# EDGAR Filing Document

**Accession Number:** 0000909221
**File Stem:** 0001752724-23-045109
**Filing Date:** 2023-2
**Character Count:** 718323
**Document Hash:** 5c47fa2b6f2a901db0b2db11166796de
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-045109.hdr.sgml**: 20230228

**ACCESSION NUMBER**: 0001752724-23-045109

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230228

**DATE AS OF CHANGE**: 20230228

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** JPMORGAN INSURANCE TRUST
- **CENTRAL INDEX KEY:** 0000909221
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** MA

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-07874
- **FILM NUMBER:** 23680418

**BUSINESS ADDRESS:**
- **STREET 1:** 277 PARK AVENUE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10172
- **BUSINESS PHONE:** 800-480-4111

**MAIL ADDRESS:**
- **STREET 1:** 277 PARK AVENUE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10172

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** JPMORGAN INVESTMENT TRUST
- **DATE OF NAME CHANGE:** 20050504

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** ONE GROUP INVESTMENT TRUST
- **DATE OF NAME CHANGE:** 19930716

## Series and Classes Contracts Data

### JPMorgan Insurance Trust Core Bond Portfolio (Series ID: S000004631)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000012612 | Class 1      |  |
| C000035130 | Class 2      |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** JPMORGAN INSURANCE TRUST

- **b. Investment Company Act file number:** 811-07874

- **c. CIK number of Registrant:** 0000909221

- **d. LEI of Registrant:** 549300J0V5HLQCPT0O05

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

  - **Street Address 1:** 277 Park Avenue

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10172

  - **Telephone number:** 800-480-4111

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

- **a. Name of Series:** JPMorgan Insurance Trust Core Bond Portfolio

- **b. EDGAR series identifier (if any):** S000004631

- **c. LEI of Series:** 549300R0L51SIT95RU15

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

- **a. Date of fiscal year-end:** 2022-12-31

- **b. Date as of which information is reported:** 2022-12-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $474276639.64

**Total Liabilities:** $4036564.72

**Net Assets:** $470240074.92

**Delayed Delivery Securities:** $3682349.01

**Cash Not Reported:** $33489.17

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 138.58580000 | **1-Year:** 12751.26455000 | **5-Year:** 55409.60902000 | **10-Year:** 84598.25376000 | **30-Year:** 22920.47906000

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

- **3-Month:** 0.00000000 | **1-Year:** 1156.05638000 | **5-Year:** 1209.99185000 | **10-Year:** 16.37407000 | **30-Year:** 87.48337000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000012612 | -1.36%               | 3.18%                | -0.51%               |
| Class ID C000035130 | -1.38%               | 3.12%                | -0.52%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-432540.31              | $-6850958.76                               |
| Month 2  | $-106985.30              | $13190334.67                               |
| Month 3  | $-74198.61               | $-3659079.91                               |

