941 |

---

CBT — Chicago Board of Trade

Cash posted as collateral to broker for futures contracts was $867,200 at January 31, 2023.

The following is a summary of the inputs used to value the Fund's investments as of January 31, 2023. For more information on the valuation techniques, and their aggregation into the levels used in the table below, please refer to the Fund's most recent semi-annual or annual financial statements.

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Description** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| **Asset Valuation Inputs** |  |  |  |  |
| Investments in Securities:<sup>(j)</sup> |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Collateralized Mortgage Obligations | $– | $22020955 | $– | $22020955 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Commercial Asset-Backed Securities |  | 20579485 |  | 20579485 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Commercial Mortgage-Backed Securities |  | 18647989 |  | 18647989 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Corporate Bonds |  | 71452811 |  | 71452811 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Foreign Bonds |  | 29389294 |  | 29389294 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Foreign Government Obligations |  | 716697 |  | 716697 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;U.S. Treasury Bonds |  | 18683522 |  | 18683522 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;U.S. Treasury Notes |  | 36921851 |  | 36921851 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;United States Government Agency Mortgage-Backed Securities |  | 35822067 |  | 35822067 |
| Short-Term Investment: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Money Market Fund | 1812417 | – | – | 1812417 |
| Total Investments in Securities | 1812417 | 254234671 | – | 256047088 |
| Other Financial Instruments:<sup>(k)</sup> |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Futures Contracts | 668941 | – | – | 668941 |
| Total Investments in Securities and Other Financial Instruments | $2481358 | $254234671 | $– | $256716029 |

---

(j) For a complete listing of investments
 and their states, see the Schedule of Investments.

(k) Reflects the unrealized appreciation (depreciation) of
 the instruments.

For the period ended January 31, 2023 the Fund did not have any transfers into or out of Level 3 within the fair value hierarchy.

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** IndexIQ Active ETF Trust

- **b. Investment Company Act file number:** 811-22739

- **c. CIK number of Registrant:** 0001426439

- **d. LEI of Registrant:** 549300VWZDQ61K9DOP39

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

  - **Street Address 1:** 51 Madison Avenue

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10010

  - **Telephone number:** 888-474-7725

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

- **a. Name of Series:** IQ MacKay ESG Core Plus Bond ETF

- **b. EDGAR series identifier (if any):** S000071156

- **c. LEI of Series:** 549300LXJK55YI2K3A41

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

- **a. Date of fiscal year-end:** 2023-04-30

- **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:** $259046760.73

**Total Liabilities:** $2680709.66

**Net Assets:** $256366051.07

**Delayed Delivery Securities:** $372236.25

**Cash Not Reported:** $814930.21

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 42.06843000 | **1-Year:** 8972.36295000 | **5-Year:** 51619.31547000 | **10-Year:** 25434.03476000 | **30-Year:** 3413.11484000

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

- **3-Month:** 0.00000000 | **1-Year:** 1985.93777000 | **5-Year:** 8834.14963000 | **10-Year:** 2456.95122000 | **30-Year:** 14.39711000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000225893 | 3.70%                | -0.51%               | 3.98%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-1406434.65             | $8479810.94                                |
| Month 2  | $235784.48               | $-2200127.64                               |
| Month 3  | $769933.54               | $7329353.37                                |