**Designated Index Information**

- **Index Name:** N/A

- **Index Identifier:** N/A

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| United States of America                                         | U.S. Treasury Bonds                                                                        | CUSIP: 912810TJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1400000 | PA      | $1153468.75   | 0.25%             | 2052-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Inflation Indexed Bonds                                                      | CUSIP: 912810FD5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    300000 | PA      | $602406.79    | 0.13%             | 2028-04-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| WRKCo, Inc.                                                      | WRKCo, Inc.                                                                                | CUSIP: 96145DAB1<br>LEI: 549300JEB576INN13W07 | Long             | DBT              | CORP              | US        |     80000 | PA      | $76454.35     | 0.02%             | 2024-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140M1CG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1061125 | PA      | $898817.63    | 0.19%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury STRIPS Bonds                                                                 | CUSIP: 9128334W7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    100000 | PA      | $64885.23     | 0.01%             | 2033-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA, Series 2007-45, Class QA                                                             | CUSIP: 38375KW24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36166 | PA      | $1712.75      | 0.00%             | 2037-07-20      | Floating      | 2.29%                 | No            |                  2 | On Loan: No      |
| Boston Properties LP                                             | Boston Properties LP                                                                       | CUSIP: 10112RAX2<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |     67000 | PA      | $63508.71     | 0.01%             | 2026-02-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                        | HCA, Inc.                                                                                  | CUSIP: 404119BT5<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    340000 | PA      | $335896.04    | 0.07%             | 2026-06-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Seasoned Credit Risk Transfer Trust                              | Seasoned Credit Risk Transfer Trust, Series 2019-3, Class MB                               | CUSIP: 35563PLJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    294517 | PA      | $249938.45    | 0.05%             | 2058-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Potomac Electric Power Co.                                       | Potomac Electric Power Co.                                                                 | CUSIP: 737679DB3<br>LEI: 549300BXF2DWUNN57U06 | Long             | DBT              | CORP              | US        |     75000 | PA      | $82125.33     | 0.02%             | 2037-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                 | Boeing Co. (The)                                                                           | CUSIP: 097023BX2<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    224000 | PA      | $200220.68    | 0.04%             | 2028-03-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| British Airways Pass-Through Trust                               | British Airways Pass-Through Trust, Series 2018-1, Class A                                 | CUSIP: 11043HAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     83196 | PA      | $69251.66     | 0.01%             | 2031-09-20      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, Other                                                                                | CUSIP: 3140LHKP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1100000 | PA      | $1019255.64   | 0.22%             | 2032-11-01      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| CMS Energy Corp.                                                 | CMS Energy Corp.                                                                           | CUSIP: 125896BM1<br>LEI: 549300IA9XFBAGNIBW29 | Long             | DBT              | CORP              | US        |    110000 | PA      | $107593.52    | 0.02%             | 2024-03-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                  | Citigroup, Inc.                                                                            | CUSIP: 172967LW9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     74000 | PA      | $68092.23     | 0.01%             | 2029-04-23      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| TotalEnergies Capital International SA                           | TotalEnergies Capital International SA                                                     | CUSIP: 89153VAU3<br>LEI: 549300U37G2I8G4RUG09 | Long             | DBT              | CORP              | FR        |    145000 | PA      | $108339.13    | 0.02%             | 2049-07-12      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2003-91, Class SD                                                      | CUSIP: 31393EQX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3713 | PA      | $3578.89      | 0.00%             | 2033-09-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                                   | Southern California Edison Co., Series 05-B                                                | CUSIP: 842400EZ2<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     80000 | PA      | $73563.90     | 0.02%             | 2036-01-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA, Series 2016-H11, Class FD                                                            | CUSIP: 38375UWR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    123211 | PA      | $121272.92    | 0.03%             | 2066-05-20      | Floating      | 2.57%                 | No            |                  2 | On Loan: No      |
| Cars Net Lease Mortgage Notes                                    | Cars Net Lease Mortgage Notes, Series 2020-1A, Class A3                                    | CUSIP: 14576AAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    158400 | PA      | $138113.22    | 0.03%             | 2050-12-15      | Fixed         | 3.10%                 | Yes           |                  2 | On Loan: No      |
| Cascade MH Asset Trust                                           | Cascade MH Asset Trust, Series 2021-MH1, Class A1                                          | CUSIP: 14731QAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    876989 | PA      | $745084.24    | 0.16%             | 2046-02-25      | Fixed         | 1.75%                 | Yes           |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                  | CHL Mortgage Pass-Through Trust, Series 2004-7, Class 2A1                                  | CUSIP: 12669FXJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11310 | PA      | $10422.57     | 0.00%             | 2034-06-25      | Variable      | 3.16%                 | No            |                  2 | On Loan: No      |
| Biogen, Inc.                                                     | Biogen, Inc.                                                                               | CUSIP: 09062XAH6<br>LEI: W8J5WZB5IY3K0NDQT671 | Long             | DBT              | CORP              | US        |    153000 | PA      | $124647.75    | 0.03%             | 2030-05-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| AIB Group plc                                                    | AIB Group plc                                                                              | CUSIP: 00135TAB0<br>LEI: 635400AKJBGNS5WNQL34 | Long             | DBT              | CORP              | IE        |    250000 | PA      | $241203.14    | 0.05%             | 2025-04-10      | Variable      | 4.26%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                             | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140QM6G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    918602 | PA      | $806555.89    | 0.17%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury STRIPS Bonds                                                                 | CUSIP: 912833LQ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    327000 | PA      | $310602.41    | 0.07%             | 2024-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                           | Alternative Loan Trust, Series 2005-54CB, Class 1A11                                       | CUSIP: 12668APD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     63118 | PA      | $49106.46     | 0.01%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Norfolk Southern Corp.                                           | Norfolk Southern Corp.                                                                     | CUSIP: 655844BV9<br>LEI: 54930036C8MWP850MI84 | Long             | DBT              | CORP              | US        |     40000 | PA      | $32039.33     | 0.01%             | 2052-08-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Microchip Technology, Inc.                                       | Microchip Technology, Inc.                                                                 | CUSIP: 595017AZ7<br>LEI: 5493007PTFULNYZJ1R12 | Long             | DBT              | CORP              | US        |     89000 | PA      | $87340.62     | 0.02%             | 2023-09-01      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| Liberty Mutual Group, Inc.                                       | Liberty Mutual Group, Inc.                                                                 | CUSIP: 53079EBJ2<br>LEI: QUR0DG15Z6FFGYCHH861 | Long             | DBT              | CORP              | US        |    207000 | PA      | $144398.70    | 0.03%             | 2050-10-15      | Fixed         | 3.95%                 | Yes           |                  2 | On Loan: No      |
| Banco Santander SA                                               | Banco Santander SA                                                                         | CUSIP: 05964HAL9<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    400000 | PA      | $353055.67    | 0.08%             | 2026-03-25      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| Spirit Airlines Pass-Through Trust                               | Spirit Airlines Pass-Through Trust, Series 2017-1, Class AA                                | CUSIP: 84858WAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     45983 | PA      | $39628.08     | 0.01%             | 2030-02-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Xilinx, Inc.                                                     | Xilinx, Inc.                                                                               | CUSIP: 983919AK7<br>LEI: 6EY4K7ZMF9UX1CU6KC79 | Long             | DBT              | CORP              | US        |    623000 | PA      | $523852.86    | 0.11%             | 2030-06-01      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 2647, Class A                                                         | CUSIP: 31394GBQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20323 | PA      | $19471.33     | 0.00%             | 2032-04-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Hasbro, Inc.                                                     | Hasbro, Inc.                                                                               | CUSIP: 418056AZ0<br>LEI: 549300NUB6D2R1ITYR45 | Long             | DBT              | CORP              | US        |    332000 | PA      | $295043.19    | 0.06%             | 2029-11-19      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust                                   | Long Beach Mortgage Loan Trust, Series 2003-4, Class M1                                    | CUSIP: 542514EH3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5246 | PA      | $5201.00      | 0.00%             | 2033-08-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Entergy Corp.                                                    | Entergy Corp.                                                                              | CUSIP: 29364GAJ2<br>LEI: 4XM3TW50JULSLG8BNC79 | Long             | DBT              | CORP              | US        |     21000 | PA      | $19496.52     | 0.00%             | 2026-09-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Takeda Pharmaceutical Co. Ltd.                                   | Takeda Pharmaceutical Co. Ltd.                                                             | CUSIP: 874060AY2<br>LEI: 549300ZLMVP4X0OGR454 | Long             | DBT              | CORP              | JP        |    545000 | PA      | $399951.97    | 0.09%             | 2040-07-09      | Fixed         | 3.02%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust                                   | Pagaya AI Debt Selection Trust, Series 2021-1, Class A                                     | CUSIP: 69547JAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    380938 | PA      | $375233.25    | 0.08%             | 2027-11-15      | Fixed         | 1.18%                 | Yes           |                  2 | On Loan: No      |
| TransCanada PipeLines Ltd.                                       | TransCanada PipeLines Ltd.                                                                 | CUSIP: 89352HAD1<br>LEI: 5BV01I6231JPDAPMGH09 | Long             | DBT              | CORP              | CA        |     70000 | PA      | $71370.42     | 0.02%             | 2037-10-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 2450, Class SW                                                        | CUSIP: 31392KMK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4677 | PA      | $471.65       | 0.00%             | 2032-03-15      | Floating      | 3.68%                 | No            |                  2 | On Loan: No      |
| VOLT XCIV LLC                                                    | VOLT XCIV LLC, Series 2021-NPL3, Class A1                                                  | CUSIP: 92873AAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    846036 | PA      | $764827.64    | 0.16%             | 2051-02-27      | Variable      | 2.24%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 1993-203, Class PL                                                     | CUSIP: 31359EWF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1977 | PA      | $1979.45      | 0.00%             | 2023-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CGI, Inc.                                                        | CGI, Inc.                                                                                  | CUSIP: 12532HAF1<br>LEI: 549300WSRCZY73ZG3090 | Long             | DBT              | CORP              | CA        |    370000 | PA      | $280938.55    | 0.06%             | 2031-09-14      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| JPMorgan Prime Money Market Fund                                 | JPMorgan Prime Money Market Fund, Class Institutional                                      | CUSIP: 4812A2603<br>LEI: 549300YD7H8SEEU7VG41 | Long             | STIV             | RF                | US        |  14127798 | NS      | $14134862.25  | 3.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Conagra Brands, Inc.                                             | Conagra Brands, Inc.                                                                       | CUSIP: 205887CD2<br>LEI: 54930035UDEIH090K650 | Long             | DBT              | CORP              | US        |     35000 | PA      | $32958.22     | 0.01%             | 2038-11-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| NatWest Group plc                                                | NatWest Group plc                                                                          | CUSIP: 780097BA8<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    283000 | PA      | $276754.45    | 0.06%             | 2026-04-05      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| CVS Pass-Through Trust                                           | CVS Pass-Through Trust, Series 2013                                                        | CUSIP: 12665UAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    142527 | PA      | $128091.28    | 0.03%             | 2036-01-10      | Fixed         | 4.70%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                             | GNMA, Series 2013-H08, Class FC                                                            | CUSIP: 38375BM82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    215633 | PA      | $213723.62    | 0.05%             | 2063-02-20      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| ABN AMRO Bank NV                                                 | ABN AMRO Bank NV                                                                           | CUSIP: 00084DAW0<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |    300000 | PA      | $242588.26    | 0.05%             | 2029-12-13      | Variable      | 2.47%                 | Yes           |                  2 | On Loan: No      |
| Verizon Communications, Inc.                                     | Verizon Communications, Inc.                                                               | CUSIP: 92343VFT6<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    260000 | PA      | $175495.79    | 0.04%             | 2040-11-20      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Alexandria Real Estate Equities, Inc.                            | Alexandria Real Estate Equities, Inc.                                                      | CUSIP: 015271AS8<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |    125000 | PA      | $94728.70     | 0.02%             | 2050-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| National Australia Bank Ltd.                                     | National Australia Bank Ltd.                                                               | CUSIP: 632525AU5<br>LEI: F8SB4JFBSYQFRQEH3Z21 | Long             | DBT              | CORP              | AU        |    250000 | PA      | $190319.76    | 0.04%             | 2030-08-21      | Fixed         | 2.33%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC                                                                                      | CUSIP: 3128HDR92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1855 | PA      | $1813.34      | 0.00%             | 2030-04-01      | Variable      | 3.80%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                  | Goldman Sachs Group, Inc. (The)                                                            | CUSIP: 38148YAA6<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    400000 | PA      | $328866.34    | 0.07%             | 2038-10-31      | Variable      | 4.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2004-61, Class SK                                                      | CUSIP: 31394ATX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14193 | PA      | $14653.79     | 0.00%             | 2032-11-25      | Floating      | 8.50%                 | No            |                  2 | On Loan: No      |
| Tampa Electric Co.                                               | Tampa Electric Co.                                                                         | CUSIP: 875127BF8<br>LEI: WS423EPRKJIIJUITXD73 | Long             | DBT              | CORP              | US        |    100000 | PA      | $82505.85     | 0.02%             | 2049-06-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                  | Citigroup, Inc.                                                                            | CUSIP: 172967LD1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    200000 | PA      | $186893.58    | 0.04%             | 2028-01-10      | Variable      | 3.89%                 | No            |                  2 | On Loan: No      |
| Athene Global Funding                                            | Athene Global Funding                                                                      | CUSIP: 04685A2J9<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    155000 | PA      | $147428.48    | 0.03%             | 2024-06-25      | Fixed         | 2.75%                 | Yes           |                  2 | On Loan: No      |
| Marlette Funding Trust                                           | Marlette Funding Trust, Series 2021-3A, Class C                                            | CUSIP: 57108QAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1400000 | PA      | $1253567.70   | 0.27%             | 2031-12-15      | Fixed         | 1.81%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                             | GNMA II, Other                                                                             | CUSIP: 36180BAT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     77244 | PA      | $74906.68     | 0.02%             | 2032-12-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                | HSBC Holdings plc                                                                          | CUSIP: 404280BS7<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    229000 | PA      | $227186.70    | 0.05%             | 2024-05-18      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Notes                                                                        | CUSIP: 912828W48<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     94000 | PA      | $91257.11     | 0.02%             | 2024-02-29      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| BAT Capital Corp.                                                | BAT Capital Corp.                                                                          | CUSIP: 05526DBT1<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    140000 | PA      | $95063.12     | 0.02%             | 2040-09-25      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA UMBS, 30 Year                                                                         | CUSIP: 31371FCL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       384 | PA      | $393.73       | 0.00%             | 2025-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                | HSBC Holdings plc                                                                          | CUSIP: 404280CM9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $172442.29    | 0.04%             | 2027-05-24      | Variable      | 1.59%                 | No            |                  2 | On Loan: No      |
| Union Carbide Corp.                                              | Union Carbide Corp.                                                                        | CUSIP: 905581AS3<br>LEI: QE84C8O80MNLK8IFRL44 | Long             | DBT              | CORP              | US        |     75000 | PA      | $84120.97     | 0.02%             | 2096-10-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2004-46, Class SK                                                      | CUSIP: 31393YT54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9731 | PA      | $9304.49      | 0.00%             | 2034-05-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, STRIPS, Series 329, Class 1                                                          | CUSIP: 3136FAWE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1846 | PA      | $1563.29      | 0.00%             | 2033-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Flex Intermediate Holdco LLC                                     | Flex Intermediate Holdco LLC                                                               | CUSIP: 33939HAA7<br>LEI: 549300290TQIGM30A243 | Long             | DBT              | CORP              | US        |    355000 | PA      | $277049.03    | 0.06%             | 2031-06-30      | Fixed         | 3.36%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                             | GNMA, Series 2008-55, Class SA                                                             | CUSIP: 38375QK73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17034 | PA      | $562.81       | 0.00%             | 2038-06-20      | Floating      | 1.85%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                            | United Mexican States                                                                      | CUSIP: 91087BAM2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    283000 | PA      | $228664.00    | 0.05%             | 2031-05-24      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| Activision Blizzard, Inc.                                        | Activision Blizzard, Inc.                                                                  | CUSIP: 00507VAP4<br>LEI: 549300TPQQDBP9GNOF40 | Long             | DBT              | CORP              | US        |    241000 | PA      | $188324.33    | 0.04%             | 2030-09-15      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Notes                                                                        | CUSIP: 91282CCZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    180300 | PA      | $160093.72    | 0.03%             | 2026-09-30      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 3786, Class PD                                                        | CUSIP: 3137A5UU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    407000 | PA      | $398447.06    | 0.08%             | 2041-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                        | Commercial Mortgage Trust, Series 2013-SFS, Class A2                                       | CUSIP: 12625EAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    125000 | PA      | $123389.41    | 0.03%             | 2035-04-12      | Variable      | 2.99%                 | Yes           |                  2 | On Loan: No      |
| New England Power Co.                                            | New England Power Co.                                                                      | CUSIP: 644188BF0<br>LEI: 549300DTVRGN9GYD5U85 | Long             | DBT              | CORP              | US        |     45000 | PA      | $34161.25     | 0.01%             | 2047-12-05      | Fixed         | 3.80%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                                       | AMSR Trust, Series 2020-SFR2, Class C                                                      | CUSIP: 00178UAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $904135.00    | 0.19%             | 2037-07-17      | Fixed         | 2.53%                 | Yes           |                  2 | On Loan: No      |
| Union Electric Co.                                               | Union Electric Co.                                                                         | CUSIP: 906548CM2<br>LEI: QMPJLLDULY5C1M8PNY21 | Long             | DBT              | CORP              | US        |     36000 | PA      | $33513.00     | 0.01%             | 2027-06-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, Other                                                                                | CUSIP: 3140LH6E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1445667 | PA      | $1451672.63   | 0.31%             | 2030-06-01      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| National Australia Bank Ltd.                                     | National Australia Bank Ltd.                                                               | CUSIP: 632525AS0<br>LEI: F8SB4JFBSYQFRQEH3Z21 | Long             | DBT              | CORP              | AU        |    440000 | PA      | $370107.09    | 0.08%             | 2034-08-02      | Variable      | 3.93%                 | Yes           |                  2 | On Loan: No      |
| Duquesne Light Holdings, Inc.                                    | Duquesne Light Holdings, Inc.                                                              | CUSIP: 266233AH8<br>LEI: 4CUJ1D8WDXK9X7QI6B93 | Long             | DBT              | CORP              | US        |    210000 | PA      | $166370.27    | 0.04%             | 2030-10-01      | Fixed         | 2.53%                 | Yes           |                  2 | On Loan: No      |
| PRET LLC                                                         | PRET LLC, Series 2021-NPL6, Class A1                                                       | CUSIP: 69362GAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    716708 | PA      | $662140.18    | 0.14%             | 2051-07-25      | Variable      | 2.49%                 | Yes           |                  2 | On Loan: No      |
| SCF Equipment Leasing LLC                                        | SCF Equipment Leasing LLC, Series 2022-2A, Class C                                         | CUSIP: 78397WAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    810000 | PA      | $789936.79    | 0.17%             | 2032-08-20      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Bonds                                                                        | CUSIP: 912810RB6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1590000 | PA      | $1297775.39   | 0.28%             | 2043-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                                     | AbbVie, Inc.                                                                               | CUSIP: 00287YAR0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    100000 | PA      | $92630.55     | 0.02%             | 2035-05-14      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA, Series 2016-H26, Class FC                                                            | CUSIP: 38376RN28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     90806 | PA      | $89903.22     | 0.02%             | 2066-12-20      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, Other                                                                                | CUSIP: 3140LAQA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1259403 | PA      | $1031217.76   | 0.22%             | 2029-12-01      | Fixed         | 1.27%                 | No            |                  2 | On Loan: No      |
| Goodgreen Trust                                                  | Goodgreen Trust, Series 2017-1A, Class A                                                   | CUSIP: 38217VAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     33352 | PA      | $30894.87     | 0.01%             | 2052-10-15      | Fixed         | 3.74%                 | Yes           |                  3 | On Loan: No      |
| Anheuser-Busch Cos. LLC                                          | Anheuser-Busch Cos. LLC                                                                    | CUSIP: 03522AAJ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    105000 | PA      | $95452.90     | 0.02%             | 2046-02-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA                                                                                       | CUSIP: 31402AF27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6877 | PA      | $6778.42      | 0.00%             | 2033-07-01      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| Coterra Energy, Inc.                                             | Coterra Energy, Inc.                                                                       | CUSIP: 127097AG8<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |    235000 | PA      | $219424.43    | 0.05%             | 2027-05-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Raytheon Technologies Corp.                                      | Raytheon Technologies Corp.                                                                | CUSIP: 75513ECK5<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |     90000 | PA      | $76542.90     | 0.02%             | 2047-04-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| National Retail Properties, Inc.                                 | National Retail Properties, Inc.                                                           | CUSIP: 637417AL0<br>LEI: 5493008JKH5SOTI0JS97 | Long             | DBT              | CORP              | US        |    150000 | PA      | $139161.24    | 0.03%             | 2028-10-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ARM Trust                                           | Bear Stearns ARM Trust, Series 2006-1, Class A1                                            | CUSIP: 07387AGZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25849 | PA      | $24682.42     | 0.01%             | 2036-02-25      | Floating      | 6.80%                 | No            |                  2 | On Loan: No      |
| Leidos, Inc.                                                     | Leidos, Inc.                                                                               | CUSIP: 52532XAH8<br>LEI: 5493006I78VIN6J1BQ95 | Long             | DBT              | CORP              | US        |    120000 | PA      | $91926.66     | 0.02%             | 2031-02-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC Gold Pools, Other                                                                    | CUSIP: 3132H7EG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    134326 | PA      | $128525.47    | 0.03%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                  | CHL Mortgage Pass-Through Trust, Series 2004-HYB1, Class 2A                                | CUSIP: 12669FNP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6841 | PA      | $6220.66      | 0.00%             | 2034-05-20      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Group AG                                           | Credit Suisse Group AG                                                                     | CUSIP: 225401AQ1<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    250000 | PA      | $213522.93    | 0.05%             | 2026-06-05      | Variable      | 2.19%                 | Yes           |                  2 | On Loan: No      |
| Mead Johnson Nutrition Co.                                       | Mead Johnson Nutrition Co.                                                                 | CUSIP: 582839AH9<br>LEI: E4BJRFT3MF4GJDY1SC50 | Long             | DBT              | CORP              | US        |     27000 | PA      | $26439.72     | 0.01%             | 2025-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Baker Hughes Holdings LLC                                        | Baker Hughes Holdings LLC                                                                  | CUSIP: 05723KAG5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    180000 | PA      | $158799.16    | 0.03%             | 2029-11-07      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| American Homes 4 Rent Trust                                      | American Homes 4 Rent Trust, Series 2015-SFR2, Class C                                     | CUSIP: 02666BAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    200000 | PA      | $190667.12    | 0.04%             | 2052-10-17      | Fixed         | 4.69%                 | Yes           |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                  | CHL Mortgage Pass-Through Trust, Series 2005-16, Class A23                                 | CUSIP: 12669G3R0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25574 | PA      | $16408.69     | 0.00%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA UMBS, 30 Year                                                                         | CUSIP: 31414B7L8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1839 | PA      | $1907.26      | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group plc                                         | Lloyds Banking Group plc                                                                   | CUSIP: 53944YAR4<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $190006.70    | 0.04%             | 2026-03-18      | Variable      | 3.51%                 | No            |                  2 | On Loan: No      |
| Bridge Trust                                                     | Bridge Trust, Series 2022-SFR1, Class C                                                    | CUSIP: 10805VAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    900000 | PA      | $816848.82    | 0.17%             | 2037-11-17      | Fixed         | 4.45%                 | Yes           |                  2 | On Loan: No      |
| HERO Funding Trust                                               | HERO Funding Trust, Series 2016-3A, Class A1                                               | CUSIP: 42770XAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     22042 | PA      | $20606.18     | 0.00%             | 2042-09-20      | Fixed         | 3.08%                 | Yes           |                  3 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 3387, Class SA                                                        | CUSIP: 31397PFM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24356 | PA      | $1904.93      | 0.00%             | 2037-11-15      | Floating      | 2.10%                 | No            |                  2 | On Loan: No      |
| Piedmont Natural Gas Co., Inc.                                   | Piedmont Natural Gas Co., Inc.                                                             | CUSIP: 720186AL9<br>LEI: VXB4M3BDPKF3I2AZ3G89 | Long             | DBT              | CORP              | US        |    200000 | PA      | $183278.20    | 0.04%             | 2029-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Dow Chemical Co. (The)                                           | Dow Chemical Co. (The)                                                                     | CUSIP: 260543CN1<br>LEI: ZQUIP1CSZO8LXRBSOU78 | Long             | DBT              | CORP              | US        |     14000 | PA      | $13905.70     | 0.00%             | 2025-11-30      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Bonds                                                                        | CUSIP: 912810RE0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    645000 | PA      | $591611.13    | 0.13%             | 2044-02-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                  | Goldman Sachs Group, Inc. (The)                                                            | CUSIP: 38141GYJ7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     95000 | PA      | $73711.33     | 0.02%             | 2032-07-21      | Variable      | 2.38%                 | No            |                  2 | On Loan: No      |
| Cox Communications, Inc.                                         | Cox Communications, Inc.                                                                   | CUSIP: 224044CG0<br>LEI: 5493001NEDZNIFRP2R92 | Long             | DBT              | CORP              | US        |     67000 | PA      | $62642.32     | 0.01%             | 2026-09-15      | Fixed         | 3.35%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2001-61, Class Z                                                       | CUSIP: 313921M70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31171 | PA      | $32598.83     | 0.01%             | 2031-11-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Consumers Energy Co.                                             | Consumers Energy Co.                                                                       | CUSIP: 210518CZ7<br>LEI: 7NKTFWJ1G6MELP9TU740 | Long             | DBT              | CORP              | US        |     19000 | PA      | $13671.15     | 0.00%             | 2046-08-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| CSMC Trust                                                       | CSMC Trust, Series 2022-JR1, Class A1                                                      | CUSIP: 12546WAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    737195 | PA      | $701415.18    | 0.15%             | 2066-10-25      | Variable      | 4.27%                 | Yes           |                  3 | On Loan: No      |
| TransCanada PipeLines Ltd.                                       | TransCanada PipeLines Ltd.                                                                 | CUSIP: 89352HAX7<br>LEI: 5BV01I6231JPDAPMGH09 | Long             | DBT              | CORP              | CA        |     80000 | PA      | $71304.86     | 0.02%             | 2038-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 2544, Class HC                                                        | CUSIP: 31393FQX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20766 | PA      | $21631.05     | 0.00%             | 2032-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| VOLT CI LLC                                                      | VOLT CI LLC, Series 2021-NP10, Class A1                                                    | CUSIP: 92873EAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    544753 | PA      | $483150.13    | 0.10%             | 2051-05-25      | Variable      | 1.99%                 | Yes           |                  2 | On Loan: No      |
| Prologis LP                                                      | Prologis LP                                                                                | CUSIP: 74340XBQ3<br>LEI: GL16H1DHB0QSHP25F723 | Long             | DBT              | CORP              | US        |    150000 | PA      | $83149.89     | 0.02%             | 2050-10-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| Apple, Inc.                                                      | Apple, Inc.                                                                                | CUSIP: 037833CD0<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |    117000 | PA      | $99340.40     | 0.02%             | 2046-08-04      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Barclays plc                                                     | Barclays plc                                                                               | CUSIP: 06738EBV6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $152316.68    | 0.03%             | 2032-11-24      | Variable      | 2.89%                 | No            |                  2 | On Loan: No      |
| University of Southern California                                | University of Southern California, Series A                                                | CUSIP: 914886AD8<br>LEI: 0GMCSQ6M60R4T46U5511 | Long             | DBT              | CORP              | US        |    110000 | PA      | $63783.11     | 0.01%             | 2120-10-01      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| New York Life Global Funding                                     | New York Life Global Funding                                                               | CUSIP: 64952WCH4<br>LEI: 635400DPNHEAUHB7ZI15 | Long             | DBT              | CORP              | US        |     65000 | PA      | $59801.01     | 0.01%             | 2026-07-14      | Fixed         | 2.35%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, Multi-Family Structured Pass-Through Certificates, Series Q013, Class APT2          | CUSIP: 3137FWGJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    770008 | PA      | $678988.03    | 0.14%             | 2050-05-25      | Variable      | 1.17%                 | No            |                  2 | On Loan: No      |
| Toledo Edison Co. (The)                                          | Toledo Edison Co. (The)                                                                    | CUSIP: 889175BD6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     50000 | PA      | $51717.37     | 0.01%             | 2037-05-15      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                             | FREMF Mortgage Trust, Series 2016-K722, Class B                                            | CUSIP: 30295AAN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    110000 | PA      | $109264.84    | 0.02%             | 2049-07-25      | Variable      | 3.95%                 | Yes           |                  2 | On Loan: No      |
| Enterprise Products Operating LLC                                | Enterprise Products Operating LLC                                                          | CUSIP: 29379VAM5<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |     86000 | PA      | $95984.56     | 0.02%             | 2038-04-15      | Fixed         | 7.55%                 | No            |                  2 | On Loan: No      |
| Campbell Soup Co.                                                | Campbell Soup Co.                                                                          | CUSIP: 134429BK4<br>LEI: 5493007JDSMX8Z5Z1902 | Long             | DBT              | CORP              | US        |     47000 | PA      | $31821.71     | 0.01%             | 2050-04-24      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| PG&E Wildfire Recovery Funding LLC                               | PG&E Wildfire Recovery Funding LLC, Series A-2                                             | CUSIP: 693342AB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    160000 | PA      | $148257.08    | 0.03%             | 2036-06-01      | Fixed         | 4.26%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                       | FHLMC UMBS, 30 Year                                                                        | CUSIP: 3133KNNT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    972516 | PA      | $857691.49    | 0.18%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury STRIPS Bonds                                                                 | CUSIP: 9128334X5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    775000 | PA      | $490874.75    | 0.10%             | 2034-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Plains All American Pipeline LP                                  | Plains All American Pipeline LP                                                            | CUSIP: 72650RBA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    120000 | PA      | $97261.97     | 0.02%             | 2042-06-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Fells Point Funding Trust                                        | Fells Point Funding Trust                                                                  | CUSIP: 314382AA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    585000 | PA      | $532403.35    | 0.11%             | 2027-01-31      | Fixed         | 3.05%                 | Yes           |                  2 | On Loan: No      |
| Bank of Ireland Group plc                                        | Bank of Ireland Group plc                                                                  | CUSIP: 06279JAC3<br>LEI: 635400C8EK6DRI12LJ39 | Long             | DBT              | CORP              | IE        |    287000 | PA      | $284699.20    | 0.06%             | 2026-09-16      | Variable      | 6.25%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Notes                                                                        | CUSIP: 912828K74<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    728600 | PA      | $687986.24    | 0.15%             | 2025-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, Other                                                                                | CUSIP: 3138LPCN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1200000 | PA      | $1160227.33   | 0.25%             | 2030-02-01      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Notes                                                                        | CUSIP: 912828U24<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     84000 | PA      | $77663.91     | 0.02%             | 2026-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Otis Worldwide Corp.                                             | Otis Worldwide Corp.                                                                       | CUSIP: 68902VAK3<br>LEI: 549300ZLBKR8VSU25153 | Long             | DBT              | CORP              | US        |    280000 | PA      | $235255.81    | 0.05%             | 2030-02-15      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2006-22, Class AO                                                      | CUSIP: 31395BA52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15871 | PA      | $13297.01     | 0.00%             | 2036-04-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| RMIP                                                             | RMIP                                                                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |    141710 | PA      | $138380.02    | 0.03%             | 2023-08-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Oracle Corp.                                                     | Oracle Corp.                                                                               | CUSIP: 68389XBW4<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    450000 | PA      | $330124.89    | 0.07%             | 2040-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| AstraZeneca plc                                                  | AstraZeneca plc                                                                            | CUSIP: 046353AG3<br>LEI: PY6ZZQWO2IZFZC3IOL08 | Long             | DBT              | CORP              | GB        |     40000 | PA      | $34576.68     | 0.01%             | 2042-09-18      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Becton Dickinson and Co.                                         | Becton Dickinson and Co.                                                                   | CUSIP: 075887BX6<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |     75000 | PA      | $65997.08     | 0.01%             | 2047-06-06      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                    | Comcast Corp.                                                                              | CUSIP: 20030NCY5<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    130000 | PA      | $101274.75    | 0.02%             | 2039-11-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                               | United Airlines Pass-Through Trust, Series 2019-1, Class AA                                | CUSIP: 90931CAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    216498 | PA      | $191493.45    | 0.04%             | 2031-08-25      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA II                                                                                    | CUSIP: 3617XXDC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1003887 | PA      | $1044610.67   | 0.22%             | 2072-03-20      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140K1HB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    624028 | PA      | $584965.60    | 0.12%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Bonds                                                                        | CUSIP: 912810RD2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    514000 | PA      | $481754.53    | 0.10%             | 2043-11-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Diversified Abs Phase III LLC                                    | Diversified Abs Phase III LLC, Series 2022-1                                               | CUSIP: 255125AB2<br>LEI: 549300TKTDRB5WEDGC48 | Long             | ABS-O            | CORP              | US        |   1226845 | PA      | $1128696.96   | 0.24%             | 2039-04-28      | Fixed         | 4.88%                 | Yes           |                  3 | On Loan: No      |
| RPM International, Inc.                                          | RPM International, Inc.                                                                    | CUSIP: 749685AY9<br>LEI: 549300TJCKW4BRXPJ474 | Long             | DBT              | CORP              | US        |    305000 | PA      | $240314.66    | 0.05%             | 2032-01-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 2444, Class ES                                                        | CUSIP: 31392KUY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7016 | PA      | $646.19       | 0.00%             | 2032-03-15      | Floating      | 3.63%                 | No            |                  2 | On Loan: No      |
| DH Europe Finance II SARL                                        | DH Europe Finance II SARL                                                                  | CUSIP: 23291KAJ4<br>LEI: 222100KDGL314CKTZ511 | Long             | DBT              | CORP              | LU        |    184000 | PA      | $146679.58    | 0.03%             | 2039-11-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Entergy Louisiana LLC                                            | Entergy Louisiana LLC                                                                      | CUSIP: 29364WAX6<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |     38000 | PA      | $32458.31     | 0.01%             | 2031-06-01      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, Other                                                                                | CUSIP: 3138LDPQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    945035 | PA      | $869151.75    | 0.18%             | 2036-03-01      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Notes                                                                        | CUSIP: 9128284N7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    990800 | PA      | $934873.99    | 0.20%             | 2028-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Group AG                                           | Credit Suisse Group AG                                                                     | CUSIP: 225401AM0<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    589000 | PA      | $520711.59    | 0.11%             | 2025-09-11      | Variable      | 2.59%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                             | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140JWMU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    142338 | PA      | $136303.55    | 0.03%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2005-6, Class 2A4 | CUSIP: 92922FY44<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17617 | PA      | $14725.47     | 0.00%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                                          | Hyundai Capital America                                                                    | CUSIP: 44891ABP1<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    130000 | PA      | $111219.31    | 0.02%             | 2027-10-15      | Fixed         | 2.38%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, Other                                                                                | CUSIP: 3138ENZ93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    237703 | PA      | $222015.56    | 0.05%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 2390, Class DO                                                        | CUSIP: 31339LQS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2662 | PA      | $2442.90      | 0.00%             | 2031-12-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| General Motors Financial Co., Inc.                               | General Motors Financial Co., Inc.                                                         | CUSIP: 37045XDL7<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    205000 | PA      | $157065.97    | 0.03%             | 2031-06-10      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                            | United Mexican States                                                                      | CUSIP: 91087BAB6<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     58000 | PA      | $43420.25     | 0.01%             | 2047-01-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Air Lease Corp.                                                  | Air Lease Corp.                                                                            | CUSIP: 00914AAH5<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    378000 | PA      | $357520.27    | 0.08%             | 2025-07-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, Other                                                                                | CUSIP: 3138L9P63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    457049 | PA      | $418575.51    | 0.09%             | 2030-04-01      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| CSX Corp.                                                        | CSX Corp.                                                                                  | CUSIP: 126408HR7<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |     10000 | PA      | $7194.62      | 0.00%             | 2049-09-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Anheuser-Busch InBev Finance, Inc.                               | Anheuser-Busch InBev Finance, Inc.                                                         | CUSIP: 035242AM8<br>LEI: 5493000EYEKDT0FBSQ91 | Long             | DBT              | CORP              | US        |    120000 | PA      | $113333.14    | 0.02%             | 2036-02-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                    | Comcast Corp.                                                                              | CUSIP: 20030NDW8<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     76000 | PA      | $45953.92     | 0.01%             | 2063-11-01      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury STRIPS Bonds                                                                 | CUSIP: 9128334T4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    350000 | PA      | $242428.22    | 0.05%             | 2032-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                                     | AbbVie, Inc.                                                                               | CUSIP: 00287YCA5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    510000 | PA      | $436534.12    | 0.09%             | 2039-11-21      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                            | Vendee Mortgage Trust, Series 1994-1, Class 2ZB                                            | CUSIP: 911760DS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     33785 | PA      | $33825.83     | 0.01%             | 2024-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 2764, Class UG                                                        | CUSIP: 31394TXA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    107613 | PA      | $107099.38    | 0.02%             | 2034-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                                     | UBS Group AG                                                                               | CUSIP: 902613AS7<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    240000 | PA      | $231957.00    | 0.05%             | 2027-08-05      | Variable      | 4.70%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2003-130, Class SX                                                     | CUSIP: 31393UWF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       519 | PA      | $509.59       | 0.00%             | 2034-01-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Office Properties Income Trust                                   | Office Properties Income Trust                                                             | CUSIP: 67623CAF6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    130000 | PA      | $86824.41     | 0.02%             | 2031-10-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Westpac Banking Corp.                                            | Westpac Banking Corp.                                                                      | CUSIP: 961214DF7<br>LEI: EN5TNI6CI43VEPAMHL14 | Long             | DBT              | CORP              | AU        |    140000 | PA      | $131762.41    | 0.03%             | 2031-11-23      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2001-36, Class DE                                                      | CUSIP: 313920LG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16269 | PA      | $17015.50     | 0.00%             | 2031-08-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 1993-223, Class PZ                                                     | CUSIP: 31359FTF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4258 | PA      | $4255.79      | 0.00%             | 2023-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                              | Exeter Automobile Receivables Trust, Series 2019-3A, Class D                               | CUSIP: 30167EAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    401790 | PA      | $395427.95    | 0.08%             | 2025-08-15      | Fixed         | 3.11%                 | Yes           |                  2 | On Loan: No      |
| Hyundai Capital America                                          | Hyundai Capital America                                                                    | CUSIP: 44891ABN6<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    140000 | PA      | $125918.52    | 0.03%             | 2025-10-15      | Fixed         | 1.80%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, Other                                                                                | CUSIP: 3140JBZB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1649617 | PA      | $1328558.05   | 0.28%             | 2032-03-01      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 1694, Class PK                                                        | CUSIP: 3133T4NE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       568 | PA      | $568.78       | 0.00%             | 2024-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Steel Dynamics, Inc.                                             | Steel Dynamics, Inc.                                                                       | CUSIP: 858119BN9<br>LEI: 549300HGGKEL4FYTTQ83 | Long             | DBT              | CORP              | US        |    126000 | PA      | $105569.37    | 0.02%             | 2027-10-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Bonds                                                                        | CUSIP: 912810TC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    205000 | PA      | $146374.81    | 0.03%             | 2041-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| DNB Bank ASA                                                     | DNB Bank ASA                                                                               | CUSIP: 25601B2B0<br>LEI: 549300GKFG0RYRRQ1414 | Long             | DBT              | CORP              | NO        |    325000 | PA      | $274937.23    | 0.06%             | 2028-03-30      | Variable      | 1.60%                 | Yes           |                  2 | On Loan: No      |
| American Tower Corp.                                             | American Tower Corp.                                                                       | CUSIP: 03027XAD2<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |     71000 | PA      | $70738.34     | 0.02%             | 2024-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC                         | Sierra Timeshare Receivables Funding LLC, Series 2019-3A, Class C                          | CUSIP: 82652NAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    190759 | PA      | $179563.78    | 0.04%             | 2036-08-20      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                             | FNMA                                                                                       | CUSIP: 31373UED5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       256 | PA      | $254.58       | 0.00%             | 2029-03-01      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| Reliance Steel & Aluminum Co.                                    | Reliance Steel & Aluminum Co.                                                              | CUSIP: 759509AF9<br>LEI: 549300E287ZOFT3C5Z56 | Long             | DBT              | CORP              | US        |    600000 | PA      | $542083.69    | 0.12%             | 2025-08-15      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| Hydro-Quebec                                                     | Hydro-Quebec                                                                               | CUSIP: 448814EJ8<br>LEI: 6THEVG93PYJH84S4D167 | Long             | DBT              | NUSS              | CA        |    100000 | PA      | $104528.33    | 0.02%             | 2024-07-07      | Fixed         | 8.05%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                | Credit Acceptance Auto Loan Trust, Series 2022-3A, Class C                                 | CUSIP: 22534QAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    900000 | PA      | $908560.62    | 0.19%             | 2033-02-15      | Fixed         | 8.45%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 1998-43, Class SA                                                      | CUSIP: 31359TL71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       110 | PA      | $1.56         | 0.00%             | 2023-04-25      | Floating      | 13.32%                | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA I, 30 Year                                                                            | CUSIP: 36224FFS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       149 | PA      | $149.32       | 0.00%             | 2023-05-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA ACES, Series 2017-M12, Class A2                                                       | CUSIP: 3136AX7E9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    263361 | PA      | $246995.15    | 0.05%             | 2027-06-25      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                                      | Capital One Financial Corp.                                                                | CUSIP: 14040HCH6<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |     74000 | PA      | $64446.15     | 0.01%             | 2027-11-02      | Variable      | 1.88%                 | No            |                  2 | On Loan: No      |
| Oportun Funding XIII LLC                                         | Oportun Funding XIII LLC, Series 2019-A, Class A                                           | CUSIP: 68377FAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    404576 | PA      | $399381.96    | 0.08%             | 2025-08-08      | Fixed         | 3.08%                 | Yes           |                  2 | On Loan: No      |
| Rogers Communications, Inc.                                      | Rogers Communications, Inc.                                                                | CUSIP: 775109CD1<br>LEI: 54930030NVF3Y2OL0A78 | Long             | DBT              | CORP              | CA        |    180000 | PA      | $139551.49    | 0.03%             | 2052-03-15      | Fixed         | 4.55%                 | Yes           |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                     | Avolon Holdings Funding Ltd.                                                               | CUSIP: 05401AAL5<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    245000 | PA      | $222105.06    | 0.05%             | 2026-04-15      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                             | GNMA I, 30 Year                                                                            | CUSIP: 36206JCE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       568 | PA      | $573.38       | 0.00%             | 2027-11-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CommonSpirit Health                                              | CommonSpirit Health                                                                        | CUSIP: 20268JAE3<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |    145000 | PA      | $130381.04    | 0.03%             | 2025-10-01      | Fixed         | 1.55%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp.                                                 | CVS Health Corp.                                                                           | CUSIP: 126650CX6<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     21000 | PA      | $20312.10     | 0.00%             | 2028-03-25      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| LSEGA Financing plc                                              | LSEGA Financing plc                                                                        | CUSIP: 50220PAC7<br>LEI: 2138009YFYTGEHZNNZ09 | Long             | DBT              | CORP              | GB        |    475000 | PA      | $404761.68    | 0.09%             | 2028-04-06      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                               | United Airlines Pass-Through Trust, Series 2012-1, Class A                                 | CUSIP: 210795PZ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    106484 | PA      | $103126.78    | 0.02%             | 2024-04-11      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Utah Acquisition Sub, Inc.                                       | Utah Acquisition Sub, Inc.                                                                 | CUSIP: 62854AAN4<br>LEI: 254900JOFV74IJ7H9933 | Long             | DBT              | CORP              | US        |    210000 | PA      | $196321.59    | 0.04%             | 2026-06-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Boston Properties LP                                             | Boston Properties LP                                                                       | CUSIP: 10112RAZ7<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |     61000 | PA      | $58344.34     | 0.01%             | 2025-01-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 2574, Class PE                                                        | CUSIP: 31393L2Q5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    115182 | PA      | $116958.01    | 0.02%             | 2033-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Atmos Energy Corp.                                               | Atmos Energy Corp.                                                                         | CUSIP: 049560AM7<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |     50000 | PA      | $41022.77     | 0.01%             | 2044-10-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Halliburton Co.                                                  | Halliburton Co.                                                                            | CUSIP: 406216BJ9<br>LEI: ENYF8GB5SMQZ25S06U51 | Long             | DBT              | CORP              | US        |     30000 | PA      | $27753.41     | 0.01%             | 2035-11-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| American Homes 4 Rent Trust                                      | American Homes 4 Rent Trust, Series 2014-SFR2, Class C                                     | CUSIP: 02665UAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $193002.74    | 0.04%             | 2036-10-17      | Fixed         | 4.71%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Notes                                                                        | CUSIP: 91282CAV3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2050000 | PA      | $1638558.60   | 0.35%             | 2030-11-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                                     | UBS Group AG                                                                               | CUSIP: 902613AK4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    200000 | PA      | $154569.70    | 0.03%             | 2033-02-11      | Variable      | 2.75%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                             | GNMA II, 30 Year                                                                           | CUSIP: 3617YMN65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    118252 | PA      | $104116.07    | 0.02%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC                         | Sierra Timeshare Receivables Funding LLC, Series 2020-2A, Class A                          | CUSIP: 826525AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    238842 | PA      | $224234.98    | 0.05%             | 2037-07-20      | Fixed         | 1.33%                 | Yes           |                  2 | On Loan: No      |
| Welltower, Inc.                                                  | Welltower, Inc.                                                                            | CUSIP: 42217KAX4<br>LEI: T6IZ0MBEG5ACZDTR7D06 | Long             | DBT              | CORP              | US        |    125000 | PA      | $124474.81    | 0.03%             | 2041-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Baltimore Gas and Electric Co.                                   | Baltimore Gas and Electric Co.                                                             | CUSIP: 059165EH9<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |     47000 | PA      | $34854.72     | 0.01%             | 2046-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Mid-America Apartments LP                                        | Mid-America Apartments LP                                                                  | CUSIP: 59523UAS6<br>LEI: 549300FXWGE3QSYCUJ38 | Long             | DBT              | CORP              | US        |    150000 | PA      | $116949.53    | 0.02%             | 2031-02-15      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                     | MASTR Alternative Loan Trust, Series 2004-7, Class 30PO                                    | CUSIP: 576434TQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4478 | PA      | $3293.56      | 0.00%             | 2034-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                             | FREMF Mortgage Trust, Series 2018-K730, Class B                                            | CUSIP: 30296GAS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    551000 | PA      | $525725.24    | 0.11%             | 2050-02-25      | Variable      | 3.80%                 | Yes           |                  2 | On Loan: No      |
| GAIF Bond Issuer Pty. Ltd.                                       | GAIF Bond Issuer Pty. Ltd.                                                                 | CUSIP: 361435AA8<br>LEI: 2138007UNQRHCRSBNZ86 | Long             | DBT              | CORP              | AU        |     79000 | PA      | $72533.74     | 0.02%             | 2026-09-30      | Fixed         | 3.40%                 | Yes           |                  2 | On Loan: No      |
| Kroger Co. (The)                                                 | Kroger Co. (The)                                                                           | CUSIP: 501044DP3<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |    500000 | PA      | $405732.89    | 0.09%             | 2030-05-01      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Crown Castle, Inc.                                               | Crown Castle, Inc.                                                                         | CUSIP: 22822VAE1<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |     24000 | PA      | $22887.57     | 0.00%             | 2027-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Oncor Electric Delivery Co. LLC                                  | Oncor Electric Delivery Co. LLC                                                            | CUSIP: 68233JBR4<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |    215000 | PA      | $152173.32    | 0.03%             | 2049-09-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| American Water Capital Corp.                                     | American Water Capital Corp.                                                               | CUSIP: 03040WAP0<br>LEI: 5IDHQUFVC8Q2KIBBFF06 | Long             | DBT              | CORP              | US        |     52000 | PA      | $40417.99     | 0.01%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Healthpeak Properties, Inc.                                      | Healthpeak Properties, Inc.                                                                | CUSIP: 42250PAD5<br>LEI: PZ9HF5U52KPF0MH0QN75 | Long             | DBT              | CORP              | US        |    330000 | PA      | $276630.41    | 0.06%             | 2028-12-01      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| Macquarie Group Ltd.                                             | Macquarie Group Ltd.                                                                       | CUSIP: 55608JAR9<br>LEI: ACMHD8HWFMFUIQQ8Y590 | Long             | DBT              | CORP              | AU        |    210000 | PA      | $183026.30    | 0.04%             | 2027-01-12      | Variable      | 1.34%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K-151, Class A2           | CUSIP: 3137H9JG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1150000 | PA      | $1085454.64   | 0.23%             | 2032-10-25      | Variable      | 3.80%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mortgage Securities Trust              | First Horizon Alternative Mortgage Securities Trust, Series 2005-FA8, Class 1A19           | CUSIP: 32051GYZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     51683 | PA      | $27143.93     | 0.01%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GMACM Mortgage Loan Trust                                        | GMACM Mortgage Loan Trust, Series 2005-AR3, Class 3A4                                      | CUSIP: 36185N7E4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     46119 | PA      | $41433.24     | 0.01%             | 2035-06-19      | Variable      | 3.18%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                            | Vendee Mortgage Trust, Series 1997-1, Class 2Z                                             | CUSIP: 911760KE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     42435 | PA      | $43442.75     | 0.01%             | 2027-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Ford Foundation (The)                                            | Ford Foundation (The), Series 2020                                                         | CUSIP: 34531XAC8<br>LEI: 54930013YZ3DULPNNT44 | Long             | DBT              | CORP              | US        |     90000 | PA      | $52495.19     | 0.01%             | 2070-06-01      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| Quanta Services, Inc.                                            | Quanta Services, Inc.                                                                      | CUSIP: 74762EAH5<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |    270000 | PA      | $205019.05    | 0.04%             | 2032-01-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| APA Infrastructure Ltd.                                          | APA Infrastructure Ltd.                                                                    | CUSIP: 00205GAD9<br>LEI: 261700SS8OEHDOCOUJ33 | Long             | DBT              | CORP              | AU        |     73000 | PA      | $68169.62     | 0.01%             | 2027-07-15      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 4664, Class UZ                                                        | CUSIP: 3137BWS62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1258119 | PA      | $1117653.53   | 0.24%             | 2047-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Securitization Trust                                 | MASTR Asset Securitization Trust, Series 2003-12, Class 15PO                               | CUSIP: 55265K4B2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        76 | PA      | $75.78        | 0.00%             | 2018-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA, Series 2009-6, Class SH                                                              | CUSIP: 38375Y6G2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32400 | PA      | $175.22       | 0.00%             | 2039-02-20      | Floating      | 1.69%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                          | BPCE SA                                                                                    | CUSIP: 05583JAJ1<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    250000 | PA      | $186899.24    | 0.04%             | 2032-01-20      | Variable      | 2.28%                 | Yes           |                  2 | On Loan: No      |
| Thermo Fisher Scientific, Inc.                                   | Thermo Fisher Scientific, Inc.                                                             | CUSIP: 883556CL4<br>LEI: HCHV7422L5HDJZCRFL38 | Long             | DBT              | CORP              | US        |    330000 | PA      | $267256.87    | 0.06%             | 2031-10-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| San Diego Gas & Electric Co.                                     | San Diego Gas & Electric Co.                                                               | CUSIP: 797440BF0<br>LEI: KNIRVXKVNJJ4P8OTMS63 | Long             | DBT              | CORP              | US        |     70000 | PA      | $68209.31     | 0.01%             | 2035-05-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Notes                                                                        | CUSIP: 91282CEP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1630000 | PA      | $1502146.88   | 0.32%             | 2032-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Baker Hughes Holdings LLC                                        | Baker Hughes Holdings LLC                                                                  | CUSIP: 05724BAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    115000 | PA      | $109604.47    | 0.02%             | 2030-05-01      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                                       | AerCap Ireland Capital DAC                                                                 | CUSIP: 00774MAP0<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    600000 | PA      | $596058.91    | 0.13%             | 2023-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Notes                                                                        | CUSIP: 912828J27<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1000000 | PA      | $951484.38    | 0.20%             | 2025-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Brixmor Operating Partnership LP                                 | Brixmor Operating Partnership LP                                                           | CUSIP: 11120VAL7<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |    105000 | PA      | $80308.39     | 0.02%             | 2031-08-16      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 1541, Class O                                                         | CUSIP: 3133T0BX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       159 | PA      | $158.09       | 0.00%             | 2023-07-15      | Floating      | 3.42%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury STRIPS Bonds                                                                 | CUSIP: 912833QB9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    710000 | PA      | $582453.14    | 0.12%             | 2027-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA I, 30 Year                                                                            | CUSIP: 36210APW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1310 | PA      | $1322.00      | 0.00%             | 2028-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 2033, Class SN                                                        | CUSIP: 3133TCX78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       183 | PA      | $8.48         | 0.00%             | 2024-03-15      | Floating      | 24.47%                | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 1993-165, Class SK                                                     | CUSIP: 31359D5S8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       185 | PA      | $187.07       | 0.00%             | 2023-09-25      | Floating      | 12.50%                | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K065, Class A2            | CUSIP: 3137F1G44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    215000 | PA      | $204541.33    | 0.04%             | 2027-04-25      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| Sumitomo Mitsui Financial Group, Inc.                            | Sumitomo Mitsui Financial Group, Inc.                                                      | CUSIP: 86562MAK6<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |     25000 | PA      | $23078.33     | 0.00%             | 2026-10-19      | Fixed         | 3.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2009-112, Class ST                                                     | CUSIP: 31398GKH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22371 | PA      | $1834.50      | 0.00%             | 2040-01-25      | Floating      | 1.86%                 | No            |                  2 | On Loan: No      |
| OneSky Loan Trust                                                | OneSky Loan Trust, 1st Lien Term Loan                                                      | CUSIP: 68278AAA7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    825000 | PA      | $689570.48    | 0.15%             | 2031-01-15      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| Raytheon Technologies Corp.                                      | Raytheon Technologies Corp.                                                                | CUSIP: 913017CA5<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    138000 | PA      | $115043.15    | 0.02%             | 2045-05-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Bonds                                                                        | CUSIP: 912810SC3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    176200 | PA      | $148083.71    | 0.03%             | 2048-05-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA, Series 2009-14, Class NI                                                             | CUSIP: 38374XAF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19204 | PA      | $2818.81      | 0.00%             | 2039-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| LYB International Finance III LLC                                | LYB International Finance III LLC                                                          | CUSIP: 50249AAJ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    245000 | PA      | $163924.35    | 0.03%             | 2051-04-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Regency Centers LP                                               | Regency Centers LP                                                                         | CUSIP: 75884RAZ6<br>LEI: 5493008PTR2GAOYBXW28 | Long             | DBT              | CORP              | US        |    215000 | PA      | $180453.02    | 0.04%             | 2029-09-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Nutrien Ltd.                                                     | Nutrien Ltd.                                                                               | CUSIP: 67077MAU2<br>LEI: 5493002QQ7GD21OWF963 | Long             | DBT              | CORP              | CA        |     40000 | PA      | $35909.45     | 0.01%             | 2049-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                               | United Airlines Pass-Through Trust, Series 2018-1, Class A                                 | CUSIP: 90931VAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    327691 | PA      | $273017.03    | 0.06%             | 2030-03-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA I, 30 Year                                                                            | CUSIP: 36295R2F4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    541948 | PA      | $564164.40    | 0.12%             | 2038-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Healthcare Realty Holdings LP                                    | Healthcare Realty Holdings LP                                                              | CUSIP: 42225UAH7<br>LEI: 549300IYGAS4GE6VDL07 | Long             | DBT              | CORP              | US        |    160000 | PA      | $121125.34    | 0.03%             | 2031-03-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-58, Class APO            | CUSIP: 31394JY76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8647 | PA      | $6055.98      | 0.00%             | 2043-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                            | FMC GMSR Issuer Trust, Series 2020-GT1, Class A                                            | CUSIP: 30259RAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1310318.70   | 0.28%             | 2026-01-25      | Variable      | 4.45%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                             | FREMF Mortgage Trust, Series 2015-K45, Class B                                             | CUSIP: 30292PAE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    500000 | PA      | $477196.15    | 0.10%             | 2048-04-25      | Variable      | 3.61%                 | Yes           |                  2 | On Loan: No      |
| Boardwalk Pipelines LP                                           | Boardwalk Pipelines LP                                                                     | CUSIP: 096630AH1<br>LEI: 549300W6AQ2GHHCGL606 | Long             | DBT              | CORP              | US        |    170000 | PA      | $142188.31    | 0.03%             | 2031-02-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Magellan Midstream Partners LP                                   | Magellan Midstream Partners LP                                                             | CUSIP: 559080AH9<br>LEI: MZF5TI8NFVZZNUSKDL39 | Long             | DBT              | CORP              | US        |     14000 | PA      | $13343.55     | 0.00%             | 2025-03-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| BAT Capital Corp.                                                | BAT Capital Corp.                                                                          | CUSIP: 05526DBR5<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    210000 | PA      | $174283.75    | 0.04%             | 2028-03-25      | Fixed         | 2.26%                 | No            |                  2 | On Loan: No      |
| NOV, Inc.                                                        | NOV, Inc.                                                                                  | CUSIP: 637071AM3<br>LEI: 549300EHF3IW1AR6U008 | Long             | DBT              | CORP              | US        |    200000 | PA      | $175787.08    | 0.04%             | 2029-12-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Microchip Technology, Inc.                                       | Microchip Technology, Inc.                                                                 | CUSIP: 595017BB9<br>LEI: 5493007PTFULNYZJ1R12 | Long             | DBT              | CORP              | US        |     90000 | PA      | $85466.51     | 0.02%             | 2024-02-15      | Fixed         | 0.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, Other                                                                                | CUSIP: 3140LHTB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $977115.46    | 0.21%             | 2032-10-01      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2002-1, Class SA                                                       | CUSIP: 31392BVQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       709 | PA      | $810.47       | 0.00%             | 2032-02-25      | Floating      | 10.92%                | No            |                  2 | On Loan: No      |
| Ecopetrol SA                                                     | Ecopetrol SA                                                                               | CUSIP: 279158AL3<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | NUSS              | CO        |     39000 | PA      | $36782.85     | 0.01%             | 2026-06-26      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Notes                                                                        | CUSIP: 91282CBS9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2475000 | PA      | $2151123.03   | 0.46%             | 2028-03-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Pioneer Natural Resources Co.                                    | Pioneer Natural Resources Co.                                                              | CUSIP: 723787AQ0<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |    270000 | PA      | $211442.55    | 0.04%             | 2030-08-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Notes                                                                        | CUSIP: 9128284S6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     46000 | PA      | $45658.59     | 0.01%             | 2023-05-31      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, STRIPS, Series 299, Class 300                                                       | CUSIP: 3132HTJV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     63701 | PA      | $57556.00     | 0.01%             | 2043-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Notes                                                                        | CUSIP: 912828XB1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    575000 | PA      | $546407.23    | 0.12%             | 2025-05-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| Cleveland Electric Illuminating Co. (The)                        | Cleveland Electric Illuminating Co. (The)                                                  | CUSIP: 186108CK0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     95000 | PA      | $86541.04     | 0.02%             | 2028-04-01      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Banco Santander SA                                               | Banco Santander SA                                                                         | CUSIP: 05964HAN5<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    200000 | PA      | $170833.29    | 0.04%             | 2027-09-14      | Variable      | 1.72%                 | No            |                  2 | On Loan: No      |
| S&P Global, Inc.                                                 | S&P Global, Inc.                                                                           | CUSIP: 78409VBC7<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |    193000 | PA      | $164620.15    | 0.04%             | 2032-03-01      | Fixed         | 2.90%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                             | GNMA II, 30 Year                                                                           | CUSIP: 36202CSM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5592 | PA      | $5711.39      | 0.00%             | 2026-11-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group plc                                         | Lloyds Banking Group plc                                                                   | CUSIP: 53944YAA1<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    220000 | PA      | $214690.12    | 0.05%             | 2024-11-04      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Banque Federative du Credit Mutuel SA                            | Banque Federative du Credit Mutuel SA                                                      | CUSIP: 06675FAT4<br>LEI: VBHFXSYT7OG62HNT8T76 | Long             | DBT              | CORP              | FR        |    254000 | PA      | $240148.44    | 0.05%             | 2024-11-21      | Fixed         | 2.38%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                             | FNMA                                                                                       | CUSIP: 31403DET2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10098 | PA      | $10198.84     | 0.00%             | 2033-04-01      | Variable      | 3.56%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Notes                                                                        | CUSIP: 91282CFH9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2935000 | PA      | $2822873.84   | 0.60%             | 2027-08-31      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA UMBS, 30 Year                                                                         | CUSIP: 31418BY91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    135064 | PA      | $132681.39    | 0.03%             | 2046-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                           | Alternative Loan Trust, Series 2005-28CB, Class 1A4                                        | CUSIP: 12667GWT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    176088 | PA      | $152500.89    | 0.03%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Notes                                                                        | CUSIP: 91282CEM9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6775000 | PA      | $6345210.94   | 1.35%             | 2029-04-30      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury STRIPS Bonds                                                                 | CUSIP: 912833RY8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     27000 | PA      | $21911.85     | 0.00%             | 2028-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 2247, Class Z                                                         | CUSIP: 3133TPGX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3921 | PA      | $4123.74      | 0.00%             | 2030-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Principal Financial Group, Inc.                                  | Principal Financial Group, Inc.                                                            | CUSIP: 74251VAR3<br>LEI: CUMYEZJOAF02RYZ1JJ85 | Long             | DBT              | CORP              | US        |     30000 | PA      | $27796.85     | 0.01%             | 2029-05-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Amazon.com, Inc.                                                 | Amazon.com, Inc.                                                                           | CUSIP: 023135BF2<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |     80000 | PA      | $70873.58     | 0.02%             | 2037-08-22      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                            | Bank of America Corp., Series N                                                            | CUSIP: 06051GJQ3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    100000 | PA      | $88470.36     | 0.02%             | 2027-03-11      | Variable      | 1.66%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                  | Citigroup, Inc.                                                                            | CUSIP: 172967NE7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    110000 | PA      | $85543.57     | 0.02%             | 2032-11-03      | Variable      | 2.52%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                          | GSR Mortgage Loan Trust, Series 2004-6F, Class 3A4                                         | CUSIP: 36228F2R6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     49613 | PA      | $49333.22     | 0.01%             | 2034-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 3380, Class SI                                                        | CUSIP: 31397KTW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    611808 | PA      | $62687.24     | 0.01%             | 2037-10-15      | Floating      | 2.05%                 | No            |                  2 | On Loan: No      |
| Brixmor Operating Partnership LP                                 | Brixmor Operating Partnership LP                                                           | CUSIP: 11120VAK9<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |    200000 | PA      | $165048.50    | 0.04%             | 2028-04-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| UniCredit SpA                                                    | UniCredit SpA                                                                              | CUSIP: 904678AF6<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |    200000 | PA      | $175575.01    | 0.04%             | 2032-06-19      | Variable      | 5.86%                 | Yes           |                  2 | On Loan: No      |
| Impac Secured Assets Trust                                       | Impac Secured Assets Trust, Series 2006-1, Class 2A1                                       | CUSIP: 45254TTN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4680 | PA      | $3959.21      | 0.00%             | 2036-05-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Buckeye Partners LP                                              | Buckeye Partners LP                                                                        | CUSIP: 118230AM3<br>LEI: 549300C1PQJLVEIUBK50 | Long             | DBT              | CORP              | US        |    100000 | PA      | $74507.85     | 0.02%             | 2043-11-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| International Flavors & Fragrances, Inc.                         | International Flavors & Fragrances, Inc.                                                   | CUSIP: 459506AL5<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |     52000 | PA      | $44153.43     | 0.01%             | 2048-09-26      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                     | MASTR Alternative Loan Trust, Series 2003-9, Class 8A1                                     | CUSIP: 576434LD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     29062 | PA      | $27505.62     | 0.01%             | 2034-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                  | Citigroup, Inc.                                                                            | CUSIP: 172967LS8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     75000 | PA      | $68429.72     | 0.01%             | 2028-10-27      | Variable      | 3.52%                 | No            |                  2 | On Loan: No      |
| Ventas Realty LP                                                 | Ventas Realty LP                                                                           | CUSIP: 92277GAG2<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |      9000 | PA      | $8729.50      | 0.00%             | 2026-01-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                | HSBC Holdings plc                                                                          | CUSIP: 404280DM8<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    250000 | PA      | $240524.78    | 0.05%             | 2037-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| WP Carey, Inc.                                                   | WP Carey, Inc.                                                                             | CUSIP: 92936UAH2<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              | CORP              | US        |    180000 | PA      | $133286.78    | 0.03%             | 2033-04-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC Gold Pools, 30 Year                                                                  | CUSIP: 31292HNH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2730 | PA      | $2826.58      | 0.00%             | 2032-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Alimentation Couche-Tard, Inc.                                   | Alimentation Couche-Tard, Inc.                                                             | CUSIP: 01626PAN6<br>LEI: 549300OSW32RVX8CCZ87 | Long             | DBT              | CORP              | CA        |    230000 | PA      | $161512.76    | 0.03%             | 2050-01-25      | Fixed         | 3.80%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                             | FREMF Mortgage Trust, Series 2015-K44, Class B                                             | CUSIP: 30292NAG8<br>LEI: 549300OFE1DNC7KO4K57 | Long             | ABS-MBS          | USGSE             | US        |    640000 | PA      | $608847.23    | 0.13%             | 2048-01-25      | Variable      | 3.72%                 | Yes           |                  2 | On Loan: No      |
| UDR, Inc.                                                        | UDR, Inc.                                                                                  | CUSIP: 90265EAL4<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              | CORP              | US        |     28000 | PA      | $25700.21     | 0.01%             | 2026-09-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA I, 30 Year                                                                            | CUSIP: 36209JCQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1624 | PA      | $1641.30      | 0.00%             | 2028-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA UMBS, 30 Year                                                                         | CUSIP: 31405FTF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7566 | PA      | $7679.47      | 0.00%             | 2032-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 2586, Class WI                                                        | CUSIP: 31393MWB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3836 | PA      | $653.83       | 0.00%             | 2033-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, Other                                                                                | CUSIP: 31418AS33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    216465 | PA      | $202168.65    | 0.04%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                                          | Hyundai Capital America                                                                    | CUSIP: 44891ABW6<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |     45000 | PA      | $38987.69     | 0.01%             | 2026-06-15      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2005-45, Class DC                                                      | CUSIP: 31394DQ60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36403 | PA      | $35394.97     | 0.01%             | 2035-06-25      | Floating      | 8.22%                 | No            |                  2 | On Loan: No      |
| Global Payments, Inc.                                            | Global Payments, Inc.                                                                      | CUSIP: 37940XAB8<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    236000 | PA      | $200612.13    | 0.04%             | 2029-08-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                     | MASTR Alternative Loan Trust, Series 2004-6, Class 7A1                                     | CUSIP: 576434SK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     51316 | PA      | $47705.77     | 0.01%             | 2034-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2004-79, Class ZE                                                      | CUSIP: 31394BFH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    302659 | PA      | $306232.85    | 0.07%             | 2034-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                                      | Capital One Financial Corp.                                                                | CUSIP: 14040HCJ2<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    235000 | PA      | $179944.78    | 0.04%             | 2032-11-02      | Variable      | 2.62%                 | No            |                  2 | On Loan: No      |
| Jersey Central Power & Light Co.                                 | Jersey Central Power & Light Co.                                                           | CUSIP: 476556CX1<br>LEI: 549300W9UGH9ZPLNPF79 | Long             | DBT              | CORP              | US        |     30000 | PA      | $29313.51     | 0.01%             | 2037-06-01      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| GTP Acquisition Partners I LLC                                   | GTP Acquisition Partners I LLC                                                             | CUSIP: 36246MAU3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     67000 | PA      | $62412.74     | 0.01%             | 2025-06-16      | Fixed         | 3.48%                 | Yes           |                  2 | On Loan: No      |
| Alimentation Couche-Tard, Inc.                                   | Alimentation Couche-Tard, Inc.                                                             | CUSIP: 01626PAQ9<br>LEI: 549300OSW32RVX8CCZ87 | Long             | DBT              | CORP              | CA        |    280000 | PA      | $187178.22    | 0.04%             | 2051-05-13      | Fixed         | 3.62%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                  | Goldman Sachs Group, Inc. (The)                                                            | CUSIP: 38141GXG4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    400000 | PA      | $333807.66    | 0.07%             | 2030-02-07      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Phillips 66 Co.                                                  | Phillips 66 Co.                                                                            | CUSIP: 718547AJ1<br>LEI: RVJMT2IZVVSKIRJJBH76 | Long             | DBT              | CORP              | US        |     95000 | PA      | $82875.31     | 0.02%             | 2029-12-15      | Fixed         | 3.15%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 2500, Class MC                                                        | CUSIP: 31392UXE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29934 | PA      | $30782.39     | 0.01%             | 2032-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 2259, Class ZC                                                        | CUSIP: 3133TQBZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     86883 | PA      | $92680.31     | 0.02%             | 2030-10-15      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| MRCD MARK Mortgage Trust                                         | MRCD MARK Mortgage Trust, Series 2019-PARK, Class A                                        | CUSIP: 55348UAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    740000 | PA      | $680204.30    | 0.14%             | 2036-12-15      | Fixed         | 2.72%                 | Yes           |                  2 | On Loan: No      |
| BNP Paribas SA                                                   | BNP Paribas SA                                                                             | CUSIP: 09659W2R4<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    349000 | PA      | $284512.24    | 0.06%             | 2029-09-15      | Variable      | 2.16%                 | Yes           |                  2 | On Loan: No      |
| Raytheon Technologies Corp.                                      | Raytheon Technologies Corp.                                                                | CUSIP: 75513ECG4<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |     28000 | PA      | $27455.02     | 0.01%             | 2024-03-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Universal Health Services, Inc.                                  | Universal Health Services, Inc.                                                            | CUSIP: 913903AW0<br>LEI: 549300YGMGQDO0NMJD09 | Long             | DBT              | CORP              | US        |     36000 | PA      | $28651.43     | 0.01%             | 2030-10-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Lennox International, Inc.                                       | Lennox International, Inc.                                                                 | CUSIP: 526107AE7<br>LEI: S7DWAC87RDMPBF77GJ92 | Long             | DBT              | CORP              | US        |    540000 | PA      | $488767.81    | 0.10%             | 2025-08-01      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                            | United Mexican States                                                                      | CUSIP: 91086QBB3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     50000 | PA      | $40290.63     | 0.01%             | 2044-03-08      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust                                              | DT Auto Owner Trust, Series 2022-3A, Class C                                               | CUSIP: 23345RAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    900000 | PA      | $909692.28    | 0.19%             | 2028-07-17      | Fixed         | 7.69%                 | Yes           |                  2 | On Loan: No      |
| Ventas Realty LP                                                 | Ventas Realty LP                                                                           | CUSIP: 92277GAJ6<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |     25000 | PA      | $23091.20     | 0.00%             | 2026-10-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury STRIPS Bonds                                                                 | CUSIP: 912833PE4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    250000 | PA      | $206779.70    | 0.04%             | 2027-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Gold Key Resorts LLC                                             | Gold Key Resorts LLC, Series 2014-A, Class A                                               | CUSIP: 38061LAA7<br>LEI: 549300MORAF4RGEXUA95 | Long             | ABS-O            | CORP              | US        |      1876 | PA      | $1843.46      | 0.00%             | 2031-03-17      | Fixed         | 3.22%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                             | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140KBZX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    773018 | PA      | $704119.73    | 0.15%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TVC Mortgage Trust                                               | TVC Mortgage Trust, Series 2020-RTL1, Class A1                                             | CUSIP: 90114YAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    286928 | PA      | $285956.89    | 0.06%             | 2024-09-25      | Fixed         | 3.47%                 | Yes           |                  2 | On Loan: No      |
| Flex Intermediate Holdco LLC                                     | Flex Intermediate Holdco LLC                                                               | CUSIP: 33939HAB5<br>LEI: 549300290TQIGM30A243 | Long             | DBT              | CORP              | US        |    130000 | PA      | $93370.29     | 0.02%             | 2039-12-30      | Fixed         | 4.32%                 | Yes           |                  2 | On Loan: No      |
| American Tower Corp.                                             | American Tower Corp.                                                                       | CUSIP: 03027XBD1<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    130000 | PA      | $81801.29     | 0.02%             | 2050-06-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                                       | AerCap Ireland Capital DAC                                                                 | CUSIP: 00774MAV7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    170000 | PA      | $148655.09    | 0.03%             | 2026-10-29      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Discovery Communications LLC                                     | Discovery Communications LLC                                                               | CUSIP: 25470DAT6<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |     80000 | PA      | $59425.70     | 0.01%             | 2047-09-20      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                               | United Airlines Pass-Through Trust, Series 2018-1, Class B                                 | CUSIP: 90932NAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     88587 | PA      | $80898.83     | 0.02%             | 2026-03-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Nutrien Ltd.                                                     | Nutrien Ltd.                                                                               | CUSIP: 67077MAE8<br>LEI: 5493002QQ7GD21OWF963 | Long             | DBT              | CORP              | CA        |     70000 | PA      | $67302.23     | 0.01%             | 2026-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K079, Class AM            | CUSIP: 3137FGZU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    588000 | PA      | $569652.05    | 0.12%             | 2028-06-25      | Fixed         | 3.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, Other                                                                                | CUSIP: 313637QD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    940321 | PA      | $899953.91    | 0.19%             | 2028-08-01      | Fixed         | 3.64%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 2359, Class ZB                                                        | CUSIP: 3133TV5T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10388 | PA      | $11262.05     | 0.00%             | 2031-06-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                                       | AT&T, Inc.                                                                                 | CUSIP: 00206RKG6<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     55000 | PA      | $46450.32     | 0.01%             | 2028-02-01      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes Trust                                             | FirstKey Homes Trust, Series 2021-SFR1, Class E1                                           | CUSIP: 33767WAJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1200000 | PA      | $1000561.80   | 0.21%             | 2038-08-17      | Fixed         | 2.39%                 | Yes           |                  2 | On Loan: No      |
| CVS Pass-Through Trust                                           | CVS Pass-Through Trust                                                                     | CUSIP: 126650BY5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     66028 | PA      | $64446.38     | 0.01%             | 2034-01-10      | Fixed         | 5.93%                 | Yes           |                  2 | On Loan: No      |
| Smithfield Foods, Inc.                                           | Smithfield Foods, Inc.                                                                     | CUSIP: 832248BC1<br>LEI: CVTIPZRZJC0JQEZLL598 | Long             | DBT              | CORP              | US        |    380000 | PA      | $289329.35    | 0.06%             | 2030-10-15      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                             | FREMF Mortgage Trust, Series 2016-K59, Class B                                             | CUSIP: 30295RAS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    180000 | PA      | $165536.42    | 0.04%             | 2049-11-25      | Variable      | 3.58%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, Multi-Family Structured Pass-Through Certificates, Series KJ11, Class A2            | CUSIP: 3137BUWM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8545 | PA      | $8519.19      | 0.00%             | 2023-01-25      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA UMBS, 30 Year                                                                         | CUSIP: 31403R2E7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11178 | PA      | $11523.05     | 0.00%             | 2028-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Notes                                                                        | CUSIP: 91282CDY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2950000 | PA      | $2502544.91   | 0.53%             | 2032-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| FREMF 2019-KBF3 Mortgage Trust                                   | FREMF Mortgage Trust, Series 2019-KBF3, Class B                                            | CUSIP: 30311TAC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1025606 | PA      | $953772.66    | 0.20%             | 2029-01-25      | Floating      | 6.64%                 | Yes           |                  2 | On Loan: No      |
| BPCE SA                                                          | BPCE SA                                                                                    | CUSIP: 05583JAH5<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    250000 | PA      | $222171.33    | 0.05%             | 2026-10-06      | Variable      | 1.65%                 | Yes           |                  2 | On Loan: No      |
| Blackstone Holdings Finance Co. LLC                              | Blackstone Holdings Finance Co. LLC                                                        | CUSIP: 09256BAH0<br>LEI: 549300D2L6J4NC1QVZ22 | Long             | DBT              | CORP              | US        |     21000 | PA      | $16940.79     | 0.00%             | 2045-07-15      | Fixed         | 4.45%                 | Yes           |                  2 | On Loan: No      |
| Energy Transfer LP                                               | Energy Transfer LP                                                                         | CUSIP: 86765BAK5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     60000 | PA      | $55015.59     | 0.01%             | 2042-02-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| NextEra Energy Capital Holdings, Inc.                            | NextEra Energy Capital Holdings, Inc.                                                      | CUSIP: 65339KAT7<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |     27000 | PA      | $25437.32     | 0.01%             | 2027-05-01      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2007-100, Class SM                                                     | CUSIP: 31396XXQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23227 | PA      | $2185.16      | 0.00%             | 2037-10-25      | Floating      | 2.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, STRIPS                                                                               | CUSIP: 31364EBA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    630000 | PA      | $509623.64    | 0.11%             | 2028-03-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 2064, Class TE                                                        | CUSIP: 3133TELZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6105 | PA      | $6342.79      | 0.00%             | 2028-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Evergy Metro, Inc.                                               | Evergy Metro, Inc.                                                                         | CUSIP: 485134BR0<br>LEI: 1128SIJQ26096WL7IO82 | Long             | ABS-O            | CORP              | US        |     50000 | PA      | $40533.69     | 0.01%             | 2048-03-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Fomento Economico Mexicano SAB de CV                             | Fomento Economico Mexicano SAB de CV                                                       | CUSIP: 344419AC0<br>LEI: 549300A8MDWDJNMLV153 | Long             | DBT              | CORP              | MX        |    260000 | PA      | $179985.00    | 0.04%             | 2050-01-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, Other                                                                                | CUSIP: 3140FXTS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1226833 | PA      | $1014837.12   | 0.22%             | 2061-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| America Movil SAB de CV                                          | America Movil SAB de CV                                                                    | CUSIP: 02364WBG9<br>LEI: 5493000FNR3UCEAONM59 | Long             | DBT              | CORP              | MX        |    200000 | PA      | $170822.00    | 0.04%             | 2049-04-22      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| International Flavors & Fragrances, Inc.                         | International Flavors & Fragrances, Inc.                                                   | CUSIP: 459506AS0<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |     80000 | PA      | $54151.13     | 0.01%             | 2050-12-01      | Fixed         | 3.47%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Bonds                                                                        | CUSIP: 912810SN9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    197000 | PA      | $106018.32    | 0.02%             | 2050-05-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Home RE Ltd.                                                     | Home RE Ltd., Series 2022-1, Class M1A                                                     | CUSIP: 43730GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |    800000 | PA      | $791783.20    | 0.17%             | 2034-10-25      | Floating      | 6.78%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                                       | FHLMC Gold Pools, Other                                                                    | CUSIP: 3132XGNV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1200000 | PA      | $1128275.05   | 0.24%             | 2032-08-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                  | Goldman Sachs Group, Inc. (The)                                                            | CUSIP: 38141GVR2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    105000 | PA      | $102474.40    | 0.02%             | 2025-10-21      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| General Mills, Inc.                                              | General Mills, Inc.                                                                        | CUSIP: 370334CP7<br>LEI: 2TGYMUGI08PO8X8L6150 | Long             | DBT              | CORP              | US        |    100000 | PA      | $68376.64     | 0.01%             | 2051-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CIG Auto Receivables Trust                                       | CIG Auto Receivables Trust, Series 2020-1A, Class C                                        | CUSIP: 12597UAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    913109 | PA      | $909191.26    | 0.19%             | 2026-01-12      | Fixed         | 1.75%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                             | FNMA UMBS, 20 Year                                                                         | CUSIP: 31371L3S6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2171 | PA      | $2134.34      | 0.00%             | 2025-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable LLC                                            | Time Warner Cable LLC                                                                      | CUSIP: 88732JAN8<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |     50000 | PA      | $49598.61     | 0.01%             | 2038-07-01      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 1998-36, Class ZB                                                      | CUSIP: 31359T5E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1341 | PA      | $1362.36      | 0.00%             | 2028-07-18      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA ACES, Series 2018-M3, Class A2                                                        | CUSIP: 3136B1LF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    162733 | PA      | $149694.50    | 0.03%             | 2030-02-25      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2014-19, Class Z                                                       | CUSIP: 3136AJPD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    538969 | PA      | $518838.76    | 0.11%             | 2044-04-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Notes                                                                        | CUSIP: 91282CCB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    805000 | PA      | $676986.13    | 0.14%             | 2031-05-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                                   | Southern California Edison Co., Series B                                                   | CUSIP: 842400GJ6<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     80000 | PA      | $74570.78     | 0.02%             | 2028-03-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Notes                                                                        | CUSIP: 912828Z78<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     74000 | PA      | $66811.02     | 0.01%             | 2027-01-31      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                              | Exeter Automobile Receivables Trust, Series 2019-4A, Class D                               | CUSIP: 30167GAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1063009 | PA      | $1045167.37   | 0.22%             | 2025-09-15      | Fixed         | 2.58%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K070, Class A2            | CUSIP: 3137FCJK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    208000 | PA      | $197733.18    | 0.04%             | 2027-11-25      | Variable      | 3.30%                 | No            |                  2 | On Loan: No      |
| Packaging Corp. of America                                       | Packaging Corp. of America                                                                 | CUSIP: 695156AV1<br>LEI: 549300XZP8MFZFY8TJ84 | Long             | DBT              | CORP              | US        |    155000 | PA      | $118166.84    | 0.03%             | 2049-12-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Port Authority of New York & New Jersey                          | Port Authority of New York and New Jersey, Consolidated, Series 164                        | CUSIP: 73358WCW2<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |    130000 | PA      | $135752.85    | 0.03%             | 2040-11-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                            | Bank of America Corp.                                                                      | CUSIP: 06051GGL7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    260000 | PA      | $240602.30    | 0.05%             | 2028-04-24      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| ONEOK, Inc.                                                      | ONEOK, Inc.                                                                                | CUSIP: 682680BA0<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    250000 | PA      | $229689.62    | 0.05%             | 2025-09-15      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Boston Properties LP                                             | Boston Properties LP                                                                       | CUSIP: 10112RAV6<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |     30000 | PA      | $29531.25     | 0.01%             | 2023-09-01      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                       | FHLMC UMBS, 30 Year                                                                        | CUSIP: 3133KHGR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    284376 | PA      | $270096.31    | 0.06%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Martin Marietta Materials, Inc.                                  | Martin Marietta Materials, Inc.                                                            | CUSIP: 573284AT3<br>LEI: 5299005MZ4WZECVATV08 | Long             | DBT              | CORP              | US        |    100000 | PA      | $92539.90     | 0.02%             | 2027-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA, Series 2012-H23, Class SA                                                            | CUSIP: 38375BXT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    409145 | PA      | $402290.91    | 0.09%             | 2062-10-20      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| Crown Castle Towers LLC                                          | Crown Castle Towers LLC                                                                    | CUSIP: 22822RBD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     60000 | PA      | $58123.16     | 0.01%             | 2025-05-15      | Fixed         | 3.66%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2007-88, Class VI                                                      | CUSIP: 31396XUU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46887 | PA      | $4304.67      | 0.00%             | 2037-09-25      | Floating      | 2.15%                 | No            |                  2 | On Loan: No      |
| Mitsubishi UFJ Financial Group, Inc.                             | Mitsubishi UFJ Financial Group, Inc.                                                       | CUSIP: 606822BY9<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    220000 | PA      | $190726.73    | 0.04%             | 2027-07-20      | Variable      | 1.54%                 | No            |                  2 | On Loan: No      |
| Niagara Mohawk Power Corp.                                       | Niagara Mohawk Power Corp.                                                                 | CUSIP: 65364UAK2<br>LEI: 3T97Y9RR5EN5Y18QHB56 | Long             | DBT              | CORP              | US        |     19000 | PA      | $18252.78     | 0.00%             | 2024-10-01      | Fixed         | 3.51%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                  | Goldman Sachs Group, Inc. (The)                                                            | CUSIP: 38141GWB6<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     45000 | PA      | $42845.60     | 0.01%             | 2027-01-26      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                       | Progress Residential Trust, Series 2022-SFR2, Class E1                                     | CUSIP: 74332VAJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    700000 | PA      | $598394.44    | 0.13%             | 2027-04-17      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, Other                                                                                | CUSIP: 3140LH3F5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2955000 | PA      | $2936402.12   | 0.62%             | 2034-11-01      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC Gold Pools, Other                                                                    | CUSIP: 3132H3XT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    175066 | PA      | $163691.70    | 0.03%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Brixmor Operating Partnership LP                                 | Brixmor Operating Partnership LP                                                           | CUSIP: 11120VAF0<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |     50000 | PA      | $48460.31     | 0.01%             | 2024-06-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Atmos Energy Corp.                                               | Atmos Energy Corp.                                                                         | CUSIP: 049560AQ8<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |    155000 | PA      | $126759.83    | 0.03%             | 2049-03-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Raytheon Technologies Corp.                                      | Raytheon Technologies Corp.                                                                | CUSIP: 913017BT5<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |     80000 | PA      | $71945.46     | 0.02%             | 2042-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Oncor Electric Delivery Co. LLC                                  | Oncor Electric Delivery Co. LLC                                                            | CUSIP: 68233JBK9<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |     25000 | PA      | $25928.18     | 0.01%             | 2029-03-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ACC Trust                                                        | ACC Trust, Series 2022-1, Class B                                                          | CUSIP: 00091HAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $971143.60    | 0.21%             | 2025-02-20      | Fixed         | 2.55%                 | Yes           |                  2 | On Loan: No      |
| Verizon Communications, Inc.                                     | Verizon Communications, Inc.                                                               | CUSIP: 92343VGN8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    147000 | PA      | $116527.21    | 0.02%             | 2032-03-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA ACES, Series 2020-M50, Class A1                                                       | CUSIP: 3136BCGR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    518582 | PA      | $477637.62    | 0.10%             | 2030-10-25      | Fixed         | 0.67%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                           | Alternative Loan Trust, Series 2005-20CB, Class 3A8                                        | CUSIP: 12667GQN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    135636 | PA      | $4837.16      | 0.00%             | 2035-07-25      | Floating      | 0.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, Other                                                                                | CUSIP: 3140LHKZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    995784 | PA      | $940133.04    | 0.20%             | 2032-08-01      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| LYB International Finance III LLC                                | LYB International Finance III LLC                                                          | CUSIP: 50249AAF0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     79000 | PA      | $70476.39     | 0.01%             | 2025-10-01      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                  | Citigroup, Inc.                                                                            | CUSIP: 172967NF4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     75000 | PA      | $51756.12     | 0.01%             | 2042-11-03      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| 7-Eleven, Inc.                                                   | 7-Eleven, Inc.                                                                             | CUSIP: 817826AC4<br>LEI: 549300K23JPL0SS3LB18 | Long             | DBT              | CORP              | US        |    170000 | PA      | $148885.00    | 0.03%             | 2026-02-10      | Fixed         | 0.95%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                             | FNMA ACES, Series 2021-M3, Class 1A1                                                       | CUSIP: 3136BDXP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    250131 | PA      | $235307.09    | 0.05%             | 2033-11-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                       | FHLMC UMBS, 30 Year                                                                        | CUSIP: 3133A7L56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    693119 | PA      | $658054.03    | 0.14%             | 2050-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury STRIPS Bonds                                                                 | CUSIP: 9128334V9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    400000 | PA      | $264435.87    | 0.06%             | 2033-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Air Canada Pass-Through Trust                                    | Air Canada Pass-Through Trust, Series 2015-1, Class A                                      | CUSIP: 009090AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |     67074 | PA      | $60511.14     | 0.01%             | 2027-03-15      | Fixed         | 3.60%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 1863, Class Z                                                         | CUSIP: 3133T7DV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1583 | PA      | $1587.67      | 0.00%             | 2026-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA II                                                                                    | CUSIP: 3617XXCU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1195817 | PA      | $1242846.60   | 0.26%             | 2072-02-20      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| Office Properties Income Trust                                   | Office Properties Income Trust                                                             | CUSIP: 67623CAE9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    255000 | PA      | $186305.95    | 0.04%             | 2027-02-01      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Masco Corp.                                                      | Masco Corp.                                                                                | CUSIP: 574599BP0<br>LEI: 5GCSNMQXHEYA1JO8QN11 | Long             | DBT              | CORP              | US        |     90000 | PA      | $69757.07     | 0.01%             | 2030-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 1993-155, Class PJ                                                     | CUSIP: 31359DH55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1132 | PA      | $1132.40      | 0.00%             | 2023-09-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 1999, Class PU                                                        | CUSIP: 3133TBT26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10116 | PA      | $10208.95     | 0.00%             | 2027-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA                                                                                       | CUSIP: 31402Q4R9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14585 | PA      | $14536.09     | 0.00%             | 2034-08-01      | Variable      | 3.84%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA II                                                                                    | CUSIP: 3617XXDP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1122932 | PA      | $1167203.03   | 0.25%             | 2072-04-20      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| ANZ New Zealand Int'l Ltd.                                       | ANZ New Zealand Int'l Ltd.                                                                 | CUSIP: 00182EBM0<br>LEI: 213800VD256NU2D97H12 | Long             | DBT              | CORP              | NZ        |    200000 | PA      | $165404.78    | 0.04%             | 2030-02-13      | Fixed         | 2.55%                 | Yes           |                  2 | On Loan: No      |
| Energy Transfer LP                                               | Energy Transfer LP                                                                         | CUSIP: 86765BAT6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     24000 | PA      | $22675.55     | 0.00%             | 2026-07-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Alexandria Real Estate Equities, Inc.                            | Alexandria Real Estate Equities, Inc.                                                      | CUSIP: 015271AV1<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |    140000 | PA      | $104097.01    | 0.02%             | 2033-02-01      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Cameron LNG LLC                                                  | Cameron LNG LLC                                                                            | CUSIP: 133434AD2<br>LEI: 549300C39FLHGVD73K22 | Long             | DBT              | CORP              | US        |    188000 | PA      | $148918.17    | 0.03%             | 2039-01-15      | Fixed         | 3.70%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Bonds                                                                        | CUSIP: 912810SX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1100000 | PA      | $789164.07    | 0.17%             | 2051-05-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, Other                                                                                | CUSIP: 3140HVY73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1059778 | PA      | $940277.95    | 0.20%             | 2029-11-01      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                     | Avolon Holdings Funding Ltd.                                                               | CUSIP: 05401AAM3<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    160000 | PA      | $137708.12    | 0.03%             | 2026-02-21      | Fixed         | 2.12%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury STRIPS Bonds                                                                 | CUSIP: 912833XY1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    300000 | PA      | $220304.18    | 0.05%             | 2030-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | Morgan Stanley                                                                             | CUSIP: 61747YEK7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     39000 | PA      | $34653.57     | 0.01%             | 2028-01-21      | Variable      | 2.48%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | Morgan Stanley                                                                             | CUSIP: 61747YDY8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     85000 | PA      | $72448.49     | 0.02%             | 2045-01-27      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2003-47, Class PE                                                      | CUSIP: 31393CRH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11710 | PA      | $12004.69     | 0.00%             | 2033-06-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                            | United Mexican States                                                                      | CUSIP: 91087BAE0<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    280000 | PA      | $263760.00    | 0.06%             | 2028-01-11      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, Other                                                                                | CUSIP: 3140LH2Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1050000 | PA      | $1045045.31   | 0.22%             | 2032-12-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Bonds                                                                        | CUSIP: 912810SZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1215000 | PA      | $795540.23    | 0.17%             | 2051-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, Other                                                                                | CUSIP: 3140HV4V3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    700000 | PA      | $616333.44    | 0.13%             | 2029-10-01      | Fixed         | 2.42%                 | No            |                  2 | On Loan: No      |