**Designated Index Information**

- **Index Name:** Bloomberg 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Avis Budget Rental Car Funding              | Avis Budget Rental Car Funding AESOP LLC                                        | CUSIP: 05377REH3<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $88749.29     | 0.03%             | 2027-08-20      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                | Barclays PLC                                                                    | CUSIP: 06738EAP0<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    750000 | PA      | $746980.88    | 0.29%             | 2026-05-12      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38382CDW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1462238 | PA      | $20635.10     | 0.01%             | 2050-01-20      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                              | Morgan Stanley                                                                  | CUSIP: 61747YEH4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    950000 | PA      | $784564.11    | 0.31%             | 2032-10-20      | Fixed         | 2.51%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT LIGHT & PWR                     | Connecticut Light and Power Co/The                                              | CUSIP: 207597EL5<br>LEI: 549300O45IUXEDS1VZ32 | Long             | DBT              | CORP              | US        |     85000 | PA      | $76704.17     | 0.03%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MACQUARIE GROUP LTD                         | Macquarie Group Ltd                                                             | CUSIP: 55608JBC1<br>LEI: ACMHD8HWFMFUIQQ8Y590 | Long             | DBT              | CORP              | AU        |    420000 | PA      | $401068.79    | 0.16%             | 2028-06-21      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| AMERICAN WATER CAPITAL C                    | American Water Capital Corp                                                     | CUSIP: 03040WAZ8<br>LEI: 5IDHQUFVC8Q2KIBBFF06 | Long             | DBT              | CORP              | US        |    460000 | PA      | $349172.65    | 0.14%             | 2051-06-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                 | BNP Paribas SA                                                                  | CUSIP: 05565ASK0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    240000 | PA      | $196322.08    | 0.08%             | N/A             | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE                     | Nissan Motor Acceptance Co LLC                                                  | CUSIP: 65480CAC9<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |    995000 | PA      | $859464.37    | 0.34%             | 2026-09-16      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| EXPEDIA GROUP INC                           | Expedia Group Inc                                                               | CUSIP: 30212PAR6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    520000 | PA      | $457117.26    | 0.18%             | 2030-02-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                    | Ford Motor Credit Co LLC                                                        | CUSIP: 345397C43<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    435000 | PA      | $444822.30    | 0.17%             | 2026-03-06      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                         | COMM 2012-CCRE4 Mortgage Trust                                                  | CUSIP: 12624QAT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    185000 | PA      | $170200.07    | 0.07%             | 2045-10-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| CPS Auto Trust                              | CPS Auto Receivables Trust 2020-B                                               | CUSIP: 12656CAJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $504851.60    | 0.20%             | 2027-06-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust                 | Extended Stay America Trust 2021-ESH                                            | CUSIP: 30227FAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    292858 | PA      | $285342.27    | 0.11%             | 2038-07-15      | Floating      | 6.71%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                  | US Bancorp                                                                      | CUSIP: 91159HJH4<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    440000 | PA      | $452094.07    | 0.18%             | 2026-10-21      | Fixed         | 5.73%                 | No            |                  2 | On Loan: No      |
| BATH & BODY WORKS INC                       | Bath & Body Works Inc                                                           | CUSIP: 501797AU8<br>LEI: GR3KVMWVCR54YWQNXU90 | Long             | DBT              | CORP              | US        |    121000 | PA      | $129509.93    | 0.05%             | 2025-07-01      | Fixed         | 9.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38382ML56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    850769 | PA      | $109745.76    | 0.04%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Firstkey Homes Trust                        | FirstKey Homes 2021-SFR1 Trust                                                  | CUSIP: 33767WAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $88784.44     | 0.03%             | 2038-08-17      | Fixed         | 1.79%                 | No            |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC                     | CF Hippolyta Issuer LLC                                                         | CUSIP: 12530MAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    551469 | PA      | $468791.88    | 0.18%             | 2060-07-15      | Fixed         | 1.99%                 | No            |                  2 | On Loan: No      |
| Manhattan West                              | Manhattan West 2020-1MW Mortgage Trust                                          | CUSIP: 563136AJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    260000 | PA      | $214303.91    | 0.08%             | 2039-09-10      | Variable      | 2.33%                 | No            |                  2 | On Loan: No      |
| STARWOOD PROPERTY TRUST                     | Starwood Property Trust Inc                                                     | CUSIP: 85571BAY1<br>LEI: BUGSFQZERKRBFWIG5267 | Long             | DBT              | CORP              | US        |    680000 | PA      | $610300.00    | 0.24%             | 2027-01-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                  | Navient Private Education Refi Loan Trust 2021-E                                | CUSIP: 63942EAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $67987.94     | 0.03%             | 2069-12-16      | Fixed         | 2.03%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                            | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 30711XJW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    510000 | PA      | $543543.06    | 0.21%             | 2029-10-25      | Floating      | 9.36%                 | No            |                  2 | On Loan: No      |
| BERRY GLOBAL INC                            | Berry Global Inc                                                                | CUSIP: 085770AA3<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |    755000 | PA      | $735370.00    | 0.29%             | 2026-07-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                | CSMC 2020-WEST Trust                                                            | CUSIP: 12655QAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    800000 | PA      | $649633.28    | 0.25%             | 2035-02-15      | Fixed         | 3.04%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38382VET2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2712888 | PA      | $35298.21     | 0.01%             | 2051-06-20      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                             | Fannie Mae Interest Strip                                                       | CUSIP: 31423XQF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2162484 | PA      | $316816.89    | 0.12%             | 2051-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY BANK                              | Synchrony Bank                                                                  | CUSIP: 87166FAD5<br>LEI: 549300UATVPGSLE43Z27 | Long             | DBT              | CORP              | US        |    715000 | PA      | $712124.63    | 0.28%             | 2025-08-22      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                  | Progress Residential 2020-SFR3 Trust                                            | CUSIP: 74333AAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     99588 | PA      | $90383.21     | 0.04%             | 2027-10-17      | Fixed         | 1.29%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38382VKV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1447154 | PA      | $148153.51    | 0.06%             | 2049-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CITIZENS FINANCIAL GROUP                    | Citizens Financial Group Inc                                                    | CUSIP: 174610AT2<br>LEI: 2138004JDDA4ZQUPFW65 | Long             | DBT              | CORP              | US        |    285000 | PA      | $257102.39    | 0.10%             | 2030-04-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                      | Credit Suisse Group AG                                                          | CUSIP: 225401AU2<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    435000 | PA      | $328862.55    | 0.13%             | 2032-05-14      | Fixed         | 3.09%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                        | FREMF 2018-K78 Mortgage Trust                                                   | CUSIP: 30296XAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    182000 | PA      | $170144.39    | 0.07%             | 2051-06-25      | Variable      | 4.13%                 | No            |                  2 | On Loan: No      |
| FIDELITY NATL INFO SERV                     | Fidelity National Information Services Inc                                      | CUSIP: 31620MBY1<br>LEI: 6WQI0GK1PRFVBA061U48 | Long             | DBT              | CORP              | US        |    715000 | PA      | $716917.39    | 0.28%             | 2032-07-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38383FT37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8963206 | PA      | $94007.00     | 0.04%             | 2052-02-20      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                | UBS Group AG                                                                    | CUSIP: 902613AC2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    570000 | PA      | $510451.78    | 0.20%             | 2027-01-30      | Fixed         | 1.36%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding              | Avis Budget Rental Car Funding AESOP LLC                                        | CUSIP: 05377REJ9<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    315000 | PA      | $273796.61    | 0.11%             | 2027-08-20      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust              | Bayview Commercial Asset Trust 2006-4                                           | CUSIP: 07325BAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     59741 | PA      | $55715.61     | 0.02%             | 2036-12-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac Structured Agency Credit Risk Debt Notes                            | CUSIP: 3137G0UD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    384305 | PA      | $387184.01    | 0.15%             | 2030-09-25      | Floating      | 6.81%                 | No            |                  2 | On Loan: No      |
| SEALED AIR CORP                             | Sealed Air Corp                                                                 | CUSIP: 81211KAW0<br>LEI: Q0M0CZB4YN6JZ65WXI09 | Long             | DBT              | CORP              | US        |    205000 | PA      | $203462.50    | 0.08%             | 2024-12-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GZM9<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    845000 | PA      | $724132.71    | 0.28%             | 2033-02-24      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38382WHE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    553535 | PA      | $500372.71    | 0.20%             | 2051-07-20      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| NORDSTROM INC                               | Nordstrom Inc                                                                   | CUSIP: 655664AY6<br>LEI: 549300S3IZB5P35KNV16 | Long             | DBT              | CORP              | US        |    455000 | PA      | $341664.05    | 0.13%             | 2031-08-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                        | FREMF 2016-K58 Mortgage Trust                                                   | CUSIP: 35690AAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $187477.82    | 0.07%             | 2049-09-25      | Variable      | 3.74%                 | No            |                  2 | On Loan: No      |
| WILLIS NORTH AMERICA INC                    | Willis North America Inc                                                        | CUSIP: 970648AJ0<br>LEI: 5493004KVU1HWZCP0C66 | Long             | DBT              | CORP              | US        |     80000 | PA      | $70791.09     | 0.03%             | 2029-09-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| CLEAN HARBORS INC                           | Clean Harbors Inc                                                               | CUSIP: 184496AN7<br>LEI: 5493000SJVZVZJKHJF48 | Long             | DBT              | CORP              | US        |    290000 | PA      | $279786.20    | 0.11%             | 2027-07-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38382DM30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1142083 | PA      | $123724.66    | 0.05%             | 2050-03-20      | Floating      | 1.56%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137FWMZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    881875 | PA      | $32957.17     | 0.01%             | 2050-10-25      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2021-DNA5                                         | CUSIP: 35564KHE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     45111 | PA      | $44632.74     | 0.02%             | 2034-01-25      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| DELL INT LLC / EMC CORP                     | Dell International LLC / EMC Corp                                               | CUSIP: 24703DBL4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    355000 | PA      | $354720.88    | 0.14%             | 2033-02-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: —       |
| CITIZENS BANK NA/RI                         | Citizens Bank NA/Providence RI                                                  | CUSIP: 75524KPT5<br>LEI: DRMSV1Q0EKMEXLAU1P80 | Long             | DBT              | CORP              | US        |    795000 | PA      | $806538.77    | 0.31%             | 2025-10-24      | Fixed         | 6.06%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137FXMY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    546986 | PA      | $84253.14     | 0.03%             | 2050-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust               | MASTR Alternative Loan Trust 2005-5                                             | CUSIP: 576434T20<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    535292 | PA      | $288745.76    | 0.11%             | 2035-08-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF CHILE                           | Chile Government International Bond                                             | CUSIP: 168863DT2<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |    425000 | PA      | $346119.80    | 0.14%             | 2033-07-27      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELEC & POWER CO                    | Virginia Electric and Power Co                                                  | CUSIP: 927804GJ7<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |    500000 | PA      | $469413.72    | 0.18%             | 2052-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                           | HSBC Holdings PLC                                                               | CUSIP: 404280CC1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    230000 | PA      | $212106.51    | 0.08%             | 2030-05-22      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR Remic Trust 2020-DNA2                                         | CUSIP: 35565KAH1<br>LEI: 5493007ZK0X40BI7UF30 | Long             | ABS-MBS          | CORP              | US        |     52598 | PA      | $52485.76     | 0.02%             | 2050-02-25      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137H6KC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    724330 | PA      | $671070.78    | 0.26%             | 2052-02-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch               | BAMLL Commercial Mortgage Securities Trust 2022-DKLX                            | CUSIP: 05530SAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $95065.96     | 0.04%             | 2039-01-15      | Floating      | 7.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 3136BFLG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    302668 | PA      | $45206.68     | 0.02%             | 2051-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                      | Standard Chartered PLC                                                          | CUSIP: 853254BX7<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |     70000 | PA      | $60000.50     | 0.02%             | N/A             | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes 2020-SFR1 Trust              | FirstKey Homes 2020-SFR1 Trust                                                  | CUSIP: 33767MAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    537596 | PA      | $490833.89    | 0.19%             | 2037-08-17      | Fixed         | 1.34%                 | No            |                  2 | On Loan: No      |
| TEVA PHARMACEUTICALS NE                     | Teva Pharmaceutical Finance Netherlands III BV                                  | CUSIP: 88167AAE1<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |    250000 | PA      | $224295.00    | 0.09%             | 2026-10-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                        | Royal Bank of Canada                                                            | CUSIP: 78016EYZ4<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |    555000 | PA      | $542322.05    | 0.21%             | 2027-01-21      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2020-DNA6                                         | CUSIP: 35566CBD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    425000 | PA      | $409220.90    | 0.16%             | 2050-12-25      | Floating      | 7.31%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132DWFF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3914405 | PA      | $3866209.89   | 1.51%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC                     | CF Hippolyta Issuer LLC                                                         | CUSIP: 12530MAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    255325 | PA      | $225036.90    | 0.09%             | 2061-03-15      | Fixed         | 1.53%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2021-DNA5                                         | CUSIP: 35564KJA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    785000 | PA      | $747733.70    | 0.29%             | 2034-01-25      | Floating      | 7.36%                 | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch               | BAMLL Commercial Mortgage Securities Trust 2022-DKLX                            | CUSIP: 05530SAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    305000 | PA      | $289268.65    | 0.11%             | 2039-01-15      | Floating      | 8.61%                 | No            |                  2 | On Loan: No      |