| WP Carey, Inc.                                                   | WP Carey, Inc.                                                                             | CUSIP: 92936UAE9<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              | CORP              | US        |    245000 | PA      | $235962.46    | 0.05%             | 2026-10-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 1993-84, Class M                                                       | CUSIP: 31359AWV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9856 | PA      | $9840.56      | 0.00%             | 2023-06-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multi-Family Structured Credit Risk                        | FHLMC, Multi-Family Structured Credit Risk, Series 2021-MN2, Class M1                      | CUSIP: 35563JAA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1470685 | PA      | $1338093.17   | 0.28%             | 2041-07-25      | Floating      | 5.73%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                             | FNMA UMBS, 30 Year                                                                         | CUSIP: 31389DSX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81378 | PA      | $71980.87     | 0.02%             | 2031-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Notes                                                                        | CUSIP: 9128282A7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     28000 | PA      | $25521.56     | 0.01%             | 2026-08-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Guardian Life Insurance Co. of America (The)                     | Guardian Life Insurance Co. of America (The)                                               | CUSIP: 401378AC8<br>LEI: N1YIDVMMKBHFYCCAIX69 | Long             | DBT              | CORP              | US        |     21000 | PA      | $17136.41     | 0.00%             | 2077-01-24      | Fixed         | 4.85%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 2306, Class SE                                                        | CUSIP: 3133TSK69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       724 | PA      | $25.53        | 0.00%             | 2024-05-15      | Floating      | 6.81%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ARM Trust                                           | Bear Stearns ARM Trust, Series 2003-7, Class 3A                                            | CUSIP: 07384MYS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4798 | PA      | $4369.61      | 0.00%             | 2033-10-25      | Variable      | 3.59%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA II, 30 Year                                                                           | CUSIP: 3617Y9AW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    787714 | PA      | $722065.25    | 0.15%             | 2052-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K-150, Class A2           | CUSIP: 3137H9C98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $937099.40    | 0.20%             | 2032-09-25      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| Park Aerospace Holdings Ltd.                                     | Park Aerospace Holdings Ltd.                                                               | CUSIP: 70014LAC4<br>LEI: 635400CPI3EOIFF6OC33 | Long             | DBT              | CORP              | KY        |    475000 | PA      | $473827.57    | 0.10%             | 2023-03-15      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Southern Co. Gas Capital Corp.                                   | Southern Co. Gas Capital Corp.                                                             | CUSIP: 8426EPAA6<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |     19000 | PA      | $18585.86     | 0.00%             | 2023-10-01      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC Gold Pools, 30 Year                                                                  | CUSIP: 31296NA23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17931 | PA      | $18508.54     | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                     | Pacific Gas and Electric Co.                                                               | CUSIP: 694308JY4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    175000 | PA      | $169368.56    | 0.04%             | 2023-11-15      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                                       | AerCap Ireland Capital DAC                                                                 | CUSIP: 00774MAM7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    150000 | PA      | $142017.60    | 0.03%             | 2024-08-14      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Notes                                                                        | CUSIP: 91282CCH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3937500 | PA      | $3404553.23   | 0.72%             | 2028-06-30      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| CSX Corp.                                                        | CSX Corp.                                                                                  | CUSIP: 126408GU1<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |     50000 | PA      | $49882.57     | 0.01%             | 2041-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K146, Class A2            | CUSIP: 3137H7ZB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1100000 | PA      | $966729.06    | 0.21%             | 2032-06-25      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                               | Energy Transfer LP                                                                         | CUSIP: 29273RBG3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    187000 | PA      | $182141.41    | 0.04%             | 2026-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, Other                                                                                | CUSIP: 3138LC7C3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    455573 | PA      | $428634.05    | 0.09%             | 2026-03-01      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, Other                                                                                | CUSIP: 3140HX6D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1332440 | PA      | $1138498.58   | 0.24%             | 2030-04-01      | Fixed         | 2.01%                 | No            |                  2 | On Loan: No      |
| Berkshire Hathaway Finance Corp.                                 | Berkshire Hathaway Finance Corp.                                                           | CUSIP: 084664DB4<br>LEI: 549300RLHFT5RU20WM87 | Long             | DBT              | CORP              | US        |    210000 | PA      | $167380.06    | 0.04%             | 2052-03-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 1994-72, Class K                                                       | CUSIP: 31359HSC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47418 | PA      | $47394.13     | 0.01%             | 2024-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                 | Deutsche Bank AG                                                                           | CUSIP: 25160PAH0<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    350000 | PA      | $297515.60    | 0.06%             | 2028-01-07      | Variable      | 2.55%                 | No            |                  2 | On Loan: No      |
| NiSource, Inc.                                                   | NiSource, Inc.                                                                             | CUSIP: 65473PAL9<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |    190000 | PA      | $144841.59    | 0.03%             | 2031-02-15      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| EQM Midstream Partners LP                                        | EQM Midstream Partners LP                                                                  | CUSIP: 26885BAC4<br>LEI: 549300NELT611CL6XM83 | Long             | DBT              | CORP              | US        |    130000 | PA      | $116240.54    | 0.02%             | 2028-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Sumitomo Mitsui Financial Group, Inc.                            | Sumitomo Mitsui Financial Group, Inc.                                                      | CUSIP: 86562MBP4<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    345000 | PA      | $298306.71    | 0.06%             | 2029-07-16      | Fixed         | 3.04%                 | No            |                  2 | On Loan: No      |
| Altria Group, Inc.                                               | Altria Group, Inc.                                                                         | CUSIP: 02209SBL6<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    410000 | PA      | $309301.68    | 0.07%             | 2032-02-04      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                  | CHL Mortgage Pass-Through Trust, Series 2005-22, Class 2A1                                 | CUSIP: 126694LU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     63272 | PA      | $49418.27     | 0.01%             | 2035-11-25      | Variable      | 3.45%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                             | Charter Communications Operating LLC                                                       | CUSIP: 161175BV5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    445000 | PA      | $270590.14    | 0.06%             | 2051-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| AstraZeneca plc                                                  | AstraZeneca plc                                                                            | CUSIP: 046353AX6<br>LEI: PY6ZZQWO2IZFZC3IOL08 | Long             | DBT              | CORP              | GB        |    140000 | PA      | $81993.79     | 0.02%             | 2050-08-06      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA II, 30 Year                                                                           | CUSIP: 36179WLP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9406168 | PA      | $8169745.79   | 1.74%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, Other                                                                                | CUSIP: 3140LG5U2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1200000 | PA      | $1127941.40   | 0.24%             | 2032-08-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                 | Boeing Co. (The)                                                                           | CUSIP: 097023DD4<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    160000 | PA      | $159385.38    | 0.03%             | 2023-02-04      | Fixed         | 1.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140X5EM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    165856 | PA      | $161818.61    | 0.03%             | 2049-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 2410, Class QX                                                        | CUSIP: 31339NHV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5584 | PA      | $439.39       | 0.00%             | 2032-02-15      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Notes                                                                        | CUSIP: 912828Z94<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    389000 | PA      | $331500.94    | 0.07%             | 2030-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Gray Oak Pipeline LLC                                            | Gray Oak Pipeline LLC                                                                      | CUSIP: 38937LAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    165000 | PA      | $149625.08    | 0.03%             | 2025-10-15      | Fixed         | 2.60%                 | Yes           |                  2 | On Loan: No      |
| Tri-State Generation and Transmission Association, Inc.          | Tri-State Generation and Transmission Association, Inc.                                    | CUSIP: 89566EAK4<br>LEI: 549300VDHNFNPADSSV98 | Long             | DBT              | CORP              | US        |     25000 | PA      | $18467.34     | 0.00%             | 2046-06-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Bonds                                                                        | CUSIP: 912810SR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1220000 | PA      | $763548.44    | 0.16%             | 2040-05-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| PG&E Wildfire Recovery Funding LLC                               | PG&E Wildfire Recovery Funding LLC, Series A-5                                             | CUSIP: 693342AK3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    205000 | PA      | $192744.54    | 0.04%             | 2052-06-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC Trust, Whole Loan, Series 1999-W1                                              | CUSIP: 31359VHH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9789 | PA      | $7827.19      | 0.00%             | 2029-02-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA I, 30 Year                                                                            | CUSIP: 36295VE39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    508515 | PA      | $529359.15    | 0.11%             | 2038-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury STRIPS Bonds                                                                 | CUSIP: 912833XN5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    658000 | PA      | $512888.07    | 0.11%             | 2029-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                  | Citigroup, Inc.                                                                            | CUSIP: 172967LP4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    605000 | PA      | $555625.57    | 0.12%             | 2028-07-24      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA, Series 2013-H09, Class HA                                                            | CUSIP: 38375BR95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2659 | PA      | $2476.84      | 0.00%             | 2063-04-20      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Prudential Financial, Inc.                                       | Prudential Financial, Inc.                                                                 | CUSIP: 744320AY8<br>LEI: 5PRBRS5FEH7NREC8OR45 | Long             | DBT              | CORP              | US        |     61000 | PA      | $48575.30     | 0.01%             | 2047-12-07      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, Other                                                                                | CUSIP: 3140LEYK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1985000 | PA      | $1621832.30   | 0.34%             | 2032-01-01      | Fixed         | 1.98%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Notes                                                                        | CUSIP: 91282CBW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    100000 | PA      | $89394.53     | 0.02%             | 2026-04-30      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Enterprise Products Operating LLC                                | Enterprise Products Operating LLC                                                          | CUSIP: 29379VCA9<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |     50000 | PA      | $32762.33     | 0.01%             | 2052-02-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Tennessee Valley Authority                                       | Tennessee Valley Authority                                                                 | CUSIP: 880591CS9<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |    140000 | PA      | $153530.13    | 0.03%             | 2036-04-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury STRIPS Bonds                                                                 | CUSIP: 912833XZ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    350000 | PA      | $252716.56    | 0.05%             | 2031-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury STRIPS Bonds                                                                 | CUSIP: 9128337U8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1025000 | PA      | $657037.37    | 0.14%             | 2033-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 2344, Class ZD                                                        | CUSIP: 313399C47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19584 | PA      | $20172.82     | 0.00%             | 2031-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Bonds                                                                        | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2125000 | PA      | $1477705.07   | 0.31%             | 2052-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-56, Class APO            | CUSIP: 31393RGJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    136777 | PA      | $133840.43    | 0.03%             | 2043-05-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA                                                                                       | CUSIP: 31404EVB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10285 | PA      | $10091.89     | 0.00%             | 2034-01-01      | Variable      | 3.36%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA II, 30 Year                                                                           | CUSIP: 3617MW7E7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    984146 | PA      | $926448.10    | 0.20%             | 2050-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                                     | Hilton Grand Vacations Trust, Series 2017-AA, Class A                                      | CUSIP: 43283AAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     30172 | PA      | $29698.05     | 0.01%             | 2028-12-26      | Fixed         | 2.66%                 | Yes           |                  2 | On Loan: No      |
| CommonSpirit Health                                              | CommonSpirit Health                                                                        | CUSIP: 20268JAF0<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |    145000 | PA      | $119599.48    | 0.03%             | 2030-10-01      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| Northern Trust Corp.                                             | Northern Trust Corp.                                                                       | CUSIP: 665859AS3<br>LEI: 549300GLF98S992BC502 | Long             | DBT              | CORP              | US        |     29000 | PA      | $26339.78     | 0.01%             | 2032-05-08      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| Delta Air Lines Pass-Through Trust                               | Delta Air Lines Pass-Through Trust, Series 2015-1, Class AA                                | CUSIP: 24736XAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    278116 | PA      | $253894.58    | 0.05%             | 2027-07-30      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140GTF21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    199762 | PA      | $190720.07    | 0.04%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 1993-146, Class E                                                      | CUSIP: 31359DCQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       152 | PA      | $150.59       | 0.00%             | 2023-05-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140HNWU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    264066 | PA      | $258828.92    | 0.06%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Goodgreen Trust                                                  | Goodgreen Trust, Series 2017-2A, Class A                                                   | CUSIP: 38218QAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    139381 | PA      | $125223.26    | 0.03%             | 2053-10-15      | Fixed         | 3.26%                 | Yes           |                  3 | On Loan: No      |
| Ameren Illinois Co.                                              | Ameren Illinois Co.                                                                        | CUSIP: 02361DAU4<br>LEI: RC71E2BZ6UOMFPDJSE79 | Long             | DBT              | CORP              | US        |    185000 | PA      | $132407.18    | 0.03%             | 2050-03-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust                                              | DT Auto Owner Trust, Series 2022-3A, Class D                                               | CUSIP: 23345RAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $747726.30    | 0.16%             | 2028-07-17      | Fixed         | 8.14%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Bonds                                                                        | CUSIP: 912810TM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3000000 | PA      | $2937187.50   | 0.62%             | 2042-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, Other                                                                                | CUSIP: 31418CC77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    179040 | PA      | $166287.43    | 0.04%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Bonds                                                                        | CUSIP: 912810RP5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1000000 | PA      | $822578.12    | 0.17%             | 2045-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NACC Reperforming Loan REMIC Trust                               | NACC Reperforming Loan REMIC Trust, Series 2004-R2, Class A1                               | CUSIP: 62951MAM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16915 | PA      | $14548.97     | 0.00%             | 2034-10-25      | Variable      | 6.50%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K065, Class AM            | CUSIP: 3137F1G51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    115000 | PA      | $109185.29    | 0.02%             | 2027-05-25      | Fixed         | 3.33%                 | No            |                  2 | On Loan: No      |
| Alexandria Real Estate Equities, Inc.                            | Alexandria Real Estate Equities, Inc.                                                      | CUSIP: 015271AW9<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |    240000 | PA      | $183770.75    | 0.04%             | 2032-05-18      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Alexander Funding Trust                                          | Alexander Funding Trust                                                                    | CUSIP: 014621AA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    200000 | PA      | $191590.36    | 0.04%             | 2023-11-15      | Fixed         | 1.84%                 | Yes           |                  2 | On Loan: No      |
| Jackson National Life Global Funding                             | Jackson National Life Global Funding                                                       | CUSIP: 46849LTC5<br>LEI: 635400PQXLYXWJI5QD78 | Long             | DBT              | CORP              | US        |     87000 | PA      | $83523.43     | 0.02%             | 2025-06-11      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| Goodgreen Trust                                                  | Goodgreen Trust, Series 2017-R1                                                            | CUSIP: 38218AAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    124128 | PA      | $114818.15    | 0.02%             | 2051-10-20      | Fixed         | 5.00%                 | No            |                  3 | On Loan: No      |
| United Mexican States                                            | United Mexican States                                                                      | CUSIP: 91086QBG2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    200000 | PA      | $196000.00    | 0.04%             | 2026-01-21      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA II, 30 Year                                                                           | CUSIP: 3617HX4G9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1444428 | PA      | $1364978.41   | 0.29%             | 2048-04-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Nomura Holdings, Inc.                                            | Nomura Holdings, Inc.                                                                      | CUSIP: 65535HAP4<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |    212000 | PA      | $200166.28    | 0.04%             | 2025-01-16      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                              | Citigroup Commercial Mortgage Trust, Series 2020-GC46, Class A5                            | CUSIP: 17328RAZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1100000 | PA      | $928520.56    | 0.20%             | 2053-02-15      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| CenterPoint Energy, Inc.                                         | CenterPoint Energy, Inc.                                                                   | CUSIP: 15189TBA4<br>LEI: 21TPXMRRHFKOBHDC8J74 | Long             | DBT              | CORP              | US        |    230000 | PA      | $203920.12    | 0.04%             | 2026-06-01      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                                         | Foundation Finance Trust, Series 2020-1A, Class A                                          | CUSIP: 35041KAA0<br>LEI: 549300QVJKB4ZVR88F06 | Long             | ABS-O            | CORP              | US        |    297128 | PA      | $284770.38    | 0.06%             | 2040-07-16      | Fixed         | 3.54%                 | Yes           |                  2 | On Loan: No      |
| Quanta Services, Inc.                                            | Quanta Services, Inc.                                                                      | CUSIP: 74762EAF9<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |    360000 | PA      | $295999.55    | 0.06%             | 2030-10-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Entergy Louisiana LLC                                            | Entergy Louisiana LLC                                                                      | CUSIP: 29364WBA5<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |     40000 | PA      | $36099.05     | 0.01%             | 2033-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Kraft Heinz Foods Co.                                            | Kraft Heinz Foods Co.                                                                      | CUSIP: 50077LAB2<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |    153000 | PA      | $124328.25    | 0.03%             | 2046-06-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Notes                                                                        | CUSIP: 912828YX2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2082100 | PA      | $1906178.81   | 0.41%             | 2026-12-31      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Notes                                                                        | CUSIP: 912828YY0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2765500 | PA      | $2625064.45   | 0.56%             | 2024-12-31      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Bimbo Bakeries USA, Inc.                                         | Bimbo Bakeries USA, Inc.                                                                   | CUSIP: 09031WAA1<br>LEI: 549300HOXXHHT7926W92 | Long             | DBT              | CORP              | US        |    290000 | PA      | $217735.63    | 0.05%             | 2051-05-17      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Evergy Metro, Inc.                                               | Evergy Metro, Inc.                                                                         | CUSIP: 485134BM1<br>LEI: 1128SIJQ26096WL7IO82 | Long             | DBT              | CORP              | US        |     50000 | PA      | $47721.43     | 0.01%             | 2041-10-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Nuveen LLC                                                       | Nuveen LLC                                                                                 | CUSIP: 67080LAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    160000 | PA      | $148599.95    | 0.03%             | 2028-11-01      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Charter Communications Operating LLC                             | Charter Communications Operating LLC                                                       | CUSIP: 161175BT0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    240000 | PA      | $174227.77    | 0.04%             | 2050-03-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| NRG Energy, Inc.                                                 | NRG Energy, Inc.                                                                           | CUSIP: 629377CP5<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    210000 | PA      | $173996.51    | 0.04%             | 2027-12-02      | Fixed         | 2.45%                 | Yes           |                  2 | On Loan: No      |
| British Airways Pass-Through Trust                               | British Airways Pass-Through Trust, Series 2019-1, Class AA                                | CUSIP: 11043XAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    133586 | PA      | $113341.56    | 0.02%             | 2032-12-15      | Fixed         | 3.30%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, Other                                                                                | CUSIP: 3140FXRT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    707639 | PA      | $619089.84    | 0.13%             | 2060-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BB-UBS Trust                                                     | BB-UBS Trust, Series 2012-SHOW, Class A                                                    | CUSIP: 05538UAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $278829.81    | 0.06%             | 2036-11-05      | Fixed         | 3.43%                 | Yes           |                  2 | On Loan: No      |
| Public Storage                                                   | Public Storage                                                                             | CUSIP: 74460DAH2<br>LEI: 549300LMZF40TKJ6DM64 | Long             | DBT              | CORP              | US        |    156000 | PA      | $133070.85    | 0.03%             | 2028-11-09      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| Comerica, Inc.                                                   | Comerica, Inc.                                                                             | CUSIP: 200340AT4<br>LEI: I9Q57JVPWHHZ3ZGBW498 | Long             | DBT              | CORP              | US        |    150000 | PA      | $140464.85    | 0.03%             | 2029-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, STRIPS, Series 239, Class S30                                                       | CUSIP: 31282YNU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20136 | PA      | $2753.17      | 0.00%             | 2036-08-15      | Floating      | 3.38%                 | No            |                  2 | On Loan: No      |
| Freedom Frn                                                      | Freedom Frn                                                                                | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |    714000 | PA      | $699720.00    | 0.15%             | 2023-03-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Elevance Health, Inc.                                            | Elevance Health, Inc.                                                                      | CUSIP: 036752AC7<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |     70000 | PA      | $67849.28     | 0.01%             | 2024-12-01      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                               | United Airlines Pass-Through Trust, Series 2016-2, Class A                                 | CUSIP: 90932DAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    235421 | PA      | $190081.11    | 0.04%             | 2028-10-07      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 2423, Class MC                                                        | CUSIP: 31339WBV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11440 | PA      | $12017.85     | 0.00%             | 2032-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, Other                                                                                | CUSIP: 3138L5FA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    280101 | PA      | $274203.93    | 0.06%             | 2025-12-01      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA II, 30 Year                                                                           | CUSIP: 3617MJGU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    702276 | PA      | $669595.89    | 0.14%             | 2050-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| General Motors Financial Co., Inc.                               | General Motors Financial Co., Inc.                                                         | CUSIP: 37045XDM5<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    110000 | PA      | $101834.33    | 0.02%             | 2024-10-15      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2003-131, Class CH                                                     | CUSIP: 31393UZU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37868 | PA      | $38003.94     | 0.01%             | 2034-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2016-38, Class NA                                                      | CUSIP: 3136ASMM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     90649 | PA      | $82233.43     | 0.02%             | 2046-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group, Inc.                                         | UnitedHealth Group, Inc.                                                                   | CUSIP: 91324PEF5<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    140000 | PA      | $100175.23    | 0.02%             | 2051-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                                   | Carvana Auto Receivables Trust, Series 2019-4A, Class D                                    | CUSIP: 14686YAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    940000 | PA      | $922610.94    | 0.20%             | 2025-07-15      | Fixed         | 3.07%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, STRIPS, Series 262, Class 35                                                        | CUSIP: 3128HXKY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     96112 | PA      | $89820.38     | 0.02%             | 2042-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA ACES, Series 2020-M50, Class X1                                                       | CUSIP: 3136BCGU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5123781 | PA      | $378277.45    | 0.08%             | 2030-10-25      | Variable      | 1.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140JWR36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55090 | PA      | $52544.08     | 0.01%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                     | MASTR Alternative Loan Trust, Series 2004-4, Class 10A1                                    | CUSIP: 576434QG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10948 | PA      | $10619.07     | 0.00%             | 2024-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners I LLC                           | Pretium Mortgage Credit Partners I LLC, Series 2021-NPL1, Class A1                         | CUSIP: 741389AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    783842 | PA      | $713911.96    | 0.15%             | 2060-09-27      | Variable      | 2.24%                 | Yes           |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                                       | AerCap Ireland Capital DAC                                                                 | CUSIP: 00774MAS4<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    150000 | PA      | $131967.24    | 0.03%             | 2026-01-30      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Smithfield Foods, Inc.                                           | Smithfield Foods, Inc.                                                                     | CUSIP: 832248BB3<br>LEI: CVTIPZRZJC0JQEZLL598 | Long             | DBT              | CORP              | US        |    160000 | PA      | $146160.06    | 0.03%             | 2029-04-01      | Fixed         | 5.20%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, STRIPS, Series 365, Class 8                                                          | CUSIP: 3136FCZH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7938 | PA      | $1734.59      | 0.00%             | 2036-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA ACES, Series 2022-M1G, Class A2                                                       | CUSIP: 3136BLRM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1350000 | PA      | $1070740.22   | 0.23%             | 2031-09-25      | Variable      | 1.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2002-13, Class SJ                                                      | CUSIP: 31392A7G7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27060 | PA      | $753.98       | 0.00%             | 2032-03-25      | Floating      | 1.60%                 | No            |                  2 | On Loan: No      |
| American Tower Corp.                                             | American Tower Corp.                                                                       | CUSIP: 03027XBJ8<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    325000 | PA      | $268906.36    | 0.06%             | 2028-01-31      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury STRIPS Bonds                                                                 | CUSIP: 912833XT2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    200000 | PA      | $150995.46    | 0.03%             | 2029-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                            | FMC GMSR Issuer Trust, Series 2021-SAT1                                                    | CUSIP: 30259RAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1765000 | PA      | $1681162.50   | 0.36%             | 2024-02-25      | Variable      | 3.65%                 | Yes           |                  3 | On Loan: No      |
| Duquesne Light Holdings, Inc.                                    | Duquesne Light Holdings, Inc.                                                              | CUSIP: 266233AG0<br>LEI: 4CUJ1D8WDXK9X7QI6B93 | Long             | DBT              | CORP              | US        |    160000 | PA      | $143894.67    | 0.03%             | 2027-08-01      | Fixed         | 3.62%                 | Yes           |                  2 | On Loan: No      |
| Westgate Resorts LLC                                             | Westgate Resorts LLC, Series 2020-1A, Class B                                              | CUSIP: 96034LAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    231828 | PA      | $226332.61    | 0.05%             | 2034-03-20      | Fixed         | 3.96%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Inflation Indexed Bonds                                                      | CUSIP: 912810PZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    100000 | PA      | $144715.66    | 0.03%             | 2029-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| LHOME Mortgage Trust                                             | LHOME Mortgage Trust, Series 2021-RTL1, Class A1                                           | CUSIP: 501894AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    510000 | PA      | $482801.75    | 0.10%             | 2026-02-25      | Variable      | 2.09%                 | Yes           |                  2 | On Loan: No      |
| Bristol-Myers Squibb Co.                                         | Bristol-Myers Squibb Co.                                                                   | CUSIP: 110122DL9<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |     47000 | PA      | $42260.09     | 0.01%             | 2048-02-20      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Tyson Foods, Inc.                                                | Tyson Foods, Inc.                                                                          | CUSIP: 902494AZ6<br>LEI: WD6L6041MNRW1JE49D58 | Long             | DBT              | CORP              | US        |     20000 | PA      | $19117.15     | 0.00%             | 2034-08-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| FNMA, Grantor Trust                                              | FNMA, Grantor Trust, Series 2017-T1, Class A                                               | CUSIP: 3136AV6R5<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |    426402 | PA      | $397707.26    | 0.08%             | 2027-06-25      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| BAT Capital Corp.                                                | BAT Capital Corp.                                                                          | CUSIP: 05526DBF1<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    282000 | PA      | $199253.97    | 0.04%             | 2047-08-15      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| General Motors Financial Co., Inc.                               | General Motors Financial Co., Inc.                                                         | CUSIP: 37045XBT2<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    113000 | PA      | $107371.30    | 0.02%             | 2027-01-17      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Gray Oak Pipeline LLC                                            | Gray Oak Pipeline LLC                                                                      | CUSIP: 38937LAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    372000 | PA      | $328987.07    | 0.07%             | 2027-10-15      | Fixed         | 3.45%                 | Yes           |                  2 | On Loan: No      |
| Graphic Packaging International LLC                              | Graphic Packaging International LLC                                                        | CUSIP: 38869PAP9<br>LEI: SO75N4VY5NXGQSK8YQ65 | Long             | DBT              | CORP              | US        |    284000 | PA      | $247735.23    | 0.05%             | 2026-04-15      | Fixed         | 1.51%                 | Yes           |                  2 | On Loan: No      |
| SACO I, Inc.                                                     | SACO I, Inc., Series 1997-2, Class 1A5                                                     | CUSIP: 073919AK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1177 | PA      | $1164.99      | 0.00%             | 2036-08-25      | Fixed         | 7.00%                 | Yes           |                  3 | On Loan: No      |
| Banc of America Funding Trust                                    | Banc of America Funding Trust, Series 2005-6, Class 2A7                                    | CUSIP: 05946XP23<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     56187 | PA      | $46357.91     | 0.01%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group, Inc.                                         | UnitedHealth Group, Inc.                                                                   | CUSIP: 91324PDT6<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    160000 | PA      | $130765.51    | 0.03%             | 2039-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, Other                                                                                | CUSIP: 31408CDM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51535 | PA      | $51397.16     | 0.01%             | 2035-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ONEOK Partners LP                                                | ONEOK Partners LP                                                                          | CUSIP: 68268NAC7<br>LEI: T4DHW82NMF6BXJT50795 | Long             | DBT              | CORP              | US        |     15000 | PA      | $15011.03     | 0.00%             | 2036-10-01      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| Burlington Northern Santa Fe LLC                                 | Burlington Northern Santa Fe LLC                                                           | CUSIP: 12189LAX9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     35000 | PA      | $32141.44     | 0.01%             | 2045-09-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                                          | Hyundai Capital America                                                                    | CUSIP: 44891ABT3<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    215000 | PA      | $176320.88    | 0.04%             | 2028-01-10      | Fixed         | 1.80%                 | Yes           |                  2 | On Loan: No      |
| China Southern Power Grid International Finance BVI Co. Ltd.     | China Southern Power Grid International Finance BVI Co. Ltd.                               | CUSIP: 16892DAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | VG        |    200000 | PA      | $189564.00    | 0.04%             | 2027-05-08      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 1998-58, Class PC                                                      | CUSIP: 31359UZG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12183 | PA      | $12424.57     | 0.00%             | 2028-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CPS Auto Receivables Trust                                       | CPS Auto Receivables Trust, Series 2022-D, Class C                                         | CUSIP: 12663UAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    880000 | PA      | $888947.49    | 0.19%             | 2029-01-16      | Fixed         | 7.69%                 | Yes           |                  2 | On Loan: No      |
| Air Canada Pass-Through Trust                                    | Air Canada Pass-Through Trust, Series 2017-1, Class A                                      | CUSIP: 00908PAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |    147112 | PA      | $118189.05    | 0.03%             | 2030-01-15      | Fixed         | 3.55%                 | Yes           |                  2 | On Loan: No      |
| American Express Co.                                             | American Express Co.                                                                       | CUSIP: 025816CA5<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    150000 | PA      | $148019.50    | 0.03%             | 2025-11-06      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Blackstone Secured Lending Fund                                  | Blackstone Secured Lending Fund                                                            | CUSIP: 09261LAD0<br>LEI: 549300KM7KWQHVBNH962 | Long             | DBT              | CORP              | US        |    200000 | PA      | $198133.16    | 0.04%             | 2023-07-14      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| WILMA 7.951 27MAR29                                              | WILMA 7.951 27MAR29                                                                        | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | US        |   1000000 | PA      | $1000000.00   | 0.21%             | 2029-03-27      | Fixed         | 7.95%                 | No            |                  3 | On Loan: No      |
| Ecopetrol SA                                                     | Ecopetrol SA                                                                               | CUSIP: 279158AC3<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | NUSS              | CO        |     28000 | PA      | $27776.00     | 0.01%             | 2023-09-18      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Bristol-Myers Squibb Co.                                         | Bristol-Myers Squibb Co.                                                                   | CUSIP: 110122CQ9<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    114000 | PA      | $101433.38    | 0.02%             | 2039-06-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Nutrien Ltd.                                                     | Nutrien Ltd.                                                                               | CUSIP: 67077MAN8<br>LEI: 5493002QQ7GD21OWF963 | Long             | DBT              | CORP              | CA        |     90000 | PA      | $77531.21     | 0.02%             | 2035-03-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable LLC                                            | Time Warner Cable LLC                                                                      | CUSIP: 88732JBB3<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    100000 | PA      | $82987.47     | 0.02%             | 2041-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                    | Comcast Corp.                                                                              | CUSIP: 20030NCH2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     66000 | PA      | $61977.94     | 0.01%             | 2028-05-01      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Brooklyn Union Gas Co. (The)                                     | Brooklyn Union Gas Co. (The)                                                               | CUSIP: 114259AQ7<br>LEI: 83BQ1DXS6VA5GZFK8S35 | Long             | DBT              | CORP              | US        |     80000 | PA      | $59876.16     | 0.01%             | 2048-03-15      | Fixed         | 4.27%                 | Yes           |                  2 | On Loan: No      |
| Prologis LP                                                      | Prologis LP                                                                                | CUSIP: 74340XBM2<br>LEI: GL16H1DHB0QSHP25F723 | Long             | DBT              | CORP              | US        |     20000 | PA      | $16662.28     | 0.00%             | 2030-04-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| CMS Energy Corp.                                                 | CMS Energy Corp.                                                                           | CUSIP: 125896BR0<br>LEI: 549300IA9XFBAGNIBW29 | Long             | DBT              | CORP              | US        |     47000 | PA      | $42085.92     | 0.01%             | 2027-02-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Securitization Trust                                 | MASTR Asset Securitization Trust, Series 2003-11, Class 9A6                                | CUSIP: 55265K2U2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     41988 | PA      | $39822.93     | 0.01%             | 2033-12-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Bonds                                                                        | CUSIP: 912810RN0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    570000 | PA      | $458939.06    | 0.10%             | 2045-08-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA II, 30 Year                                                                           | CUSIP: 36202CGP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        77 | PA      | $77.22        | 0.00%             | 2025-05-20      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                     | Pacific Gas and Electric Co.                                                               | CUSIP: 694308HP5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     90000 | PA      | $82485.06     | 0.02%             | 2026-03-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                          | GSR Mortgage Loan Trust, Series 2004-6F, Class 1A2                                         | CUSIP: 36228F2E5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18349 | PA      | $17288.56     | 0.00%             | 2034-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Burlington Northern Santa Fe LLC                                 | Burlington Northern Santa Fe LLC                                                           | CUSIP: 12189LAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     85000 | PA      | $88927.08     | 0.02%             | 2040-05-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 1994-37, Class L                                                       | CUSIP: 31359GP34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5676 | PA      | $5683.73      | 0.00%             | 2024-03-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Global Payments, Inc.                                            | Global Payments, Inc.                                                                      | CUSIP: 37940XAN2<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |     91000 | PA      | $87976.11     | 0.02%             | 2029-08-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                     | MASTR Alternative Loan Trust, Series 2004-10, Class 1A1                                    | CUSIP: 576434VU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       851 | PA      | $801.02       | 0.00%             | 2019-09-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 1798, Class F                                                         | CUSIP: 3133T6MS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       295 | PA      | $293.97       | 0.00%             | 2023-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury STRIPS Bonds                                                                 | CUSIP: 912833PC8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    300000 | PA      | $253318.22    | 0.05%             | 2027-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Public Service Co. of Oklahoma                                   | Public Service Co. of Oklahoma, Series G                                                   | CUSIP: 744533BJ8<br>LEI: F3TJNSIZRGXRH8GEIK79 | Long             | DBT              | CORP              | US        |    175000 | PA      | $183365.85    | 0.04%             | 2037-11-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Notes                                                                        | CUSIP: 91282CCJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3965000 | PA      | $3545577.34   | 0.75%             | 2026-06-30      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA UMBS, 30 Year                                                                         | CUSIP: 31412UP20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2520 | PA      | $2498.23      | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Notes                                                                        | CUSIP: 9128286F2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    160000 | PA      | $151968.75    | 0.03%             | 2026-02-28      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| OneMain Direct Auto Receivables Trust                            | OneMain Direct Auto Receivables Trust, Series 2021-1A, Class A                             | CUSIP: 682687AA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1100000 | PA      | $1017175.61   | 0.22%             | 2028-07-14      | Fixed         | 0.87%                 | Yes           |                  2 | On Loan: No      |
| Fn 4.748                                                         | Fn 4.748                                                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   1070000 | PA      | $1086113.40   | 0.23%             | 2033-02-01      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Evergy Metro, Inc.                                               | Evergy Metro, Inc.                                                                         | CUSIP: 485134BN9<br>LEI: 1128SIJQ26096WL7IO82 | Long             | DBT              | CORP              | US        |     24000 | PA      | $23919.69     | 0.01%             | 2023-03-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                               | Energy Transfer LP                                                                         | CUSIP: 29278NAN3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     90000 | PA      | $89360.92     | 0.02%             | 2027-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2010-80, Class PZ                                                      | CUSIP: 31398R2K0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    373164 | PA      | $372209.70    | 0.08%             | 2040-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Eni USA, Inc.                                                    | Eni USA, Inc.                                                                              | CUSIP: 51808BAE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     50000 | PA      | $52965.60     | 0.01%             | 2027-11-15      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| Glencore Funding LLC                                             | Glencore Funding LLC                                                                       | CUSIP: 378272AY4<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |    750000 | PA      | $608767.33    | 0.13%             | 2030-09-01      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury STRIPS Bonds                                                                 | CUSIP: 9128337P9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    275000 | PA      | $196433.45    | 0.04%             | 2031-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ANZ New Zealand Int'l Ltd.                                       | ANZ New Zealand Int'l Ltd.                                                                 | CUSIP: 00182EBJ7<br>LEI: 213800VD256NU2D97H12 | Long             | DBT              | CORP              | NZ        |    200000 | PA      | $183483.39    | 0.04%             | 2028-01-21      | Fixed         | 3.45%                 | Yes           |                  2 | On Loan: No      |
| Boeing Co. (The)                                                 | Boeing Co. (The)                                                                           | CUSIP: 097023DA0<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    126000 | PA      | $116767.52    | 0.02%             | 2026-02-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| VOLT XCVI LLC                                                    | VOLT XCVI LLC, Series 2021-NPL5, Class A1                                                  | CUSIP: 92873FAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    668836 | PA      | $606335.63    | 0.13%             | 2051-03-27      | Variable      | 2.12%                 | Yes           |                  2 | On Loan: No      |
| Bank of America Corp.                                            | Bank of America Corp.                                                                      | CUSIP: 06051GHG7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     76000 | PA      | $70127.09     | 0.01%             | 2029-03-05      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| Gilead Sciences, Inc.                                            | Gilead Sciences, Inc.                                                                      | CUSIP: 375558BS1<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |    310000 | PA      | $216284.27    | 0.05%             | 2040-10-01      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA ACES, Series 2022-M1S, Class A2                                                       | CUSIP: 3136BNET9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1290000 | PA      | $1056692.28   | 0.22%             | 2032-04-25      | Variable      | 2.08%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA II, 30 Year                                                                           | CUSIP: 3617MSZE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    960831 | PA      | $857451.78    | 0.18%             | 2050-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Enterprise Products Operating LLC                                | Enterprise Products Operating LLC                                                          | CUSIP: 29379VBC6<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |     16000 | PA      | $14379.18     | 0.00%             | 2045-02-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Anheuser-Busch InBev Worldwide, Inc.                             | Anheuser-Busch InBev Worldwide, Inc.                                                       | CUSIP: 03523TBT4<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |    130000 | PA      | $111023.51    | 0.02%             | 2048-10-06      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group plc                                         | Lloyds Banking Group plc                                                                   | CUSIP: 53944YAP8<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    245000 | PA      | $212058.67    | 0.05%             | 2027-05-11      | Variable      | 1.63%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                                          | Hyundai Capital America                                                                    | CUSIP: 44891ABG1<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    200000 | PA      | $179484.01    | 0.04%             | 2027-02-10      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2012-30, Class DZ                                                      | CUSIP: 3136A5UD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    166360 | PA      | $157012.32    | 0.03%             | 2042-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Southern Natural Gas Co. LLC                                     | Southern Natural Gas Co. LLC                                                               | CUSIP: 843452AZ6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     53000 | PA      | $58135.67     | 0.01%             | 2032-03-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Dell International LLC                                           | Dell International LLC                                                                     | CUSIP: 24703TAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     32000 | PA      | $32020.25     | 0.01%             | 2023-06-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                              | Societe Generale SA                                                                        | CUSIP: 83368RAZ5<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    260000 | PA      | $225982.45    | 0.05%             | 2026-12-14      | Variable      | 1.49%                 | Yes           |                  2 | On Loan: No      |
| Boston Scientific Corp.                                          | Boston Scientific Corp.                                                                    | CUSIP: 101137AT4<br>LEI: Y6ZDD9FP4P8JSSJMW954 | Long             | DBT              | CORP              | US        |     49000 | PA      | $43951.77     | 0.01%             | 2039-03-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Santander UK Group Holdings plc                                  | Santander UK Group Holdings plc                                                            | CUSIP: 80281LAS4<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |    234000 | PA      | $237023.56    | 0.05%             | 2026-11-21      | Variable      | 6.83%                 | No            |                  2 | On Loan: No      |
| ONEOK Partners LP                                                | ONEOK Partners LP                                                                          | CUSIP: 68268NAL7<br>LEI: T4DHW82NMF6BXJT50795 | Long             | DBT              | CORP              | US        |     72000 | PA      | $71918.59     | 0.02%             | 2023-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Kraft Heinz Foods Co.                                            | Kraft Heinz Foods Co.                                                                      | CUSIP: 50077LAX4<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |    200000 | PA      | $175446.48    | 0.04%             | 2039-10-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Lending Funding Trust                                            | Lending Funding Trust, Series 2020-2A, Class C                                             | CUSIP: 51507KAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $837031.70    | 0.18%             | 2031-04-21      | Fixed         | 4.30%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Notes                                                                        | CUSIP: 912828M56<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    610000 | PA      | $577355.47    | 0.12%             | 2025-11-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| BAT International Finance plc                                    | BAT International Finance plc                                                              | CUSIP: 05530QAN0<br>LEI: 21380041YBGOQDFAC823 | Long             | DBT              | CORP              | GB        |    160000 | PA      | $141768.71    | 0.03%             | 2026-03-25      | Fixed         | 1.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2010-102, Class PN                                                     | CUSIP: 31398NAJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    433112 | PA      | $432403.78    | 0.09%             | 2040-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ITC Holdings Corp.                                               | ITC Holdings Corp.                                                                         | CUSIP: 465685AQ8<br>LEI: 549300HTO5U9D3SLE207 | Long             | DBT              | CORP              | US        |    100000 | PA      | $84354.60     | 0.02%             | 2030-05-14      | Fixed         | 2.95%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 2035, Class PC                                                        | CUSIP: 3133TDBK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21362 | PA      | $21856.75     | 0.00%             | 2028-03-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                    | Comcast Corp.                                                                              | CUSIP: 20030NBM2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     89000 | PA      | $82165.40     | 0.02%             | 2034-08-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 2283, Class K                                                         | CUSIP: 3133TRJM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       580 | PA      | $580.93       | 0.00%             | 2023-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Barclays plc                                                     | Barclays plc                                                                               | CUSIP: 06738EBZ7<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $198504.84    | 0.04%             | 2026-08-09      | Variable      | 5.30%                 | No            |                  2 | On Loan: No      |
| Children's Hospital                                              | Children's Hospital, Series 2020                                                           | CUSIP: 16876DAA6<br>LEI: 549300C1PQZDYQ6KZS51 | Long             | DBT              | CORP              | US        |    180000 | PA      | $113609.27    | 0.02%             | 2050-07-15      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                              | Societe Generale SA                                                                        | CUSIP: 83368RBD3<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    500000 | PA      | $384663.67    | 0.08%             | 2032-06-09      | Variable      | 2.89%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K072, Class AM            | CUSIP: 3137FEBR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $945682.90    | 0.20%             | 2027-12-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| OGE Energy Corp.                                                 | OGE Energy Corp.                                                                           | CUSIP: 670837AC7<br>LEI: CE5OG6JPOZMDSA0LAQ19 | Long             | DBT              | CORP              | US        |    135000 | PA      | $132607.18    | 0.03%             | 2023-05-26      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, Other                                                                                | CUSIP: 3138L5KB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    299173 | PA      | $291682.38    | 0.06%             | 2030-11-01      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury STRIPS Bonds                                                                 | CUSIP: 9128337S3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    800000 | PA      | $535268.50    | 0.11%             | 2032-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Takeda Pharmaceutical Co. Ltd.                                   | Takeda Pharmaceutical Co. Ltd.                                                             | CUSIP: 874060AZ9<br>LEI: 549300ZLMVP4X0OGR454 | Long             | DBT              | CORP              | JP        |    225000 | PA      | $151748.74    | 0.03%             | 2050-07-09      | Fixed         | 3.17%                 | No            |                  2 | On Loan: No      |
| Mizuho Financial Group, Inc.                                     | Mizuho Financial Group, Inc.                                                               | CUSIP: 60687YBP3<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |    255000 | PA      | $220868.71    | 0.05%             | 2027-05-22      | Variable      | 1.23%                 | No            |                  2 | On Loan: No      |
| McDonald's Corp.                                                 | McDonald's Corp.                                                                           | CUSIP: 58013MEZ3<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |     60000 | PA      | $57380.75     | 0.01%             | 2035-12-09      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA UMBS, 30 Year                                                                         | CUSIP: 31418MZV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    273908 | PA      | $286285.70    | 0.06%             | 2035-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, Other                                                                                | CUSIP: 3140FXHG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1244365 | PA      | $1286471.89   | 0.27%             | 2058-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Vornado Realty LP                                                | Vornado Realty LP                                                                          | CUSIP: 929043AJ6<br>LEI: 549300BMOJ05INE4YK86 | Long             | DBT              | CORP              | US        |     60000 | PA      | $55974.45     | 0.01%             | 2025-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Life Storage LP                                                  | Life Storage LP                                                                            | CUSIP: 53227JAB0<br>LEI: X0MIGH67XZCB7HL1A534 | Long             | DBT              | CORP              | US        |    150000 | PA      | $134360.03    | 0.03%             | 2029-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Microsoft Corp.                                                  | Microsoft Corp.                                                                            | CUSIP: 594918BS2<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |     60000 | PA      | $53080.97     | 0.01%             | 2036-08-08      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                               | United Airlines Pass-Through Trust, Series 2016-2, Class AA                                | CUSIP: 90932EAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     73569 | PA      | $62552.81     | 0.01%             | 2028-10-07      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Baxalta, Inc.                                                    | Baxalta, Inc.                                                                              | CUSIP: 07177MAN3<br>LEI: 5493000JW8DCO3T45R55 | Long             | DBT              | CORP              | US        |      3000 | PA      | $2866.72      | 0.00%             | 2045-06-23      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | Morgan Stanley                                                                             | CUSIP: 61772BAC7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    265000 | PA      | $196093.42    | 0.04%             | 2042-04-22      | Variable      | 3.22%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA II, 30 Year                                                                           | CUSIP: 36202CS61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       346 | PA      | $349.73       | 0.00%             | 2026-12-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 1638, Class H                                                         | CUSIP: 3133T2W48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6975 | PA      | $6997.64      | 0.00%             | 2023-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Nordea Bank Abp                                                  | Nordea Bank Abp                                                                            | CUSIP: 65558RAD1<br>LEI: 529900ODI3047E2LIV03 | Long             | DBT              | CORP              | FI        |    200000 | PA      | $200922.66    | 0.04%             | 2027-09-22      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                        | Commercial Mortgage Trust, Series 2014-CR19, Class A5                                      | CUSIP: 12592GBD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $193420.46    | 0.04%             | 2047-08-10      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Charles Schwab Corp. (The)                                       | Charles Schwab Corp. (The)                                                                 | CUSIP: 808513AQ8<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |    100000 | PA      | $93895.02     | 0.02%             | 2027-03-02      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 2410, Class QS                                                        | CUSIP: 31339NJ23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5247 | PA      | $5622.00      | 0.00%             | 2032-02-15      | Floating      | 8.27%                 | No            |                  2 | On Loan: No      |
| Continental Finance Credit Card ABS Master Trust                 | Continental Finance Credit Card ABS Master Trust, Series 2022-A, Class A                   | CUSIP: 66981PAH1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    910000 | PA      | $870958.27    | 0.19%             | 2030-10-15      | Fixed         | 6.19%                 | Yes           |                  2 | On Loan: No      |
| UBS Group AG                                                     | UBS Group AG                                                                               | CUSIP: 902613AE8<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    250000 | PA      | $188223.24    | 0.04%             | 2032-02-11      | Variable      | 2.09%                 | Yes           |                  2 | On Loan: No      |
| Energy Transfer LP                                               | Energy Transfer LP                                                                         | CUSIP: 292480AL4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     40000 | PA      | $38365.68     | 0.01%             | 2028-05-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Mizuho Financial Group, Inc.                                     | Mizuho Financial Group, Inc.                                                               | CUSIP: 60687YBA6<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |    220000 | PA      | $183977.69    | 0.04%             | 2030-09-13      | Variable      | 2.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC Trust, Whole Loan, Series 2003-W1, Class 2A                                    | CUSIP: 31392GWB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17142 | PA      | $16591.35     | 0.00%             | 2042-12-25      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| Honeywell International, Inc.                                    | Honeywell International, Inc.                                                              | CUSIP: 438516BL9<br>LEI: ISRPG12PN4EIEOEMW547 | Long             | DBT              | CORP              | US        |    150000 | PA      | $138144.06    | 0.03%             | 2026-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CSMC Trust                                                       | CSMC Trust, Series 2021-RPL1, Class A1                                                     | CUSIP: 12660KAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1345800 | PA      | $1269654.67   | 0.27%             | 2060-09-27      | Variable      | 1.67%                 | Yes           |                  2 | On Loan: No      |
| Lendmark Funding Trust                                           | Lendmark Funding Trust, Series 2022-1A, Class C                                            | CUSIP: 52608JAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1200000 | PA      | $1146345.48   | 0.24%             | 2032-07-20      | Fixed         | 6.60%                 | Yes           |                  2 | On Loan: No      |
| UBS-BAMLL Trust                                                  | UBS-BAMLL Trust, Series 2012-WRM, Class A                                                  | CUSIP: 90269PAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3676 | PA      | $3670.81      | 0.00%             | 2030-06-10      | Fixed         | 3.66%                 | Yes           |                  2 | On Loan: No      |
| Arrow Electronics, Inc.                                          | Arrow Electronics, Inc.                                                                    | CUSIP: 042735BC3<br>LEI: 549300YNNLBXT8N8R512 | Long             | DBT              | CORP              | US        |      8000 | PA      | $7983.07      | 0.00%             | 2023-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA, Series 2009-104, Class KB                                                            | CUSIP: 38376JJB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    236000 | PA      | $243052.51    | 0.05%             | 2039-11-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury STRIPS Bonds                                                                 | CUSIP: 9128337Q7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    760000 | PA      | $531901.65    | 0.11%             | 2031-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, Other                                                                                | CUSIP: 3140HYCY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1059000 | PA      | $891528.65    | 0.19%             | 2030-08-01      | Fixed         | 2.02%                 | No            |                  2 | On Loan: No      |
| New Century Home Equity Loan Trust                               | New Century Home Equity Loan Trust, Series 2005-1, Class M1                                | CUSIP: 64352VKA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     23672 | PA      | $23112.24     | 0.00%             | 2035-03-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, Other                                                                                | CUSIP: 3138LNXQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    500000 | PA      | $478120.61    | 0.10%             | 2028-06-01      | Fixed         | 3.52%                 | No            |                  2 | On Loan: No      |
| Union Pacific Corp.                                              | Union Pacific Corp.                                                                        | CUSIP: 907818ER5<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |    150000 | PA      | $117171.37    | 0.02%             | 2067-09-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 3047, Class OD                                                        | CUSIP: 31396CJT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    138011 | PA      | $138345.49    | 0.03%             | 2035-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AIA Group Ltd.                                                   | AIA Group Ltd.                                                                             | CUSIP: 00131LAH8<br>LEI: ZP5ILWVSYE4LJGMMVD57 | Long             | DBT              | CORP              | HK        |    200000 | PA      | $182350.00    | 0.04%             | 2029-04-09      | Fixed         | 3.60%                 | Yes           |                  2 | On Loan: No      |
| United Mexican States                                            | United Mexican States                                                                      | CUSIP: 91087BAN0<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    211000 | PA      | $133628.94    | 0.03%             | 2061-05-24      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| BXG Receivables Note Trust                                       | BXG Receivables Note Trust, Series 2022-A, Class C                                         | CUSIP: 12434KAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    826431 | PA      | $778221.61    | 0.17%             | 2037-09-28      | Fixed         | 5.35%                 | Yes           |                  2 | On Loan: No      |
| Credit Agricole SA                                               | Credit Agricole SA                                                                         | CUSIP: 22535WAH0<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    400000 | PA      | $349816.28    | 0.07%             | 2027-01-26      | Variable      | 1.25%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Notes                                                                        | CUSIP: 91282CFZ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3000000 | PA      | $2983593.75   | 0.63%             | 2027-11-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| MultiCare Health System                                          | MultiCare Health System                                                                    | CUSIP: 62548LAA0<br>LEI: 549300OSCVFLGLKTTI33 | Long             | DBT              | CORP              | US        |    120000 | PA      | $70862.55     | 0.02%             | 2050-08-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2004-51, Class SY                                                      | CUSIP: 31393Y4T9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2257 | PA      | $2080.77      | 0.00%             | 2034-07-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | Morgan Stanley                                                                             | CUSIP: 61746BEF9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    101000 | PA      | $95244.52     | 0.02%             | 2027-01-20      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA I, 30 Year                                                                            | CUSIP: 36225BYK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3352 | PA      | $3547.47      | 0.00%             | 2033-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC Gold Pools, 30 Year                                                                  | CUSIP: 31335BE93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    612277 | PA      | $602157.27    | 0.13%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                    | WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR8, Class A                    | CUSIP: 92922FAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2914 | PA      | $2751.18      | 0.00%             | 2033-08-25      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury STRIPS Bonds                                                                 | CUSIP: 9128334Z0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     65000 | PA      | $39353.44     | 0.01%             | 2035-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, Other                                                                                | CUSIP: 31418AJY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64769 | PA      | $62057.72     | 0.01%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury STRIPS Bonds                                                                 | CUSIP: 912833LP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    173000 | PA      | $166110.08    | 0.04%             | 2023-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 3260, Class CS                                                        | CUSIP: 31397ELL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9925 | PA      | $849.46       | 0.00%             | 2037-01-15      | Floating      | 1.82%                 | No            |                  2 | On Loan: No      |
| Chevron Phillips Chemical Co. LLC                                | Chevron Phillips Chemical Co. LLC                                                          | CUSIP: 166754AW1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    485000 | PA      | $484254.51    | 0.10%             | 2025-04-01      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                                       | Progress Residential Trust, Series 2020-SFR1, Class E                                      | CUSIP: 74331CAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    900000 | PA      | $817907.13    | 0.17%             | 2037-04-17      | Fixed         | 3.03%                 | Yes           |                  2 | On Loan: No      |
| BNP Paribas SA                                                   | BNP Paribas SA                                                                             | CUSIP: 09659T2B6<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    320000 | PA      | $234203.30    | 0.05%             | 2035-08-12      | Variable      | 2.59%                 | Yes           |                  2 | On Loan: No      |
| Microchip Technology, Inc.                                       | Microchip Technology, Inc.                                                                 | CUSIP: 595017BC7<br>LEI: 5493007PTFULNYZJ1R12 | Long             | DBT              | CORP              | US        |     76000 | PA      | $70372.98     | 0.01%             | 2024-09-01      | Fixed         | 0.98%                 | No            |                  2 | On Loan: No      |
| Goodman US Finance Three LLC                                     | Goodman US Finance Three LLC                                                               | CUSIP: 38239JAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     43000 | PA      | $38795.63     | 0.01%             | 2028-03-15      | Fixed         | 3.70%                 | Yes           |                  2 | On Loan: No      |
| Ohio State University (The)                                      | Ohio State University (The), General Receipts, Series 2011-A                               | CUSIP: 677632PA3<br>LEI: JFC10ZULKO4X2E3HBY86 | Long             | DBT              | MUN               | US        |     98000 | PA      | $80661.49     | 0.02%             | 2111-06-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| New York State Electric & Gas Corp.                              | New York State Electric & Gas Corp.                                                        | CUSIP: 649840CQ6<br>LEI: 549300GEC6J0YHUXA160 | Long             | DBT              | CORP              | US        |     50000 | PA      | $46994.21     | 0.01%             | 2026-12-01      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 1993-165, Class SD                                                     | CUSIP: 31359D4W0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        37 | PA      | $36.41        | 0.00%             | 2023-09-25      | Floating      | 3.46%                 | No            |                  2 | On Loan: No      |
| VOLT XCV LLC                                                     | VOLT XCV LLC, Series 2021-NPL4, Class A1                                                   | CUSIP: 92873BAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    499717 | PA      | $456624.50    | 0.10%             | 2051-03-27      | Variable      | 2.24%                 | Yes           |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                               | United Airlines Pass-Through Trust, Series 2016-1, Class B                                 | CUSIP: 90933HAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     37736 | PA      | $34142.99     | 0.01%             | 2026-01-07      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Microsoft Corp.                                                  | Microsoft Corp.                                                                            | CUSIP: 594918BC7<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |     68000 | PA      | $61422.51     | 0.01%             | 2035-02-12      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                                       | AMSR Trust, Series 2022-SFR3, Class E2                                                     | CUSIP: 66981YAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $807115.20    | 0.17%             | 2039-10-17      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Bank of America Corp.                                            | Bank of America Corp.                                                                      | CUSIP: 06051GJS9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    235000 | PA      | $205887.35    | 0.04%             | 2027-07-22      | Variable      | 1.73%                 | No            |                  2 | On Loan: No      |
| Plains All American Pipeline LP                                  | Plains All American Pipeline LP                                                            | CUSIP: 72650RBE1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    110000 | PA      | $83427.89     | 0.02%             | 2044-06-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, Other                                                                                | CUSIP: 3140LH3Z1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1010000 | PA      | $957260.92    | 0.20%             | 2032-11-01      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| SART                                                             | SART                                                                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |    136534 | PA      | $134704.52    | 0.03%             | 2025-06-15      | Fixed         | 4.76%                 | No            |                  3 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 1987, Class PE                                                        | CUSIP: 3133TBEZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3947 | PA      | $4056.13      | 0.00%             | 2027-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA ACES, Series 2021-M3, Class X1                                                        | CUSIP: 3136BDXR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2525789 | PA      | $225672.15    | 0.05%             | 2033-11-25      | Variable      | 1.94%                 | No            |                  2 | On Loan: No      |
| HERO Funding Trust                                               | HERO Funding Trust, Series 2017-1A, Class A2                                               | CUSIP: 42771XAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |     69420 | PA      | $65746.17     | 0.01%             | 2047-09-20      | Fixed         | 4.46%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 1995-2, Class Z                                                        | CUSIP: 31359LMW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1012 | PA      | $1028.78      | 0.00%             | 2025-01-25      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 3385, Class SN                                                        | CUSIP: 31397PAT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7079 | PA      | $446.90       | 0.00%             | 2037-11-15      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| Life Storage LP                                                  | Life Storage LP                                                                            | CUSIP: 53227JAC8<br>LEI: X0MIGH67XZCB7HL1A534 | Long             | DBT              | CORP              | US        |    300000 | PA      | $233059.37    | 0.05%             | 2030-10-15      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Suncor Energy, Inc.                                              | Suncor Energy, Inc.                                                                        | CUSIP: 71644EAJ1<br>LEI: 549300W70ZOQDVLCHY06 | Long             | DBT              | CORP              | CA        |    145000 | PA      | $151889.18    | 0.03%             | 2038-05-15      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| GSK Consumer Healthcare Capital US LLC                           | GSK Consumer Healthcare Capital US LLC                                                     | CUSIP: 36264FAL5<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |    260000 | PA      | $233801.42    | 0.05%             | 2029-03-24      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| MVW LLC                                                          | MVW LLC, Series 2019-2A, Class B                                                           | CUSIP: 55400DAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    263782 | PA      | $246824.78    | 0.05%             | 2038-10-20      | Fixed         | 2.44%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 2306, Class K                                                         | CUSIP: 3133TSJA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       302 | PA      | $293.92       | 0.00%             | 2024-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BAE Systems plc                                                  | BAE Systems plc                                                                            | CUSIP: 05523RAF4<br>LEI: 8SVCSVKSGDWMW2QHOH83 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $155091.66    | 0.03%             | 2031-02-15      | Fixed         | 1.90%                 | Yes           |                  2 | On Loan: No      |
| Prudential Insurance Co. of America (The)                        | Prudential Insurance Co. of America (The)                                                  | CUSIP: 743917AH9<br>LEI: X574KRZ6V5A7UBU45C31 | Long             | DBT              | CORP              | US        |    150000 | PA      | $158525.84    | 0.03%             | 2025-07-01      | Fixed         | 8.30%                 | Yes           |                  2 | On Loan: No      |
| Nevada Power Co.                                                 | Nevada Power Co., Series CC                                                                | CUSIP: 641423CC0<br>LEI: MJZFGXRJ52U8U4MKJ519 | Long             | DBT              | CORP              | US        |    100000 | PA      | $93989.50     | 0.02%             | 2029-05-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| VOLT XCII LLC                                                    | VOLT XCII LLC, Series 2021-NPL1, Class A1                                                  | CUSIP: 91835MAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    356563 | PA      | $307670.51    | 0.07%             | 2051-02-27      | Variable      | 1.89%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                | Credit Acceptance Auto Loan Trust, Series 2020-1A, Class B                                 | CUSIP: 22534GAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    412430 | PA      | $410804.62    | 0.09%             | 2029-04-16      | Fixed         | 2.39%                 | Yes           |                  2 | On Loan: No      |
| Citigroup, Inc.                                                  | Citigroup, Inc.                                                                            | CUSIP: 172967KA8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    210000 | PA      | $200215.76    | 0.04%             | 2027-09-29      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Microsoft Corp.                                                  | Microsoft Corp.                                                                            | CUSIP: 594918BQ6<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |    125000 | PA      | $123019.88    | 0.03%             | 2023-08-08      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA UMBS, 30 Year                                                                         | CUSIP: 31403DVZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24899 | PA      | $26071.76     | 0.01%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                  | Goldman Sachs Group, Inc. (The)                                                            | CUSIP: 38141GFD1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     80000 | PA      | $85361.86     | 0.02%             | 2037-10-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140QDKQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1324921 | PA      | $1135064.72   | 0.24%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                               | Energy Transfer LP                                                                         | CUSIP: 292480AM2<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    102000 | PA      | $92143.52     | 0.02%             | 2029-09-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Bonds                                                                        | CUSIP: 912810SY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4785000 | PA      | $3597161.12   | 0.76%             | 2041-05-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Corporate Office Properties LP                                   | Corporate Office Properties LP                                                             | CUSIP: 22003BAL0<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              | CORP              | US        |    470000 | PA      | $412059.64    | 0.09%             | 2026-03-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 1981, Class Z                                                         | CUSIP: 3133TAUE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2090 | PA      | $2093.93      | 0.00%             | 2027-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 2204, Class GB                                                        | CUSIP: 31394LME9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       230 | PA      | $38.93        | 0.00%             | 2029-12-20      | Variable      | 8.00%                 | No            |                  2 | On Loan: No      |
| Fiserv, Inc.                                                     | Fiserv, Inc.                                                                               | CUSIP: 337738AT5<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |     70000 | PA      | $65510.14     | 0.01%             | 2026-07-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K066, Class A2            | CUSIP: 3137F2LJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    267000 | PA      | $252535.22    | 0.05%             | 2027-06-25      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Lear Corp.                                                       | Lear Corp.                                                                                 | CUSIP: 521865BC8<br>LEI: 549300UPNBTXA1SYTQ33 | Long             | DBT              | CORP              | US        |    110000 | PA      | $82759.82     | 0.02%             | 2032-01-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, Other                                                                                | CUSIP: 3140J2WF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1100000 | PA      | $876626.85    | 0.19%             | 2031-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Nissan Motor Co. Ltd.                                            | Nissan Motor Co. Ltd.                                                                      | CUSIP: 654744AC5<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |    673000 | PA      | $610240.01    | 0.13%             | 2027-09-17      | Fixed         | 4.34%                 | Yes           |                  2 | On Loan: No      |
| Welltower, Inc.                                                  | Welltower, Inc.                                                                            | CUSIP: 95040QAJ3<br>LEI: T6IZ0MBEG5ACZDTR7D06 | Long             | DBT              | CORP              | US        |     85000 | PA      | $71740.66     | 0.02%             | 2030-01-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Healthpeak Properties, Inc.                                      | Healthpeak Properties, Inc.                                                                | CUSIP: 40414LAR0<br>LEI: PZ9HF5U52KPF0MH0QN75 | Long             | DBT              | CORP              | US        |    132000 | PA      | $117470.33    | 0.02%             | 2029-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Arrow Electronics, Inc.                                          | Arrow Electronics, Inc.                                                                    | CUSIP: 042735BF6<br>LEI: 549300YNNLBXT8N8R512 | Long             | DBT              | CORP              | US        |     22000 | PA      | $19985.43     | 0.00%             | 2028-01-12      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Southern Power Co.                                               | Southern Power Co.                                                                         | CUSIP: 843646AH3<br>LEI: 5LADC78JBG2BMZD5XF57 | Long             | DBT              | CORP              | US        |     50000 | PA      | $45184.90     | 0.01%             | 2041-09-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2014-38, Class QI                                                      | CUSIP: 3136AKNS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    298406 | PA      | $56756.88     | 0.01%             | 2043-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ERAC USA Finance LLC                                             | ERAC USA Finance LLC                                                                       | CUSIP: 26882PBE1<br>LEI: LTKX5ODQW6Z7BQ2K1V47 | Long             | DBT              | CORP              | US        |    160000 | PA      | $173825.98    | 0.04%             | 2037-10-15      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| Life Storage LP                                                  | Life Storage LP                                                                            | CUSIP: 53227JAD6<br>LEI: X0MIGH67XZCB7HL1A534 | Long             | DBT              | CORP              | US        |    125000 | PA      | $96162.41     | 0.02%             | 2031-10-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Southern Co. Gas Capital Corp.                                   | Southern Co. Gas Capital Corp.                                                             | CUSIP: 001192AK9<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |     42000 | PA      | $34319.12     | 0.01%             | 2043-06-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| MASTR Resecuritization Trust                                     | MASTR Resecuritization Trust, Series 2005-PO, Class 3PO                                    | CUSIP: 576435BB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5997 | PA      | $3655.30      | 0.00%             | 2035-05-28      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Brixmor Operating Partnership LP                                 | Brixmor Operating Partnership LP                                                           | CUSIP: 11120VAA1<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |     50000 | PA      | $47976.03     | 0.01%             | 2025-02-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2013-67, Class KZ                                                      | CUSIP: 3136AFGA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    887433 | PA      | $698621.33    | 0.15%             | 2043-04-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                          | BPCE SA                                                                                    | CUSIP: 05578QAC7<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    200000 | PA      | $194641.78    | 0.04%             | 2024-07-11      | Fixed         | 4.62%                 | Yes           |                  2 | On Loan: No      |
| Roper Technologies, Inc.                                         | Roper Technologies, Inc.                                                                   | CUSIP: 776743AN6<br>LEI: 54930003T4SXCIWVXY35 | Long             | DBT              | CORP              | US        |    350000 | PA      | $296085.02    | 0.06%             | 2027-09-15      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA ACES, Series 2022-M2S, Class A2                                                       | CUSIP: 3136BPHK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    900000 | PA      | $847703.43    | 0.18%             | 2032-08-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, Other                                                                                | CUSIP: 3138LDX65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    825061 | PA      | $754902.80    | 0.16%             | 2028-06-01      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| CVS Pass-Through Trust                                           | CVS Pass-Through Trust                                                                     | CUSIP: 126650BS8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     59439 | PA      | $61862.92     | 0.01%             | 2032-01-10      | Fixed         | 7.51%                 | Yes           |                  2 | On Loan: No      |
| FirstKey Homes Trust                                             | FirstKey Homes Trust, Series 2022-SFR3, Class C                                            | CUSIP: 33768EAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    784000 | PA      | $721753.93    | 0.15%             | 2026-07-17      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Sabine Pass Liquefaction LLC                                     | Sabine Pass Liquefaction LLC                                                               | CUSIP: 785592AS5<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |    450000 | PA      | $441235.78    | 0.09%             | 2027-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 2543, Class YX                                                        | CUSIP: 31393HGW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    392744 | PA      | $400418.51    | 0.09%             | 2032-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                   | BNP Paribas SA                                                                             | CUSIP: 09659W2L7<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    293000 | PA      | $269014.49    | 0.06%             | 2026-06-09      | Variable      | 2.22%                 | Yes           |                  2 | On Loan: No      |
| Mitsubishi UFJ Financial Group, Inc.                             | Mitsubishi UFJ Financial Group, Inc.                                                       | CUSIP: 606822BU7<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    340000 | PA      | $268192.10    | 0.06%             | 2030-07-17      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                          | MPLX LP                                                                                    | CUSIP: 55336VAS9<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    261000 | PA      | $249761.32    | 0.05%             | 2029-02-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Entergy Louisiana LLC                                            | Entergy Louisiana LLC                                                                      | CUSIP: 29364WBD9<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |    130000 | PA      | $83169.71     | 0.02%             | 2051-03-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Plains All American Pipeline LP                                  | Plains All American Pipeline LP                                                            | CUSIP: 72650RBC5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     30000 | PA      | $21750.07     | 0.00%             | 2043-01-31      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Bonds                                                                        | CUSIP: 912810SL3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    740000 | PA      | $488717.97    | 0.10%             | 2050-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA ACES, Series 2017-M7, Class A2                                                        | CUSIP: 3136AV7G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    722619 | PA      | $679153.29    | 0.14%             | 2027-02-25      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| Standard Chartered plc                                           | Standard Chartered plc                                                                     | CUSIP: 853254CL2<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    280000 | PA      | $288371.29    | 0.06%             | 2025-11-16      | Variable      | 7.78%                 | Yes           |                  2 | On Loan: No      |
| Time Warner Cable Enterprises LLC                                | Time Warner Cable Enterprises LLC                                                          | CUSIP: 88731EAJ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     90000 | PA      | $99976.20     | 0.02%             | 2033-07-15      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| Discovery Communications LLC                                     | Discovery Communications LLC                                                               | CUSIP: 25470DBL2<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |    124000 | PA      | $74508.09     | 0.02%             | 2055-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CWABS, Inc., Asset-Backed Certificates                           | CWABS, Inc. Asset-Backed Certificates, Series 2004-1, Class M2                             | CUSIP: 126671Z33<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4429 | PA      | $4378.97      | 0.00%             | 2034-03-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Bank of Montreal                                                 | Bank of Montreal                                                                           | CUSIP: 06367WB85<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |    200000 | PA      | $186820.92    | 0.04%             | 2025-05-01      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| Duke Energy Corp.                                                | Duke Energy Corp.                                                                          | CUSIP: 26441CAS4<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    100000 | PA      | $92361.42     | 0.02%             | 2026-09-01      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA UMBS, 15 Year                                                                         | CUSIP: 31413MGY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       236 | PA      | $234.70       | 0.00%             | 2023-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Entergy Mississippi LLC                                          | Entergy Mississippi LLC                                                                    | CUSIP: 29366WAA4<br>LEI: 54930043I78H35DVVW89 | Long             | DBT              | CORP              | US        |    135000 | PA      | $103036.57    | 0.02%             | 2049-06-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2002-77, Class S                                                       | CUSIP: 31392F6E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2466 | PA      | $2512.58      | 0.00%             | 2032-12-25      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| WW Grainger, Inc.                                                | WW Grainger, Inc.                                                                          | CUSIP: 384802AB0<br>LEI: 549300TWZSP6O1IH2V34 | Long             | DBT              | CORP              | US        |     77000 | PA      | $70015.65     | 0.01%             | 2045-06-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Spectra Energy Partners LP                                       | Spectra Energy Partners LP                                                                 | CUSIP: 84756NAG4<br>LEI: 2HKVXE7U4NF5B6UGSU72 | Long             | DBT              | CORP              | US        |     25000 | PA      | $20636.62     | 0.00%             | 2045-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140JPFR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31279 | PA      | $29733.71     | 0.01%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, Other                                                                                | CUSIP: 3140HSEN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    300000 | PA      | $289486.58    | 0.06%             | 2028-12-01      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Notes                                                                        | CUSIP: 912828XX3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     10000 | PA      | $9617.58      | 0.00%             | 2024-06-30      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 2575, Class ME                                                        | CUSIP: 31393KSG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     57046 | PA      | $58457.64     | 0.01%             | 2033-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Aviation Capital Group LLC                                       | Aviation Capital Group LLC                                                                 | CUSIP: 05369AAH4<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |    174000 | PA      | $170908.79    | 0.04%             | 2024-12-15      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| BP Capital Markets America, Inc.                                 | BP Capital Markets America, Inc.                                                           | CUSIP: 10373QAV2<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |     35000 | PA      | $32587.13     | 0.01%             | 2027-01-16      | Fixed         | 3.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 1999-39, Class JH                                                      | CUSIP: 31359WMT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26771 | PA      | $1734.14      | 0.00%             | 2029-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Evergy, Inc.                                                     | Evergy, Inc.                                                                               | CUSIP: 30034WAB2<br>LEI: 549300PGTHDQY6PSUI61 | Long             | DBT              | CORP              | US        |    170000 | PA      | $146801.60    | 0.03%             | 2029-09-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Scentre Group Trust 1                                            | Scentre Group Trust 1                                                                      | CUSIP: 806213AB0<br>LEI: N/A                  | Long             | DBT              | CORP              | AU        |    170000 | PA      | $162697.66    | 0.03%             | 2025-02-12      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Zoetis, Inc.                                                     | Zoetis, Inc.                                                                               | CUSIP: 98978VAS2<br>LEI: 549300HD9Q1LOC9KLJ48 | Long             | DBT              | CORP              | US        |    170000 | PA      | $137960.77    | 0.03%             | 2030-05-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Nutrien Ltd.                                                     | Nutrien Ltd.                                                                               | CUSIP: 67077MAT5<br>LEI: 5493002QQ7GD21OWF963 | Long             | DBT              | CORP              | CA        |     25000 | PA      | $23482.59     | 0.00%             | 2029-04-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                               | United Airlines Pass-Through Trust, Series 2014-1, Class A                                 | CUSIP: 90932PAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     44148 | PA      | $41016.58     | 0.01%             | 2026-04-11      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Banco Santander SA                                               | Banco Santander SA                                                                         | CUSIP: 05971KAE9<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    200000 | PA      | $187178.11    | 0.04%             | 2025-05-28      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 2435, Class CJ                                                        | CUSIP: 31392K2Z8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     41525 | PA      | $42990.67     | 0.01%             | 2032-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Sabra Health Care LP                                             | Sabra Health Care LP                                                                       | CUSIP: 78574MAA1<br>LEI: 549300OVKLRFSIQG0H81 | Long             | DBT              | CORP              | US        |    210000 | PA      | $156254.06    | 0.03%             | 2031-12-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, Other                                                                                | CUSIP: 3140FXTC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1003888 | PA      | $830420.14    | 0.18%             | 2061-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 2638, Class DS                                                        | CUSIP: 31393WXE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       828 | PA      | $814.81       | 0.00%             | 2023-07-15      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                                          | Hyundai Capital America                                                                    | CUSIP: 44891ABS5<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    115000 | PA      | $100575.94    | 0.02%             | 2026-01-08      | Fixed         | 1.30%                 | Yes           |                  2 | On Loan: No      |
| American Tower Trust #1                                          | American Tower Trust #1                                                                    | CUSIP: 03027WAJ1<br>LEI: 5493004YGM0MQZJOEJ36 | Long             | ABS-O            | CORP              | US        |     80000 | PA      | $79552.10     | 0.02%             | 2023-03-15      | Fixed         | 3.07%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Notes                                                                        | CUSIP: 912828YS3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    265000 | PA      | $231015.82    | 0.05%             | 2029-11-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                          | GSR Mortgage Loan Trust, Series 2004-13F, Class 3A3                                        | CUSIP: 36242DLW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7640 | PA      | $7265.48      | 0.00%             | 2034-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust                                              | DT Auto Owner Trust, Series 2019-4A, Class C                                               | CUSIP: 23343JAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1526 | PA      | $1524.32      | 0.00%             | 2025-07-15      | Fixed         | 2.73%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 1997-61, Class ZC                                                      | CUSIP: 31359QPC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        87 | PA      | $86.55        | 0.00%             | 2023-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Elevance Health, Inc.                                            | Elevance Health, Inc.                                                                      | CUSIP: 94973VBB2<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |     18000 | PA      | $16312.53     | 0.00%             | 2043-01-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                     | Pacific Gas and Electric Co.                                                               | CUSIP: 694308JL2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    145000 | PA      | $137265.16    | 0.03%             | 2025-07-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                     | MASTR Alternative Loan Trust, Series 2004-8, Class 6A1                                     | CUSIP: 576434UW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       140 | PA      | $133.98       | 0.00%             | 2019-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Commonwealth Edison Co.                                          | Commonwealth Edison Co.                                                                    | CUSIP: 202795JJ0<br>LEI: D8YOXB8L2ZDC8P7Q0771 | Long             | DBT              | CORP              | US        |     30000 | PA      | $22785.85     | 0.00%             | 2046-06-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Viatris, Inc.                                                    | Viatris, Inc.                                                                              | CUSIP: 92556VAC0<br>LEI: 254900ZZTSW7NL773X71 | Long             | DBT              | CORP              | US        |    589000 | PA      | $503271.03    | 0.11%             | 2027-06-22      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Macquarie Group Ltd.                                             | Macquarie Group Ltd.                                                                       | CUSIP: 55608JAP3<br>LEI: ACMHD8HWFMFUIQQ8Y590 | Long             | DBT              | CORP              | AU        |    220000 | PA      | $206902.83    | 0.04%             | 2030-01-15      | Variable      | 5.03%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 2031, Class PG                                                        | CUSIP: 3133TCTN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20638 | PA      | $21312.73     | 0.00%             | 2028-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA, Series 2020-30, Class PT                                                             | CUSIP: 38382DF20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    702136 | PA      | $689002.02    | 0.15%             | 2048-03-20      | Variable      | 4.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, Other                                                                                | CUSIP: 3138LKTC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1097077 | PA      | $1003695.36   | 0.21%             | 2029-10-01      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, Other                                                                                | CUSIP: 3138ERXG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    487727 | PA      | $450908.50    | 0.10%             | 2036-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                            | Bank of America Corp.                                                                      | CUSIP: 06051GKD0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    330000 | PA      | $258456.78    | 0.05%             | 2032-10-20      | Variable      | 2.57%                 | No            |                  2 | On Loan: No      |
| Home Depot, Inc. (The)                                           | Home Depot, Inc. (The)                                                                     | CUSIP: 437076CT7<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    198000 | PA      | $190048.43    | 0.04%             | 2052-09-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Virginia Electric and Power Co.                                  | Virginia Electric and Power Co.                                                            | CUSIP: 927804FE9<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |     70000 | PA      | $74167.90     | 0.02%             | 2037-11-30      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-54, Class 2A             | CUSIP: 31393LFK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     49707 | PA      | $51790.16     | 0.01%             | 2043-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Nomura Holdings, Inc.                                            | Nomura Holdings, Inc.                                                                      | CUSIP: 65535HAS8<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |    200000 | PA      | $159933.69    | 0.03%             | 2030-07-16      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| Bristol-Myers Squibb Co.                                         | Bristol-Myers Squibb Co.                                                                   | CUSIP: 110122DR6<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    175000 | PA      | $120318.43    | 0.03%             | 2040-11-13      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury STRIPS Bonds                                                                 | CUSIP: 912833LT5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    110000 | PA      | $101325.43    | 0.02%             | 2024-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                  | Goldman Sachs Group, Inc. (The)                                                            | CUSIP: 38141GYM0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    195000 | PA      | $170505.07    | 0.04%             | 2027-10-21      | Variable      | 1.95%                 | No            |                  2 | On Loan: No      |
| Global Payments, Inc.                                            | Global Payments, Inc.                                                                      | CUSIP: 37940XAD4<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |     48000 | PA      | $39329.63     | 0.01%             | 2030-05-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp.                                                 | CVS Health Corp.                                                                           | CUSIP: 126650CZ1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    323000 | PA      | $289907.00    | 0.06%             | 2048-03-25      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA, Series 2009-106, Class ST                                                            | CUSIP: 38376JFW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     90244 | PA      | $4726.54      | 0.00%             | 2038-02-20      | Floating      | 1.65%                 | No            |                  2 | On Loan: No      |
| Mid-America Apartments LP                                        | Mid-America Apartments LP                                                                  | CUSIP: 59523UAQ0<br>LEI: 549300FXWGE3QSYCUJ38 | Long             | DBT              | CORP              | US        |    230000 | PA      | $215876.04    | 0.05%             | 2029-03-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Verizon Communications, Inc.                                     | Verizon Communications, Inc.                                                               | CUSIP: 92343VFE9<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     40000 | PA      | $35273.64     | 0.01%             | 2030-03-22      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Vodafone Group plc                                               | Vodafone Group plc                                                                         | CUSIP: 92857WBS8<br>LEI: 213800TB53ELEUKM7Q61 | Long             | DBT              | CORP              | GB        |    255000 | PA      | $213074.84    | 0.05%             | 2049-06-19      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Triton Container International Ltd.                              | Triton Container International Ltd.                                                        | CUSIP: 89680YAB1<br>LEI: 549300O4LZFLCX53XZ54 | Long             | DBT              | CORP              | BM        |    270000 | PA      | $249463.13    | 0.05%             | 2024-06-07      | Fixed         | 1.15%                 | Yes           |                  2 | On Loan: No      |
| Intel Corp.                                                      | Intel Corp.                                                                                | CUSIP: 458140BK5<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |     50000 | PA      | $30816.85     | 0.01%             | 2060-02-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| S&P Global, Inc.                                                 | S&P Global, Inc.                                                                           | CUSIP: 78409VAZ7<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |    346000 | PA      | $330255.57    | 0.07%             | 2029-05-01      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| General Motors Financial Co., Inc.                               | General Motors Financial Co., Inc.                                                         | CUSIP: 37045XDU7<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    180000 | PA      | $173752.98    | 0.04%             | 2025-04-07      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury STRIPS Bonds                                                                 | CUSIP: 912833WQ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    140000 | PA      | $112444.12    | 0.02%             | 2028-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| NRG Energy, Inc.                                                 | NRG Energy, Inc.                                                                           | CUSIP: 629377CN0<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    185000 | PA      | $165010.99    | 0.04%             | 2025-12-02      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: No      |
| Providence St. Joseph Health Obligated Group                     | Providence St. Joseph Health Obligated Group, Series H                                     | CUSIP: 743756AB4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     36000 | PA      | $33732.43     | 0.01%             | 2026-10-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 3117, Class EO                                                        | CUSIP: 31396HUN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10016 | PA      | $8380.63      | 0.00%             | 2036-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                | HSBC Holdings plc                                                                          | CUSIP: 404280DQ9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    314000 | PA      | $326582.55    | 0.07%             | 2026-11-03      | Variable      | 7.34%                 | No            |                  2 | On Loan: No      |
| Healthcare Realty Holdings LP                                    | Healthcare Realty Holdings LP                                                              | CUSIP: 42225UAG9<br>LEI: 549300IYGAS4GE6VDL07 | Long             | DBT              | CORP              | US        |    310000 | PA      | $258838.89    | 0.06%             | 2030-02-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Estee Lauder Cos., Inc. (The)                                    | Estee Lauder Cos., Inc. (The)                                                              | CUSIP: 29736RAQ3<br>LEI: 549300VFZ8XJ9NUPU221 | Long             | DBT              | CORP              | US        |    404000 | PA      | $347194.93    | 0.07%             | 2030-04-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                                   | Southern California Edison Co., Series C                                                   | CUSIP: 842400FY4<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     53000 | PA      | $52348.65     | 0.01%             | 2023-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NRZ Excess Spread-Collateralized Notes                           | NRZ Excess Spread-Collateralized Notes, Series 2021-GNT1, Class A                          | CUSIP: 65246QAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    800315 | PA      | $704583.23    | 0.15%             | 2026-11-25      | Fixed         | 3.47%                 | Yes           |                  2 | On Loan: No      |
| eBay, Inc.                                                       | eBay, Inc.                                                                                 | CUSIP: 278642AY9<br>LEI: OML71K8X303XQONU6T67 | Long             | DBT              | CORP              | US        |    830000 | PA      | $680281.48    | 0.14%             | 2031-05-10      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| University of Miami                                              | University of Miami, Series 2022                                                           | CUSIP: 914453AA3<br>LEI: 5493008ZSVWUNRYQE312 | Long             | DBT              | CORP              | US        |    120000 | PA      | $97787.46     | 0.02%             | 2052-04-01      | Fixed         | 4.06%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA II, 30 Year                                                                           | CUSIP: 3617MJGA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    418919 | PA      | $399424.99    | 0.08%             | 2050-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Notes                                                                        | CUSIP: 912828VS6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    600000 | PA      | $591703.13    | 0.13%             | 2023-08-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BP Capital Markets America, Inc.                                 | BP Capital Markets America, Inc.                                                           | CUSIP: 10373QBS8<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |    135000 | PA      | $88988.85     | 0.02%             | 2052-03-17      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| General Motors Financial Co., Inc.                               | General Motors Financial Co., Inc.                                                         | CUSIP: 37045XDE3<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |     97000 | PA      | $73139.42     | 0.02%             | 2031-01-08      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Notes                                                                        | CUSIP: 9128282D1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    700000 | PA      | $684332.03    | 0.15%             | 2023-08-31      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                            | FMC GMSR Issuer Trust, Series 2021-GT2, Class A                                            | CUSIP: 30259RAK1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    850000 | PA      | $681662.60    | 0.14%             | 2026-10-25      | Variable      | 3.85%                 | Yes           |                  2 | On Loan: No      |
| Brookfield Finance, Inc.                                         | Brookfield Finance, Inc.                                                                   | CUSIP: 11271LAB8<br>LEI: 549300XH8D8K6OYWGD17 | Long             | DBT              | CORP              | CA        |      9000 | PA      | $7233.15      | 0.00%             | 2047-09-20      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA ACES, Series 2017-M8, Class A2                                                        | CUSIP: 3136AW7J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    297817 | PA      | $280218.25    | 0.06%             | 2027-05-25      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| Exxon Mobil Corp.                                                | Exxon Mobil Corp.                                                                          | CUSIP: 30231GAY8<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |    405000 | PA      | $309537.09    | 0.07%             | 2039-08-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Northrop Grumman Corp.                                           | Northrop Grumman Corp.                                                                     | CUSIP: 666807BT8<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |    140000 | PA      | $136071.06    | 0.03%             | 2040-05-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                 | Deutsche Bank AG                                                                           | CUSIP: 251526CC1<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    380000 | PA      | $367013.07    | 0.08%             | 2024-09-18      | Variable      | 2.22%                 | No            |                  2 | On Loan: No      |
| APA Infrastructure Ltd.                                          | APA Infrastructure Ltd.                                                                    | CUSIP: 00205GAB3<br>LEI: 261700SS8OEHDOCOUJ33 | Long             | DBT              | CORP              | AU        |    120000 | PA      | $115868.77    | 0.02%             | 2025-03-23      | Fixed         | 4.20%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                             | FNMA UMBS, 30 Year                                                                         | CUSIP: 3138EKZC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    221213 | PA      | $226756.10    | 0.05%             | 2038-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BAE Systems Holdings, Inc.                                       | BAE Systems Holdings, Inc.                                                                 | CUSIP: 05523UAK6<br>LEI: MF62XBVMNYTYMC18DL76 | Long             | DBT              | CORP              | US        |     45000 | PA      | $43940.72     | 0.01%             | 2024-10-07      | Fixed         | 3.80%                 | Yes           |                  2 | On Loan: No      |
| FirstKey Homes Trust                                             | FirstKey Homes Trust, Series 2020-SFR1, Class D                                            | CUSIP: 33767MAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    800000 | PA      | $711702.80    | 0.15%             | 2037-08-17      | Fixed         | 2.24%                 | Yes           |                  2 | On Loan: No      |
| CWABS, Inc. Asset-Backed Certificates                            | CWABS, Inc. Asset-Backed Certificates, Series 2004-1, Class 3A                             | CUSIP: 126671Y91<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1056 | PA      | $951.57       | 0.00%             | 2034-04-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Liberty Mutual Group, Inc.                                       | Liberty Mutual Group, Inc.                                                                 | CUSIP: 53079EBG8<br>LEI: QUR0DG15Z6FFGYCHH861 | Long             | DBT              | CORP              | US        |     27000 | PA      | $25237.41     | 0.01%             | 2029-02-01      | Fixed         | 4.57%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2014-15, Class JI                                                      | CUSIP: 3136AJZN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2283293 | PA      | $166429.02    | 0.04%             | 2029-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                        | HCA, Inc.                                                                                  | CUSIP: 404119BY4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    125000 | PA      | $111847.98    | 0.02%             | 2039-06-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| CSMC OA LLC                                                      | CSMC OA LLC, Series 2014-USA, Class D                                                      | CUSIP: 12649AAN9<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $73548.87     | 0.02%             | 2037-09-15      | Fixed         | 4.37%                 | Yes           |                  2 | On Loan: No      |
| United Mexican States                                            | United Mexican States                                                                      | CUSIP: 91087BAR1<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    257000 | PA      | $206242.50    | 0.04%             | 2034-02-12      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Airbus SE                                                        | Airbus SE                                                                                  | CUSIP: 009279AA8<br>LEI: MINO79WLOO247M1IL051 | Long             | DBT              | CORP              | NL        |    164000 | PA      | $152340.05    | 0.03%             | 2027-04-10      | Fixed         | 3.15%                 | Yes           |                  2 | On Loan: No      |
| Bank of America Corp.                                            | Bank of America Corp.                                                                      | CUSIP: 06051GKK4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    110000 | PA      | $88618.05     | 0.02%             | 2033-02-04      | Variable      | 2.97%                 | No            |                  2 | On Loan: No      |
| Southern Co. Gas Capital Corp.                                   | Southern Co. Gas Capital Corp.                                                             | CUSIP: 8426EPAB4<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |     21000 | PA      | $15737.26     | 0.00%             | 2046-10-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group, Inc.                                         | UnitedHealth Group, Inc.                                                                   | CUSIP: 91324PES7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    140000 | PA      | $151167.10    | 0.03%             | 2053-02-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| American Water Capital Corp.                                     | American Water Capital Corp.                                                               | CUSIP: 03040WAX3<br>LEI: 5IDHQUFVC8Q2KIBBFF06 | Long             | DBT              | CORP              | US        |    225000 | PA      | $165188.14    | 0.04%             | 2050-05-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Valero Energy Corp.                                              | Valero Energy Corp.                                                                        | CUSIP: 91913YAE0<br>LEI: 549300XTO5VR8SKV1V74 | Long             | DBT              | CORP              | US        |     14000 | PA      | $15735.60     | 0.00%             | 2032-04-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                        | Commercial Mortgage Trust, Series 2020-CBM, Class C                                        | CUSIP: 20049AAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $450385.90    | 0.10%             | 2037-02-10      | Fixed         | 3.40%                 | Yes           |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                           | Santander Drive Auto Receivables Trust, Series 2022-4, Class A3                            | CUSIP: 80286FAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1189000 | PA      | $1164369.15   | 0.25%             | 2027-02-16      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| Air Products and Chemicals, Inc.                                 | Air Products and Chemicals, Inc.                                                           | CUSIP: 009158AY2<br>LEI: 7QEON6Y1RL5XR3R1W237 | Long             | DBT              | CORP              | US        |    310000 | PA      | $275432.74    | 0.06%             | 2027-05-15      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                                     | AbbVie, Inc.                                                                               | CUSIP: 00287YAM1<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    370000 | PA      | $320946.26    | 0.07%             | 2042-11-06      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA UMBS, 30 Year                                                                         | CUSIP: 31407KPY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10456 | PA      | $10677.42     | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA                                                                                       | CUSIP: 31402RLV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9117 | PA      | $8951.87      | 0.00%             | 2034-10-01      | Variable      | 3.19%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                  | Goldman Sachs Group, Inc. (The)                                                            | CUSIP: 38141GWL4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    742000 | PA      | $689415.16    | 0.15%             | 2028-06-05      | Variable      | 3.69%                 | No            |                  2 | On Loan: No      |
| Halliburton Co.                                                  | Halliburton Co.                                                                            | CUSIP: 406216AW1<br>LEI: ENYF8GB5SMQZ25S06U51 | Long             | DBT              | CORP              | US        |     60000 | PA      | $63003.69     | 0.01%             | 2038-09-15      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury STRIPS Bonds                                                                 | CUSIP: 912833XP0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3400000 | PA      | $2594084.91   | 0.55%             | 2029-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| HP, Inc.                                                         | HP, Inc.                                                                                   | CUSIP: 40434LAB1<br>LEI: WHKXQACZ14C5XRO8LW03 | Long             | DBT              | CORP              | US        |    160000 | PA      | $146038.82    | 0.03%             | 2027-06-17      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury STRIPS Bonds                                                                 | CUSIP: 912834KV9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    100000 | PA      | $44684.19     | 0.01%             | 2041-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                               | Energy Transfer LP                                                                         | CUSIP: 29273RAP4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    100000 | PA      | $93901.80     | 0.02%             | 2041-06-01      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Notes                                                                        | CUSIP: 912828P79<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    425000 | PA      | $423048.91    | 0.09%             | 2023-02-28      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC Trust, Whole Loan, Series 1999-W4, Class A9                                    | CUSIP: 31359VA94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38044 | PA      | $38555.88     | 0.01%             | 2029-02-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 2095, Class PE                                                        | CUSIP: 3133TGWC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14594 | PA      | $14797.25     | 0.00%             | 2028-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 1995-19, Class Z                                                       | CUSIP: 31359LZB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2508 | PA      | $2503.93      | 0.00%             | 2023-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2006-46, Class SW                                                      | CUSIP: 31395D7F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4686 | PA      | $5151.46      | 0.00%             | 2036-06-25      | Floating      | 8.11%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Notes                                                                        | CUSIP: 91282CET4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5100000 | PA      | $4807347.67   | 1.02%             | 2027-05-31      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC                                                                                      | CUSIP: 3128JNN35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7489 | PA      | $7328.75      | 0.00%             | 2037-01-01      | Variable      | 3.46%                 | No            |                  2 | On Loan: No      |
| American Honda Finance Corp.                                     | American Honda Finance Corp.                                                               | CUSIP: 02665WBH3<br>LEI: B6Q2VFHD1797Q7NZ3E43 | Long             | DBT              | CORP              | US        |     17000 | PA      | $15537.30     | 0.00%             | 2026-09-09      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                | Wells Fargo & Co.                                                                          | CUSIP: 94974BFP0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    200000 | PA      | $185934.98    | 0.04%             | 2043-11-02      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA, Series 2014-H17, Class FC                                                            | CUSIP: 38375UNP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    170121 | PA      | $167482.14    | 0.04%             | 2064-07-20      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| CWABS, Inc. Asset-Backed Certificates                            | CWABS, Inc. Asset-Backed Certificates, Series 2004-1, Class M1                             | CUSIP: 126671Z25<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5315 | PA      | $5171.02      | 0.00%             | 2034-03-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Schlumberger Holdings Corp.                                      | Schlumberger Holdings Corp.                                                                | CUSIP: 806851AK7<br>LEI: 529900IKZG65COT1D505 | Long             | DBT              | CORP              | US        |     62000 | PA      | $57764.68     | 0.01%             | 2028-05-17      | Fixed         | 3.90%                 | Yes           |                  2 | On Loan: No      |