| AMERICAN HONDA FINANCE                      | American Honda Finance Corp                                                     | CUSIP: 02665WED9<br>LEI: B6Q2VFHD1797Q7NZ3E43 | Long             | DBT              | CORP              | US        |   1175000 | PA      | $1186548.18   | 0.46%             | 2028-01-12      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| New Economy Assets Phase 1 Iss              | New Economy Assets Phase 1 Sponsor LLC                                          | CUSIP: 643821AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    550000 | PA      | $478977.40    | 0.19%             | 2061-10-20      | Fixed         | 1.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 3136BGKA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    214958 | PA      | $26768.44     | 0.01%             | 2051-06-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| STARBUCKS CORP                              | Starbucks Corp                                                                  | CUSIP: 855244AU3<br>LEI: OQSJ1DU9TAOC51A47K68 | Long             | DBT              | CORP              | US        |    300000 | PA      | $274161.60    | 0.11%             | 2049-08-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust                     | CarMax Auto Owner Trust 2021-4                                                  | CUSIP: 14317JAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    330000 | PA      | $297915.35    | 0.12%             | 2027-04-15      | Fixed         | 0.82%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                        | FREMF 2018-K733 Mortgage Trust                                                  | CUSIP: 35708YAS5<br>LEI: 549300KQ08QVSM4XK212 | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $94098.31     | 0.04%             | 2051-02-25      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                        | FREMF 2017-K71 Mortgage Trust                                                   | CUSIP: 35708WAS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    505000 | PA      | $473475.73    | 0.18%             | 2050-11-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| BANK OF MONTREAL                            | Bank of Montreal                                                                | CUSIP: 06368D3S1<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |    380000 | PA      | $371028.33    | 0.14%             | 2025-06-07      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                      | Mitsubishi UFJ Financial Group Inc                                              | CUSIP: 606822BX1<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   1085000 | PA      | $879555.65    | 0.34%             | 2032-07-20      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                         | Intesa Sanpaolo SpA                                                             | CUSIP: 46115HBU0<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |    830000 | PA      | $857121.45    | 0.33%             | 2025-11-21      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38145GAH3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    340000 | PA      | $326569.96    | 0.13%             | 2026-11-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR Trust 2018-DNA2                                               | CUSIP: 35563TAV3<br>LEI: 549300L8K4CLYS7FCQ06 | Long             | ABS-MBS          | CORP              | US        |    585000 | PA      | $597175.31    | 0.23%             | 2030-12-25      | Floating      | 8.21%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust/F              | Ford Credit Auto Owner Trust 2020-REV2                                          | CUSIP: 34532JAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $90862.24     | 0.04%             | 2033-04-15      | Fixed         | 1.06%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                | Barclays PLC                                                                    | CUSIP: 06738EBT1<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    585000 | PA      | $475504.61    | 0.19%             | N/A             | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                        | Kraft Heinz Foods Co                                                            | CUSIP: 50077LAL0<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |    324000 | PA      | $324541.10    | 0.13%             | 2035-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HARTFORD FINL SVCS GRP                      | Hartford Financial Services Group Inc/The                                       | CUSIP: 416515BC7<br>LEI: IU7C3FTM7Y3BQM112U94 | Long             | DBT              | CORP              | US        |     50000 | PA      | $42762.50     | 0.02%             | 2047-02-12      | Floating      | 6.73%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC                 | Hertz Vehicle Financing III LP                                                  | CUSIP: 42806MAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $442218.95    | 0.17%             | 2027-12-27      | Fixed         | 1.68%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                            | Societe Generale SA                                                             | CUSIP: 83370RAB4<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    435000 | PA      | $386976.00    | 0.15%             | N/A             | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132DWDU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    959990 | PA      | $927089.18    | 0.36%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137F6TN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    660069 | PA      | $133013.04    | 0.05%             | 2050-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust                  | GLS Auto Receivables Issuer Trust 2020-1                                        | CUSIP: 36258XAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    350000 | PA      | $336475.93    | 0.13%             | 2026-11-16      | Fixed         | 3.68%                 | No            |                  2 | On Loan: No      |
| IRON MOUNTAIN INC                           | Iron Mountain Inc                                                               | CUSIP: 46284VAF8<br>LEI: SQL3F6CKNNBM3SQGHX24 | Long             | DBT              | CORP              | US        |    205000 | PA      | $185142.68    | 0.07%             | 2029-09-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                | Barclays PLC                                                                    | CUSIP: 06738EBX2<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    320000 | PA      | $321328.00    | 0.13%             | N/A             | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| COVANTA HOLDING CORP                        | Covanta Holding Corp                                                            | CUSIP: 22303XAA3<br>LEI: 40XIFLS8XDQGGHGPGC04 | Long             | DBT              | CORP              | US        |    801000 | PA      | $699873.75    | 0.27%             | 2029-12-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Hawaii Hotel Trust 2019-MAUI                | Hawaii Hotel Trust 2019-MAUI                                                    | CUSIP: 41975AAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    240000 | PA      | $235789.75    | 0.09%             | 2038-05-15      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                | Drive Auto Receivables Trust 2021-2                                             | CUSIP: 262104AF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     85000 | PA      | $79526.82     | 0.03%             | 2029-03-15      | Fixed         | 1.39%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38383HKK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    943178 | PA      | $925879.01    | 0.36%             | 2049-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38382PYU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    668217 | PA      | $70242.64     | 0.03%             | 2051-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38382KL68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1908704 | PA      | $245723.92    | 0.10%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MSCI INC                                    | MSCI Inc                                                                        | CUSIP: 55354GAQ3<br>LEI: 549300HTIN2PD78UB763 | Long             | DBT              | CORP              | US        |    360000 | PA      | $295200.00    | 0.12%             | 2033-08-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                  | AMSR 2020-SFR1 Trust                                                            | CUSIP: 00180AAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    579444 | PA      | $538490.60    | 0.21%             | 2037-04-17      | Fixed         | 1.82%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                 | BNP Paribas SA                                                                  | CUSIP: 09659W2K9<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    600000 | PA      | $520729.66    | 0.20%             | 2031-01-13      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                            | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 30711XNW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    375000 | PA      | $383959.54    | 0.15%             | 2030-01-25      | Floating      | 8.11%                 | No            |                  2 | On Loan: No      |
| PFS Financing Corp.                         | PFS Financing Corp                                                              | CUSIP: 69335PEP6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    335000 | PA      | $331403.67    | 0.13%             | 2027-08-15      | Fixed         | 4.27%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                        | Bank of America Corp                                                            | CUSIP: 06051GJT7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    440000 | PA      | $371471.18    | 0.14%             | 2032-04-22      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| JBS USA/FOOD/FINANCE                        | JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc                          | CUSIP: 46590XAH9<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |    790000 | PA      | $774642.40    | 0.30%             | 2033-04-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2022-DNA1                                         | CUSIP: 35564KQY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    410000 | PA      | $384430.02    | 0.15%             | 2042-01-25      | Floating      | 7.71%                 | No            |                  2 | On Loan: No      |
| BRITISH AIR 21-1 A PPT                      | British Airways 2021-1 Class A Pass Through Trust                               | CUSIP: 11042CAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    403449 | PA      | $331845.16    | 0.13%             | 2035-03-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Trust 2021-ARIA                                                              | CUSIP: 05608RAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    320000 | PA      | $298374.56    | 0.12%             | 2036-10-15      | Floating      | 6.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38383GRY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    207592 | PA      | $27797.62     | 0.01%             | 2050-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PROLOGIS LP                                 | Prologis LP                                                                     | CUSIP: 74340XBY6<br>LEI: GL16H1DHB0QSHP25F723 | Long             | DBT              | CORP              | US        |    430000 | PA      | $386670.58    | 0.15%             | 2029-11-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                        | FREMF 2019-K94 Mortgage Trust                                                   | CUSIP: 30310XAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    395000 | PA      | $368197.99    | 0.14%             | 2052-07-25      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BLDG SOCIETY                     | Nationwide Building Society                                                     | CUSIP: 63861VAF4<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |    655000 | PA      | $595662.05    | 0.23%             | 2028-02-16      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2021-HQA2                                         | CUSIP: 35564KFV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    575000 | PA      | $549864.74    | 0.21%             | 2033-12-25      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage               | Citigroup Commercial Mortgage Trust 2013-GC17                                   | CUSIP: 17321RAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    428000 | PA      | $422475.03    | 0.16%             | 2046-11-10      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38382JXP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2110008 | PA      | $35322.59     | 0.01%             | 2050-09-20      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                          | Ally Financial Inc                                                              | CUSIP: 36186CBY8<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |    415000 | PA      | $457058.79    | 0.18%             | 2031-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer              | WaMu Mortgage Pass-Through Certificates Series 2004-AR13 Trust                  | CUSIP: 92922FB80<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     57001 | PA      | $51697.53     | 0.02%             | 2034-11-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP                      | Mizuho Financial Group Inc                                                      | CUSIP: 60687YBX6<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |    395000 | PA      | $357224.98    | 0.14%             | 2030-05-22      | Fixed         | 3.26%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                         | Nomura Holdings Inc                                                             | CUSIP: 65535HAY5<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |    860000 | PA      | $732616.63    | 0.29%             | 2028-07-14      | Fixed         | 2.17%                 | No            |                  2 | On Loan: No      |
| arbor multifamily mortgage sec              | Arbor Multifamily Mortgage Securities Trust 2021-MF2                            | CUSIP: 03881VAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $84032.86     | 0.03%             | 2054-06-15      | Fixed         | 2.51%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 3136BLHM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    377757 | PA      | $1588.54      | 0.00%             | 2052-02-25      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                    | Ford Motor Credit Co LLC                                                        | CUSIP: 345397A86<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   1190000 | PA      | $1097513.20   | 0.43%             | 2027-08-17      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | CBOT US Long Bond                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        18 | NC      | $55394.89     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| VERIZON COMMUNICATIONS                      | Verizon Communications Inc                                                      | CUSIP: 92343VEU4<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    435000 | PA      | $417064.38    | 0.16%             | 2029-12-03      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                     | BPCE SA                                                                         | CUSIP: 05578AAY4<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    775000 | PA      | $780232.93    | 0.30%             | 2028-01-18      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                  | AMSR 2020-SFR3 Trust                                                            | CUSIP: 001807AB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    660000 | PA      | $598992.70    | 0.23%             | 2037-09-17      | Fixed         | 1.81%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                        | FREMF 2018-K80 Mortgage Trust                                                   | CUSIP: 30307RAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    323000 | PA      | $303234.02    | 0.12%             | 2050-08-25      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                         | Southern California Edison Co                                                   | CUSIP: 842400HT3<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    605000 | PA      | $658548.74    | 0.26%             | 2032-11-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                               | Citigroup Inc                                                                   | CUSIP: 172967NE7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    825000 | PA      | $675381.97    | 0.26%             | 2032-11-03      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                     | BPCE SA                                                                         | CUSIP: 05583JAK8<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   1220000 | PA      | $1079499.79   | 0.42%             | 2027-10-19      | Fixed         | 2.04%                 | No            |                  2 | On Loan: No      |
| PROTECTIVE LIFE CORP                        | Protective Life Corp                                                            | CUSIP: 743674AY9<br>LEI: 549300ZWIT8J8Y2EXL07 | Long             | DBT              | CORP              | US        |    138000 | PA      | $173972.78    | 0.07%             | 2039-10-15      | Fixed         | 8.45%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                        | Colombia Government International Bond                                          | CUSIP: 195325EG6<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |    375000 | PA      | $370577.31    | 0.14%             | 2034-02-02      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| TEVA PHARMACEUTICAL INDU                    | Teva Pharmaceutical Finance Netherlands III BV                                  | CUSIP: 88167AAP6<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |    575000 | PA      | $534031.25    | 0.21%             | 2027-05-09      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| WESTPAC BANKING CORP                        | Westpac Banking Corp                                                            | CUSIP: 961214FK4<br>LEI: EN5TNI6CI43VEPAMHL14 | Long             | DBT              | CORP              | AU        |    740000 | PA      | $771129.57    | 0.30%             | 2027-11-18      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133BFK33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    397529 | PA      | $372859.92    | 0.15%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AEP TEXAS INC                               | AEP Texas Inc                                                                   | CUSIP: 00108WAQ3<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |    375000 | PA      | $382666.22    | 0.15%             | 2052-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                            | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 30711XY32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    625000 | PA      | $646860.75    | 0.25%             | 2031-01-25      | Floating      | 8.76%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag              | Wells Fargo Commercial Mortgage Trust 2018-AUS                                  | CUSIP: 94990EAA2<br>LEI: 54930012YCNUERXJ1I74 | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $91355.70     | 0.04%             | 2036-08-17      | Variable      | 4.06%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 912810TM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13050000 | PA      | $13486359.38  | 5.26%             | 2042-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: —       |