| Xylem, Inc.                                                      | Xylem, Inc.                                                                                | CUSIP: 98419MAL4<br>LEI: 549300DF5MV96DRYLQ48 | Long             | DBT              | CORP              | US        |    110000 | PA      | $89232.09     | 0.02%             | 2031-01-30      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Stellantis Finance US, Inc.                                      | Stellantis Finance US, Inc.                                                                | CUSIP: 85855CAB6<br>LEI: 549300QZ0AI8Q7LNON33 | Long             | DBT              | CORP              | US        |    200000 | PA      | $152600.47    | 0.03%             | 2031-09-15      | Fixed         | 2.69%                 | Yes           |                  2 | On Loan: No      |
| Oklahoma Gas and Electric Co.                                    | Oklahoma Gas and Electric Co.                                                              | CUSIP: 678858BW0<br>LEI: 549300VJ8YXGPO8EV472 | Long             | DBT              | CORP              | US        |    165000 | PA      | $162061.47    | 0.03%             | 2023-05-26      | Fixed         | 0.55%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC                                                                                      | CUSIP: 31337NHS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6719 | PA      | $6581.93      | 0.00%             | 2027-01-01      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA, Series 2008-2, Class MS                                                              | CUSIP: 38374DPT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26473 | PA      | $892.99       | 0.00%             | 2038-01-16      | Floating      | 2.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2006-110                                                               | CUSIP: 31396LVP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13155 | PA      | $10842.93     | 0.00%             | 2036-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                     | Pacific Gas and Electric Co.                                                               | CUSIP: 694308HA8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     33000 | PA      | $22123.22     | 0.00%             | 2042-08-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Verizon Communications, Inc.                                     | Verizon Communications, Inc.                                                               | CUSIP: 92343VFX7<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     75000 | PA      | $58460.31     | 0.01%             | 2030-10-30      | Fixed         | 1.68%                 | No            |                  2 | On Loan: No      |
| vMobo, Inc.                                                      | vMobo, Inc.                                                                                | CUSIP: 91834VAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $940000.00    | 0.20%             | 2027-07-18      | Fixed         | 7.46%                 | No            |                  3 | On Loan: No      |
| Renew                                                            | Renew, Series 2017-1A, Class A                                                             | CUSIP: 75973LAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |     33780 | PA      | $30542.97     | 0.01%             | 2052-09-20      | Fixed         | 3.67%                 | Yes           |                  3 | On Loan: No      |
| FHLMC                                                            | FHLMC Gold Pools, Other                                                                    | CUSIP: 3132H4CL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     82938 | PA      | $79541.14     | 0.02%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 1998-46, Class GZ                                                      | CUSIP: 31359ULQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5519 | PA      | $5604.78      | 0.00%             | 2028-08-18      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Duke Energy Indiana LLC                                          | Duke Energy Indiana LLC                                                                    | CUSIP: 26443TAA4<br>LEI: 6URPHM2EAWGJ2C6ISB97 | Long             | DBT              | CORP              | US        |     60000 | PA      | $46127.57     | 0.01%             | 2046-05-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                     | Pacific Gas and Electric Co.                                                               | CUSIP: 694308HL4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     55000 | PA      | $38994.34     | 0.01%             | 2045-03-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| American Tower Corp.                                             | American Tower Corp.                                                                       | CUSIP: 03027XBG4<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    275000 | PA      | $212216.03    | 0.05%             | 2030-10-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA UMBS, 30 Year                                                                         | CUSIP: 31415PZX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       578 | PA      | $597.44       | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA, Series 2010-130, Class CP                                                            | CUSIP: 38377LK72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28628 | PA      | $30434.12     | 0.01%             | 2040-10-16      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Dell International LLC                                           | Dell International LLC                                                                     | CUSIP: 24703TAD8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    522000 | PA      | $532521.35    | 0.11%             | 2026-06-15      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Bonds                                                                        | CUSIP: 912810SJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1095000 | PA      | $769750.78    | 0.16%             | 2049-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| ONE Gas, Inc.                                                    | ONE Gas, Inc.                                                                              | CUSIP: 68235PAH1<br>LEI: 549300HXDWI0LATTX840 | Long             | DBT              | CORP              | US        |    200000 | PA      | $162616.29    | 0.03%             | 2030-05-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| American Tower Corp.                                             | American Tower Corp.                                                                       | CUSIP: 03027XBC3<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    150000 | PA      | $118731.96    | 0.03%             | 2030-06-15      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                    | Comcast Corp.                                                                              | CUSIP: 20030NDU2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    291000 | PA      | $179961.77    | 0.04%             | 2056-11-01      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2003-132, Class OA                                                     | CUSIP: 31393UVB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1229 | PA      | $1131.80      | 0.00%             | 2033-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Notes                                                                        | CUSIP: 912828G38<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    112000 | PA      | $107568.13    | 0.02%             | 2024-11-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| NGPL PipeCo LLC                                                  | NGPL PipeCo LLC                                                                            | CUSIP: 62928CAA0<br>LEI: 549300K3NT1HSQFEM073 | Long             | DBT              | CORP              | US        |    215000 | PA      | $174881.65    | 0.04%             | 2031-07-15      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2004-35, Class AZ                                                      | CUSIP: 31393XV87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53759 | PA      | $52813.53     | 0.01%             | 2034-05-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Bonds                                                                        | CUSIP: 912810RK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2000000 | PA      | $1505703.12   | 0.32%             | 2045-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Bonds                                                                        | CUSIP: 912810TF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2510000 | PA      | $1916424.21   | 0.41%             | 2042-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Mitsubishi UFJ Financial Group, Inc.                             | Mitsubishi UFJ Financial Group, Inc.                                                       | CUSIP: 606822BK9<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    515000 | PA      | $418357.83    | 0.09%             | 2039-07-18      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                  | Goldman Sachs Group, Inc. (The)                                                            | CUSIP: 38141GXA7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    215000 | PA      | $185766.29    | 0.04%             | 2039-04-23      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| BP Capital Markets America, Inc.                                 | BP Capital Markets America, Inc.                                                           | CUSIP: 10373QBP4<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |    205000 | PA      | $134972.54    | 0.03%             | 2051-06-04      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| VOLT XCIII LLC                                                   | VOLT XCIII LLC, Series 2021-NPL2, Class A1                                                 | CUSIP: 92873CAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1233322 | PA      | $1109512.24   | 0.24%             | 2051-02-27      | Variable      | 1.89%                 | Yes           |                  2 | On Loan: No      |
| Enterprise Products Operating LLC                                | Enterprise Products Operating LLC                                                          | CUSIP: 29379VAY9<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |     87000 | PA      | $73260.26     | 0.02%             | 2043-02-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 2038, Class PN                                                        | CUSIP: 3133TDA22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1358 | PA      | $145.32       | 0.00%             | 2028-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, Other                                                                                | CUSIP: 3140J2VV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1300000 | PA      | $1041306.21   | 0.22%             | 2031-01-01      | Fixed         | 1.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, Other                                                                                | CUSIP: 3140LGR53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1386000 | PA      | $1287149.79   | 0.27%             | 2032-06-01      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                  | Citigroup, Inc.                                                                            | CUSIP: 172967JT9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     78000 | PA      | $76557.34     | 0.02%             | 2025-06-10      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2004-91, Class HC                                                      | CUSIP: 31394BZB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    458886 | PA      | $461822.57    | 0.10%             | 2034-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                            | FMC GMSR Issuer Trust, Series 2021-GT1, Class A                                            | CUSIP: 30259RAH8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $812152.40    | 0.17%             | 2026-07-25      | Variable      | 3.62%                 | Yes           |                  2 | On Loan: No      |
| NXP BV                                                           | NXP BV                                                                                     | CUSIP: 62954HAU2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    370000 | PA      | $256063.13    | 0.05%             | 2041-05-11      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fn 3.895                                                         | Fn 3.895                                                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   1200000 | PA      | $1176562.50   | 0.25%             | 2031-09-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 3451, Class SA                                                        | CUSIP: 31397TP89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2784 | PA      | $123.94       | 0.00%             | 2038-05-15      | Floating      | 1.73%                 | No            |                  2 | On Loan: No      |
| Martin Marietta Materials, Inc.                                  | Martin Marietta Materials, Inc.                                                            | CUSIP: 573284AQ9<br>LEI: 5299005MZ4WZECVATV08 | Long             | DBT              | CORP              | US        |     52000 | PA      | $48263.69     | 0.01%             | 2027-06-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Bonds                                                                        | CUSIP: 912810SP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    140000 | PA      | $77792.97     | 0.02%             | 2050-08-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Trust                                  | CoreVest American Finance Trust, Series 2020-3, Class B                                    | CUSIP: 21873CAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    810000 | PA      | $614401.12    | 0.13%             | 2053-08-15      | Fixed         | 2.20%                 | Yes           |                  2 | On Loan: No      |
| Healthpeak Properties, Inc.                                      | Healthpeak Properties, Inc.                                                                | CUSIP: 42250PAA1<br>LEI: PZ9HF5U52KPF0MH0QN75 | Long             | DBT              | CORP              | US        |     90000 | PA      | $77399.25     | 0.02%             | 2030-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Duke Energy Progress LLC                                         | Duke Energy Progress LLC                                                                   | CUSIP: 26442UAC8<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |     54000 | PA      | $40875.10     | 0.01%             | 2046-10-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                     | Avolon Holdings Funding Ltd.                                                               | CUSIP: 05401AAR2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   1301000 | PA      | $1039882.29   | 0.22%             | 2027-11-18      | Fixed         | 2.53%                 | Yes           |                  2 | On Loan: No      |
| Masco Corp.                                                      | Masco Corp.                                                                                | CUSIP: 574599AY2<br>LEI: 5GCSNMQXHEYA1JO8QN11 | Long             | DBT              | CORP              | US        |     80000 | PA      | $81893.50     | 0.02%             | 2032-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 1993-225, Class UB                                                     | CUSIP: 31359GDE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2491 | PA      | $2495.22      | 0.00%             | 2023-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| American Homes 4 Rent Trust                                      | American Homes 4 Rent Trust, Series 2014-SFR3, Class E                                     | CUSIP: 02665XAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    200000 | PA      | $197326.98    | 0.04%             | 2036-12-17      | Fixed         | 6.42%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Bonds                                                                        | CUSIP: 912810SU3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3513900 | PA      | $2233248.18   | 0.47%             | 2051-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| SBALR Commercial Mortgage Trust                                  | SBALR Commercial Mortgage Trust, Series 2020-RR1, Class A3                                 | CUSIP: 78397EAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    970402 | PA      | $820397.77    | 0.17%             | 2053-02-13      | Fixed         | 2.83%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, Other                                                                                | CUSIP: 3138L8K52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $950303.30    | 0.20%             | 2027-02-01      | Fixed         | 3.34%                 | No            |                  2 | On Loan: No      |
| Hanover Insurance Group, Inc. (The)                              | Hanover Insurance Group, Inc. (The)                                                        | CUSIP: 410867AG0<br>LEI: JJYR6MFKFF6CF8DBZ078 | Long             | DBT              | CORP              | US        |    120000 | PA      | $92185.56     | 0.02%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Bonds                                                                        | CUSIP: 912810TB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5100000 | PA      | $3230132.84   | 0.69%             | 2051-11-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| DataBank Issuer                                                  | DataBank Issuer, Series 2021-1A, Class A2                                                  | CUSIP: 23802WAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    650000 | PA      | $562997.24    | 0.12%             | 2051-02-27      | Fixed         | 2.06%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2007-7, Class SG                                                       | CUSIP: 31396PRZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42337 | PA      | $5591.50      | 0.00%             | 2036-08-25      | Floating      | 2.11%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury STRIPS Bonds                                                                 | CUSIP: 912833X88<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    250000 | PA      | $149916.27    | 0.03%             | 2035-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                               | United Airlines Pass-Through Trust, Series 2013-1, Class A                                 | CUSIP: 909319AA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    120622 | PA      | $112203.52    | 0.02%             | 2025-08-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                        | Commercial Mortgage Trust, Series 2015-CR25, Class A4                                      | CUSIP: 12593PAW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    156000 | PA      | $149018.45    | 0.03%             | 2048-08-10      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| JB Hunt Transport Services, Inc.                                 | JB Hunt Transport Services, Inc.                                                           | CUSIP: 445658CD7<br>LEI: 549300XCD1MPI1C5GK90 | Long             | DBT              | CORP              | US        |     70000 | PA      | $68796.95     | 0.01%             | 2024-03-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| American Water Capital Corp.                                     | American Water Capital Corp.                                                               | CUSIP: 03040WAU9<br>LEI: 5IDHQUFVC8Q2KIBBFF06 | Long             | DBT              | CORP              | US        |     35000 | PA      | $31958.47     | 0.01%             | 2029-06-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| MyMichigan Health                                                | MyMichigan Health, Series 2020                                                             | CUSIP: 597861AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     80000 | PA      | $54974.72     | 0.01%             | 2050-06-01      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2005-4, Class CB7 | CUSIP: 9393366B4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     75432 | PA      | $67798.04     | 0.01%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Elevance Health, Inc.                                            | Elevance Health, Inc.                                                                      | CUSIP: 94973VBK2<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |     65000 | PA      | $58034.74     | 0.01%             | 2044-08-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| MetLife, Inc.                                                    | MetLife, Inc.                                                                              | CUSIP: 59156RBD9<br>LEI: C4BXATY60WC6XEOZDX54 | Long             | DBT              | CORP              | US        |     28000 | PA      | $23707.31     | 0.01%             | 2042-08-13      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| McCormick & Co., Inc.                                            | McCormick & Co., Inc.                                                                      | CUSIP: 579780AQ0<br>LEI: 549300JQQA6MQ4OJP259 | Long             | DBT              | CORP              | US        |    342000 | PA      | $285222.73    | 0.06%             | 2030-04-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Bonds                                                                        | CUSIP: 912810RC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    350000 | PA      | $321753.91    | 0.07%             | 2043-08-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Corebridge Financial, Inc.                                       | Corebridge Financial, Inc.                                                                 | CUSIP: 21871XAE9<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |    130000 | PA      | $118404.99    | 0.03%             | 2029-04-05      | Fixed         | 3.85%                 | Yes           |                  2 | On Loan: No      |
| Boeing Co. (The)                                                 | Boeing Co. (The)                                                                           | CUSIP: 097023CY9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    190000 | PA      | $185371.46    | 0.04%             | 2030-05-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                    | WaMu Mortgage Pass-Through Certificates Trust, Series 2004-AR3, Class A2                   | CUSIP: 92922FNJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4424 | PA      | $4055.53      | 0.00%             | 2034-06-25      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| Parker-Hannifin Corp.                                            | Parker-Hannifin Corp.                                                                      | CUSIP: 70109HAN5<br>LEI: 5493002CONDB4N2HKI23 | Long             | DBT              | CORP              | US        |     30000 | PA      | $25688.72     | 0.01%             | 2044-11-21      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Notes                                                                        | CUSIP: 91282CFJ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2895000 | PA      | $2748327.55   | 0.58%             | 2029-08-31      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Safehold Operating Partnership LP                                | Safehold Operating Partnership LP                                                          | CUSIP: 78646UAB5<br>LEI: 54930012UY5Z4Q8NL108 | Long             | DBT              | CORP              | US        |    400000 | PA      | $303577.85    | 0.06%             | 2032-01-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| CommonSpirit Health                                              | CommonSpirit Health                                                                        | CUSIP: 20268JAG8<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |    140000 | PA      | $103612.17    | 0.02%             | 2050-10-01      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| WEC Energy Group, Inc.                                           | WEC Energy Group, Inc.                                                                     | CUSIP: 976657AL0<br>LEI: 549300IGLYTZUK3PVP70 | Long             | DBT              | CORP              | US        |     11000 | PA      | $10541.77     | 0.00%             | 2025-06-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                     | Avolon Holdings Funding Ltd.                                                               | CUSIP: 05401AAK7<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    395000 | PA      | $375527.59    | 0.08%             | 2026-01-15      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Global Markets Mortgage Securities VII, Inc.           | Citigroup Global Markets Mortgage Securities VII, Inc., Series 2003-UP2, Class PO1         | CUSIP: 79549AXS3<br>LEI: 549300VB2N1G56GWKB41 | Long             | ABS-MBS          | CORP              | US        |        47 | PA      | $40.84        | 0.00%             | 2033-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 2054, Class PV                                                        | CUSIP: 3133TE4B7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3985 | PA      | $4117.53      | 0.00%             | 2028-05-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                            | Vendee Mortgage Trust, Series 1996-2, Class 1Z                                             | CUSIP: 911760HH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10181 | PA      | $10362.82     | 0.00%             | 2026-06-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2003-116, Class SB                                                     | CUSIP: 31393T4W3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33434 | PA      | $2706.61      | 0.00%             | 2033-11-25      | Floating      | 3.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 1993-230, Class FA                                                     | CUSIP: 31359FE38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        91 | PA      | $91.07        | 0.00%             | 2023-12-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Texas Health Resources                                           | Texas Health Resources                                                                     | CUSIP: 882484AC2<br>LEI: 54930008C10TUBW7Z611 | Long             | DBT              | CORP              | US        |    140000 | PA      | $79953.10     | 0.02%             | 2050-11-15      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| Pendoor Proper                                                   | Pendoor Proper                                                                             | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $952500.00    | 0.20%             | 2026-02-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| 7-Eleven, Inc.                                                   | 7-Eleven, Inc.                                                                             | CUSIP: 817826AF7<br>LEI: 549300K23JPL0SS3LB18 | Long             | DBT              | CORP              | US        |    139000 | PA      | $91721.64     | 0.02%             | 2041-02-10      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| American Homes 4 Rent Trust                                      | American Homes 4 Rent Trust, Series 2014-SFR2, Class A                                     | CUSIP: 02665UAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    385249 | PA      | $371712.24    | 0.08%             | 2036-10-17      | Fixed         | 3.79%                 | Yes           |                  2 | On Loan: No      |
| Constellation Brands, Inc.                                       | Constellation Brands, Inc.                                                                 | CUSIP: 21036PBF4<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |    420000 | PA      | $357529.22    | 0.08%             | 2030-05-01      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Bonds                                                                        | CUSIP: 912810TG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2225000 | PA      | $1782781.25   | 0.38%             | 2052-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| PRET LLC                                                         | PRET LLC, Series 2021-RN4, Class A1                                                        | CUSIP: 69359QAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1399184 | PA      | $1223449.38   | 0.26%             | 2051-10-25      | Variable      | 2.49%                 | Yes           |                  2 | On Loan: No      |
| BP Capital Markets America, Inc.                                 | BP Capital Markets America, Inc.                                                           | CUSIP: 10373QBN9<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |    130000 | PA      | $82994.23     | 0.02%             | 2050-11-10      | Fixed         | 2.77%                 | No            |                  2 | On Loan: No      |
| Norfolk Southern Corp.                                           | Norfolk Southern Corp.                                                                     | CUSIP: 655844BM9<br>LEI: 54930036C8MWP850MI84 | Long             | DBT              | CORP              | US        |     70000 | PA      | $57485.17     | 0.01%             | 2042-10-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Mizuho Financial Group, Inc.                                     | Mizuho Financial Group, Inc.                                                               | CUSIP: 60687YCL1<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |    380000 | PA      | $380069.46    | 0.08%             | 2028-09-13      | Variable      | 5.41%                 | No            |                  2 | On Loan: No      |
| Marathon Petroleum Corp.                                         | Marathon Petroleum Corp.                                                                   | CUSIP: 56585ABH4<br>LEI: 3BNYRYQHD39K4LCKQF12 | Long             | DBT              | CORP              | US        |    156000 | PA      | $153614.70    | 0.03%             | 2025-05-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2001-44, Class PD                                                      | CUSIP: 3139204E7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1460 | PA      | $1528.88      | 0.00%             | 2031-09-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2001-30, Class PM                                                      | CUSIP: 313920BG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10722 | PA      | $11064.66     | 0.00%             | 2031-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group plc                                         | Lloyds Banking Group plc                                                                   | CUSIP: 539439AM1<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $193659.48    | 0.04%             | 2025-12-10      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| AEP Transmission Co. LLC                                         | AEP Transmission Co. LLC                                                                   | CUSIP: 00115AAL3<br>LEI: 549300X123Z1I0LA3Y84 | Long             | DBT              | CORP              | US        |     35000 | PA      | $24215.53     | 0.01%             | 2049-09-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA, Series 2013-69, Class MA                                                             | CUSIP: 38378TPZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    191133 | PA      | $169878.01    | 0.04%             | 2042-08-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC - GNMA, Series 8, Class ZA                                                           | CUSIP: 3129145M2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        35 | PA      | $35.08        | 0.00%             | 2023-03-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA II, 30 Year                                                                           | CUSIP: 3617LCEY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    430495 | PA      | $428190.77    | 0.09%             | 2049-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Park Aerospace Holdings Ltd.                                     | Park Aerospace Holdings Ltd.                                                               | CUSIP: 70014LAB6<br>LEI: 635400CPI3EOIFF6OC33 | Long             | DBT              | CORP              | KY        |     23000 | PA      | $22700.07     | 0.00%             | 2024-02-15      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Bonds                                                                        | CUSIP: 912810SK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1365000 | PA      | $986532.43    | 0.21%             | 2049-11-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC Gold Pools, 30 Year                                                                  | CUSIP: 31283HCS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       540 | PA      | $554.50       | 0.00%             | 2028-07-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| American Tower Corp.                                             | American Tower Corp.                                                                       | CUSIP: 03027XAK6<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |     44000 | PA      | $41138.22     | 0.01%             | 2026-10-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes Trust                                             | FirstKey Homes Trust, Series 2020-SFR2, Class E                                            | CUSIP: 33767JAJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    850000 | PA      | $749088.17    | 0.16%             | 2037-10-19      | Fixed         | 2.67%                 | Yes           |                  2 | On Loan: No      |
| Memorial Health Services                                         | Memorial Health Services                                                                   | CUSIP: 58601VAC6<br>LEI: 549300FTIZOMIONZZ882 | Long             | DBT              | CORP              | US        |    245000 | PA      | $177733.40    | 0.04%             | 2049-11-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Roper Technologies, Inc.                                         | Roper Technologies, Inc.                                                                   | CUSIP: 776743AJ5<br>LEI: 54930003T4SXCIWVXY35 | Long             | DBT              | CORP              | US        |    160000 | PA      | $128223.30    | 0.03%             | 2030-06-30      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Pacific Life Insurance Co.                                       | Pacific Life Insurance Co.                                                                 | CUSIP: 69448FAA9<br>LEI: 8WC3XYHE06SQFW7CQK10 | Long             | DBT              | CORP              | US        |    134000 | PA      | $102089.73    | 0.02%             | 2067-10-24      | Variable      | 4.30%                 | Yes           |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                              | Exeter Automobile Receivables Trust, Series 2022-6A, Class D                               | CUSIP: 30168AAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1032000 | PA      | $1038573.74   | 0.22%             | 2029-04-06      | Fixed         | 8.03%                 | No            |                  2 | On Loan: No      |
| Celanese US Holdings LLC                                         | Celanese US Holdings LLC                                                                   | CUSIP: 15089QAL8<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |    151000 | PA      | $150412.51    | 0.03%             | 2025-03-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| Texas Eastern Transmission LP                                    | Texas Eastern Transmission LP                                                              | CUSIP: 882384AD2<br>LEI: 549300SIOULUXXIDGA69 | Long             | DBT              | CORP              | US        |     15000 | PA      | $13634.96     | 0.00%             | 2028-01-15      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2003-128, Class DY                                                     | CUSIP: 31393UXJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21290 | PA      | $21134.85     | 0.00%             | 2024-01-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                        | Commercial Mortgage Trust, Series 2020-CBM, Class A2                                       | CUSIP: 20049AAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    750000 | PA      | $691140.08    | 0.15%             | 2037-02-10      | Fixed         | 2.90%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Notes                                                                        | CUSIP: 91282CBQ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4645000 | PA      | $4138949.04   | 0.88%             | 2026-02-28      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, Other                                                                                | CUSIP: 31418AHB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    120365 | PA      | $115327.66    | 0.02%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BP Capital Markets plc                                           | BP Capital Markets plc                                                                     | CUSIP: 05565QDN5<br>LEI: 549300CRVT18MXX0AG93 | Long             | DBT              | CORP              | GB        |    140000 | PA      | $131636.96    | 0.03%             | 2027-09-19      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| Analog Devices, Inc.                                             | Analog Devices, Inc.                                                                       | CUSIP: 032654AW5<br>LEI: GYVOE5EZ4GDAVTU4CQ61 | Long             | DBT              | CORP              | US        |    227000 | PA      | $166136.10    | 0.04%             | 2041-10-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 2423, Class MT                                                        | CUSIP: 31339WCD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18450 | PA      | $19457.91     | 0.00%             | 2032-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA II, 30 Year                                                                           | CUSIP: 36202CTT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       640 | PA      | $649.34       | 0.00%             | 2027-01-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA, Series 2001-10, Class PE                                                             | CUSIP: 383739LD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    178108 | PA      | $177781.61    | 0.04%             | 2031-03-16      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2008-46, Class HI                                                      | CUSIP: 31397LRU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14492 | PA      | $722.90       | 0.00%             | 2038-06-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| SART                                                             | SART                                                                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |    102551 | PA      | $99986.92     | 0.02%             | 2024-07-15      | Fixed         | 4.75%                 | No            |                  3 | On Loan: No      |
| GNMA                                                             | GNMA, Series 2004-28, Class S                                                              | CUSIP: 38374GDC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8400 | PA      | $8779.81      | 0.00%             | 2034-04-16      | Floating      | 7.77%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Bonds                                                                        | CUSIP: 912810RJ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    663000 | PA      | $547182.19    | 0.12%             | 2044-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC Gold Pools, Other                                                                    | CUSIP: 3132G7JJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    211145 | PA      | $199568.94    | 0.04%             | 2033-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Southern Natural Gas Co. LLC                                     | Southern Natural Gas Co. LLC                                                               | CUSIP: 84346LAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     26000 | PA      | $21093.62     | 0.00%             | 2047-03-15      | Fixed         | 4.80%                 | Yes           |                  2 | On Loan: No      |
| New York State Dormitory Authority                               | New York State Dormitory Authority, State Personal Income Tax, General Purpose             | CUSIP: 649902T37<br>LEI: 549300C8XO7EXTX2XU71 | Long             | DBT              | MUN               | US        |     30000 | PA      | $31040.76     | 0.01%             | 2040-03-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Southern Co. Gas Capital Corp.                                   | Southern Co. Gas Capital Corp.                                                             | CUSIP: 001192AM5<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |     17000 | PA      | $15824.82     | 0.00%             | 2026-06-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                                   | Southern California Edison Co.                                                             | CUSIP: 842400FV0<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    100000 | PA      | $79548.30     | 0.02%             | 2042-03-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| PECO Energy Co.                                                  | PECO Energy Co.                                                                            | CUSIP: 693304AY3<br>LEI: YH65D4JBECK76IFEJ279 | Long             | DBT              | CORP              | US        |    100000 | PA      | $65414.79     | 0.01%             | 2050-06-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| JPMorgan Mortgage Trust                                          | JPMorgan Mortgage Trust, Series 2006-A2, Class 5A3                                         | CUSIP: 466247K93<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7416 | PA      | $7054.18      | 0.00%             | 2033-11-25      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| L3Harris Technologies, Inc.                                      | L3Harris Technologies, Inc.                                                                | CUSIP: 502431AN9<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |    220000 | PA      | $168836.94    | 0.04%             | 2031-01-15      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                     | Avolon Holdings Funding Ltd.                                                               | CUSIP: 05401AAH4<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    275000 | PA      | $254035.51    | 0.05%             | 2025-02-15      | Fixed         | 2.88%                 | Yes           |                  2 | On Loan: No      |
| AT&T, Inc.                                                       | AT&T, Inc.                                                                                 | CUSIP: 00206RJZ6<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    154000 | PA      | $114843.06    | 0.02%             | 2041-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Southern California Gas Co.                                      | Southern California Gas Co., Series XX                                                     | CUSIP: 842434CU4<br>LEI: XY0N0J73VHV5F4CUJV89 | Long             | DBT              | CORP              | US        |    195000 | PA      | $165942.34    | 0.04%             | 2030-02-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Alimentation Couche-Tard, Inc.                                   | Alimentation Couche-Tard, Inc.                                                             | CUSIP: 01626PAP1<br>LEI: 549300OSW32RVX8CCZ87 | Long             | DBT              | CORP              | CA        |    250000 | PA      | $177956.02    | 0.04%             | 2041-05-13      | Fixed         | 3.44%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 1584, Class L                                                         | CUSIP: 3133T1CA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3113 | PA      | $3119.37      | 0.00%             | 2023-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| NatWest Group plc                                                | NatWest Group plc                                                                          | CUSIP: 780097BG5<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $189232.39    | 0.04%             | 2029-05-18      | Variable      | 4.89%                 | No            |                  2 | On Loan: No      |
| Pennsylvania Electric Co.                                        | Pennsylvania Electric Co.                                                                  | CUSIP: 708696BY4<br>LEI: O1PLQWO3TX952VMBJ146 | Long             | DBT              | CORP              | US        |     19000 | PA      | $17066.62     | 0.00%             | 2028-03-15      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| Hackensack Meridian Health, Inc.                                 | Hackensack Meridian Health, Inc., Series 2020                                              | CUSIP: 404530AC1<br>LEI: 5493001CB3OCWTEJY668 | Long             | DBT              | CORP              | US        |    390000 | PA      | $271195.74    | 0.06%             | 2041-09-01      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| American Homes 4 Rent Trust                                      | American Homes 4 Rent Trust, Series 2015-SFR1, Class E                                     | CUSIP: 02666AAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $97190.35     | 0.02%             | 2052-04-17      | Fixed         | 5.64%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2013-128                                                               | CUSIP: 3136AHNE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77627 | PA      | $58831.88     | 0.01%             | 2043-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Penske Truck Leasing Co. LP                                      | Penske Truck Leasing Co. LP                                                                | CUSIP: 709599AW4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     25000 | PA      | $22932.40     | 0.00%             | 2026-11-15      | Fixed         | 3.40%                 | Yes           |                  2 | On Loan: No      |
| Air Lease Corp.                                                  | Air Lease Corp.                                                                            | CUSIP: 00914AAJ1<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    160000 | PA      | $148040.89    | 0.03%             | 2026-01-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| BAT Capital Corp.                                                | BAT Capital Corp.                                                                          | CUSIP: 05526DBD6<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    250000 | PA      | $194375.38    | 0.04%             | 2037-08-15      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| Burlington Northern Santa Fe LLC                                 | Burlington Northern Santa Fe LLC                                                           | CUSIP: 12189LAE1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    126000 | PA      | $126970.15    | 0.03%             | 2041-06-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series G93-17, Class SI                                                       | CUSIP: 31358UWA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        27 | PA      | $26.63        | 0.00%             | 2023-04-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, Other                                                                                | CUSIP: 3140LHBH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1105031 | PA      | $1047230.34   | 0.22%             | 2032-09-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                                   | Carvana Auto Receivables Trust, Series 2020-N1A, Class D                                   | CUSIP: 14687PAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $976500.20    | 0.21%             | 2026-01-15      | Fixed         | 3.43%                 | Yes           |                  2 | On Loan: No      |
| Time Warner Cable LLC                                            | Time Warner Cable LLC                                                                      | CUSIP: 88732JAJ7<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |     50000 | PA      | $47603.05     | 0.01%             | 2037-05-01      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140KEEM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1502838 | PA      | $1280325.89   | 0.27%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes Trust                                             | FirstKey Homes Trust, Series 2020-SFR1, Class E                                            | CUSIP: 33767MAJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $446379.05    | 0.09%             | 2037-08-17      | Fixed         | 2.79%                 | Yes           |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                  | CHL Mortgage Pass-Through Trust, Series 2004-HYB3, Class 2A                                | CUSIP: 12669FYY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9383 | PA      | $8667.00      | 0.00%             | 2034-06-20      | Variable      | 2.71%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 3423, Class PB                                                        | CUSIP: 31397RVN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    116127 | PA      | $118495.34    | 0.03%             | 2038-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140JNRV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78861 | PA      | $78737.54     | 0.02%             | 2049-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | Morgan Stanley                                                                             | CUSIP: 6174468G7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    159000 | PA      | $147981.88    | 0.03%             | 2030-01-23      | Variable      | 4.43%                 | No            |                  2 | On Loan: No      |
| Brookfield Finance, Inc.                                         | Brookfield Finance, Inc.                                                                   | CUSIP: 11271LAD4<br>LEI: 549300XH8D8K6OYWGD17 | Long             | DBT              | CORP              | CA        |     54000 | PA      | $51504.32     | 0.01%             | 2029-03-29      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Deutsche Telekom International Finance BV                        | Deutsche Telekom International Finance BV                                                  | CUSIP: 25156PAR4<br>LEI: 529900ERDFHS6C1M4U58 | Long             | DBT              | CORP              | NL        |    150000 | PA      | $133958.16    | 0.03%             | 2042-03-06      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| Sabine Pass Liquefaction LLC                                     | Sabine Pass Liquefaction LLC                                                               | CUSIP: 785592AM8<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |    235000 | PA      | $235331.92    | 0.05%             | 2025-03-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| American Homes 4 Rent Trust                                      | American Homes 4 Rent Trust, Series 2015-SFR1, Class D                                     | CUSIP: 02666AAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    380000 | PA      | $362589.65    | 0.08%             | 2052-04-17      | Fixed         | 4.41%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 2075, Class PH                                                        | CUSIP: 3133TGCG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4698 | PA      | $4808.94      | 0.00%             | 2028-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Hartford Financial Services Group, Inc. (The)                    | Hartford Financial Services Group, Inc. (The)                                              | CUSIP: 416515BB9<br>LEI: IU7C3FTM7Y3BQM112U94 | Long             | DBT              | CORP              | US        |     70000 | PA      | $55970.92     | 0.01%             | 2043-04-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| CNA Financial Corp.                                              | CNA Financial Corp.                                                                        | CUSIP: 126117AS9<br>LEI: 549300YX2GSZD7YG1R84 | Long             | DBT              | CORP              | US        |     44000 | PA      | $43225.85     | 0.01%             | 2024-05-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Essex Portfolio LP                                               | Essex Portfolio LP                                                                         | CUSIP: 29717PAW7<br>LEI: 5493003GN3O58H286O74 | Long             | DBT              | CORP              | US        |    200000 | PA      | $149221.04    | 0.03%             | 2031-01-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Enterprise Products Operating LLC                                | Enterprise Products Operating LLC                                                          | CUSIP: 29379VBF9<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |      6000 | PA      | $4993.67      | 0.00%             | 2054-10-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                    | Comcast Corp.                                                                              | CUSIP: 20030NCE9<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     52000 | PA      | $41033.10     | 0.01%             | 2049-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                    | Comcast Corp.                                                                              | CUSIP: 20030NDH1<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    160000 | PA      | $131955.97    | 0.03%             | 2040-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                    | Comcast Corp.                                                                              | CUSIP: 20030NDS7<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    186000 | PA      | $119457.56    | 0.03%             | 2051-11-01      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                                       | AMSR Trust, Series 2021-SFR1, Class D                                                      | CUSIP: 00179DAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    950000 | PA      | $738114.47    | 0.16%             | 2038-06-17      | Variable      | 2.60%                 | Yes           |                  2 | On Loan: No      |
| UBS Group AG                                                     | UBS Group AG                                                                               | CUSIP: 90351DAB3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    400000 | PA      | $388929.87    | 0.08%             | 2025-09-24      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury STRIPS Bonds                                                                 | CUSIP: 912833LU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     50000 | PA      | $45600.48     | 0.01%             | 2025-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| NRG Energy, Inc.                                                 | NRG Energy, Inc.                                                                           | CUSIP: 629377CL4<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    110000 | PA      | $97278.31     | 0.02%             | 2029-06-15      | Fixed         | 4.45%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                             | GNMA, Series 2015-137, Class WA                                                            | CUSIP: 38379QAH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    158550 | PA      | $163396.20    | 0.03%             | 2038-01-20      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                       | FHLMC UMBS, 30 Year                                                                        | CUSIP: 3133A7RS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1514597 | PA      | $1290874.47   | 0.27%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA, Series 2015-H16, Class FG                                                            | CUSIP: 38376RDY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    410016 | PA      | $405260.33    | 0.09%             | 2065-07-20      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group, Inc.                                         | UnitedHealth Group, Inc.                                                                   | CUSIP: 91324PCQ3<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     34000 | PA      | $32962.47     | 0.01%             | 2035-07-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Notes                                                                        | CUSIP: 9128284M9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    146000 | PA      | $141283.52    | 0.03%             | 2025-04-30      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Microsoft Corp.                                                  | Microsoft Corp.                                                                            | CUSIP: 594918CE2<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |     65000 | PA      | $45987.55     | 0.01%             | 2052-03-17      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2005-2, Class 2A3 | CUSIP: 9393363R2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     81872 | PA      | $3146.68      | 0.00%             | 2035-04-25      | Floating      | 0.61%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA ACES, Series 2014-M3, Class A2                                                        | CUSIP: 3136AJLC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    191129 | PA      | $187642.00    | 0.04%             | 2024-01-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Air Canada Pass-Through Trust                                    | Air Canada Pass-Through Trust, Series 2017-1, Class AA                                     | CUSIP: 00908PAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |    206752 | PA      | $176499.34    | 0.04%             | 2030-01-15      | Fixed         | 3.30%                 | Yes           |                  2 | On Loan: No      |
| Boeing Co. (The)                                                 | Boeing Co. (The)                                                                           | CUSIP: 097023CT0<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    125000 | PA      | $124042.88    | 0.03%             | 2025-05-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA, Series 2006-38, Class OH                                                             | CUSIP: 38374NPM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    500000 | PA      | $509506.25    | 0.11%             | 2036-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UDR, Inc.                                                        | UDR, Inc.                                                                                  | CUSIP: 90265EAR1<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              | CORP              | US        |     25000 | PA      | $20846.47     | 0.00%             | 2031-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 2455, Class GK                                                        | CUSIP: 31392K5C6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12958 | PA      | $13165.19     | 0.00%             | 2032-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 1997-46, Class PL                                                      | CUSIP: 31359PE36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3595 | PA      | $3598.49      | 0.00%             | 2027-07-18      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, Other                                                                                | CUSIP: 3138M1MA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    110669 | PA      | $106016.56    | 0.02%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Boston Gas Co.                                                   | Boston Gas Co.                                                                             | CUSIP: 100743AJ2<br>LEI: FN7P4E7K9JOBORDEUX61 | Long             | DBT              | CORP              | US        |     22000 | PA      | $18430.75     | 0.00%             | 2042-02-15      | Fixed         | 4.49%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 2949, Class GE                                                        | CUSIP: 31395R2E7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    129165 | PA      | $131120.55    | 0.03%             | 2035-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Loan Trust                           | Banc of America Alternative Loan Trust, Series 2004-6, Class 15PO                          | CUSIP: 05948KSR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1463 | PA      | $600.90       | 0.00%             | 2019-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Bonds                                                                        | CUSIP: 912810QA9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1037800 | PA      | $974761.76    | 0.21%             | 2039-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                    | Comcast Corp.                                                                              | CUSIP: 20030NBH3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    167000 | PA      | $157407.05    | 0.03%             | 2033-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                                     | UBS Group AG                                                                               | CUSIP: 902613AC2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    200000 | PA      | $175150.22    | 0.04%             | 2027-01-30      | Variable      | 1.36%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury STRIPS Bonds                                                                 | CUSIP: 912833RZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     50000 | PA      | $39762.49     | 0.01%             | 2028-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| PG&E Wildfire Recovery Funding LLC                               | PG&E Wildfire Recovery Funding LLC, Series A-4                                             | CUSIP: 693342AJ6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    110000 | PA      | $106183.40    | 0.02%             | 2047-12-01      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA UMBS, 15 Year                                                                         | CUSIP: 31414DFL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       261 | PA      | $259.90       | 0.00%             | 2023-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Prologis LP                                                      | Prologis LP                                                                                | CUSIP: 74340XBU4<br>LEI: GL16H1DHB0QSHP25F723 | Long             | DBT              | CORP              | US        |     18000 | PA      | $17079.36     | 0.00%             | 2026-06-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| TotalEnergies Capital International SA                           | TotalEnergies Capital International SA                                                     | CUSIP: 89153VAV1<br>LEI: 549300U37G2I8G4RUG09 | Long             | DBT              | CORP              | FR        |    260000 | PA      | $183616.17    | 0.04%             | 2050-05-29      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Trust                                  | CoreVest American Finance Trust, Series 2019-3, Class B                                    | CUSIP: 21872NAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    700000 | PA      | $592664.73    | 0.13%             | 2052-10-15      | Fixed         | 3.16%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                             | FNMA                                                                                       | CUSIP: 31406YB58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18106 | PA      | $17728.37     | 0.00%             | 2035-05-01      | Variable      | 3.15%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                            | Bank of America Corp., Series L                                                            | CUSIP: 06051GFP9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     92000 | PA      | $89535.14     | 0.02%             | 2025-04-21      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                               | Energy Transfer LP                                                                         | CUSIP: 29278NAE3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    235000 | PA      | $211840.24    | 0.05%             | 2048-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Bonds                                                                        | CUSIP: 912810QT8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    950000 | PA      | $820896.48    | 0.17%             | 2041-11-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Raytheon Technologies Corp.                                      | Raytheon Technologies Corp.                                                                | CUSIP: 913017CJ6<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |     80000 | PA      | $61744.72     | 0.01%             | 2046-11-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                               | T-Mobile USA, Inc.                                                                         | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    850000 | PA      | $769942.54    | 0.16%             | 2030-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| O'Reilly Automotive, Inc.                                        | O'Reilly Automotive, Inc.                                                                  | CUSIP: 67103HAE7<br>LEI: 549300K2RLMQL149Q332 | Long             | DBT              | CORP              | US        |     80000 | PA      | $76827.83     | 0.02%             | 2026-03-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2010-35, Class SB                                                      | CUSIP: 31398PKD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9220 | PA      | $657.03       | 0.00%             | 2040-04-25      | Floating      | 2.03%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury STRIPS Bonds                                                                 | CUSIP: 912833PB0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    250000 | PA      | $213247.81    | 0.05%             | 2026-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Broadcom, Inc.                                                   | Broadcom, Inc.                                                                             | CUSIP: 11135FBE0<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    592000 | PA      | $500014.96    | 0.11%             | 2028-02-15      | Fixed         | 1.95%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                             | GNMA, Series 2009-22, Class SA                                                             | CUSIP: 38374TRY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     42313 | PA      | $2103.30      | 0.00%             | 2039-04-20      | Floating      | 1.92%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA, Series 2007-76, Class SA                                                             | CUSIP: 38375LT67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28468 | PA      | $1203.72      | 0.00%             | 2037-11-20      | Floating      | 2.18%                 | No            |                  2 | On Loan: No      |
| Business Jet Securities LLC                                      | Business Jet Securities LLC, Series 2020-1A, Class A                                       | CUSIP: 12327FAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    487501 | PA      | $444034.54    | 0.09%             | 2035-11-15      | Fixed         | 2.98%                 | Yes           |                  3 | On Loan: No      |
| Boeing Co. (The)                                                 | Boeing Co. (The)                                                                           | CUSIP: 097023DG7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    200000 | PA      | $181712.53    | 0.04%             | 2026-02-04      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust                                   | Long Beach Mortgage Loan Trust, Series 2004-1, Class M1                                    | CUSIP: 542514EU4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     24818 | PA      | $23521.20     | 0.01%             | 2034-02-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC Trust, Whole Loan, Series 2003-W1, Class 1A1                                   | CUSIP: 31392GVX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    115565 | PA      | $110575.58    | 0.02%             | 2042-12-25      | Variable      | 4.84%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, Other                                                                                | CUSIP: 31378QDZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2626 | PA      | $2663.99      | 0.00%             | 2028-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC Gold Pools, 30 Year                                                                  | CUSIP: 3132WNHQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32807 | PA      | $32187.97     | 0.01%             | 2047-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| KLA Corp.                                                        | KLA Corp.                                                                                  | CUSIP: 482480AJ9<br>LEI: 549300H0BF5JCG96TJ81 | Long             | DBT              | CORP              | US        |    150000 | PA      | $108621.62    | 0.02%             | 2050-03-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| AstraZeneca plc                                                  | AstraZeneca plc                                                                            | CUSIP: 046353AD0<br>LEI: PY6ZZQWO2IZFZC3IOL08 | Long             | DBT              | CORP              | GB        |     50000 | PA      | $56363.34     | 0.01%             | 2037-09-15      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| Pepperdine University                                            | Pepperdine University, Series 2020                                                         | CUSIP: 71338QAC0<br>LEI: 549300G0RVHY0VSFWD76 | Long             | DBT              | CORP              | US        |    110000 | PA      | $68986.11     | 0.01%             | 2059-12-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Notes                                                                        | CUSIP: 9128283W8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     65000 | PA      | $61117.77     | 0.01%             | 2028-02-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 1997-39, Class PD                                                      | CUSIP: 31359PSF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2039 | PA      | $2092.81      | 0.00%             | 2027-05-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| TSMC Arizona Corp.                                               | TSMC Arizona Corp.                                                                         | CUSIP: 872898AJ0<br>LEI: 2549005GOBWLCSY63Q97 | Long             | DBT              | CORP              | US        |    200000 | PA      | $178500.00    | 0.04%             | 2052-04-22      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Global Payments, Inc.                                            | Global Payments, Inc.                                                                      | CUSIP: 37940XAH5<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |     92000 | PA      | $72548.29     | 0.02%             | 2031-11-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 1997-20, Class IB                                                      | CUSIP: 31359N4S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1771 | PA      | $15.37        | 0.00%             | 2027-03-25      | Floating      | 1.84%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA II, 30 Year                                                                           | CUSIP: 3617XVY72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    971333 | PA      | $926429.98    | 0.20%             | 2052-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                                      | Capital One Financial Corp.                                                                | CUSIP: 14040HBJ3<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |     40000 | PA      | $38653.42     | 0.01%             | 2025-10-29      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA II, 30 Year                                                                           | CUSIP: 3617LWTJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    353004 | PA      | $349508.77    | 0.07%             | 2050-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Equinor ASA                                                      | Equinor ASA                                                                                | CUSIP: 85771PAX0<br>LEI: OW6OFBNCKXC4US5C7523 | Long             | DBT              | NUSS              | NO        |     23000 | PA      | $22416.31     | 0.00%             | 2024-11-10      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140QM4X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    995712 | PA      | $846484.60    | 0.18%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MVW Owner Trust                                                  | MVW Owner Trust, Series 2019-1A, Class A                                                   | CUSIP: 55389PAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     65068 | PA      | $61306.61     | 0.01%             | 2036-11-20      | Fixed         | 2.89%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Notes                                                                        | CUSIP: 9128284R8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    318000 | PA      | $307428.98    | 0.07%             | 2025-05-31      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Hackensack Meridian Health, Inc.                                 | Hackensack Meridian Health, Inc., Series 2020                                              | CUSIP: 404530AD9<br>LEI: 5493001CB3OCWTEJY668 | Long             | DBT              | CORP              | US        |    230000 | PA      | $148673.26    | 0.03%             | 2050-09-01      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Bonds                                                                        | CUSIP: 912810SH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    160000 | PA      | $128743.75    | 0.03%             | 2049-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Constellation Energy Generation LLC                              | Constellation Energy Generation LLC                                                        | CUSIP: 30161MAG8<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |    100000 | PA      | $102000.55    | 0.02%             | 2039-10-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Public Storage                                                   | Public Storage                                                                             | CUSIP: 74460DAJ8<br>LEI: 549300LMZF40TKJ6DM64 | Long             | DBT              | CORP              | US        |    131000 | PA      | $105054.43    | 0.02%             | 2031-11-09      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA UMBS, 30 Year                                                                         | CUSIP: 31400KQ66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5821 | PA      | $5912.79      | 0.00%             | 2027-03-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury STRIPS Bonds                                                                 | CUSIP: 9128337W4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     50000 | PA      | $30638.64     | 0.01%             | 2034-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Jonah Energy Abs I LLC                                           | Jonah Energy Abs I LLC, Series 2022-1, Class A1                                            | CUSIP: 47987EAC1<br>LEI: 2549003KXV9PPFRCPA79 | Long             | ABS-O            | CORP              | US        |    519400 | PA      | $515211.45    | 0.11%             | 2037-12-10      | Fixed         | 7.20%                 | Yes           |                  3 | On Loan: No      |
| Continental Airlines Pass-Through Trust                          | Continental Airlines Pass-Through Trust, Series 2012-2, Class A                            | CUSIP: 210795QB9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     13800 | PA      | $13167.49     | 0.00%             | 2024-10-29      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC Gold Pools, 30 Year                                                                  | CUSIP: 3128K7DW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27000 | PA      | $28254.70     | 0.01%             | 2035-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| General Motors Financial Co., Inc.                               | General Motors Financial Co., Inc.                                                         | CUSIP: 37045XDD5<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    467000 | PA      | $411230.20    | 0.09%             | 2026-01-08      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Bank of Ireland Group plc                                        | Bank of Ireland Group plc                                                                  | CUSIP: 06279JAB5<br>LEI: 635400C8EK6DRI12LJ39 | Long             | DBT              | CORP              | IE        |    206000 | PA      | $173824.45    | 0.04%             | 2027-09-30      | Variable      | 2.03%                 | Yes           |                  2 | On Loan: No      |
| UDR, Inc.                                                        | UDR, Inc.                                                                                  | CUSIP: 90265EAQ3<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              | CORP              | US        |    150000 | PA      | $130137.07    | 0.03%             | 2030-01-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| National Retail Properties, Inc.                                 | National Retail Properties, Inc.                                                           | CUSIP: 637417AJ5<br>LEI: 5493008JKH5SOTI0JS97 | Long             | DBT              | CORP              | US        |     58000 | PA      | $54096.90     | 0.01%             | 2026-12-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Banco Nacional de Panama                                         | Banco Nacional de Panama                                                                   | CUSIP: 059626AC5<br>LEI: 529900H2Q7WMDKKIW109 | Long             | DBT              | CORP              | PA        |    300000 | PA      | $239493.75    | 0.05%             | 2030-08-11      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Ascension Health                                                 | Ascension Health, Series B                                                                 | CUSIP: 04352EAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    190000 | PA      | $162850.45    | 0.03%             | 2029-11-15      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                  | Citigroup, Inc.                                                                            | CUSIP: 172967LU3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     50000 | PA      | $41325.77     | 0.01%             | 2039-01-24      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| Fiserv, Inc.                                                     | Fiserv, Inc.                                                                               | CUSIP: 337738AV0<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |     65000 | PA      | $52734.08     | 0.01%             | 2049-07-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                           | Alternative Loan Trust, Series 2005-22T1, Class A2                                         | CUSIP: 12667GGP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    279803 | PA      | $19001.61     | 0.00%             | 2035-06-25      | Floating      | 0.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140XF6U0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1620707 | PA      | $1386116.26   | 0.29%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| American Tower Trust #1                                          | American Tower Trust #1                                                                    | CUSIP: 03027WAK8<br>LEI: 5493004YGM0MQZJOEJ36 | Long             | ABS-O            | CORP              | US        |    160000 | PA      | $144725.04    | 0.03%             | 2028-03-23      | Fixed         | 3.65%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury STRIPS Bonds                                                                 | CUSIP: 912833LN8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2420000 | PA      | $2381311.58   | 0.51%             | 2023-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Coca-Cola Femsa SAB de CV                                        | Coca-Cola Femsa SAB de CV                                                                  | CUSIP: 191241AJ7<br>LEI: 5493008KEVFYPMGTXO33 | Long             | DBT              | CORP              | MX        |    215000 | PA      | $161693.44    | 0.03%             | 2032-09-01      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                             | Charter Communications Operating LLC                                                       | CUSIP: 161175BM5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     38000 | PA      | $31636.98     | 0.01%             | 2038-04-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Lowe's Cos., Inc.                                                | Lowe's Cos., Inc.                                                                          | CUSIP: 548661DY0<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |    430000 | PA      | $336261.12    | 0.07%             | 2030-10-15      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2006-117, Class GS                                                     | CUSIP: 31396LD23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22456 | PA      | $1258.91      | 0.00%             | 2036-12-25      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                       | Progress Residential Trust, Series 2019-SFR4, Class D                                      | CUSIP: 74331AAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    800000 | PA      | $749203.28    | 0.16%             | 2036-10-17      | Fixed         | 3.14%                 | Yes           |                  2 | On Loan: No      |
| KeyCorp                                                          | KeyCorp                                                                                    | CUSIP: 49326EEN9<br>LEI: RKPI3RZGV1V1FJTH5T61 | Long             | DBT              | CORP              | US        |     55000 | PA      | $51930.39     | 0.01%             | 2033-06-01      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                  | Goldman Sachs Group, Inc. (The)                                                            | CUSIP: 38141GWQ3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    137000 | PA      | $132017.08    | 0.03%             | 2025-09-29      | Variable      | 3.27%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC Gold Pools, Other                                                                    | CUSIP: 31283YQW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24892 | PA      | $25217.70     | 0.01%             | 2029-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                                       | AMSR Trust, Series 2020-SFR4, Class C                                                      | CUSIP: 66981FAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $886146.00    | 0.19%             | 2037-11-17      | Fixed         | 1.86%                 | Yes           |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                                   | Mariner Finance Issuance Trust, Series 2019-AA, Class A                                    | CUSIP: 56847MAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    502232 | PA      | $495464.03    | 0.11%             | 2032-07-20      | Fixed         | 2.96%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                             | GNMA I, 30 Year                                                                            | CUSIP: 36206JBD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       448 | PA      | $449.24       | 0.00%             | 2027-10-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                           | Alternative Loan Trust, Series 2004-2CB, Class 1A9                                         | CUSIP: 12667FAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    421471 | PA      | $416817.01    | 0.09%             | 2034-03-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| F&G Global Funding                                               | F&G Global Funding                                                                         | CUSIP: 30321L2A9<br>LEI: 6354009CCUKJIZ7KFX73 | Long             | DBT              | CORP              | US        |    185000 | PA      | $164717.61    | 0.04%             | 2026-06-30      | Fixed         | 1.75%                 | Yes           |                  2 | On Loan: No      |
| BNP Paribas SA                                                   | BNP Paribas SA                                                                             | CUSIP: 09659W2N3<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    232000 | PA      | $202774.00    | 0.04%             | 2027-01-13      | Variable      | 1.32%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Bonds                                                                        | CUSIP: 912810QX9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1800000 | PA      | $1447242.19   | 0.31%             | 2042-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Jersey Central Power & Light Co.                                 | Jersey Central Power & Light Co.                                                           | CUSIP: 476556DC6<br>LEI: 549300W9UGH9ZPLNPF79 | Long             | DBT              | CORP              | US        |     40000 | PA      | $38634.27     | 0.01%             | 2026-01-15      | Fixed         | 4.30%                 | Yes           |                  2 | On Loan: No      |
| TotalEnergies Capital International SA                           | TotalEnergies Capital International SA                                                     | CUSIP: 89153VAX7<br>LEI: 549300U37G2I8G4RUG09 | Long             | DBT              | CORP              | FR        |    350000 | PA      | $260721.33    | 0.06%             | 2041-06-29      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, Other                                                                                | CUSIP: 3138L9US9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    650000 | PA      | $589344.27    | 0.13%             | 2030-04-01      | Fixed         | 3.03%                 | No            |                  2 | On Loan: No      |
| NXP BV                                                           | NXP BV                                                                                     | CUSIP: 62954HBA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    360000 | PA      | $283455.00    | 0.06%             | 2031-05-11      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| American Tower Corp.                                             | American Tower Corp.                                                                       | CUSIP: 03027XAY6<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    230000 | PA      | $163135.18    | 0.03%             | 2049-10-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA, Series 2011-H19, Class FA                                                            | CUSIP: 38375BMT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    221895 | PA      | $220320.26    | 0.05%             | 2061-08-20      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                                     | AbbVie, Inc.                                                                               | CUSIP: 00287YDA4<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    200000 | PA      | $183195.14    | 0.04%             | 2044-06-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| EQT Corp.                                                        | EQT Corp.                                                                                  | CUSIP: 26884LAF6<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     60000 | PA      | $55389.91     | 0.01%             | 2027-10-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                 | Boeing Co. (The)                                                                           | CUSIP: 097023CV5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    175000 | PA      | $166873.43    | 0.04%             | 2040-05-01      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC Gold Pools, 30 Year                                                                  | CUSIP: 31297GXZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4612 | PA      | $4767.35      | 0.00%             | 2034-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 2410, Class OE                                                        | CUSIP: 31339NKQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2241 | PA      | $2253.94      | 0.00%             | 2032-02-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                              | Societe Generale SA                                                                        | CUSIP: 83368RBC5<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    215000 | PA      | $184988.18    | 0.04%             | 2027-06-09      | Variable      | 1.79%                 | Yes           |                  2 | On Loan: No      |
| Digital Realty Trust LP                                          | Digital Realty Trust LP                                                                    | CUSIP: 25389JAR7<br>LEI: CD4SPTZ3YBTHY0C1AH38 | Long             | DBT              | CORP              | US        |     31000 | PA      | $28766.48     | 0.01%             | 2027-08-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Chubb INA Holdings, Inc.                                         | Chubb INA Holdings, Inc.                                                                   | CUSIP: 00440EAP2<br>LEI: CZCBJZWDMLTHWJDXU843 | Long             | DBT              | CORP              | US        |    120000 | PA      | $119531.57    | 0.03%             | 2023-03-13      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| NatWest Group plc                                                | NatWest Group plc                                                                          | CUSIP: 780097BM2<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $185499.31    | 0.04%             | 2029-11-01      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Niagara Mohawk Power Corp.                                       | Niagara Mohawk Power Corp.                                                                 | CUSIP: 65364UAN6<br>LEI: 3T97Y9RR5EN5Y18QHB56 | Long             | DBT              | CORP              | US        |    250000 | PA      | $197621.57    | 0.04%             | 2030-06-27      | Fixed         | 1.96%                 | Yes           |                  2 | On Loan: No      |
| International Flavors & Fragrances, Inc.                         | International Flavors & Fragrances, Inc.                                                   | CUSIP: 459506AP6<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |    190000 | PA      | $159460.98    | 0.03%             | 2027-10-15      | Fixed         | 1.83%                 | Yes           |                  2 | On Loan: No      |
| Penske Truck Leasing Co. LP                                      | Penske Truck Leasing Co. LP                                                                | CUSIP: 709599AZ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     25000 | PA      | $24081.24     | 0.01%             | 2025-03-10      | Fixed         | 3.95%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2004-36, Class SA                                                      | CUSIP: 31393X5V5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24764 | PA      | $25551.74     | 0.01%             | 2034-05-25      | Floating      | 7.46%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 2345, Class NE                                                        | CUSIP: 313399SN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1931 | PA      | $2002.17      | 0.00%             | 2031-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Bonds                                                                        | CUSIP: 912810QY7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2345000 | PA      | $1879664.06   | 0.40%             | 2042-11-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Consolidated Edison Co. of New York, Inc.                        | Consolidated Edison Co. of New York, Inc.                                                  | CUSIP: 209111FQ1<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |     54000 | PA      | $44780.21     | 0.01%             | 2058-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Amazon.com, Inc.                                                 | Amazon.com, Inc.                                                                           | CUSIP: 023135CJ3<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    390000 | PA      | $322796.17    | 0.07%             | 2052-04-13      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC                                                                                      | CUSIP: 3128JLW39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6743 | PA      | $6617.01      | 0.00%             | 2034-04-01      | Variable      | 2.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, Other                                                                                | CUSIP: 3140LHSL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1245000 | PA      | $1180632.89   | 0.25%             | 2032-10-01      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| Mercury Financial Credit Card Master Trust                       | Mercury Financial Credit Card Master Trust, Series 2021-1A, Class A                        | CUSIP: 58940BAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    560000 | PA      | $534270.86    | 0.11%             | 2026-03-20      | Fixed         | 1.54%                 | Yes           |                  2 | On Loan: No      |
| AbbVie, Inc.                                                     | AbbVie, Inc.                                                                               | CUSIP: 00287YBX6<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    516000 | PA      | $465160.58    | 0.10%             | 2029-11-21      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Notes                                                                        | CUSIP: 91282CAE1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    280000 | PA      | $220401.56    | 0.05%             | 2030-08-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                        | Towd Point Mortgage Trust, Series 2021-R1, Class A1                                        | CUSIP: 89179TAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1406641 | PA      | $1128442.60   | 0.24%             | 2060-11-30      | Variable      | 2.92%                 | Yes           |                  2 | On Loan: No      |
| Apple, Inc.                                                      | Apple, Inc.                                                                                | CUSIP: 037833BA7<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |     82000 | PA      | $65908.45     | 0.01%             | 2045-02-09      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                                     | Drive Auto Receivables Trust, Series 2020-2, Class D                                       | CUSIP: 26208VAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $978654.10    | 0.21%             | 2028-05-15      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Cleveland Electric Illuminating Co. (The)                        | Cleveland Electric Illuminating Co. (The)                                                  | CUSIP: 186108CL8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     65000 | PA      | $60806.81     | 0.01%             | 2030-11-15      | Fixed         | 4.55%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury STRIPS Bonds                                                                 | CUSIP: 912833PD6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    725000 | PA      | $606140.93    | 0.13%             | 2027-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Essex Portfolio LP                                               | Essex Portfolio LP                                                                         | CUSIP: 29717PAV9<br>LEI: 5493003GN3O58H286O74 | Long             | DBT              | CORP              | US        |    145000 | PA      | $114267.29    | 0.02%             | 2032-03-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, 30 Year                                                                              | CUSIP: 31384VZF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       519 | PA      | $518.72       | 0.00%             | 2030-06-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| VMware, Inc.                                                     | VMware, Inc.                                                                               | CUSIP: 928563AJ4<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |    404000 | PA      | $352193.69    | 0.07%             | 2026-08-15      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury STRIPS Bonds                                                                 | CUSIP: 912833LZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    100000 | PA      | $86953.21     | 0.02%             | 2026-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 3098, Class KG                                                        | CUSIP: 31396GS85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    106813 | PA      | $106526.51    | 0.02%             | 2036-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| O'Reilly Automotive, Inc.                                        | O'Reilly Automotive, Inc.                                                                  | CUSIP: 67103HAF4<br>LEI: 549300K2RLMQL149Q332 | Long             | DBT              | CORP              | US        |     49000 | PA      | $46179.63     | 0.01%             | 2027-09-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                                       | AT&T, Inc.                                                                                 | CUSIP: 00206RLJ9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    126000 | PA      | $84072.70     | 0.02%             | 2055-09-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA ACES, Series 2017-M5, Class A2                                                        | CUSIP: 3136AWWF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    249201 | PA      | $230315.03    | 0.05%             | 2029-04-25      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| Yale-New Haven Health Services Corp.                             | Yale-New Haven Health Services Corp., Series 2020                                          | CUSIP: 98459HAA0<br>LEI: 549300AVJD56IH6OKW11 | Long             | DBT              | CORP              | US        |    200000 | PA      | $119639.00    | 0.03%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Valero Energy Corp.                                              | Valero Energy Corp.                                                                        | CUSIP: 91913YBB5<br>LEI: 549300XTO5VR8SKV1V74 | Long             | DBT              | CORP              | US        |    128000 | PA      | $112216.25    | 0.02%             | 2027-09-15      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                | HSBC Holdings plc                                                                          | CUSIP: 404280CK3<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    300000 | PA      | $229227.50    | 0.05%             | 2031-08-18      | Variable      | 2.36%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA II                                                                                    | CUSIP: 3617XXDJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1214157 | PA      | $1261697.19   | 0.27%             | 2072-04-20      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| CenterPoint Energy Houston Electric LLC                          | CenterPoint Energy Houston Electric LLC                                                    | CUSIP: 15189XAS7<br>LEI: 549300S8SEQBOJLKHW63 | Long             | DBT              | CORP              | US        |     10000 | PA      | $8185.60      | 0.00%             | 2048-03-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Standard Chartered plc                                           | Standard Chartered plc                                                                     | CUSIP: 853254BZ2<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    245000 | PA      | $212295.93    | 0.05%             | 2027-01-14      | Variable      | 1.46%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Bonds                                                                        | CUSIP: 912810QZ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    500000 | PA      | $426562.50    | 0.09%             | 2043-02-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Regeneron Pharmaceuticals, Inc.                                  | Regeneron Pharmaceuticals, Inc.                                                            | CUSIP: 75886FAE7<br>LEI: 549300RCBFWIRX3HYQ56 | Long             | DBT              | CORP              | US        |    460000 | PA      | $355289.15    | 0.08%             | 2030-09-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                  | Citigroup, Inc.                                                                            | CUSIP: 172967MY4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    625000 | PA      | $493415.36    | 0.10%             | 2032-05-01      | Variable      | 2.56%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                     | Pacific Gas and Electric Co.                                                               | CUSIP: 694308KA4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    505000 | PA      | $492906.40    | 0.10%             | 2024-02-16      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Vodafone Group plc                                               | Vodafone Group plc                                                                         | CUSIP: 92857WBM1<br>LEI: 213800TB53ELEUKM7Q61 | Long             | DBT              | CORP              | GB        |     64000 | PA      | $56366.70     | 0.01%             | 2048-05-30      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Southern Co. Gas Capital Corp.                                   | Southern Co. Gas Capital Corp.                                                             | CUSIP: 001192AH6<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |     96000 | PA      | $95331.69     | 0.02%             | 2041-03-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | Morgan Stanley                                                                             | CUSIP: 6174468U6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    280000 | PA      | $210436.90    | 0.04%             | 2032-02-13      | Variable      | 1.79%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury STRIPS Bonds                                                                 | CUSIP: 912833XU9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    300000 | PA      | $222489.21    | 0.05%             | 2030-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                                     | UBS Group AG                                                                               | CUSIP: 902613AM0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    449000 | PA      | $438836.24    | 0.09%             | 2026-05-12      | Variable      | 4.49%                 | Yes           |                  2 | On Loan: No      |
| Bank of America Corp.                                            | Bank of America Corp.                                                                      | CUSIP: 06051GGZ6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    100000 | PA      | $95348.15     | 0.02%             | 2026-01-23      | Variable      | 3.37%                 | No            |                  2 | On Loan: No      |
| Eastman Chemical Co.                                             | Eastman Chemical Co.                                                                       | CUSIP: 277432AW0<br>LEI: FDPVHDGJ1IQZFK9KH630 | Long             | DBT              | CORP              | US        |    220000 | PA      | $208332.29    | 0.04%             | 2028-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA, Series 2009-31, Class TS                                                             | CUSIP: 38374TXN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24084 | PA      | $345.82       | 0.00%             | 2039-03-20      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust, Inc.                              | Citigroup Mortgage Loan Trust, Inc., Series 2003-UP3, Class A3                             | CUSIP: 17307GAV0<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |       876 | PA      | $852.76       | 0.00%             | 2033-09-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                    | Comcast Corp.                                                                              | CUSIP: 20030NCJ8<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     32000 | PA      | $27576.48     | 0.01%             | 2038-03-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                | HSBC Holdings plc                                                                          | CUSIP: 404280AM1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    120000 | PA      | $125104.16    | 0.03%             | 2042-01-14      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 2132, Class SB                                                        | CUSIP: 3133TJVQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       879 | PA      | $891.60       | 0.00%             | 2029-03-15      | Floating      | 12.70%                | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2005-2, Class 1A4 | CUSIP: 9393363L5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    297322 | PA      | $10562.92     | 0.00%             | 2035-04-25      | Floating      | 0.66%                 | No            |                  2 | On Loan: No      |
| Enterprise Products Operating LLC                                | Enterprise Products Operating LLC                                                          | CUSIP: 29379VBH5<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |     38000 | PA      | $36623.83     | 0.01%             | 2026-02-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| VM Master Issuer LLC                                             | VM Master Issuer LLC, Series 2022-1, Class A1                                              | CUSIP: 92859MAA8<br>LEI: 549300DTHP15ZDVADB72 | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $947132.40    | 0.20%             | 2025-05-24      | Variable      | 5.16%                 | Yes           |                  3 | On Loan: No      |
| United States of America                                         | U.S. Treasury Bonds                                                                        | CUSIP: 912810RV2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     28000 | PA      | $22919.53     | 0.00%             | 2047-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, Other                                                                                | CUSIP: 3140LJDC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    775000 | PA      | $795656.53    | 0.17%             | 2032-12-01      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| VMware, Inc.                                                     | VMware, Inc.                                                                               | CUSIP: 928563AE5<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |    135000 | PA      | $130668.10    | 0.03%             | 2027-05-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Two Harbors                                                      | Two Harbors                                                                                | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   1800000 | PA      | $1800000.00   | 0.38%             | 2023-02-08      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 2344, Class ZJ                                                        | CUSIP: 313399C70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4143 | PA      | $4330.56      | 0.00%             | 2031-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Albemarle Corp.                                                  | Albemarle Corp.                                                                            | CUSIP: 012725AD9<br>LEI: HDBLS2Q6GV1LSKQPBS54 | Long             | DBT              | CORP              | US        |     50000 | PA      | $45181.89     | 0.01%             | 2044-12-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Technology in Housing Trust                            | Pagaya AI Technology in Housing Trust, Series 2022-1, Class A                              | CUSIP: 69547NAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1400000 | PA      | $1310378.44   | 0.28%             | 2025-08-25      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, Other                                                                                | CUSIP: 3140FXUH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    945993 | PA      | $896721.71    | 0.19%             | 2061-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Baker Hughes Holdings LLC                                        | Baker Hughes Holdings LLC                                                                  | CUSIP: 057224AZ0<br>LEI: 549300XU3XH6F05YEQ93 | Long             | DBT              | CORP              | US        |     40000 | PA      | $36881.55     | 0.01%             | 2040-09-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA II, 30 Year                                                                           | CUSIP: 3617YMMJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    598511 | PA      | $526968.21    | 0.11%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Notes                                                                        | CUSIP: 91282CBH3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    650000 | PA      | $578322.26    | 0.12%             | 2026-01-31      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 2367, Class ME                                                        | CUSIP: 31339GK42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     36161 | PA      | $37269.20     | 0.01%             | 2031-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2001-33, Class ID                                                      | CUSIP: 31359S6G0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39255 | PA      | $4905.15      | 0.00%             | 2031-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | Morgan Stanley                                                                             | CUSIP: 6174467Y9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     20000 | PA      | $19404.85     | 0.00%             | 2026-09-08      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Royalty Pharma plc                                               | Royalty Pharma plc                                                                         | CUSIP: 78081BAH6<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |     98000 | PA      | $87704.26     | 0.02%             | 2025-09-02      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                       | FHLMC UMBS, 30 Year                                                                        | CUSIP: 3133A7M97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    675591 | PA      | $617974.02    | 0.13%             | 2050-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K081, Class A2            | CUSIP: 3137FJEH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    395000 | PA      | $383610.81    | 0.08%             | 2028-08-25      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| Prologis LP                                                      | Prologis LP                                                                                | CUSIP: 74340XBY6<br>LEI: GL16H1DHB0QSHP25F723 | Long             | DBT              | CORP              | US        |     95000 | PA      | $82656.31     | 0.02%             | 2029-11-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                            | Bank of America Corp.                                                                      | CUSIP: 06051GKP3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    360000 | PA      | $344276.26    | 0.07%             | 2028-04-27      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 1577, Class PV                                                        | CUSIP: 3133T1FB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5918 | PA      | $5914.11      | 0.00%             | 2023-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA UMBS, 20 Year                                                                         | CUSIP: 31404ADB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6294 | PA      | $6225.81      | 0.00%             | 2023-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Alexandria Real Estate Equities, Inc.                            | Alexandria Real Estate Equities, Inc.                                                      | CUSIP: 015271AP4<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |     23000 | PA      | $22240.43     | 0.00%             | 2026-04-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Eastern Gas Transmission & Storage, Inc.                         | Eastern Gas Transmission & Storage, Inc.                                                   | CUSIP: 276480AB6<br>LEI: H2VQBNB3NSKRM5QWBI71 | Long             | DBT              | CORP              | US        |    137000 | PA      | $96764.64     | 0.02%             | 2049-11-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | Morgan Stanley                                                                             | CUSIP: 6174468Q5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    550000 | PA      | $511095.91    | 0.11%             | 2026-04-28      | Variable      | 2.19%                 | No            |                  2 | On Loan: No      |
| Lowe's Cos., Inc.                                                | Lowe's Cos., Inc.                                                                          | CUSIP: 548661EA1<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |    105000 | PA      | $86999.00     | 0.02%             | 2031-04-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA ACES, Series 2022-M3, Class A2                                                        | CUSIP: 3136BLW22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1500000 | PA      | $1180171.35   | 0.25%             | 2031-11-25      | Variable      | 1.71%                 | No            |                  2 | On Loan: No      |
| Tricon Residential Trust                                         | Tricon Residential Trust, Series 2022-SFR1, Class D                                        | CUSIP: 89616QAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    459000 | PA      | $418206.56    | 0.09%             | 2039-04-17      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| VOLT XCVII LLC                                                   | VOLT XCVII LLC, Series 2021-NPL6, Class A1                                                 | CUSIP: 91835EAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    695760 | PA      | $612003.19    | 0.13%             | 2051-04-25      | Variable      | 2.24%                 | Yes           |                  2 | On Loan: No      |
| Athene Global Funding                                            | Athene Global Funding                                                                      | CUSIP: 04685A2U4<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    370000 | PA      | $323814.64    | 0.07%             | 2026-01-08      | Fixed         | 1.45%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Notes                                                                        | CUSIP: 912828WJ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     30000 | PA      | $29118.75     | 0.01%             | 2024-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Banco Santander SA                                               | Banco Santander SA                                                                         | CUSIP: 05964HAR6<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    200000 | PA      | $197786.27    | 0.04%             | 2025-08-18      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2002-28, Class PK                                                      | CUSIP: 31392CA46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11566 | PA      | $11961.08     | 0.00%             | 2032-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                             | Charter Communications Operating LLC                                                       | CUSIP: 161175CE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    195000 | PA      | $124947.53    | 0.03%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA                                                                                       | CUSIP: 31406H3D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31156 | PA      | $31350.99     | 0.01%             | 2035-01-01      | Variable      | 4.74%                 | No            |                  2 | On Loan: No      |
| Galaxy Pipeline Assets Bidco Ltd.                                | Galaxy Pipeline Assets Bidco Ltd.                                                          | CUSIP: 36321PAE0<br>LEI: 549300L82YB0C6JQIC26 | Long             | DBT              | CORP              | JE        |    241632 | PA      | $193275.80    | 0.04%             | 2040-09-30      | Fixed         | 2.94%                 | Yes           |                  2 | On Loan: No      |
| Kansas City Southern                                             | Kansas City Southern                                                                       | CUSIP: 485170BB9<br>LEI: 5493008C12PZMWP3WY03 | Long             | DBT              | CORP              | US        |    197000 | PA      | $169557.42    | 0.04%             | 2048-05-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| ERAC USA Finance LLC                                             | ERAC USA Finance LLC                                                                       | CUSIP: 26884TAE2<br>LEI: LTKX5ODQW6Z7BQ2K1V47 | Long             | DBT              | CORP              | US        |     12000 | PA      | $11344.91     | 0.00%             | 2042-03-15      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Bank of America Corp.                                            | Bank of America Corp.                                                                      | CUSIP: 06051GJE0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    743000 | PA      | $499816.73    | 0.11%             | 2041-06-19      | Variable      | 2.68%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                | HSBC Holdings plc                                                                          | CUSIP: 404280CV9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $161436.21    | 0.03%             | 2029-08-17      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| NatWest Group plc                                                | NatWest Group plc                                                                          | CUSIP: 780097BP5<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    440000 | PA      | $393205.76    | 0.08%             | 2028-05-22      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| Mid-Atlantic Interstate Transmission LLC                         | Mid-Atlantic Interstate Transmission LLC                                                   | CUSIP: 59524QAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     40000 | PA      | $37640.66     | 0.01%             | 2028-05-15      | Fixed         | 4.10%                 | Yes           |                  2 | On Loan: No      |
| BNP Paribas SA                                                   | BNP Paribas SA                                                                             | CUSIP: 09659W2K9<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    320000 | PA      | $262253.85    | 0.06%             | 2031-01-13      | Variable      | 3.05%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2003-71, Class DS                                                      | CUSIP: 31393EKS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17455 | PA      | $15170.73     | 0.00%             | 2033-08-25      | Floating      | 1.97%                 | No            |                  2 | On Loan: No      |
| DuPont de Nemours, Inc.                                          | DuPont de Nemours, Inc.                                                                    | CUSIP: 26078JAE0<br>LEI: 5493004JF0SDFLM8GD76 | Long             | DBT              | CORP              | US        |    595000 | PA      | $571829.66    | 0.12%             | 2038-11-15      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| Florida Power & Light Co.                                        | Florida Power & Light Co.                                                                  | CUSIP: 341081EU7<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |     50000 | PA      | $49173.78     | 0.01%             | 2035-09-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| British Airways Pass-Through Trust                               | British Airways Pass-Through Trust, Series 2018-1, Class AA                                | CUSIP: 11042TAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     61868 | PA      | $55752.74     | 0.01%             | 2031-09-20      | Fixed         | 3.80%                 | Yes           |                  2 | On Loan: No      |
| Verizon Communications, Inc.                                     | Verizon Communications, Inc.                                                               | CUSIP: 92343VGH1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    200000 | PA      | $173575.64    | 0.04%             | 2028-03-22      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 1671, Class QC                                                        | CUSIP: 3133T36V5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       463 | PA      | $470.18       | 0.00%             | 2024-02-15      | Floating      | 10.00%                | No            |                  2 | On Loan: No      |
| Nordstrom, Inc.                                                  | Nordstrom, Inc.                                                                            | CUSIP: 655664AY6<br>LEI: 549300S3IZB5P35KNV16 | Long             | DBT              | CORP              | US        |    300000 | PA      | $214530.00    | 0.05%             | 2031-08-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Cooperatieve Rabobank UA                                         | Cooperatieve Rabobank UA                                                                   | CUSIP: 21684AAF3<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |    450000 | PA      | $422523.42    | 0.09%             | 2026-07-21      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Cox Communications, Inc.                                         | Cox Communications, Inc.                                                                   | CUSIP: 224044CM7<br>LEI: 5493001NEDZNIFRP2R92 | Long             | DBT              | CORP              | US        |    180000 | PA      | $107919.22    | 0.02%             | 2050-10-01      | Fixed         | 2.95%                 | Yes           |                  2 | On Loan: No      |
| Shire Acquisitions Investments Ireland DAC                       | Shire Acquisitions Investments Ireland DAC                                                 | CUSIP: 82481LAD1<br>LEI: 549300XK5HGW68R8K327 | Long             | DBT              | CORP              | IE        |    234000 | PA      | $219459.97    | 0.05%             | 2026-09-23      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Bonds                                                                        | CUSIP: 912810SS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2240000 | PA      | $1332800.00   | 0.28%             | 2050-11-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA, Series 2016-135, Class Z                                                             | CUSIP: 38380AP92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    240588 | PA      | $200512.75    | 0.04%             | 2046-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Trust                                  | CoreVest American Finance Trust, Series 2019-2, Class D                                    | CUSIP: 21872GAL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $419498.10    | 0.09%             | 2052-06-15      | Fixed         | 4.22%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2008-1, Class BI                                                       | CUSIP: 31396YCX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24648 | PA      | $1799.73      | 0.00%             | 2038-02-25      | Floating      | 1.52%                 | No            |                  2 | On Loan: No      |
| Jefferies Financial Group, Inc.                                  | Jefferies Financial Group, Inc.                                                            | CUSIP: 472319AE2<br>LEI: 549300HOF34RGOJ5YL07 | Long             | DBT              | CORP              | US        |     81000 | PA      | $84527.45     | 0.02%             | 2027-06-08      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| Public Service Electric and Gas Co.                              | Public Service Electric and Gas Co.                                                        | CUSIP: 74456QAU0<br>LEI: 549300RUHPVD434XUK18 | Long             | DBT              | CORP              | US        |     28000 | PA      | $27012.60     | 0.01%             | 2039-11-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Anheuser-Busch Cos. LLC                                          | Anheuser-Busch Cos. LLC                                                                    | CUSIP: 03522AAH3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    373000 | PA      | $352277.17    | 0.07%             | 2036-02-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Consolidated Edison Co. of New York, Inc.                        | Consolidated Edison Co. of New York, Inc.                                                  | CUSIP: 209111FA6<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |     38000 | PA      | $37679.44     | 0.01%             | 2040-06-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140JMGR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    230919 | PA      | $232569.28    | 0.05%             | 2049-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-54, Class 3A             | CUSIP: 31393LFM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21418 | PA      | $21889.71     | 0.00%             | 2043-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust, Inc.                              | Citigroup Mortgage Loan Trust, Inc., Series 2005-1, Class 2A1A                             | CUSIP: 17307GPS1<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |     36057 | PA      | $28100.16     | 0.01%             | 2035-02-25      | Variable      | 2.72%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                                      | Capital One Financial Corp.                                                                | CUSIP: 14040HCU7<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    120000 | PA      | $117529.12    | 0.02%             | 2026-07-24      | Variable      | 4.98%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA I, 30 Year                                                                            | CUSIP: 36295VFH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    535677 | PA      | $570848.27    | 0.12%             | 2038-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Goodgreen                                                        | Goodgreen, Series 2019-2A, Class A                                                         | CUSIP: 38218EAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    246207 | PA      | $211727.54    | 0.05%             | 2055-04-15      | Fixed         | 2.76%                 | Yes           |                  3 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                     | Avolon Holdings Funding Ltd.                                                               | CUSIP: 05401AAG6<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    150000 | PA      | $136671.83    | 0.03%             | 2026-05-01      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| Ecopetrol SA                                                     | Ecopetrol SA                                                                               | CUSIP: 279158AK5<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | NUSS              | CO        |     33000 | PA      | $31366.50     | 0.01%             | 2025-01-16      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, Multi-Family Structured Pass-Through Certificates, Series KJ14, Class A2            | CUSIP: 3137BYMQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    344042 | PA      | $334686.58    | 0.07%             | 2024-09-25      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA II, 30 Year                                                                           | CUSIP: 36179XDD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2320914 | PA      | $2196383.62   | 0.47%             | 2052-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Sabine Pass Liquefaction LLC                                     | Sabine Pass Liquefaction LLC                                                               | CUSIP: 785592AX4<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |    200000 | PA      | $185383.34    | 0.04%             | 2030-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Air Lease Corp.                                                  | Air Lease Corp.                                                                            | CUSIP: 00914AAF9<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    245000 | PA      | $228102.18    | 0.05%             | 2025-02-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Elevance Health, Inc.                                            | Elevance Health, Inc.                                                                      | CUSIP: 036752AG8<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |     55000 | PA      | $52707.80     | 0.01%             | 2028-03-01      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Bonds                                                                        | CUSIP: 912810SA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     90000 | PA      | $73768.36     | 0.02%             | 2048-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2003-22, Class UD                                                      | CUSIP: 31393ANT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64088 | PA      | $61848.04     | 0.01%             | 2033-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Macquarie Bank Ltd.                                              | Macquarie Bank Ltd.                                                                        | CUSIP: 556079AD3<br>LEI: 4ZHCHI4KYZG2WVRT8631 | Long             | DBT              | CORP              | AU        |    200000 | PA      | $144661.20    | 0.03%             | 2036-03-03      | Variable      | 3.05%                 | Yes           |                  2 | On Loan: No      |
| Broadcom, Inc.                                                   | Broadcom, Inc.                                                                             | CUSIP: 11135FBP5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    378000 | PA      | $277930.66    | 0.06%             | 2035-11-15      | Fixed         | 3.14%                 | Yes           |                  2 | On Loan: No      |
| UDR, Inc.                                                        | UDR, Inc.                                                                                  | CUSIP: 90265EAU4<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              | CORP              | US        |    240000 | PA      | $170866.18    | 0.04%             | 2033-03-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                            | Bank of America Corp.                                                                      | CUSIP: 06051GJB6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    313000 | PA      | $254918.44    | 0.05%             | 2031-04-29      | Variable      | 2.59%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 2057, Class PE                                                        | CUSIP: 3133TDUF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32899 | PA      | $33848.33     | 0.01%             | 2028-05-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                 | Deutsche Bank AG                                                                           | CUSIP: 251526CE7<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    205000 | PA      | $180852.64    | 0.04%             | 2026-11-24      | Variable      | 2.13%                 | No            |                  2 | On Loan: No      |
| Sydney Airport Finance Co. Pty. Ltd.                             | Sydney Airport Finance Co. Pty. Ltd.                                                       | CUSIP: 87124VAE9<br>LEI: 549300MJAANHLHOVTO40 | Long             | DBT              | CORP              | AU        |    360000 | PA      | $341342.12    | 0.07%             | 2025-04-30      | Fixed         | 3.38%                 | Yes           |                  2 | On Loan: No      |
| Arrow Electronics, Inc.                                          | Arrow Electronics, Inc.                                                                    | CUSIP: 042735BG4<br>LEI: 549300YNNLBXT8N8R512 | Long             | DBT              | CORP              | US        |     44000 | PA      | $42279.26     | 0.01%             | 2024-09-08      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Broadcom, Inc.                                                   | Broadcom, Inc.                                                                             | CUSIP: 11135FBQ3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    370000 | PA      | $265766.50    | 0.06%             | 2036-11-15      | Fixed         | 3.19%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2008-53, Class CI                                                      | CUSIP: 31397LC23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10052 | PA      | $884.33       | 0.00%             | 2038-07-25      | Floating      | 2.81%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                                       | AMSR Trust, Series 2020-SFR3, Class E2                                                     | CUSIP: 001807AF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $668291.33    | 0.14%             | 2037-09-17      | Fixed         | 2.76%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Notes                                                                        | CUSIP: 912828T91<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2000000 | PA      | $1950390.62   | 0.41%             | 2023-10-31      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| Corebridge Financial, Inc.                                       | Corebridge Financial, Inc.                                                                 | CUSIP: 21871XAC3<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |    185000 | PA      | $172455.28    | 0.04%             | 2027-04-05      | Fixed         | 3.65%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                             | GNMA I, 30 Year                                                                            | CUSIP: 36295RMS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    308359 | PA      | $328775.32    | 0.07%             | 2038-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Air Lease Corp.                                                  | Air Lease Corp.                                                                            | CUSIP: 00914AAE2<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    220000 | PA      | $187324.66    | 0.04%             | 2029-10-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Credit Suisse ABS Trust                                          | Credit Suisse ABS Trust, Series 2020-AT1, Class A                                          | CUSIP: 22551XAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    246327 | PA      | $234842.57    | 0.05%             | 2026-10-15      | Fixed         | 2.61%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                             | GNMA, Series 2009-79, Class OK                                                             | CUSIP: 38376CXX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19798 | PA      | $16547.20     | 0.00%             | 2037-11-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140QBDT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    149573 | PA      | $148937.07    | 0.03%             | 2049-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Equinix, Inc.                                                    | Equinix, Inc.                                                                              | CUSIP: 29444UBD7<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |    285000 | PA      | $260488.94    | 0.06%             | 2026-11-18      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA, Series 2009-64, Class SN                                                             | CUSIP: 38373A2C9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31427 | PA      | $1638.63      | 0.00%             | 2039-07-16      | Floating      | 1.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2002-68, Class SH                                                      | CUSIP: 31392EXS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26038 | PA      | $1210.33      | 0.00%             | 2032-10-18      | Floating      | 3.66%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA, Series 2009-6, Class SA                                                              | CUSIP: 38375Y5V0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9501 | PA      | $58.33        | 0.00%             | 2039-02-16      | Floating      | 1.77%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                                       | AT&T, Inc.                                                                                 | CUSIP: 00206RKA9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    381000 | PA      | $268342.96    | 0.06%             | 2051-06-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2003-64, Class SX                                                      | CUSIP: 31393DJU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2089 | PA      | $1892.88      | 0.00%             | 2033-07-25      | Floating      | 3.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA UMBS, 30 Year                                                                         | CUSIP: 31391REW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2881 | PA      | $2924.50      | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                            | United Mexican States                                                                      | CUSIP: 91087BAS9<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    330000 | PA      | $243210.00    | 0.05%             | 2052-02-12      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| American Airlines Pass-Through Trust                             | American Airlines Pass-Through Trust, Series 2016-3, Class AA                              | CUSIP: 023771R91<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     91713 | PA      | $79467.72     | 0.02%             | 2028-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Mylan, Inc.                                                      | Mylan, Inc.                                                                                | CUSIP: 628530BC0<br>LEI: 30ZMPDNA1RHIBH89C294 | Long             | DBT              | CORP              | US        |     21000 | PA      | $16623.41     | 0.00%             | 2043-11-29      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Physicians Realty LP                                             | Physicians Realty LP                                                                       | CUSIP: 71951QAC6<br>LEI: 549300P6Q1UMT0X60U20 | Long             | DBT              | CORP              | US        |    130000 | PA      | $101470.12    | 0.02%             | 2031-11-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| CenterPoint Energy Houston Electric LLC                          | CenterPoint Energy Houston Electric LLC, Series AD                                         | CUSIP: 15189XAU2<br>LEI: 549300S8SEQBOJLKHW63 | Long             | DBT              | CORP              | US        |    200000 | PA      | $134470.66    | 0.03%             | 2050-07-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Quest Diagnostics, Inc.                                          | Quest Diagnostics, Inc.                                                                    | CUSIP: 74834LAZ3<br>LEI: 8MCWUBXQ0WE04KMXBX50 | Long             | DBT              | CORP              | US        |     17000 | PA      | $16212.49     | 0.00%             | 2026-06-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Seasoned Credit Risk Transfer Trust                              | Seasoned Credit Risk Transfer Trust, Series 2019-1, Class MT                               | CUSIP: 35563PJE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    453239 | PA      | $409109.45    | 0.09%             | 2058-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140HNWF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    222268 | PA      | $216527.74    | 0.05%             | 2049-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140GTFZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    180540 | PA      | $172996.37    | 0.04%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Air Lease Corp.                                                  | Air Lease Corp.                                                                            | CUSIP: 00912XBA1<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |     48000 | PA      | $45547.22     | 0.01%             | 2025-03-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA II, 30 Year                                                                           | CUSIP: 3617F25R4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    941320 | PA      | $920275.84    | 0.20%             | 2052-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Cigna Corp.                                                      | Cigna Corp.                                                                                | CUSIP: 125523BZ2<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    127000 | PA      | $125049.79    | 0.03%             | 2026-02-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Seasoned Credit Risk Transfer Trust                              | Seasoned Credit Risk Transfer Trust, Series 2022-1, Class MTU                              | CUSIP: 35563P7E3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    825223 | PA      | $727772.32    | 0.15%             | 2061-11-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| nVent Finance SARL                                               | nVent Finance SARL                                                                         | CUSIP: 67078AAD5<br>LEI: 549300KO1OQ4MVFB6X02 | Long             | DBT              | CORP              | LU        |     75000 | PA      | $68860.62     | 0.01%             | 2028-04-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 1633, Class Z                                                         | CUSIP: 3133T2T67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3746 | PA      | $3746.51      | 0.00%             | 2023-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Southern California Gas Co.                                      | Southern California Gas Co.                                                                | CUSIP: 842434CX8<br>LEI: XY0N0J73VHV5F4CUJV89 | Long             | DBT              | CORP              | US        |    200000 | PA      | $218779.94    | 0.05%             | 2052-11-15      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA UMBS, 20 Year                                                                         | CUSIP: 3140X4P75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    507308 | PA      | $503392.77    | 0.11%             | 2038-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Notes                                                                        | CUSIP: 91282CDJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    840400 | PA      | $684006.81    | 0.15%             | 2031-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 2325, Class PM                                                        | CUSIP: 3133TU3J5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2052 | PA      | $2162.52      | 0.00%             | 2031-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Massachusetts Electric Co.                                       | Massachusetts Electric Co.                                                                 | CUSIP: 575634AT7<br>LEI: 549300XN8GZY5U5O1B96 | Long             | DBT              | CORP              | US        |     56000 | PA      | $40494.10     | 0.01%             | 2046-08-15      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                             | GNMA I, 30 Year                                                                            | CUSIP: 36296LQK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4385 | PA      | $4647.63      | 0.00%             | 2038-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA II                                                                                    | CUSIP: 3617VUD53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1042113 | PA      | $1087394.59   | 0.23%             | 2071-08-20      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| Gray Oak Pipeline LLC                                            | Gray Oak Pipeline LLC                                                                      | CUSIP: 38937LAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    135000 | PA      | $131323.86    | 0.03%             | 2023-09-15      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: No      |