| LINCOLN NATIONAL CORP                       | Lincoln National Corp                                                           | CUSIP: 534187BN8<br>LEI: EFQMQROEDSNBRIP7LE47 | Long             | DBT              | CORP              | US        |     50000 | PA      | $40012.50     | 0.02%             | 2066-05-17      | Floating      | 7.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137H2T79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1820549 | PA      | $239380.71    | 0.09%             | 2051-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES/AADVAN                    | American Airlines Inc/AAdvantage Loyalty IP Ltd                                 | CUSIP: 00253XAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |    355000 | PA      | $343363.87    | 0.13%             | 2029-04-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                    | Avolon Holdings Funding Ltd                                                     | CUSIP: 05401AAH4<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    525000 | PA      | $492363.75    | 0.19%             | 2025-02-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| JETBLUE 2019-1 CLASS AA                     | JetBlue 2019-1 Class AA Pass Through Trust                                      | CUSIP: 477143AH4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    839902 | PA      | $704585.74    | 0.27%             | 2032-05-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Boca Commercial Mortgage Trust              | BOCA Commercial Mortgage Trust 2022-BOCA                                        | CUSIP: 05592LAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    370000 | PA      | $366087.51    | 0.14%             | 2039-05-15      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| BXHPP Trust                                 | BXHPP Trust 2021-FILM                                                           | CUSIP: 05609JAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    615000 | PA      | $574203.30    | 0.22%             | 2036-08-15      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                  | Flagship Credit Auto Trust 2020-4                                               | CUSIP: 33845XAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $95766.00     | 0.04%             | 2027-02-16      | Fixed         | 1.28%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                            | Freddie Mac Strips                                                              | CUSIP: 31325WXL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    331288 | PA      | $53058.72     | 0.02%             | 2047-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38383RA23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1013202 | PA      | $134832.99    | 0.05%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UNITED RENTALS NORTH AM                     | United Rentals North America Inc                                                | CUSIP: 911363AM1<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |    555000 | PA      | $488437.57    | 0.19%             | 2031-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38382XY58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1058406 | PA      | $47833.91     | 0.02%             | 2051-09-20      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | CME Ultra Long Term US Treasury Bond                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        44 | NC      | $286122.26    | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 3136BFKM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    448580 | PA      | $67150.78     | 0.03%             | 2051-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR Trust 2019-DNA1                                               | CUSIP: 35563KBD1<br>LEI: 5493007222WHFWMBOC78 | Long             | ABS-MBS          | CORP              | US        |    595000 | PA      | $631430.90    | 0.25%             | 2049-01-25      | Floating      | 9.16%                 | No            |                  2 | On Loan: No      |
| American Credit Acceptance Rec              | American Credit Acceptance Receivables Trust 2021-2                             | CUSIP: 025291AD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    615000 | PA      | $575911.95    | 0.22%             | 2027-07-13      | Fixed         | 1.34%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT                       | American Homes 4 Rent LP                                                        | CUSIP: 02666TAC1<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              | CORP              | US        |   1115000 | PA      | $910036.80    | 0.35%             | 2031-07-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38382MGE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    334116 | PA      | $44183.28     | 0.02%             | 2050-12-20      | Floating      | 1.81%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                        | FREMF 2018-K77 Mortgage Trust                                                   | CUSIP: 30296VAU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    245000 | PA      | $229584.53    | 0.09%             | 2051-05-25      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137FUNH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    200592 | PA      | $158372.90    | 0.06%             | 2050-06-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2021-HQA1                                         | CUSIP: 35564KCN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    980000 | PA      | $847837.20    | 0.33%             | 2033-08-25      | Floating      | 7.31%                 | No            |                  2 | On Loan: No      |
| Enterprise Fleet Financing LLC              | Enterprise Fleet Financing 2022-2 LLC                                           | CUSIP: 29374JAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    465000 | PA      | $464708.26    | 0.18%             | 2029-05-21      | Fixed         | 4.79%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 3136BL3H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    657623 | PA      | $87611.03     | 0.03%             | 2052-02-25      | Floating      | 1.44%                 | No            |                  2 | On Loan: No      |
| NSTAR ELECTRIC CO                           | NSTAR Electric Co                                                               | CUSIP: 67021CAT4<br>LEI: 54930080R72Y2Z31UR68 | Long             | DBT              | CORP              | US        |    340000 | PA      | $348331.42    | 0.14%             | 2052-09-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| IRON MOUNTAIN INC                           | Iron Mountain Inc                                                               | CUSIP: 46284VAJ0<br>LEI: SQL3F6CKNNBM3SQGHX24 | Long             | DBT              | CORP              | US        |    280000 | PA      | $253383.20    | 0.10%             | 2030-07-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                        | OneMain Finance Corp                                                            | CUSIP: 682691AB6<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |    400000 | PA      | $347886.46    | 0.14%             | 2027-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                        | FREMF 2019-K97 Mortgage Trust                                                   | CUSIP: 30298PAS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    315000 | PA      | $290092.92    | 0.11%             | 2051-09-25      | Variable      | 3.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38382QWD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1731116 | PA      | $1461614.45   | 0.57%             | 2051-05-20      | Floating      | 2.50%                 | No            |                  2 | On Loan: No      |
| LENNAR CORP                                 | Lennar Corp                                                                     | CUSIP: 526057CD4<br>LEI: 529900G61XVRLX5TJX09 | Long             | DBT              | CORP              | US        |    590000 | PA      | $581993.29    | 0.23%             | 2027-11-29      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust                  | GLS Auto Receivables Issuer Trust 2019-4                                        | CUSIP: 36258HAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    530000 | PA      | $515062.48    | 0.20%             | 2026-08-17      | Fixed         | 4.09%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                    | Lloyds Banking Group PLC                                                        | CUSIP: 53944YAU7<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    580000 | PA      | $566427.58    | 0.22%             | 2033-08-11      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| BANK OF NY MELLON CORP                      | Bank of New York Mellon Corp/The                                                | CUSIP: 06406RBJ5<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |    925000 | PA      | $918608.68    | 0.36%             | 2026-07-24      | Fixed         | 4.41%                 | No            |                  2 | On Loan: No      |
| GM Financial Revolving Receiva              | GM Financial Revolving Receivables Trust 2021-1                                 | CUSIP: 36263HAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    450000 | PA      | $399751.52    | 0.16%             | 2034-06-12      | Fixed         | 1.17%                 | No            |                  2 | On Loan: No      |
| DROP Mortgage Trust 2021-FILE               | DROP Mortgage Trust 2021-FILE                                                   | CUSIP: 26210YAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    425000 | PA      | $406906.52    | 0.16%             | 2043-10-15      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2020-1 A PTT                     | United Airlines 2020-1 Class A Pass Through Trust                               | CUSIP: 90931GAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    403675 | PA      | $408473.02    | 0.16%             | 2027-10-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                        | FREMF 2017-K056 Mortgage Trust                                                  | CUSIP: 30302XAG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    580000 | PA      | $546330.77    | 0.21%             | 2050-07-25      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR Trust 2019-DNA2                                               | CUSIP: 35564LBD8<br>LEI: 549300Y6KOVOWQ8OJC33 | Long             | ABS-MBS          | CORP              | US        |    755000 | PA      | $788808.90    | 0.31%             | 2049-03-25      | Floating      | 8.86%                 | No            |                  2 | On Loan: No      |
| SLG Office Trust                            | SLG Office Trust 2021-OVA                                                       | CUSIP: 78449RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1689000 | PA      | $1412151.62   | 0.55%             | 2041-07-15      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                 | BNP Paribas SA                                                                  | CUSIP: 05565AM34<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    220000 | PA      | $227700.00    | 0.09%             | N/A             | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                        | FREMF 2018-K86 Mortgage Trust                                                   | CUSIP: 30308RAQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    625000 | PA      | $587069.13    | 0.23%             | 2051-11-25      | Variable      | 4.29%                 | No            |                  2 | On Loan: No      |
| LYB INT FINANCE III                         | LYB International Finance III LLC                                               | CUSIP: 50249AAK9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    440000 | PA      | $316560.57    | 0.12%             | 2060-10-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORP                               | DISH DBS Corp                                                                   | CUSIP: 25470XBF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    415000 | PA      | $339545.84    | 0.13%             | 2028-12-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| WASTE CONNECTIONS INC                       | Waste Connections Inc                                                           | CUSIP: 94106BAC5<br>LEI: 549300HDLRTPBQU69P29 | Long             | DBT              | CORP              | CA        |    885000 | PA      | $733637.26    | 0.29%             | 2032-01-15      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| BROADRIDGE FINANCIAL SOL                    | Broadridge Financial Solutions Inc                                              | CUSIP: 11133TAD5<br>LEI: 549300KZDJZQ2YIHRC28 | Long             | DBT              | CORP              | US        |    330000 | PA      | $289594.69    | 0.11%             | 2029-12-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2022-DNA1                                         | CUSIP: 35564KPV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    155000 | PA      | $150122.21    | 0.06%             | 2042-01-25      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| GENERAL MILLS INC                           | General Mills Inc                                                               | CUSIP: 370334CS1<br>LEI: 2TGYMUGI08PO8X8L6150 | Long             | DBT              | CORP              | US        |    980000 | PA      | $985133.37    | 0.38%             | 2025-11-18      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                            | Deutsche Bank AG/New York NY                                                    | CUSIP: 25160PAH0<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    890000 | PA      | $794586.55    | 0.31%             | 2028-01-07      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 91282CGJ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  23120000 | PA      | $23036912.50  | 8.99%             | 2030-01-31      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                        | Bank of America Corp                                                            | CUSIP: 06051GKD0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    940000 | PA      | $777236.11    | 0.30%             | 2032-10-20      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 3136BBX23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    937587 | PA      | $122861.17    | 0.05%             | 2050-10-25      | Floating      | 1.74%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XBRF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    115476 | PA      | $105257.27    | 0.04%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                 | BNP Paribas SA                                                                  | CUSIP: 09659W2V5<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    650000 | PA      | $654961.06    | 0.26%             | 2029-01-13      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| STARWOOD PROPERTY TRUST                     | Starwood Property Trust Inc                                                     | CUSIP: 85571BAW5<br>LEI: BUGSFQZERKRBFWIG5267 | Long             | DBT              | CORP              | US        |     50000 | PA      | $47483.63     | 0.02%             | 2024-12-31      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                              | Morgan Stanley                                                                  | CUSIP: 61747YEM3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    225000 | PA      | $213807.29    | 0.08%             | 2026-02-18      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| PRUDENTIAL FINANCIAL INC                    | Prudential Financial Inc                                                        | CUSIP: 744320BJ0<br>LEI: 5PRBRS5FEH7NREC8OR45 | Long             | DBT              | CORP              | US        |    320000 | PA      | $298528.00    | 0.12%             | 2052-03-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                               | Citigroup Inc                                                                   | CUSIP: 172967MU2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     70000 | PA      | $64759.89     | 0.03%             | N/A             | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38383VFT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    845000 | PA      | $801857.94    | 0.31%             | 2050-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                 | BNP Paribas SA                                                                  | CUSIP: 05565AB28<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    465000 | PA      | $406875.00    | 0.16%             | N/A             | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 912810TL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4860000 | PA      | $5197162.50   | 2.03%             | 2052-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AMER AIRLINE 19-1B PTT                      | American Airlines 2019-1 Class B Pass Through Trust                             | CUSIP: 02379DAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    373640 | PA      | $330523.48    | 0.13%             | 2028-02-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| DREYFUS GOVERNMENT CASH MANAGEMENT          | DREYFUS GOVERNMENT CASH MANAGEMENT                                              | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | RF                | US        |    715953 | NS      | $715952.85    | 0.28%             |  |  |  | No            |                  1 | On Loan: No      |
| Hertz Vehicle Financing LLC                 | Hertz Vehicle Financing III LP                                                  | CUSIP: 42806MAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    205000 | PA      | $180281.63    | 0.07%             | 2027-12-27      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418EES5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    924125 | PA      | $892824.62    | 0.35%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                              | Air Lease Corp                                                                  | CUSIP: 00912XBA1<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    460000 | PA      | $441173.90    | 0.17%             | 2025-03-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418EKU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5283497 | PA      | $5303602.41   | 2.07%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SMITHFIELD FOODS INC                        | Smithfield Foods Inc                                                            | CUSIP: 832248BC1<br>LEI: CVTIPZRZJC0JQEZLL598 | Long             | DBT              | CORP              | US        |    170000 | PA      | $133977.00    | 0.05%             | 2030-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38383CYH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1435938 | PA      | $193067.60    | 0.08%             | 2050-11-20      | Floating      | 1.81%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | STACR Trust 2018-HRP2                                                           | CUSIP: 35564ABF7<br>LEI: 549300YG8OJES76WL398 | Long             | ABS-MBS          | CORP              | US        |    160390 | PA      | $161191.48    | 0.06%             | 2047-02-25      | Floating      | 6.91%                 | No            |                  2 | On Loan: No      |
| WF-RBS COMMERCIAL MORTGAGE TRU              | WFRBS Commercial Mortgage Trust 2014-C21                                        | CUSIP: 92939FAW9<br>LEI: 5493000F7E2NMQ4HIO61 | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $480648.55    | 0.19%             | 2047-08-15      | Fixed         | 3.89%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PDA1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    640000 | PA      | $627268.61    | 0.24%             | 2028-04-26      | Fixed         | 4.32%                 | No            |                  2 | On Loan: No      |
| AUTONATION INC                              | AutoNation Inc                                                                  | CUSIP: 05329WAQ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    515000 | PA      | $483174.45    | 0.19%             | 2030-06-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Commercial Mortgage Trust 2021-VOLT                                          | CUSIP: 05609VAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    260000 | PA      | $249830.57    | 0.10%             | 2036-09-15      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 3136BDR42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2258042 | PA      | $364019.84    | 0.14%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                        | FREMF 2016-K55 Mortgage Trust                                                   | CUSIP: 30289HAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $144890.07    | 0.06%             | 2049-04-25      | Variable      | 4.17%                 | No            |                  2 | On Loan: No      |