| Home Depot, Inc. (The)                                           | Home Depot, Inc. (The)                                                                     | CUSIP: 437076BW1<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    110000 | PA      | $105891.06    | 0.02%             | 2028-12-06      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, Other                                                                                | CUSIP: 3140LHSH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1405000 | PA      | $1361914.44   | 0.29%             | 2032-11-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                            | Vendee Mortgage Trust, Series 1998-1, Class 2E                                             | CUSIP: 911760LH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12967 | PA      | $13050.80     | 0.00%             | 2028-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, Other                                                                                | CUSIP: 31403QVP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20649 | PA      | $20841.21     | 0.00%             | 2033-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 3455, Class SE                                                        | CUSIP: 31397WHQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     81882 | PA      | $4972.99      | 0.00%             | 2038-06-15      | Floating      | 1.88%                 | No            |                  2 | On Loan: No      |
| ING Groep NV                                                     | ING Groep NV                                                                               | CUSIP: 456837AU7<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |    210000 | PA      | $188794.06    | 0.04%             | 2026-07-01      | Variable      | 1.40%                 | Yes           |                  2 | On Loan: No      |
| AT&T, Inc.                                                       | AT&T, Inc.                                                                                 | CUSIP: 00206RKH4<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    430000 | PA      | $337043.28    | 0.07%             | 2032-02-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| AutoZone, Inc.                                                   | AutoZone, Inc.                                                                             | CUSIP: 053332BA9<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |    180000 | PA      | $139651.99    | 0.03%             | 2031-01-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Advocate Health & Hospitals Corp.                                | Advocate Health & Hospitals Corp., Series 2020                                             | CUSIP: 007589AD6<br>LEI: 549300AEHU3PPOUCIL87 | Long             | DBT              | CORP              | US        |    130000 | PA      | $106630.72    | 0.02%             | 2030-06-15      | Fixed         | 2.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA UMBS, 30 Year                                                                         | CUSIP: 31384JEW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4201 | PA      | $4201.85      | 0.00%             | 2030-03-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Lennar Corp.                                                     | Lennar Corp.                                                                               | CUSIP: 526057BZ6<br>LEI: 529900G61XVRLX5TJX09 | Long             | DBT              | CORP              | US        |     95000 | PA      | $93729.95     | 0.02%             | 2024-04-30      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| VOLT XCIX LLC                                                    | VOLT XCIX LLC, Series 2021-NPL8, Class A1                                                  | CUSIP: 92872VAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    456174 | PA      | $403178.75    | 0.09%             | 2051-04-25      | Variable      | 2.12%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                             | GNMA I, 30 Year                                                                            | CUSIP: 36241KYF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11986 | PA      | $12407.89     | 0.00%             | 2038-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Credit Agricole SA                                               | Credit Agricole SA                                                                         | CUSIP: 22535WAG2<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    650000 | PA      | $592491.63    | 0.13%             | 2026-06-16      | Variable      | 1.91%                 | Yes           |                  2 | On Loan: No      |
| Oracle Corp.                                                     | Oracle Corp.                                                                               | CUSIP: 68389XBJ3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    110000 | PA      | $80161.21     | 0.02%             | 2046-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                | Wells Fargo & Co.                                                                          | CUSIP: 94974BGT1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     47000 | PA      | $37751.61     | 0.01%             | 2046-06-14      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                       | Progress Residential Trust, Series 2022-SFR2, Class A                                      | CUSIP: 74332VAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    550000 | PA      | $485707.64    | 0.10%             | 2027-04-17      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| BAE Systems plc                                                  | BAE Systems plc                                                                            | CUSIP: 05523RAC1<br>LEI: 8SVCSVKSGDWMW2QHOH83 | Long             | DBT              | CORP              | GB        |     51000 | PA      | $51289.27     | 0.01%             | 2041-10-11      | Fixed         | 5.80%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                             | GNMA, Series 2017-H14, Class FV                                                            | CUSIP: 38376R5A0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    251424 | PA      | $248733.50    | 0.05%             | 2067-06-20      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| Constellation Energy Generation LLC                              | Constellation Energy Generation LLC                                                        | CUSIP: 30161MAS2<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |    250000 | PA      | $239187.19    | 0.05%             | 2025-06-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Markel Corp.                                                     | Markel Corp.                                                                               | CUSIP: 570535AM6<br>LEI: 549300SCNO12JLWIK605 | Long             | DBT              | CORP              | US        |     40000 | PA      | $39857.35     | 0.01%             | 2023-03-30      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA Trust, Whole Loan, Series 2004-W2, Class 2A2                                          | CUSIP: 31393XGQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7646 | PA      | $7977.93      | 0.00%             | 2044-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA, Series 2011-75, Class SM                                                             | CUSIP: 38377WFA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     54009 | PA      | $3157.59      | 0.00%             | 2041-05-20      | Floating      | 2.25%                 | No            |                  2 | On Loan: No      |
| American Tower Corp.                                             | American Tower Corp.                                                                       | CUSIP: 03027XBK5<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |     85000 | PA      | $52624.45     | 0.01%             | 2051-01-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| CSX Corp.                                                        | CSX Corp.                                                                                  | CUSIP: 126408HN6<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |    108000 | PA      | $97548.64     | 0.02%             | 2048-11-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| American Airlines Pass-Through Trust                             | American Airlines Pass-Through Trust, Series 2014-1, Class A                               | CUSIP: 02377AAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     28787 | PA      | $24844.22     | 0.01%             | 2026-10-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Burlington Northern Santa Fe LLC                                 | Burlington Northern Santa Fe LLC                                                           | CUSIP: 12189LAK7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     25000 | PA      | $22279.92     | 0.00%             | 2042-09-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 2412, Class SP                                                        | CUSIP: 31339DW95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5334 | PA      | $5479.06      | 0.00%             | 2032-02-15      | Floating      | 7.46%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 1518, Class G                                                         | CUSIP: 312915YY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       114 | PA      | $112.78       | 0.00%             | 2023-05-15      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| Athene Global Funding                                            | Athene Global Funding                                                                      | CUSIP: 04685A2L4<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    103000 | PA      | $96459.58     | 0.02%             | 2025-01-14      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| AIA Group Ltd.                                                   | AIA Group Ltd.                                                                             | CUSIP: 00131LAF2<br>LEI: ZP5ILWVSYE4LJGMMVD57 | Long             | DBT              | CORP              | HK        |    210000 | PA      | $197049.30    | 0.04%             | 2028-04-06      | Fixed         | 3.90%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2003-44, Class IU                                                      | CUSIP: 31393CVP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14135 | PA      | $2330.18      | 0.00%             | 2033-06-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| PNC Bank NA                                                      | PNC Bank NA                                                                                | CUSIP: 05552JAA7<br>LEI: AD6GFRVSDT01YPT1CS68 | Long             | DBT              | CORP              | US        |    250000 | PA      | $239704.24    | 0.05%             | 2024-08-27      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA ACES, Series 2018-M10, Class A2                                                       | CUSIP: 3136B2HA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    460000 | PA      | $437967.56    | 0.09%             | 2028-07-25      | Variable      | 3.36%                 | No            |                  2 | On Loan: No      |
| CSMC OA LLC                                                      | CSMC OA LLC, Series 2014-USA, Class A2                                                     | CUSIP: 12649AAC3<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |    885000 | PA      | $795082.58    | 0.17%             | 2037-09-15      | Fixed         | 3.95%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, Other                                                                                | CUSIP: 3138L8D35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    910553 | PA      | $864002.29    | 0.18%             | 2026-11-01      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury STRIPS Bonds                                                                 | CUSIP: 912833LM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1890000 | PA      | $1836946.60   | 0.39%             | 2023-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| AIA Group Ltd.                                                   | AIA Group Ltd.                                                                             | CUSIP: 00131LAB1<br>LEI: ZP5ILWVSYE4LJGMMVD57 | Long             | DBT              | CORP              | HK        |    200000 | PA      | $191287.50    | 0.04%             | 2025-03-11      | Fixed         | 3.20%                 | Yes           |                  2 | On Loan: No      |
| CFIN Issuer LLC                                                  | CFIN Issuer LLC, Series 2022-RTL1, Class AA                                                | CUSIP: 12531CAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $951500.00    | 0.20%             | 2026-02-16      | Fixed         | 3.25%                 | Yes           |                  3 | On Loan: No      |
| FREED ABS Trust                                                  | FREED ABS Trust, Series 2022-3FP, Class B                                                  | CUSIP: 35634EAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    860000 | PA      | $847184.88    | 0.18%             | 2029-08-20      | Fixed         | 5.79%                 | Yes           |                  2 | On Loan: No      |
| Amgen, Inc.                                                      | Amgen, Inc.                                                                                | CUSIP: 031162DB3<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    120000 | PA      | $100056.81    | 0.02%             | 2028-08-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Apple, Inc.                                                      | Apple, Inc.                                                                                | CUSIP: 037833DD9<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |    140000 | PA      | $116276.78    | 0.02%             | 2047-09-12      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Anheuser-Busch InBev Worldwide, Inc.                             | Anheuser-Busch InBev Worldwide, Inc.                                                       | CUSIP: 035240AM2<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |    150000 | PA      | $134086.57    | 0.03%             | 2038-04-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA II, 30 Year                                                                           | CUSIP: 3617XW7K1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    346046 | PA      | $304682.04    | 0.06%             | 2052-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                            | Bank of America Corp.                                                                      | CUSIP: 06051GJF7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    150000 | PA      | $115125.83    | 0.02%             | 2031-07-23      | Variable      | 1.90%                 | No            |                  2 | On Loan: No      |
| Banque Federative du Credit Mutuel SA                            | Banque Federative du Credit Mutuel SA                                                      | CUSIP: 06675FAY3<br>LEI: VBHFXSYT7OG62HNT8T76 | Long             | DBT              | CORP              | FR        |    245000 | PA      | $213110.72    | 0.05%             | 2026-10-04      | Fixed         | 1.60%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, Other                                                                                | CUSIP: 31371NT54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2182 | PA      | $2204.66      | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, Other                                                                                | CUSIP: 3140HY3U0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1500000 | PA      | $1117328.54   | 0.24%             | 2035-07-01      | Fixed         | 1.76%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA ACES, Series 2015-M10, Class A2                                                       | CUSIP: 3136AN6U6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    270979 | PA      | $256202.51    | 0.05%             | 2027-04-25      | Variable      | 3.09%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 1505, Class Q                                                         | CUSIP: 312915ZZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        69 | PA      | $68.85        | 0.00%             | 2023-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                            | Vendee Mortgage Trust, Series 1996-1, Class 1Z                                             | CUSIP: 92260MAH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     20830 | PA      | $21243.32     | 0.00%             | 2026-02-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Emera US Finance LP                                              | Emera US Finance LP                                                                        | CUSIP: 29103DAM8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    130000 | PA      | $100302.21    | 0.02%             | 2046-06-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 2182, Class ZB                                                        | CUSIP: 3133TM7F7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14274 | PA      | $14938.15     | 0.00%             | 2029-09-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140HPA80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    155493 | PA      | $154891.02    | 0.03%             | 2048-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Bunge Ltd. Finance Corp.                                         | Bunge Ltd. Finance Corp.                                                                   | CUSIP: 120568BC3<br>LEI: 549300QHC068L40NNM71 | Long             | DBT              | CORP              | US        |    400000 | PA      | $328288.74    | 0.07%             | 2031-05-14      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Nucor Corp.                                                      | Nucor Corp.                                                                                | CUSIP: 670346AU9<br>LEI: 549300GGJCRSI2TIEJ46 | Long             | DBT              | CORP              | US        |     30000 | PA      | $18557.16     | 0.00%             | 2055-12-15      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| Workday, Inc.                                                    | Workday, Inc.                                                                              | CUSIP: 98138HAG6<br>LEI: 549300J0DYC0N31V7G13 | Long             | DBT              | CORP              | US        |    285000 | PA      | $266352.19    | 0.06%             | 2027-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury STRIPS Bonds                                                                 | CUSIP: 9128337T1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1175000 | PA      | $771232.87    | 0.16%             | 2033-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 2484, Class LZ                                                        | CUSIP: 31392R3H2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8884 | PA      | $9119.04      | 0.00%             | 2032-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| 7-Eleven, Inc.                                                   | 7-Eleven, Inc.                                                                             | CUSIP: 817826AD2<br>LEI: 549300K23JPL0SS3LB18 | Long             | DBT              | CORP              | US        |    137000 | PA      | $113547.01    | 0.02%             | 2028-02-10      | Fixed         | 1.30%                 | Yes           |                  2 | On Loan: No      |
| Tennessee Valley Authority                                       | Tennessee Valley Authority                                                                 | CUSIP: 880591ES7<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |    101000 | PA      | $87653.87     | 0.02%             | 2065-09-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Burlington Northern Santa Fe LLC                                 | Burlington Northern Santa Fe LLC                                                           | CUSIP: 12189LAP6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     77000 | PA      | $75131.16     | 0.02%             | 2043-09-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Barclays plc                                                     | Barclays plc                                                                               | CUSIP: 06738EBQ7<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    369000 | PA      | $351253.68    | 0.07%             | 2024-12-10      | Variable      | 1.01%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                                       | AerCap Ireland Capital DAC                                                                 | CUSIP: 00774MAW5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    210000 | PA      | $175932.81    | 0.04%             | 2028-10-29      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Bonds                                                                        | CUSIP: 912810RT7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3103700 | PA      | $2196473.93   | 0.47%             | 2046-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2000-52                                                                | CUSIP: 31358SU66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1236 | PA      | $166.61       | 0.00%             | 2031-01-25      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2005-84, Class XM                                                      | CUSIP: 31394FN50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22024 | PA      | $22203.23     | 0.00%             | 2035-10-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140JAA81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    300305 | PA      | $302265.58    | 0.06%             | 2049-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Berkshire Hathaway Finance Corp.                                 | Berkshire Hathaway Finance Corp.                                                           | CUSIP: 084664BV2<br>LEI: 549300RLHFT5RU20WM87 | Long             | DBT              | CORP              | US        |     62000 | PA      | $55579.77     | 0.01%             | 2043-05-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Trust                                    | Banc of America Funding Trust, Series 2005-7, Class 30PO                                   | CUSIP: 05946XV83<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6830 | PA      | $6165.81      | 0.00%             | 2035-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| International Flavors & Fragrances, Inc.                         | International Flavors & Fragrances, Inc.                                                   | CUSIP: 459506AR2<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |    110000 | PA      | $78465.64     | 0.02%             | 2040-11-15      | Fixed         | 3.27%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                  | Goldman Sachs Group, Inc. (The)                                                            | CUSIP: 38141GZK3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    301000 | PA      | $268005.99    | 0.06%             | 2028-02-24      | Variable      | 2.64%                 | No            |                  2 | On Loan: No      |
| HF Sinclair Corp.                                                | HF Sinclair Corp.                                                                          | CUSIP: 403949AB6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    138000 | PA      | $138115.87    | 0.03%             | 2026-04-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Macquarie Group Ltd.                                             | Macquarie Group Ltd.                                                                       | CUSIP: 55608JBL1<br>LEI: ACMHD8HWFMFUIQQ8Y590 | Long             | DBT              | CORP              | AU        |    330000 | PA      | $332144.57    | 0.07%             | 2024-11-22      | Fixed         | 6.21%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Notes                                                                        | CUSIP: 91282CAL5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1160000 | PA      | $977934.38    | 0.21%             | 2027-09-30      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| Westpac Banking Corp.                                            | Westpac Banking Corp.                                                                      | CUSIP: 961214EY5<br>LEI: EN5TNI6CI43VEPAMHL14 | Long             | DBT              | CORP              | AU        |    221000 | PA      | $145775.53    | 0.03%             | 2041-11-18      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Bonds                                                                        | CUSIP: 912810QK7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1975000 | PA      | $1926550.78   | 0.41%             | 2040-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Teachers Insurance & Annuity Association of America              | Teachers Insurance & Annuity Association of America                                        | CUSIP: 878091BF3<br>LEI: O06XD7BJ4EPXNABVFN69 | Long             | DBT              | CORP              | US        |     50000 | PA      | $40883.25     | 0.01%             | 2047-05-15      | Fixed         | 4.27%                 | Yes           |                  2 | On Loan: No      |
| Diageo Capital plc                                               | Diageo Capital plc                                                                         | CUSIP: 25243YBC2<br>LEI: 213800L23DJLALFC4O95 | Long             | DBT              | CORP              | GB        |    350000 | PA      | $320916.12    | 0.07%             | 2025-09-29      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury STRIPS Bonds                                                                 | CUSIP: 9128337N4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    500000 | PA      | $363785.40    | 0.08%             | 2030-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Assurant, Inc.                                                   | Assurant, Inc.                                                                             | CUSIP: 04621XAH1<br>LEI: H3F39CAXWQRVWURFXL38 | Long             | DBT              | CORP              | US        |     63000 | PA      | $62298.02     | 0.01%             | 2023-09-27      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Aviation Capital Group LLC                                       | Aviation Capital Group LLC                                                                 | CUSIP: 05369AAC5<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |    100000 | PA      | $99186.58     | 0.02%             | 2023-05-01      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-41, Class 3A             | CUSIP: 31392MEN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6503 | PA      | $6221.70      | 0.00%             | 2032-07-25      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| WRKCo, Inc.                                                      | WRKCo, Inc.                                                                                | CUSIP: 92940PAE4<br>LEI: 549300JEB576INN13W07 | Long             | DBT              | CORP              | US        |     35000 | PA      | $32162.69     | 0.01%             | 2028-06-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA I, 30 Year                                                                            | CUSIP: 36290UE28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26737 | PA      | $27419.57     | 0.01%             | 2037-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC Trust, Whole Loan, Series 2002-W7, Class A4                                    | CUSIP: 31392DD41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101374 | PA      | $99188.27     | 0.02%             | 2029-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, STRIPS, Series 233, Class 11                                                        | CUSIP: 31282YDW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18379 | PA      | $3757.61      | 0.00%             | 2035-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Aker BP ASA                                                      | Aker BP ASA                                                                                | CUSIP: 55037AAA6<br>LEI: 549300NFTY73920OYK69 | Long             | DBT              | CORP              | NO        |    200000 | PA      | $176662.16    | 0.04%             | 2026-07-15      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC Gold Pools, 30 Year                                                                  | CUSIP: 31292G2S4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4144 | PA      | $4253.03      | 0.00%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Bonds                                                                        | CUSIP: 912810TA6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    515000 | PA      | $352433.01    | 0.07%             | 2041-08-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA ACES, Series 2020-M50, Class A2                                                       | CUSIP: 3136BCGS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    330000 | PA      | $283035.26    | 0.06%             | 2030-10-25      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| Kingdom of Saudi Arabia                                          | Kingdom of Saudi Arabia                                                                    | CUSIP: 80413TAV1<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |    200000 | PA      | $161537.50    | 0.03%             | 2033-02-02      | Fixed         | 2.25%                 | Yes           |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                     | Pacific Gas and Electric Co.                                                               | CUSIP: 694308HR1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    230000 | PA      | $153981.14    | 0.03%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA UMBS, 30 Year                                                                         | CUSIP: 31371HDQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       696 | PA      | $706.33       | 0.00%             | 2029-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Glencore Funding LLC                                             | Glencore Funding LLC                                                                       | CUSIP: 378272AF5<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |    112000 | PA      | $111415.89    | 0.02%             | 2023-05-30      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| SLG Office Trust                                                 | SLG Office Trust, Series 2021-OVA, Class A                                                 | CUSIP: 78449RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    930000 | PA      | $741884.72    | 0.16%             | 2041-07-15      | Fixed         | 2.59%                 | Yes           |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                                       | AerCap Ireland Capital DAC                                                                 | CUSIP: 00774MAX3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    195000 | PA      | $152443.35    | 0.03%             | 2032-01-30      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, Other                                                                                | CUSIP: 3140FXQS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    798943 | PA      | $732936.09    | 0.16%             | 2060-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, 30 Year                                                                              | CUSIP: 31383LSQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4086 | PA      | $4091.84      | 0.00%             | 2025-04-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| UDR, Inc.                                                        | UDR, Inc.                                                                                  | CUSIP: 90265EAT7<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              | CORP              | US        |    160000 | PA      | $117547.24    | 0.02%             | 2032-08-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA I, 30 Year                                                                            | CUSIP: 36209CR24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       759 | PA      | $780.05       | 0.00%             | 2028-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                                       | AT&T, Inc.                                                                                 | CUSIP: 00206RJX1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    520000 | PA      | $462482.20    | 0.10%             | 2027-06-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA II, 30 Year                                                                           | CUSIP: 36179WQA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2307193 | PA      | $2002108.77   | 0.43%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HERO Funding                                                     | HERO Funding, Series 2017-3A, Class A2                                                     | CUSIP: 42771AAB2<br>LEI: 549300Z5C0ID42MSJA91 | Long             | ABS-O            | CORP              | KY        |     94547 | PA      | $87316.51     | 0.02%             | 2048-09-20      | Fixed         | 3.95%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                             | FNMA, Other                                                                                | CUSIP: 31418BZK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    368198 | PA      | $342097.62    | 0.07%             | 2046-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| OneMain Direct Auto Receivables Trust                            | OneMain Direct Auto Receivables Trust, Series 2019-1A, Class B                             | CUSIP: 68267EAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $926200.00    | 0.20%             | 2028-11-14      | Fixed         | 3.95%                 | Yes           |                  2 | On Loan: No      |
| Bank of Montreal                                                 | Bank of Montreal                                                                           | CUSIP: 06368BGS1<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |     47000 | PA      | $41384.46     | 0.01%             | 2032-12-15      | Variable      | 3.80%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC                                                                                      | CUSIP: 3128JNBN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16719 | PA      | $16335.41     | 0.00%             | 2035-03-01      | Variable      | 2.23%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                          | BPCE SA                                                                                    | CUSIP: 05578AAP3<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    305000 | PA      | $267375.04    | 0.06%             | 2026-01-20      | Fixed         | 1.00%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Notes                                                                        | CUSIP: 91282CCS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    250000 | PA      | $202714.85    | 0.04%             | 2031-08-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Kroger Co. (The)                                                 | Kroger Co. (The)                                                                           | CUSIP: 501044CN9<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |     18000 | PA      | $17210.68     | 0.00%             | 2040-07-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Entergy Louisiana LLC                                            | Entergy Louisiana LLC                                                                      | CUSIP: 29364WAY4<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |     59000 | PA      | $53627.77     | 0.01%             | 2026-10-01      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Camillo Issuer LLC                                               | Camillo Issuer LLC, Class 1-A-1                                                            | CUSIP: 133715AA0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    346179 | PA      | $343062.93    | 0.07%             | 2023-12-05      | Fixed         | 5.00%                 | No            |                  3 | On Loan: No      |
| AMSR Trust                                                       | AMSR Trust, Series 2020-SFR1, Class E                                                      | CUSIP: 00180AAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    850000 | PA      | $777059.80    | 0.17%             | 2037-04-17      | Fixed         | 3.22%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                             | GNMA I, 30 Year                                                                            | CUSIP: 36206APU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       204 | PA      | $204.01       | 0.00%             | 2025-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| PG&E Recovery Funding LLC                                        | PG&E Recovery Funding LLC, Series A-3                                                      | CUSIP: 71710TAF5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    245000 | PA      | $248187.47    | 0.05%             | 2047-07-15      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| Brown & Brown, Inc.                                              | Brown & Brown, Inc.                                                                        | CUSIP: 115236AC5<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |    460000 | PA      | $349983.50    | 0.07%             | 2031-03-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | Morgan Stanley                                                                             | CUSIP: 61744YAK4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    222000 | PA      | $203629.64    | 0.04%             | 2028-07-22      | Variable      | 3.59%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA, Series 2015-H30, Class FE                                                            | CUSIP: 38376RLL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    522594 | PA      | $518116.65    | 0.11%             | 2065-11-20      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 1865, Class D                                                         | CUSIP: 3133T7HX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       782 | PA      | $764.96       | 0.00%             | 2024-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140M3AF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1343853 | PA      | $1143538.72   | 0.24%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, Other                                                                                | CUSIP: 3140FXUL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    957400 | PA      | $943492.20    | 0.20%             | 2061-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Securitization Trust                                 | MASTR Asset Securitization Trust, Series 2004-6, Class 15PO                                | CUSIP: 57643MDJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        82 | PA      | $81.44        | 0.00%             | 2019-07-25      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Ventas Realty LP                                                 | Ventas Realty LP                                                                           | CUSIP: 92277GAL1<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |     49000 | PA      | $46023.11     | 0.01%             | 2027-04-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140GTF39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    175734 | PA      | $169975.91    | 0.04%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Baltimore Gas and Electric Co.                                   | Baltimore Gas and Electric Co.                                                             | CUSIP: 059165EM8<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |    110000 | PA      | $72690.51     | 0.02%             | 2050-06-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Delmarva Power & Light Co.                                       | Delmarva Power & Light Co.                                                                 | CUSIP: 247109BT7<br>LEI: NJ98T8DDD027ZFXUDB24 | Long             | DBT              | CORP              | US        |     50000 | PA      | $40170.57     | 0.01%             | 2045-05-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                             | FREMF Mortgage Trust, Series 2019-K102, Class B                                            | CUSIP: 30312WAE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    750000 | PA      | $629910.75    | 0.13%             | 2051-12-25      | Variable      | 3.53%                 | Yes           |                  2 | On Loan: No      |
| Keurig Dr Pepper, Inc.                                           | Keurig Dr Pepper, Inc.                                                                     | CUSIP: 26138EAY5<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |     64000 | PA      | $52563.28     | 0.01%             | 2046-12-15      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| Santander UK Group Holdings plc                                  | Santander UK Group Holdings plc                                                            | CUSIP: 80281LAQ8<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |    220000 | PA      | $187064.40    | 0.04%             | 2027-06-14      | Variable      | 1.67%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Notes                                                                        | CUSIP: 91282CFB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2230000 | PA      | $2109876.17   | 0.45%             | 2027-07-31      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | Morgan Stanley                                                                             | CUSIP: 61744YAP3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     96000 | PA      | $87912.42     | 0.02%             | 2029-01-24      | Variable      | 3.77%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes Trust                                             | FirstKey Homes Trust, Series 2022-SFR2, Class E1                                           | CUSIP: 33767PAJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    900000 | PA      | $752403.78    | 0.16%             | 2039-07-17      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                            | Vendee Mortgage Trust, Series 1994-1, Class 1                                              | CUSIP: 911760DD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2308 | PA      | $2287.10      | 0.00%             | 2024-02-15      | Variable      | 4.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 1993-205, Class H                                                      | CUSIP: 31359EK34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       114 | PA      | $112.26       | 0.00%             | 2023-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2002-15                                                                | CUSIP: 31392CKM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23482 | PA      | $21425.91     | 0.00%             | 2032-04-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                               | United Airlines Pass-Through Trust, Series 2019-2, Class AA                                | CUSIP: 90932JAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    196364 | PA      | $158441.71    | 0.03%             | 2032-05-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| MRCD MARK Mortgage Trust                                         | MRCD MARK Mortgage Trust, Series 2019-PARK, Class D                                        | CUSIP: 55348UAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    987000 | PA      | $879387.29    | 0.19%             | 2036-12-15      | Fixed         | 2.72%                 | Yes           |                  2 | On Loan: No      |
| NRZ Excess Spread-Collateralized Notes                           | NRZ Excess Spread-Collateralized Notes, Series 2021-FHT1, Class A                          | CUSIP: 62955MAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1280826 | PA      | $1117843.33   | 0.24%             | 2026-07-25      | Fixed         | 3.10%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, Other                                                                                | CUSIP: 3140FXTQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    897847 | PA      | $901388.48    | 0.19%             | 2049-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ING Groep NV                                                     | ING Groep NV                                                                               | CUSIP: 456837AH6<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |    200000 | PA      | $189427.95    | 0.04%             | 2027-03-29      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                        | HCA, Inc.                                                                                  | CUSIP: 404119BV0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    245000 | PA      | $217589.66    | 0.05%             | 2047-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CVS Pass-Through Trust                                           | CVS Pass-Through Trust, Series 2009                                                        | CUSIP: 126659AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     59916 | PA      | $65496.07     | 0.01%             | 2031-07-10      | Fixed         | 8.35%                 | Yes           |                  2 | On Loan: No      |
| Paramount Global                                                 | Paramount Global                                                                           | CUSIP: 124857AQ6<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |     42000 | PA      | $40272.39     | 0.01%             | 2026-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Schlumberger Finance Canada Ltd.                                 | Schlumberger Finance Canada Ltd.                                                           | CUSIP: 80685XAC5<br>LEI: 549300P4EXZFF0LRNF59 | Long             | DBT              | CORP              | CA        |    300000 | PA      | $274774.79    | 0.06%             | 2025-09-17      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA II, 30 Year                                                                           | CUSIP: 3617LAZA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    477387 | PA      | $476305.94    | 0.10%             | 2049-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Estee Lauder Cos., Inc. (The)                                    | Estee Lauder Cos., Inc. (The)                                                              | CUSIP: 29736RAM2<br>LEI: 549300VFZ8XJ9NUPU221 | Long             | DBT              | CORP              | US        |    150000 | PA      | $106737.27    | 0.02%             | 2049-12-01      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Consumer Receivables Asset Investment Trust                      | Consumer Receivables Asset Investment Trust, Series 2021-1, Class A1X                      | CUSIP: 21056K104<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    715347 | PA      | $716681.58    | 0.15%             | 2023-03-24      | Floating      | 8.21%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Multi-Family WI Certificates                               | FHLMC Multi-Family WI Certificates, Series K153, Class A2                                  | CUSIP: 3137H9CE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $939985.40    | 0.20%             | 2033-01-25      | Fixed         | 3.82%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                             | FREMF Mortgage Trust, Series 2014-K40, Class C                                             | CUSIP: 30285FAG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    168000 | PA      | $161267.95    | 0.03%             | 2047-11-25      | Variable      | 4.07%                 | Yes           |                  2 | On Loan: No      |
| Boeing Co. (The)                                                 | Boeing Co. (The)                                                                           | CUSIP: 097023CM5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    640000 | PA      | $577703.05    | 0.12%             | 2027-02-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA II                                                                                    | CUSIP: 3617FRAU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    903005 | PA      | $949326.71    | 0.20%             | 2072-07-20      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| Abbott Laboratories                                              | Abbott Laboratories                                                                        | CUSIP: 002824BG4<br>LEI: HQD377W2YR662HK5JX27 | Long             | DBT              | CORP              | US        |    130000 | PA      | $128678.90    | 0.03%             | 2036-11-30      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Business Jet Securities LLC                                      | Business Jet Securities LLC, Series 2021-1A, Class A                                       | CUSIP: 12327BAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    680935 | PA      | $597897.05    | 0.13%             | 2036-04-15      | Fixed         | 2.16%                 | Yes           |                  3 | On Loan: No      |
| NRZ Excess Spread-Collateralized Notes                           | NRZ Excess Spread-Collateralized Notes, Series 2020-PLS1, Class A                          | CUSIP: 433674AA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    557622 | PA      | $508181.24    | 0.11%             | 2025-12-25      | Fixed         | 3.84%                 | Yes           |                  2 | On Loan: No      |
| Equinix, Inc.                                                    | Equinix, Inc.                                                                              | CUSIP: 29444UBR6<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |    463000 | PA      | $390841.27    | 0.08%             | 2028-05-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| NiSource, Inc.                                                   | NiSource, Inc.                                                                             | CUSIP: 65473PAH8<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |     85000 | PA      | $73719.89     | 0.02%             | 2029-09-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| TSMC Global Ltd.                                                 | TSMC Global Ltd.                                                                           | CUSIP: 872882AN5<br>LEI: 549300N2ZLI21P85T117 | Long             | DBT              | CORP              | VG        |    200000 | PA      | $196936.00    | 0.04%             | 2032-07-22      | Fixed         | 4.62%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Global Markets Mortgage Securities VII, Inc.           | Citigroup Global Markets Mortgage Securities VII, Inc., Series 2003-HYB1, Class A          | CUSIP: 79549AYG8<br>LEI: 549300VB2N1G56GWKB41 | Long             | ABS-MBS          | CORP              | US        |      3853 | PA      | $3804.71      | 0.00%             | 2033-09-25      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| MidAmerican Energy Co.                                           | MidAmerican Energy Co.                                                                     | CUSIP: 595620AM7<br>LEI: NINLOILYRTLIMK26MZ18 | Long             | DBT              | CORP              | US        |     59000 | PA      | $57658.28     | 0.01%             | 2024-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                    | WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR9, Class 1A6                  | CUSIP: 92922FBV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13546 | PA      | $12428.20     | 0.00%             | 2033-09-25      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| Sumitomo Mitsui Trust Bank Ltd.                                  | Sumitomo Mitsui Trust Bank Ltd.                                                            | CUSIP: 86563VAV1<br>LEI: 5493006GGLR4BTEL8O61 | Long             | DBT              | CORP              | JP        |    403000 | PA      | $358792.64    | 0.08%             | 2026-03-25      | Fixed         | 1.55%                 | Yes           |                  2 | On Loan: No      |
| Constellation Energy Generation LLC                              | Constellation Energy Generation LLC                                                        | CUSIP: 30161MAJ2<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |    144000 | PA      | $139721.17    | 0.03%             | 2041-10-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| PNMAC GMSR Issuer Trust                                          | PNMAC GMSR ISSUER TRUST, Series 2022-GT1, Class A                                          | CUSIP: 69354WAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    850000 | PA      | $803391.70    | 0.17%             | 2027-05-25      | Floating      | 8.18%                 | Yes           |                  2 | On Loan: No      |
| Targa Resources Corp.                                            | Targa Resources Corp.                                                                      | CUSIP: 87612GAA9<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |    100000 | PA      | $86036.34     | 0.02%             | 2033-02-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, Other                                                                                | CUSIP: 3140LHAF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    936000 | PA      | $878138.66    | 0.19%             | 2032-09-01      | Fixed         | 3.68%                 | No            |                  2 | On Loan: No      |
| Avid Automobile Receivables Trust                                | Avid Automobile Receivables Trust, Series 2021-1, Class C                                  | CUSIP: 05369LAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1210000 | PA      | $1153384.83   | 0.25%             | 2026-05-15      | Fixed         | 1.55%                 | Yes           |                  2 | On Loan: No      |
| HF Sinclair Corp.                                                | HF Sinclair Corp.                                                                          | CUSIP: 403949AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    255000 | PA      | $249693.70    | 0.05%             | 2023-10-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Southwest Gas Corp.                                              | Southwest Gas Corp.                                                                        | CUSIP: 844895AX0<br>LEI: OQQR1IQTGBKH0UR88X59 | Long             | DBT              | CORP              | US        |     44000 | PA      | $30289.29     | 0.01%             | 2046-09-29      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Penske Truck Leasing Co. LP                                      | Penske Truck Leasing Co. LP                                                                | CUSIP: 709599AX2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     75000 | PA      | $70369.26     | 0.01%             | 2027-04-01      | Fixed         | 4.20%                 | Yes           |                  2 | On Loan: No      |
| Mount Sinai Hospitals Group, Inc.                                | Mount Sinai Hospitals Group, Inc., Series 2017                                             | CUSIP: 623115AD4<br>LEI: 549300IJEDK5LH7YPT15 | Long             | DBT              | CORP              | US        |     83000 | PA      | $64187.64     | 0.01%             | 2048-07-01      | Fixed         | 3.98%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, Other                                                                                | CUSIP: 3140J2H58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1196941 | PA      | $969902.53    | 0.21%             | 2030-10-01      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Bonds                                                                        | CUSIP: 912810RG5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1000000 | PA      | $881757.81    | 0.19%             | 2044-05-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| SITE Centers Corp.                                               | SITE Centers Corp.                                                                         | CUSIP: 23317HAD4<br>LEI: W2AVA6SODOQ1LCYJQR54 | Long             | DBT              | CORP              | US        |     61000 | PA      | $57571.33     | 0.01%             | 2025-02-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 3085, Class VS                                                        | CUSIP: 31396FSL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31007 | PA      | $32783.74     | 0.01%             | 2035-12-15      | Floating      | 11.45%                | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust                            | MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 2A1                           | CUSIP: 576433UE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6737 | PA      | $6337.73      | 0.00%             | 2034-04-21      | Variable      | 4.02%                 | No            |                  2 | On Loan: No      |
| Corporate Office Properties LP                                   | Corporate Office Properties LP                                                             | CUSIP: 22003BAM8<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              | CORP              | US        |    326000 | PA      | $243978.89    | 0.05%             | 2031-04-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Notes                                                                        | CUSIP: 912828V98<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    293000 | PA      | $272661.68    | 0.06%             | 2027-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Phillips 66 Co.                                                  | Phillips 66 Co.                                                                            | CUSIP: 718547AN2<br>LEI: RVJMT2IZVVSKIRJJBH76 | Long             | DBT              | CORP              | US        |     37000 | PA      | $32746.31     | 0.01%             | 2046-10-01      | Fixed         | 4.90%                 | Yes           |                  2 | On Loan: No      |
| Entergy Arkansas LLC                                             | Entergy Arkansas LLC                                                                       | CUSIP: 29364DAU4<br>LEI: 549300A0I5ONUIFMLP35 | Long             | DBT              | CORP              | US        |     22000 | PA      | $21115.04     | 0.00%             | 2026-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Avangrid, Inc.                                                   | Avangrid, Inc.                                                                             | CUSIP: 05351WAA1<br>LEI: 549300OX0Q38NLSKPB49 | Long             | DBT              | CORP              | US        |     72000 | PA      | $68815.48     | 0.01%             | 2024-12-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA UMBS, 30 Year                                                                         | CUSIP: 31413GEC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3890 | PA      | $3949.71      | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Edison International                                             | Edison International                                                                       | CUSIP: 281020AQ0<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |    284000 | PA      | $274166.86    | 0.06%             | 2024-11-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 2178, Class PB                                                        | CUSIP: 3133TLUH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8223 | PA      | $8525.88      | 0.00%             | 2029-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA I, 30 Year                                                                            | CUSIP: 36208HR40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1430 | PA      | $1433.53      | 0.00%             | 2027-10-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA, Series 2009-14, Class KI                                                             | CUSIP: 38374XBQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25939 | PA      | $3548.68      | 0.00%             | 2039-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                  | Citigroup, Inc.                                                                            | CUSIP: 17327CAQ6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    171000 | PA      | $137999.52    | 0.03%             | 2033-01-25      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| Fortis, Inc.                                                     | Fortis, Inc.                                                                               | CUSIP: 349553AM9<br>LEI: 549300MQYQ9Y065XPR71 | Long             | DBT              | CORP              | CA        |    124000 | PA      | $115021.09    | 0.02%             | 2026-10-04      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| ORIX Corp.                                                       | ORIX Corp.                                                                                 | CUSIP: 686330AK7<br>LEI: 35380016EMHNBOVYE123 | Long             | DBT              | CORP              | JP        |    100000 | PA      | $96306.36     | 0.02%             | 2024-12-04      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| PHH Alternative Mortgage Trust                                   | PHH Alternative Mortgage Trust, Series 2007-2, Class 2X                                    | CUSIP: 69337HAX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     73229 | PA      | $14765.17     | 0.00%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Bonds                                                                        | CUSIP: 912810QB7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    945000 | PA      | $973276.18    | 0.21%             | 2039-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| UniCredit SpA                                                    | UniCredit SpA                                                                              | CUSIP: 904678AW9<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |    200000 | PA      | $170503.59    | 0.04%             | 2027-06-03      | Variable      | 1.98%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Notes                                                                        | CUSIP: 912828P46<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     59400 | PA      | $54935.72     | 0.01%             | 2026-02-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Trust                                    | Banc of America Funding Trust, Series 2004-1                                               | CUSIP: 05946XGF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7827 | PA      | $5441.16      | 0.00%             | 2034-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Whole Loan, Series 2003-7, Class A1                                           | CUSIP: 31392HY64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86762 | PA      | $89043.06     | 0.02%             | 2042-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury STRIPS Bonds                                                                 | CUSIP: 912833PA2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     23000 | PA      | $19795.38     | 0.00%             | 2026-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Northwestern Mutual Global Funding                               | Northwestern Mutual Global Funding                                                         | CUSIP: 66815L2D0<br>LEI: 635400LZXFVELZDVP257 | Long             | DBT              | CORP              | US        |    195000 | PA      | $164785.42    | 0.04%             | 2028-06-01      | Fixed         | 1.70%                 | Yes           |                  2 | On Loan: No      |
| American Homes 4 Rent Trust                                      | American Homes 4 Rent Trust, Series 2014-SFR3, Class A                                     | CUSIP: 02665XAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    212566 | PA      | $204633.97    | 0.04%             | 2036-12-17      | Fixed         | 3.68%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2010-134, Class KZ                                                     | CUSIP: 31398SND1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    192678 | PA      | $175169.92    | 0.04%             | 2040-12-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Brookfield Finance, Inc.                                         | Brookfield Finance, Inc.                                                                   | CUSIP: 11271LAC6<br>LEI: 549300XH8D8K6OYWGD17 | Long             | DBT              | CORP              | CA        |     55000 | PA      | $50429.83     | 0.01%             | 2028-01-25      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Chevron USA, Inc.                                                | Chevron USA, Inc.                                                                          | CUSIP: 166756AS5<br>LEI: VA8TZDWPEZYU430RZ444 | Long             | DBT              | CORP              | US        |    110000 | PA      | $100872.32    | 0.02%             | 2029-10-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Suncor Energy, Inc.                                              | Suncor Energy, Inc.                                                                        | CUSIP: 867229AD8<br>LEI: 549300W70ZOQDVLCHY06 | Long             | DBT              | CORP              | CA        |     60000 | PA      | $59634.46     | 0.01%             | 2034-12-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| New York Life Insurance Co.                                      | New York Life Insurance Co.                                                                | CUSIP: 64952GAQ1<br>LEI: TAE73CY392TBWJ3O3305 | Long             | DBT              | CORP              | US        |    105000 | PA      | $86413.34     | 0.02%             | 2069-05-15      | Fixed         | 4.45%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, Multi-Family Structured Pass-Through Certificates, Series KL06, Class XFX           | CUSIP: 3137F84J9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4215000 | PA      | $275418.64    | 0.06%             | 2029-12-25      | Variable      | 1.36%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC Gold Pools, 30 Year                                                                  | CUSIP: 3132L8N86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    372485 | PA      | $366213.24    | 0.08%             | 2047-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA UMBS, 30 Year                                                                         | CUSIP: 31416MV68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     97538 | PA      | $95283.80     | 0.02%             | 2039-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Microsoft Corp.                                                  | Microsoft Corp.                                                                            | CUSIP: 594918CF9<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |     40000 | PA      | $27636.83     | 0.01%             | 2062-03-17      | Fixed         | 3.04%                 | No            |                  2 | On Loan: No      |
| Tennessee Valley Authority                                       | Tennessee Valley Authority                                                                 | CUSIP: 880591EJ7<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |     93000 | PA      | $86928.43     | 0.02%             | 2060-09-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                            | Bank of America Corp.                                                                      | CUSIP: 06051GJZ3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    204000 | PA      | $171664.79    | 0.04%             | 2029-06-14      | Variable      | 2.09%                 | No            |                  2 | On Loan: No      |
| Alabama Power Co.                                                | Alabama Power Co.                                                                          | CUSIP: 010392EZ7<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |     62000 | PA      | $65680.21     | 0.01%             | 2038-05-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Athene Global Funding                                            | Athene Global Funding                                                                      | CUSIP: 04685A2K6<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    515000 | PA      | $464634.92    | 0.10%             | 2026-11-12      | Fixed         | 2.95%                 | Yes           |                  2 | On Loan: No      |
| Constellation Brands, Inc.                                       | Constellation Brands, Inc.                                                                 | CUSIP: 21036PBD9<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |     25000 | PA      | $23420.60     | 0.00%             | 2048-11-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Air Canada Pass-Through Trust                                    | Air Canada Pass-Through Trust, Series 2013-1, Class A                                      | CUSIP: 009089AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |     86183 | PA      | $78815.52     | 0.02%             | 2025-05-15      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| Corning, Inc.                                                    | Corning, Inc.                                                                              | CUSIP: 219350BP9<br>LEI: 549300X2937PB0CJ7I56 | Long             | DBT              | CORP              | US        |    284000 | PA      | $206733.95    | 0.04%             | 2049-11-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2005-3, Class CX  | CUSIP: 9393365L3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     97124 | PA      | $15772.08     | 0.00%             | 2035-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Tyson Foods, Inc.                                                | Tyson Foods, Inc.                                                                          | CUSIP: 902494AY9<br>LEI: WD6L6041MNRW1JE49D58 | Long             | DBT              | CORP              | US        |     90000 | PA      | $83292.82     | 0.02%             | 2044-08-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2008-16, Class IS                                                      | CUSIP: 31396YTG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6393 | PA      | $438.08       | 0.00%             | 2038-03-25      | Floating      | 1.81%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                          | MPLX LP                                                                                    | CUSIP: 55336VAE0<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    213000 | PA      | $212138.55    | 0.05%             | 2023-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2007-53, Class SH                                                      | CUSIP: 31396WCQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29287 | PA      | $2057.83      | 0.00%             | 2037-06-25      | Floating      | 1.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA UMBS, 30 Year                                                                         | CUSIP: 31385JEL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19809 | PA      | $20553.05     | 0.00%             | 2032-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Bonds                                                                        | CUSIP: 912810SW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1110000 | PA      | $784544.54    | 0.17%             | 2041-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Duke Energy Ohio, Inc.                                           | Duke Energy Ohio, Inc.                                                                     | CUSIP: 26442EAE0<br>LEI: L6KC0HABGHNFU1Z6QY21 | Long             | DBT              | CORP              | US        |     46000 | PA      | $33872.57     | 0.01%             | 2046-06-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-01-30

**Name of Applicant:** JPMORGAN INSURANCE TRUST

**Signature:** Timothy J. Clemens

**Name of Signer:** Timothy J. Clemens

**Title:** Treasurer and Principal Financial Officer