| NewRez Warehouse Securitizatio              | NewRez Warehouse Securitization Trust 2021-1                                    | CUSIP: 65246PAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    450000 | PA      | $444233.43    | 0.17%             | 2055-05-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                        | Bank of America Corp                                                            | CUSIP: 06051GHZ5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     80000 | PA      | $68050.03     | 0.03%             | 2031-02-13      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BLACKROCK TREASURY TRUST                    | BLACKROCK TREASURY TRUST                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | RF                | US        |   1096468 | NS      | $1096467.83   | 0.43%             |  |  |  | No            |                  1 | On Loan: No      |
| INTL BK RECON & DEVELOP                     | International Bank for Reconstruction & Development                             | CUSIP: 459058JB0<br>LEI: ZTMSNXROF84AHWJNKQ93 | Long             | DBT              | NUSS              | N/A       |    200000 | PA      | $184873.42    | 0.07%             | 2025-04-22      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                        | FREMF 2018-K84 Mortgage Trust                                                   | CUSIP: 30297RAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $186844.26    | 0.07%             | 2028-10-25      | Variable      | 4.18%                 | No            |                  2 | On Loan: No      |
| SVB FINANCIAL GROUP                         | SVB Financial Group                                                             | CUSIP: 78486QAJ0<br>LEI: 549300D2KJ20JMXE7542 | Long             | DBT              | CORP              | US        |    300000 | PA      | $240185.56    | 0.09%             | N/A             | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                              | Morgan Stanley                                                                  | CUSIP: 61747YFA8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    530000 | PA      | $535906.51    | 0.21%             | 2029-02-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: —       |
| OFFICE PPTY INCOME TRST                     | Office Properties Income Trust                                                  | CUSIP: 67623CAE9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    470000 | PA      | $361309.29    | 0.14%             | 2027-02-01      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418ED80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1804306 | PA      | $1743005.67   | 0.68%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SANTANDER HOLDINGS USA                      | Santander Holdings USA Inc                                                      | CUSIP: 80282KAP1<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |    365000 | PA      | $355046.41    | 0.14%             | 2027-07-13      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| PUGET ENERGY INC                            | Puget Energy Inc                                                                | CUSIP: 745310AN2<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |    540000 | PA      | $493246.50    | 0.19%             | 2032-03-15      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| CPS Auto Trust                              | CPS Auto Receivables Trust 2021-C                                               | CUSIP: 12598CAJ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    410000 | PA      | $356992.90    | 0.14%             | 2028-09-15      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                    | OBX 2022-J1 Trust                                                               | CUSIP: 67116WAP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    246580 | PA      | $198449.19    | 0.08%             | 2052-02-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| DELL INT LLC / EMC CORP                     | Dell International LLC / EMC Corp                                               | CUSIP: 24703TAE6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    480000 | PA      | $477305.27    | 0.19%             | 2026-10-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                        | FREMF 2019-K103 Mortgage Trust                                                  | CUSIP: 30315DAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    255000 | PA      | $228894.32    | 0.09%             | 2051-12-25      | Variable      | 3.46%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR Remic Trust 2020-DNA2                                         | CUSIP: 35565KBD9<br>LEI: 5493007ZK0X40BI7UF30 | Long             | ABS-MBS          | CORP              | US        |    610000 | PA      | $583350.93    | 0.23%             | 2050-02-25      | Floating      | 7.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac Structured Agency Credit Risk Debt Notes                            | CUSIP: 35564KDB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    455000 | PA      | $456992.90    | 0.18%             | 2033-08-25      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| DELL INT LLC / EMC CORP                     | Dell International LLC / EMC Corp                                               | CUSIP: 24703DBE0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    650000 | PA      | $468020.44    | 0.18%             | 2041-12-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| ALEXANDRIA REAL ESTATE E                    | Alexandria Real Estate Equities Inc                                             | CUSIP: 015271AR0<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |    840000 | PA      | $760858.41    | 0.30%             | 2031-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac Structured Agency Credit Risk Debt Notes                            | CUSIP: 3137G0UB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    505000 | PA      | $508169.89    | 0.20%             | 2030-07-25      | Floating      | 7.66%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                        | OneMain Finance Corp                                                            | CUSIP: 682691AA8<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |    245000 | PA      | $195372.80    | 0.08%             | 2030-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BANCO BTG PACTUAL/CAYMAN                    | Banco BTG Pactual SA/Cayman Islands                                             | CUSIP: 05971AAG6<br>LEI: 2549002JHJ73KGETOK78 | Long             | DBT              | CORP              | BR        |    660000 | PA      | $601260.00    | 0.23%             | 2026-01-11      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| OFFICE PPTY INCOME TRST                     | Office Properties Income Trust                                                  | CUSIP: 81618TAC4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    155000 | PA      | $144205.04    | 0.06%             | 2025-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC                 | Hertz Vehicle Financing LLC                                                     | CUSIP: 42806MAC3<br>LEI: 5493004IHDYOZ9K9WF47 | Long             | ABS-O            | CORP              | US        |    650000 | PA      | $597036.38    | 0.23%             | 2025-12-26      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| Firstkey Homes Trust                        | FirstKey Homes 2021-SFR2 Trust                                                  | CUSIP: 33767TAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $88169.40     | 0.03%             | 2038-09-17      | Fixed         | 1.61%                 | No            |                  2 | On Loan: No      |
| AEP TEXAS INC                               | AEP Texas Inc                                                                   | CUSIP: 00108WAN0<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |    540000 | PA      | $415185.66    | 0.16%             | 2051-05-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418EGT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    326940 | PA      | $328245.60    | 0.13%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE                     | Nissan Motor Acceptance Co LLC                                                  | CUSIP: 65480CAB1<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |    340000 | PA      | $315183.77    | 0.12%             | 2024-09-16      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                  | US Bancorp                                                                      | CUSIP: 91159HJF8<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    720000 | PA      | $718918.60    | 0.28%             | 2028-07-22      | Fixed         | 4.55%                 | No            |                  2 | On Loan: —       |
| BXHPP Trust                                 | BXHPP Trust 2021-FILM                                                           | CUSIP: 05609JAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $92635.01     | 0.04%             | 2036-08-15      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                    | AT&T Inc                                                                        | CUSIP: 00206RKJ0<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    980000 | PA      | $723186.69    | 0.28%             | 2053-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivabl              | Santander Drive Auto Receivables Trust 2021-3                                   | CUSIP: 80287EAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    555000 | PA      | $520335.42    | 0.20%             | 2027-09-15      | Fixed         | 1.33%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38382TM27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    638660 | PA      | $112489.51    | 0.04%             | 2051-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DIGITAL REALTY TRUST LP                     | Digital Realty Trust LP                                                         | CUSIP: 25389JAU0<br>LEI: CD4SPTZ3YBTHY0C1AH38 | Long             | DBT              | CORP              | US        |    995000 | PA      | $914437.62    | 0.36%             | 2029-07-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                        | FREMF 2018-K78 Mortgage Trust                                                   | CUSIP: 30296XAG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     20000 | PA      | $19019.17     | 0.01%             | 2051-06-25      | Variable      | 4.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                            | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 30711XGN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    245000 | PA      | $253404.04    | 0.10%             | 2029-09-25      | Floating      | 8.16%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                    | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MAW5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    200000 | PA      | $176308.36    | 0.07%             | 2028-10-29      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                        | FREMF 2020-K104 Mortgage Trust                                                  | CUSIP: 302984AU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    315000 | PA      | $277006.31    | 0.11%             | 2052-02-25      | Variable      | 3.54%                 | No            |                  2 | On Loan: No      |
| Tricon American Homes                       | Tricon American Homes 2020-SFR1                                                 | CUSIP: 89613GAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    269450 | PA      | $241676.63    | 0.09%             | 2038-07-17      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38382PCP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1219776 | PA      | $123793.62    | 0.05%             | 2050-10-20      | Floating      | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2021-HQA3                                         | CUSIP: 35564KKK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    945000 | PA      | $849543.85    | 0.33%             | 2041-09-25      | Floating      | 7.66%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Commercial Mortgage Trust 2021-VOLT                                          | CUSIP: 05609VAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $192240.02    | 0.07%             | 2036-09-15      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                            | Freddie Mac Strips                                                              | CUSIP: 31325YRN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1379906 | PA      | $177262.69    | 0.07%             | 2052-06-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 3136BHWC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1000350 | PA      | $125766.90    | 0.05%             | 2051-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                        | FREMF 2016-K58 Mortgage Trust                                                   | CUSIP: 35690AAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    270000 | PA      | $255709.58    | 0.10%             | 2049-09-25      | Variable      | 3.74%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XHJC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    725681 | PA      | $701250.77    | 0.27%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HUNTINGTON NATIONAL BANK                    | Huntington National Bank/The                                                    | CUSIP: 44644MAJ0<br>LEI: 2WHM8VNJH63UN14OL754 | Long             | DBT              | CORP              | US        |    910000 | PA      | $946832.34    | 0.37%             | 2030-01-10      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                            | Connecticut Avenue Securities Trust 2021-R01                                    | CUSIP: 20754RAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    409445 | PA      | $403195.89    | 0.16%             | 2041-10-25      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                    | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BV5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    825000 | PA      | $548095.81    | 0.21%             | 2051-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38382WPR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1212192 | PA      | $186172.28    | 0.07%             | 2051-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Receivables Trust              | Hyundai Auto Receivables Trust 2021-A                                           | CUSIP: 44933LAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    540000 | PA      | $487833.68    | 0.19%             | 2027-11-15      | Fixed         | 1.33%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38383CTL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1636535 | PA      | $261849.64    | 0.10%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust              | Home Partners of America 2021-2 Trust                                           | CUSIP: 43732VAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     97058 | PA      | $84828.38     | 0.03%             | 2026-12-17      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                       | Time Warner Cable LLC                                                           | CUSIP: 88732JAU2<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    485000 | PA      | $498634.82    | 0.19%             | 2039-06-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Multifamily Connecticut Avenue              | Multifamily Connecticut Avenue Securities Trust 2019-01                         | CUSIP: 62547NAB5<br>LEI: 549300HG8ZEWVWVSN227 | Long             | ABS-MBS          | CORP              | US        |    867596 | PA      | $821194.97    | 0.32%             | 2049-10-25      | Floating      | 7.76%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38383LEF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    816975 | PA      | $747570.42    | 0.29%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DELL INT LLC / EMC CORP                     | Dell International LLC / EMC Corp                                               | CUSIP: 24703TAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     28000 | PA      | $28033.98     | 0.01%             | 2023-06-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                            | Connecticut Avenue Securities Trust 2022-R04                                    | CUSIP: 20753YCK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     95000 | PA      | $95353.59     | 0.04%             | 2042-03-25      | Floating      | 7.41%                 | No            |                  2 | On Loan: No      |
| AMER AIRLINE 21-1B PTT                      | American Airlines 2021-1 Class B Pass Through Trust                             | CUSIP: 02376LAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    281725 | PA      | $237307.22    | 0.09%             | 2030-07-11      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 3136BFES8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    797090 | PA      | $157518.81    | 0.06%             | 2051-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer              | WaMu Mortgage Pass-Through Certificates Series 2006-AR9 Trust                   | CUSIP: 93363DAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     63934 | PA      | $51774.80     | 0.02%             | 2046-08-25      | Floating      | 3.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418EE55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1204756 | PA      | $1163823.86   | 0.45%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                  | Flagship Credit Auto Trust 2021-2                                               | CUSIP: 33844WAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    285000 | PA      | $266225.80    | 0.10%             | 2027-06-15      | Fixed         | 1.27%                 | No            |                  2 | On Loan: No      |
| INTER-AMERICAN DEVEL BK                     | Inter-American Development Bank                                                 | CUSIP: 4581X0DL9<br>LEI: VKU1UKDS9E7LYLMACP54 | Long             | DBT              | CORP              | N/A       |    200000 | PA      | $186155.23    | 0.07%             | 2025-04-03      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac Structured Agency Credit Risk Debt Notes                            | CUSIP: 35564KDX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    435000 | PA      | $414367.95    | 0.16%             | 2033-08-25      | Floating      | 7.71%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38382WBD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1035904 | PA      | $142666.38    | 0.06%             | 2051-07-20      | Floating      | 1.81%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38383HKD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    700130 | PA      | $636369.44    | 0.25%             | 2052-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                        | Bank of America Corp                                                            | CUSIP: 06051GHQ5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    245000 | PA      | $231705.95    | 0.09%             | 2030-02-07      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor              | J.P. Morgan Chase Commercial Mortgage Securities Trust 2019-OSB                 | CUSIP: 46651EAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    775000 | PA      | $692902.62    | 0.27%             | 2039-06-05      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                            | Freddie Mac Strips                                                              | CUSIP: 3132HTPF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    181757 | PA      | $139894.80    | 0.05%             | 2043-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38382GXQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    336172 | PA      | $262829.28    | 0.10%             | 2050-07-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| MULTIFAMILY CONNECTICUT AVENUE              | Multifamily Connecticut Avenue Securities Trust 2020-01                         | CUSIP: 62548QAD3<br>LEI: 5493002KQF9IH3CTQZ40 | Long             | ABS-MBS          | CORP              | US        |    385000 | PA      | $363341.40    | 0.14%             | 2050-03-25      | Floating      | 8.26%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132DV4P7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    225045 | PA      | $207110.96    | 0.08%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Commercial Mortgage Trust 2021-ACNT                                          | CUSIP: 05609QAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    360000 | PA      | $350651.45    | 0.14%             | 2038-11-15      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132DNX99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    475815 | PA      | $461856.35    | 0.18%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                      | Mosaic Solar Loan Trust 2020-1                                                  | CUSIP: 61946NAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    858832 | PA      | $754319.38    | 0.29%             | 2046-04-20      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                        | Edison International                                                            | CUSIP: 281020AT4<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |    510000 | PA      | $453435.90    | 0.18%             | N/A             | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BECTON DICKINSON AND CO                     | Becton Dickinson and Co                                                         | CUSIP: 075887BX6<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |     75000 | PA      | $70776.77     | 0.03%             | 2047-06-06      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| CARRIER GLOBAL CORP                         | Carrier Global Corp                                                             | CUSIP: 14448CAQ7<br>LEI: 549300JE3W6CWY2NAN77 | Long             | DBT              | CORP              | US        |    430000 | PA      | $375606.22    | 0.15%             | 2030-02-15      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                            | Societe Generale SA                                                             | CUSIP: 83368RBJ0<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    535000 | PA      | $445521.43    | 0.17%             | 2033-01-21      | Fixed         | 3.34%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                    | Lloyds Banking Group PLC                                                        | CUSIP: 539439AM1<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    775000 | PA      | $756587.61    | 0.30%             | 2025-12-10      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 3136BHVP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2459794 | PA      | $111094.65    | 0.04%             | 2042-11-25      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| CANADIAN IMPERIAL BANK                      | Canadian Imperial Bank of Commerce                                              | CUSIP: 13607HR46<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |    465000 | PA      | $449993.86    | 0.18%             | 2025-04-07      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GYU2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    185000 | PA      | $164553.63    | 0.06%             | N/A             | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2021-DNA6                                         | CUSIP: 35564KLU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    215000 | PA      | $205325.00    | 0.08%             | 2041-10-25      | Floating      | 7.71%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PBR6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    845000 | PA      | $757663.67    | 0.30%             | 2028-06-01      | Fixed         | 2.18%                 | No            |                  2 | On Loan: No      |
| SPRINT SPECTRUM / SPEC I                    | Sprint Spectrum Co LLC / Sprint Spectrum Co II LLC / Sprint Spectrum Co III LLC | CUSIP: 85208NAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    345938 | PA      | $343178.13    | 0.13%             | 2025-03-20      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| AEP TEXAS INC                               | AEP Texas Inc                                                                   | CUSIP: 00108WAP5<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |    250000 | PA      | $249005.12    | 0.10%             | 2032-05-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137H6KD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    743023 | PA      | $25069.00     | 0.01%             | 2052-02-25      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| MATCH GROUP HLD II LLC                      | Match Group Holdings II LLC                                                     | CUSIP: 57667JAA0<br>LEI: 5493003RFFE030RC9167 | Long             | DBT              | CORP              | US        |    450000 | PA      | $361125.00    | 0.14%             | 2031-10-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| LEVEL 3 FINANCING INC                       | Level 3 Financing Inc                                                           | CUSIP: 527298BT9<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |     50000 | PA      | $36552.00     | 0.01%             | 2029-07-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PCY0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    220000 | PA      | $217778.66    | 0.08%             | 2028-02-24      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| SMITHFIELD FOODS INC                        | Smithfield Foods Inc                                                            | CUSIP: 832248AZ1<br>LEI: CVTIPZRZJC0JQEZLL598 | Long             | DBT              | CORP              | US        |    265000 | PA      | $248152.77    | 0.10%             | 2027-02-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| MACQUARIE GROUP LTD                         | Macquarie Group Ltd                                                             | CUSIP: 55608JAZ1<br>LEI: ACMHD8HWFMFUIQQ8Y590 | Long             | DBT              | CORP              | AU        |    660000 | PA      | $533887.52    | 0.21%             | 2033-01-14      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| BURLINGTN NORTH SANTA FE                    | Burlington Northern Santa Fe LLC                                                | CUSIP: 12189LBJ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    535000 | PA      | $510097.04    | 0.20%             | 2053-01-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137H9F46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1858552 | PA      | $293391.99    | 0.11%             | 2051-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                          | Credit Agricole SA                                                              | CUSIP: 225313AP0<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    560000 | PA      | $476224.00    | 0.19%             | N/A             | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                    | Lloyds Banking Group PLC                                                        | CUSIP: 53944YAF0<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |     95000 | PA      | $93702.94     | 0.04%             | 2025-05-08      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                    | OBX 2019-INV2 Trust                                                             | CUSIP: 67112VAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    352328 | PA      | $336106.74    | 0.13%             | 2049-05-27      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| AIRCASTLE LTD                               | Aircastle Ltd                                                                   | CUSIP: 00928QAW1<br>LEI: 549300PNK8AKY3OIKP58 | Long             | DBT              | CORP              | BM        |    420000 | PA      | $344400.00    | 0.13%             | N/A             | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                            | Connecticut Avenue Securities Trust 2021-R01                                    | CUSIP: 20754RAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $286968.00    | 0.11%             | 2041-10-25      | Floating      | 7.41%                 | No            |                  2 | On Loan: No      |
| American Credit Acceptance Rec              | American Credit Acceptance Receivables Trust 2021-3                             | CUSIP: 025286AD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     75000 | PA      | $70532.40     | 0.03%             | 2027-11-15      | Fixed         | 1.34%                 | No            |                  2 | On Loan: No      |
| Manhattan West                              | Manhattan West 2020-1MW Mortgage Trust                                          | CUSIP: 563136AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $351070.64    | 0.14%             | 2039-09-10      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                               | Citigroup Inc                                                                   | CUSIP: 172967NB3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    235000 | PA      | $209150.00    | 0.08%             | N/A             | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Trust 2022-PSB                                                               | CUSIP: 05606DAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    158170 | PA      | $158960.70    | 0.06%             | 2039-08-15      | Floating      | 9.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                            | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20754KAB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    203045 | PA      | $192140.98    | 0.07%             | 2041-11-25      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA                            | Altice France SA/France                                                         | CUSIP: 02156LAF8<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |    565000 | PA      | $443479.80    | 0.17%             | 2029-07-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| BMW US CAPITAL LLC                          | BMW US Capital LLC                                                              | CUSIP: 05565ECA1<br>LEI: KK5MZM9DIXLXZL9DZL15 | Long             | DBT              | CORP              | US        |    655000 | PA      | $630426.02    | 0.25%             | 2027-04-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                  | Navient Private Education Refi Loan Trust 2021-A                                | CUSIP: 63942BAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $73441.40     | 0.03%             | 2069-05-15      | Fixed         | 2.24%                 | No            |                  2 | On Loan: No      |
| KEY BANK NA                                 | KeyBank NA/Cleveland OH                                                         | CUSIP: 49327M3F9<br>LEI: HUX2X73FUCYHUVH1BK78 | Long             | DBT              | CORP              | US        |    985000 | PA      | $1032219.16   | 0.40%             | 2027-11-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| FIFTH THIRD BANCORP                         | Fifth Third Bancorp                                                             | CUSIP: 316773DG2<br>LEI: THRNG6BD57P9QWTQLG42 | Long             | DBT              | CORP              | US        |    860000 | PA      | $849863.90    | 0.33%             | 2030-07-28      | Fixed         | 4.77%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                            | T-Mobile USA Inc                                                                | CUSIP: 87264ABS3<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    580000 | PA      | $506919.94    | 0.20%             | 2029-02-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| LOWE'S COS INC                              | Lowe's Cos Inc                                                                  | CUSIP: 548661ED5<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |    540000 | PA      | $465482.00    | 0.18%             | 2028-09-15      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GYM0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    800000 | PA      | $716103.86    | 0.28%             | 2027-10-21      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| One Bryant Park Trust                       | One Bryant Park Trust 2019-OBP                                                  | CUSIP: 68236JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1180000 | PA      | $999886.45    | 0.39%             | 2054-09-15      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                              | Morgan Stanley                                                                  | CUSIP: 6174468G7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    510000 | PA      | $496985.69    | 0.19%             | 2030-01-23      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| INDIANAPOLIS PWR & LIGHT                    | Indianapolis Power & Light Co                                                   | CUSIP: 455434BV1<br>LEI: 2T85JNP2R2B2GTSFND21 | Long             | DBT              | CORP              | US        |    370000 | PA      | $393447.70    | 0.15%             | 2032-12-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding              | Avis Budget Rental Car Funding AESOP LLC                                        | CUSIP: 05377RDY7<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $457064.80    | 0.18%             | 2027-02-20      | Fixed         | 2.02%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38383ASS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1038918 | PA      | $100273.16    | 0.04%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38383GMT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1796495 | PA      | $17365.46     | 0.01%             | 2052-01-20      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA                    | Cooperatieve Rabobank UA                                                        | CUSIP: 74977RDN1<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |    870000 | PA      | $824939.91    | 0.32%             | 2028-04-06      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust                     | Carmax Auto Owner Trust 2022-3                                                  | CUSIP: 14318MAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    550000 | PA      | $542349.01    | 0.21%             | 2027-04-15      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Trust 2021-LBA                                                               | CUSIP: 05609BCD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    160000 | PA      | $154850.86    | 0.06%             | 2036-02-15      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                        | FREMF 2019-K95 Mortgage Trust                                                   | CUSIP: 30311MAU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    535000 | PA      | $485482.75    | 0.19%             | 2052-08-25      | Variable      | 3.92%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38383FBP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  16441998 | PA      | $65475.32     | 0.03%             | 2051-12-20      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| VERISIGN INC                                | VeriSign Inc                                                                    | CUSIP: 92343EAL6<br>LEI: LMPL4N8ZOJRMF0KOF759 | Long             | DBT              | CORP              | US        |     50000 | PA      | $49566.33     | 0.02%             | 2027-07-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| WESTPAC BANKING CORP                        | Westpac Banking Corp                                                            | CUSIP: 961214EX7<br>LEI: EN5TNI6CI43VEPAMHL14 | Long             | DBT              | CORP              | AU        |    635000 | PA      | $496049.30    | 0.19%             | 2036-11-18      | Fixed         | 3.02%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                           | General Motors Co                                                               | CUSIP: 37045VAZ3<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |    165000 | PA      | $163004.37    | 0.06%             | 2032-10-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | STACR Trust 2018-HRP2                                                           | CUSIP: 35564ACB5<br>LEI: 549300YG8OJES76WL398 | Long             | ABS-MBS          | CORP              | US        |    560000 | PA      | $578822.78    | 0.23%             | 2047-02-25      | Floating      | 8.71%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX 2021-MFM1                                                                    | CUSIP: 05608VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    630000 | PA      | $616980.99    | 0.24%             | 2034-01-15      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| OWENS CORNING                               | Owens Corning                                                                   | CUSIP: 690742AH4<br>LEI: JO5M6676RDJIZ2U8X907 | Long             | DBT              | CORP              | US        |     85000 | PA      | $72876.33     | 0.03%             | 2048-01-30      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                        | FREMF 2019-K94 Mortgage Trust                                                   | CUSIP: 30310XAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    470000 | PA      | $427144.41    | 0.17%             | 2052-07-25      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                       | Athene Global Funding                                                           | CUSIP: 04685A2V2<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    175000 | PA      | $152301.28    | 0.06%             | 2028-03-24      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ELECTRIC                     | Public Service Electric and Gas Co                                              | CUSIP: 74456QCK0<br>LEI: 549300RUHPVD434XUK18 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1039974.65   | 0.41%             | 2032-12-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| VICTORIA'S SECRET & CO                      | Victoria's Secret & Co                                                          | CUSIP: 926400AA0<br>LEI: 5493006T3O70U3UWVF17 | Long             | DBT              | CORP              | US        |    170000 | PA      | $141225.80    | 0.06%             | 2029-07-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38383MGZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    246543 | PA      | $227688.48    | 0.09%             | 2051-07-20      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                      | General Motors Financial Co Inc                                                 | CUSIP: 37045XDE3<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    640000 | PA      | $511297.22    | 0.20%             | 2031-01-08      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | Ultra 10-Year US Treasury Note                                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       164 | NC      | $324862.09    | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| NATWEST GROUP PLC                           | NatWest Group PLC                                                               | CUSIP: 780099CH8<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    150000 | PA      | $149664.48    | 0.06%             | 2024-05-28      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES/SKYMILES                    | Delta Air Lines Inc / SkyMiles IP Ltd                                           | CUSIP: 830867AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |    325001 | PA      | $321120.90    | 0.13%             | 2025-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CLEAN HARBORS INC                           | Clean Harbors Inc                                                               | CUSIP: 184496AQ0<br>LEI: 5493000SJVZVZJKHJF48 | Long             | DBT              | CORP              | US        |    340000 | PA      | $346358.00    | 0.14%             | 2031-02-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137F9Y54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    940852 | PA      | $149085.54    | 0.06%             | 2050-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                        | Bank of America Corp                                                            | CUSIP: 06051GLE7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    775000 | PA      | $777848.38    | 0.30%             | 2027-01-20      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137FXFB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    554128 | PA      | $78946.98     | 0.03%             | 2050-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2021-HQA2                                         | CUSIP: 35564KGR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    630000 | PA      | $546525.00    | 0.21%             | 2033-12-25      | Floating      | 7.46%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON BANK                          | First Horizon Bank                                                              | CUSIP: 337158AJ8<br>LEI: COOWI3L2W9TPYR3WJX37 | Long             | DBT              | CORP              | US        |    666000 | PA      | $674719.39    | 0.26%             | 2030-05-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag              | Wells Fargo Commercial Mortgage Trust 2015-NXS4                                 | CUSIP: 94989XBC8<br>LEI: 549300RD723OFH36TP29 | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $96650.29     | 0.04%             | 2048-12-15      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                    | Capital One Financial Corp                                                      | CUSIP: 14040HCV5<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    290000 | PA      | $285177.24    | 0.11%             | 2030-07-26      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| UBS-Barclays Commercial Mortga              | UBS-Barclays Commercial Mortgage Trust 2013-C6                                  | CUSIP: 90349GAN5<br>LEI: 549300G1IXWLFE766Q13 | Long             | ABS-MBS          | CORP              | US        |    695000 | PA      | $687308.71    | 0.27%             | 2046-04-10      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                              | Morgan Stanley                                                                  | CUSIP: 61747YEF8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1190000 | PA      | $922446.04    | 0.36%             | 2036-09-16      | Fixed         | 2.48%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38382NXV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1429746 | PA      | $190719.53    | 0.07%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CVS PASS-THROUGH TRUST                      | CVS Pass-Through Trust                                                          | CUSIP: 126650BY5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    132057 | PA      | $132227.58    | 0.05%             | 2034-01-10      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PDH6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    500000 | PA      | $498168.74    | 0.19%             | 2033-07-25      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Commercial Mortgage Trust 2021-VOLT                                          | CUSIP: 05609VAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    295000 | PA      | $282907.60    | 0.11%             | 2036-09-15      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XGST7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    786240 | PA      | $737673.23    | 0.29%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Taco Bell Funding, LLC                      | Taco Bell Funding LLC                                                           | CUSIP: 87342RAJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    287100 | PA      | $231756.59    | 0.09%             | 2051-08-25      | Fixed         | 2.54%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES/SKYMILES                    | Delta Air Lines Inc / SkyMiles IP Ltd                                           | CUSIP: 830867AB3<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |    610000 | PA      | $594329.77    | 0.23%             | 2028-10-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                               | Citigroup Inc                                                                   | CUSIP: 172967ME8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     90000 | PA      | $84638.20     | 0.03%             | 2030-03-20      | Fixed         | 3.98%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                        | Bank of America Corp                                                            | CUSIP: 06051GKM0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    155000 | PA      | $149933.47    | 0.06%             | 2026-04-02      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                          | Ally Financial Inc                                                              | CUSIP: 02005NBN9<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |    520000 | PA      | $399100.00    | 0.16%             | N/A             | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38383MCW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2474496 | PA      | $89571.06     | 0.03%             | 2052-02-20      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Trust 2018-BILT                                                              | CUSIP: 05606JAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    630000 | PA      | $618930.02    | 0.24%             | 2030-05-15      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| NATIONAL RURAL UTIL COOP                    | National Rural Utilities Cooperative Finance Corp                               | CUSIP: 637432PA7<br>LEI: 4NYF266XZC35SCTGX023 | Long             | DBT              | CORP              | US        |    460000 | PA      | $496013.14    | 0.19%             | 2033-01-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                        | FREMF 2019-K99 Mortgage Trust                                                   | CUSIP: 30314FAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $181996.32    | 0.07%             | 2052-10-25      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                            | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 30711XUW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    560000 | PA      | $579586.39    | 0.23%             | 2030-05-25      | Floating      | 8.51%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                        | FREMF 2019-K90 Mortgage Trust                                                   | CUSIP: 30308QAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    420000 | PA      | $390548.93    | 0.15%             | 2052-02-25      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| FREEPORT-MCMORAN INC                        | Freeport-McMoRan Inc                                                            | CUSIP: 35671DBC8<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |    225000 | PA      | $218587.88    | 0.09%             | 2043-03-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38382XBY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    917039 | PA      | $127850.71    | 0.05%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                      | General Motors Financial Co Inc                                                 | CUSIP: 37045XDV5<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    475000 | PA      | $444123.04    | 0.17%             | 2029-04-06      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BLDG SOCIETY                     | Nationwide Building Society                                                     | CUSIP: 63861VAH0<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |    600000 | PA      | $599008.63    | 0.23%             | 2027-07-27      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| CDW LLC/CDW FINANCE                         | CDW LLC / CDW Finance Corp                                                      | CUSIP: 12513GBF5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     50000 | PA      | $43310.19     | 0.02%             | 2029-02-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38382WH26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1278061 | PA      | $200462.39    | 0.08%             | 2051-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HILTON DOMESTIC OPERATIN                    | Hilton Domestic Operating Co Inc                                                | CUSIP: 432833AG6<br>LEI: 5493003EG7H0N1E4XV50 | Long             | DBT              | CORP              | US        |    230000 | PA      | $228410.22    | 0.09%             | 2025-05-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38382LJQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    664582 | PA      | $68478.46     | 0.03%             | 2050-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CPS Auto Trust                              | CPS Auto Receivables Trust 2019-C                                               | CUSIP: 12596UAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $495225.20    | 0.19%             | 2025-07-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Santander Revolving Auto Loan               | Santander Revolving Auto Loan Trust 2019-A                                      | CUSIP: 80286JAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    550000 | PA      | $525131.09    | 0.20%             | 2032-01-26      | Fixed         | 2.51%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38382P5H1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    634519 | PA      | $82843.48     | 0.03%             | 2051-03-20      | Floating      | 1.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                            | Connecticut Avenue Securities Trust 2019-HRP1                                   | CUSIP: 20754PAC4<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | CORP              | US        |    583950 | PA      | $579227.65    | 0.23%             | 2039-11-25      | Floating      | 6.66%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                         | COMM 2020-SBX Mortgage Trust                                                    | CUSIP: 12598EAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    545000 | PA      | $489751.01    | 0.19%             | 2038-01-10      | Fixed         | 1.67%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 91282CFV8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13435000 | PA      | $14134039.84  | 5.51%             | 2032-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                  | AMSR 2020-SFR4 Trust                                                            | CUSIP: 66981FAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    690000 | PA      | $627285.28    | 0.24%             | 2037-11-17      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| DELL INT LLC / EMC CORP                     | Dell International LLC / EMC Corp                                               | CUSIP: 24703TAG1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    490000 | PA      | $494654.57    | 0.19%             | 2029-10-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 3136B4XC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1268397 | PA      | $141293.46    | 0.06%             | 2049-06-25      | Floating      | 1.54%                 | No            |                  2 | On Loan: No      |
| arbor multifamily mortgage sec              | Arbor Multifamily Mortgage Securities Trust 2021-MF3                            | CUSIP: 03882KAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $84050.56     | 0.03%             | 2054-10-15      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                         | American Tower Corp                                                             | CUSIP: 03027XAT7<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    445000 | PA      | $435395.97    | 0.17%             | 2024-05-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor              | J.P. Morgan Chase Commercial Mortgage Securities Trust 2021-2NU                 | CUSIP: 46592FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $329319.08    | 0.13%             | 2040-01-05      | Fixed         | 1.97%                 | No            |                  2 | On Loan: No      |
| SWEDBANK AB                                 | Swedbank AB                                                                     | CUSIP: 87020PAQ0<br>LEI: M312WZV08Y7LYUC71685 | Long             | DBT              | CORP              | SE        |    465000 | PA      | $448124.04    | 0.17%             | 2025-04-04      | Fixed         | 3.36%                 | No            |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC                     | CF Hippolyta Issuer LLC                                                         | CUSIP: 12530MAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    848356 | PA      | $754780.18    | 0.29%             | 2060-07-15      | Fixed         | 2.28%                 | No            |                  2 | On Loan: No      |
| FOX CORP                                    | Fox Corp                                                                        | CUSIP: 35137LAK1<br>LEI: 549300DDU6FDRBIELS05 | Long             | DBT              | CORP              | US        |    375000 | PA      | $362542.49    | 0.14%             | 2049-01-25      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Commercial Mortgage Trust 2021-ACNT                                          | CUSIP: 05609QAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    740000 | PA      | $716037.91    | 0.28%             | 2038-11-15      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIF GAS CO                       | Southern California Gas Co                                                      | CUSIP: 842434CX8<br>LEI: XY0N0J73VHV5F4CUJV89 | Long             | DBT              | CORP              | US        |    200000 | PA      | $233860.76    | 0.09%             | 2052-11-15      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38382A4Z5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    322825 | PA      | $5529.87      | 0.00%             | 2049-11-20      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                        | FREMF 2018-K79 Mortgage Trust                                                   | CUSIP: 302956AG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     20000 | PA      | $19092.71     | 0.01%             | 2051-07-25      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| QVC INC                                     | QVC Inc                                                                         | CUSIP: 747262AZ6<br>LEI: 549300WBLU5NKPX5X472 | Long             | DBT              | CORP              | US        |    390000 | PA      | $251541.23    | 0.10%             | 2028-09-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Ford Credit Floorplan Master O              | Ford Credit Floorplan Master Owner Trust A                                      | CUSIP: 34528PAK2<br>LEI: 5493001DTG5N7T8BG747 | Long             | ABS-O            | CORP              | US        |    560000 | PA      | $544273.69    | 0.21%             | 2030-11-15      | Fixed         | 4.06%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust              | Home Partners of America 2019-1 Trust                                           | CUSIP: 43731QAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    400185 | PA      | $367441.67    | 0.14%             | 2039-09-17      | Fixed         | 2.91%                 | No            |                  2 | On Loan: No      |
| MILEAGE PLUS HLDINGS LLC                    | Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd       | CUSIP: 599191AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    436500 | PA      | $441000.32    | 0.17%             | 2027-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 3136ATEN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    586595 | PA      | $66786.45     | 0.03%             | 2046-06-25      | Floating      | 1.54%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables               | Exeter Automobile Receivables Trust 2021-3                                      | CUSIP: 30166AAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    555000 | PA      | $508057.21    | 0.20%             | 2027-06-15      | Fixed         | 1.55%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                      | CHL Mortgage Pass-Through Trust 2005-9                                          | CUSIP: 12669GYY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     47879 | PA      | $37137.86     | 0.01%             | 2035-05-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                               | Citigroup Inc                                                                   | CUSIP: 172967HS3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     60000 | PA      | $58967.18     | 0.02%             | 2044-05-06      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Firstkey Homes Trust                        | FirstKey Homes 2020-SFR2 Trust                                                  | CUSIP: 33767JAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    247048 | PA      | $224549.07    | 0.09%             | 2037-10-19      | Fixed         | 1.27%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                        | FREMF 2019-K102 Mortgage Trust                                                  | CUSIP: 30312WAG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    685000 | PA      | $604153.42    | 0.24%             | 2051-12-25      | Variable      | 3.53%                 | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL                      | Marriott International Inc/MD                                                   | CUSIP: 571903AS2<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |    665000 | PA      | $631979.30    | 0.25%             | 2026-06-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust              | HarborView Mortgage Loan Trust 2005-2                                           | CUSIP: 41161PLR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     68391 | PA      | $62694.60     | 0.02%             | 2035-05-19      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| SERVICE CORP INTL                           | Service Corp International/US                                                   | CUSIP: 817565CF9<br>LEI: 549300RKVM2ME20JHZ15 | Long             | DBT              | CORP              | US        |    390000 | PA      | $327732.60    | 0.13%             | 2030-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                          | Banco Santander SA                                                              | CUSIP: 05964HAQ8<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    415000 | PA      | $395405.75    | 0.15%             | 2028-03-24      | Fixed         | 4.17%                 | No            |                  2 | On Loan: No      |
| ARIZONA PUBLIC SERVICE                      | Arizona Public Service Co                                                       | CUSIP: 040555DE1<br>LEI: YG6VT0TPHRH4TFVAQV64 | Long             | DBT              | CORP              | US        |    665000 | PA      | $726434.82    | 0.28%             | 2032-12-15      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                | Drive Auto Receivables Trust 2021-1                                             | CUSIP: 262108AF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    475000 | PA      | $447338.42    | 0.17%             | 2029-01-16      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Trust 2021-RISE                                                              | CUSIP: 12434EAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    342000 | PA      | $329921.42    | 0.13%             | 2036-11-15      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137FUFU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    923496 | PA      | $111757.89    | 0.04%             | 2050-07-25      | Floating      | 1.59%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                        | Kraft Heinz Foods Co                                                            | CUSIP: 50077LBC9<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |     30000 | PA      | $29226.13     | 0.01%             | 2027-05-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                      | Credit Suisse Group AG                                                          | CUSIP: 225401AV0<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    700000 | PA      | $677005.62    | 0.26%             | 2028-08-11      | Fixed         | 6.44%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                       | Wells Fargo & Co                                                                | CUSIP: 95000U3B7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    930000 | PA      | $926394.27    | 0.36%             | 2033-07-25      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                           | NatWest Group PLC                                                               | CUSIP: 780097BG5<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    905000 | PA      | $893084.09    | 0.35%             | 2029-05-18      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust                  | GLS Auto Receivables Issuer Trust 2019-3                                        | CUSIP: 36258AAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    390000 | PA      | $380836.99    | 0.15%             | 2026-05-15      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| KEY BANK NA                                 | KeyBank NA/Cleveland OH                                                         | CUSIP: 49327M3E2<br>LEI: HUX2X73FUCYHUVH1BK78 | Long             | DBT              | CORP              | US        |    485000 | PA      | $479426.78    | 0.19%             | 2025-08-08      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                          | Banco Santander SA                                                              | CUSIP: 05964HAS4<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    600000 | PA      | $602400.95    | 0.23%             | 2027-08-18      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2022-DNA2                                         | CUSIP: 35564KRF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    425000 | PA      | $417328.45    | 0.16%             | 2042-02-25      | Floating      | 6.71%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                | UBS Group AG                                                                    | CUSIP: 902613AJ7<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    150000 | PA      | $134835.00    | 0.05%             | N/A             | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| NEVADA POWER CO                             | Nevada Power Co                                                                 | CUSIP: 641423CF3<br>LEI: MJZFGXRJ52U8U4MKJ519 | Long             | DBT              | CORP              | US        |    345000 | PA      | $393969.79    | 0.15%             | 2053-05-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                            | Deutsche Bank AG/New York NY                                                    | CUSIP: 251526CF4<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    700000 | PA      | $562542.65    | 0.22%             | 2032-01-14      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| SEALED AIR CORP                             | Sealed Air Corp                                                                 | CUSIP: 812127AA6<br>LEI: Q0M0CZB4YN6JZ65WXI09 | Long             | DBT              | CORP              | US        |    500000 | PA      | $504450.00    | 0.20%             | 2028-02-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137FXNA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    365310 | PA      | $285115.73    | 0.11%             | 2050-11-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38382KWJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1043807 | PA      | $134803.07    | 0.05%             | 2050-10-20      | Floating      | 1.81%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage               | Citigroup Commercial Mortgage Trust 2015-GC35                                   | CUSIP: 17324KAR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    395000 | PA      | $371116.76    | 0.14%             | 2048-11-10      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                   | Apple Inc                                                                       | CUSIP: 037833EK2<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |    560000 | PA      | $398157.24    | 0.16%             | 2051-08-05      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| American Credit Acceptance Rec              | American Credit Acceptance Receivables Trust 2022-1                             | CUSIP: 02530WAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    660000 | PA      | $612420.40    | 0.24%             | 2028-03-13      | Fixed         | 2.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                            | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 30711XBM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |     49313 | PA      | $52605.32     | 0.02%             | 2028-08-25      | Floating      | 11.26%                | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38382UG62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    579452 | PA      | $521898.47    | 0.20%             | 2051-06-20      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137H5BK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    680604 | PA      | $3472.78      | 0.00%             | 2052-01-25      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| DB Master Finance LLC                       | DB Master Finance LLC                                                           | CUSIP: 233046AL5<br>LEI: 549300F17UZJL70BPB08 | Long             | ABS-O            | CORP              | US        |    111262 | PA      | $106236.33    | 0.04%             | 2049-05-20      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                             | CVS Health Corp                                                                 | CUSIP: 126650CY4<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     65000 | PA      | $62217.90     | 0.02%             | 2038-03-25      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| Hudson Yards                                | Hudson Yards 2019-30HY Mortgage Trust                                           | CUSIP: 44421GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    615000 | PA      | $552248.41    | 0.22%             | 2039-07-10      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                               | Citigroup Inc                                                                   | CUSIP: 172967KU4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    710000 | PA      | $681089.71    | 0.27%             | 2028-07-25      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 3136BAE91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    155803 | PA      | $125903.00    | 0.05%             | 2050-07-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| BALTIMORE GAS & ELECTRIC                    | Baltimore Gas and Electric Co                                                   | CUSIP: 059165EP1<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |    555000 | PA      | $522748.82    | 0.20%             | 2052-06-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38382QAM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1470675 | PA      | $187691.51    | 0.07%             | 2051-03-20      | Floating      | 1.81%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                            | Societe Generale SA                                                             | CUSIP: 83370RAA6<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    330000 | PA      | $283776.73    | 0.11%             | N/A             | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivabl              | Santander Drive Auto Receivables Trust 2022-2                                   | CUSIP: 80286MAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    440000 | PA      | $427953.77    | 0.17%             | 2027-09-15      | Fixed         | 3.44%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP                      | Aviation Capital Group LLC                                                      | CUSIP: 05369AAK7<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |    660000 | PA      | $587079.88    | 0.23%             | 2026-01-30      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137F6PH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    889439 | PA      | $145364.41    | 0.06%             | 2050-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38382VER6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    360328 | PA      | $313538.97    | 0.12%             | 2051-06-20      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| MARB BONDCO PLC                             | MARB BondCo PLC                                                                 | CUSIP: 566007AC4<br>LEI: 254900PVA1EU6QM1JN57 | Long             | DBT              | CORP              | GB        |    560000 | PA      | $441044.80    | 0.17%             | 2031-01-29      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| INVITATION HOMES OP                         | Invitation Homes Operating Partnership LP                                       | CUSIP: 46188BAA0<br>LEI: 549300147YMUQB3GW319 | Long             | DBT              | CORP              | US        |    585000 | PA      | $454019.61    | 0.18%             | 2031-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| JBS USA/FOOD/FINANCE                        | JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc                          | CUSIP: 46590XAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |    515000 | PA      | $500451.25    | 0.20%             | 2030-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust                  | GLS Auto Receivables Issuer Trust 2021-3                                        | CUSIP: 36263LAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    615000 | PA      | $558410.34    | 0.22%             | 2027-07-15      | Fixed         | 1.48%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38382JXZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    194842 | PA      | $151658.48    | 0.06%             | 2050-09-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                         | Nomura Holdings Inc                                                             | CUSIP: 65535HBE8<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |    440000 | PA      | $438582.83    | 0.17%             | 2025-07-03      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust                 | Extended Stay America Trust 2021-ESH                                            | CUSIP: 30227FAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    302620 | PA      | $295800.54    | 0.12%             | 2038-07-15      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140LNQ26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     89515 | PA      | $75494.92     | 0.03%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                               | Citigroup Inc                                                                   | CUSIP: 172967NH0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    225000 | PA      | $222647.85    | 0.09%             | 2028-02-24      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                        | FREMF 2019-K98 Mortgage Trust                                                   | CUSIP: 30312DAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     85000 | PA      | $76112.45     | 0.03%             | 2052-10-25      | Variable      | 3.74%                 | No            |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC                     | CF Hippolyta Issuer LLC                                                         | CUSIP: 12530MAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    269510 | PA      | $231571.61    | 0.09%             | 2061-03-15      | Fixed         | 1.98%                 | No            |                  2 | On Loan: No      |
| CITIZENS FINANCIAL GROUP                    | Citizens Financial Group Inc                                                    | CUSIP: 174610BD6<br>LEI: 2138004JDDA4ZQUPFW65 | Long             | DBT              | CORP              | US        |    250000 | PA      | $216605.89    | 0.08%             | N/A             | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BROOKLYN UNION GAS CO                       | Brooklyn Union Gas Co/The                                                       | CUSIP: 114259AW4<br>LEI: 83BQ1DXS6VA5GZFK8S35 | Long             | DBT              | CORP              | US        |    760000 | PA      | $737275.67    | 0.29%             | 2032-08-05      | Fixed         | 4.87%                 | No            |                  2 | On Loan: No      |
| SVB FINANCIAL GROUP                         | SVB Financial Group                                                             | CUSIP: 78486QAE1<br>LEI: 549300D2KJ20JMXE7542 | Long             | DBT              | CORP              | US        |    440000 | PA      | $377714.04    | 0.15%             | 2030-06-05      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINL GRP                    | Sumitomo Mitsui Financial Group Inc                                             | CUSIP: 86562MCG3<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    865000 | PA      | $739475.57    | 0.29%             | 2028-09-17      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                        | Bank of America Corp                                                            | CUSIP: 06051GHD4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    555000 | PA      | $519082.95    | 0.20%             | 2028-12-20      | Fixed         | 3.42%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2022-DNA3                                         | CUSIP: 35564KUX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    870000 | PA      | $872843.07    | 0.34%             | 2042-04-25      | Floating      | 7.21%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Trust 2021-RISE                                                              | CUSIP: 12434EAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    320000 | PA      | $314497.76    | 0.12%             | 2036-11-15      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| HUNTSMAN INTERNATIONAL L                    | Huntsman International LLC                                                      | CUSIP: 44701QBE1<br>LEI: 3YTEJFW18LGIUQ2N5J61 | Long             | DBT              | CORP              | US        |    655000 | PA      | $614196.19    | 0.24%             | 2029-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust                  | GLS Auto Receivables Issuer Trust 2021-2                                        | CUSIP: 36261XAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    430000 | PA      | $396384.15    | 0.15%             | 2027-04-15      | Fixed         | 1.42%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2021-HQA1                                         | CUSIP: 35564KBS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    795000 | PA      | $772992.97    | 0.30%             | 2033-08-25      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38383VFN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1015000 | PA      | $950377.02    | 0.37%             | 2052-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH EDISON CO                      | Commonwealth Edison Co                                                          | CUSIP: 202795JY7<br>LEI: D8YOXB8L2ZDC8P7Q0771 | Long             | DBT              | CORP              | US        |    445000 | PA      | $474174.26    | 0.18%             | 2053-02-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                            | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 30711XEQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    135000 | PA      | $147889.67    | 0.06%             | 2029-07-25      | Floating      | 10.26%                | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137H5N86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1025428 | PA      | $169192.68    | 0.07%             | 2050-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38382ND95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1472587 | PA      | $198213.80    | 0.08%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus              | CSAIL 2015-C3 Commercial Mortgage Trust                                         | CUSIP: 12635FAT1<br>LEI: 549300ZAGI6FKGY8O078 | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $96615.24     | 0.04%             | 2048-08-15      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                            | Freddie Mac Strips                                                              | CUSIP: 31325URK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    642325 | PA      | $69218.33     | 0.03%             | 2043-08-15      | Floating      | 1.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                            | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 30711XYW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |   1240000 | PA      | $1272035.15   | 0.50%             | 2030-07-25      | Floating      | 8.06%                 | No            |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC                     | CF Hippolyta Issuer LLC                                                         | CUSIP: 12530MAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    514429 | PA      | $431030.88    | 0.17%             | 2060-07-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                            | Connecticut Avenue Securities Trust 2020-R02                                    | CUSIP: 20754WAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    222091 | PA      | $221309.44    | 0.09%             | 2040-01-25      | Floating      | 6.51%                 | No            |                  2 | On Loan: No      |
| TOLL BROS FINANCE CORP                      | Toll Brothers Finance Corp                                                      | CUSIP: 88947EAU4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    570000 | PA      | $512030.47    | 0.20%             | 2029-11-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| TEXAS CAPITAL BANCSHARES                    | Texas Capital Bancshares Inc                                                    | CUSIP: 88224QAA5<br>LEI: 549300466Q2SXRX0YM48 | Long             | DBT              | CORP              | US        |    240000 | PA      | $218500.20    | 0.09%             | 2031-05-06      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TRANSALTA CORP                              | TransAlta Corp                                                                  | CUSIP: 89346DAH0<br>LEI: GJZNVO2UY6DNFNIYH321 | Long             | DBT              | CORP              | CA        |    830000 | PA      | $853491.75    | 0.33%             | 2029-11-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| PPL ELECTRIC UTILITIES                      | PPL Electric Utilities Corp                                                     | CUSIP: 69351UAU7<br>LEI: 549300GCZLSGYEYPIR35 | Long             | DBT              | CORP              | US        |    215000 | PA      | $188581.82    | 0.07%             | 2047-06-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| KFW                                         | Kreditanstalt fuer Wiederaufbau                                                 | CUSIP: 500769GK4<br>LEI: 549300GDPG70E3MBBU98 | Long             | DBT              | CORP              | DE        |    190000 | PA      | $183671.91    | 0.07%             | 2024-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR COMPANY                          | Ford Motor Co                                                                   | CUSIP: 345370CQ1<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |     45000 | PA      | $35127.59     | 0.01%             | 2043-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 3136BHQA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    828014 | PA      | $88791.16     | 0.03%             | 2047-09-25      | Floating      | 1.44%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                | UBS Group AG                                                                    | CUSIP: 902613AD0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    400000 | PA      | $327960.00    | 0.13%             | N/A             | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                           | General Motors Co                                                               | CUSIP: 37045VAJ9<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |    205000 | PA      | $179070.89    | 0.07%             | 2045-04-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                  | Progress Residential 2022-SFR6 Trust                                            | CUSIP: 74334DAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    335000 | PA      | $328851.75    | 0.13%             | 2039-07-20      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 3136BAP81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    177039 | PA      | $139795.14    | 0.05%             | 2050-07-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust                  | GLS Auto Receivables Issuer Trust 2021-4                                        | CUSIP: 36263DAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    550000 | PA      | $513334.58    | 0.20%             | 2027-10-15      | Fixed         | 1.94%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                | Broadcom Inc                                                                    | CUSIP: 11135FBD2<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    565000 | PA      | $558823.56    | 0.22%             | 2030-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-03-27

**Name of Applicant:** IndexIQ Active ETF Trust

**Signature:** Adefolahan Oyefeso

**Name of Signer:** Adefolahan Oyefeso

**Title:** Director and Vice President, IndexIQ