# EDGAR Filing Document

**Accession Number:** 0000930709
**File Stem:** 0001752724-23-035882
**Filing Date:** 2023-2
**Character Count:** 217756
**Document Hash:** 9154d69cb69b0059fdfa7ddf7d4d20fc
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-035882.hdr.sgml**: 20230223

**ACCESSION NUMBER**: 0001752724-23-035882

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221230

**FILED AS OF DATE**: 20230223

**DATE AS OF CHANGE**: 20230223

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** PIONEER VARIABLE CONTRACTS TRUST /MA/
- **CENTRAL INDEX KEY:** 0000930709
- **IRS NUMBER:** 000000000
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-08786
- **FILM NUMBER:** 23657584

**BUSINESS ADDRESS:**
- **STREET 1:** 60 STATE ST
- **STREET 2:** 5TH FLOOR
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02109
- **BUSINESS PHONE:** 617-742-7825

**MAIL ADDRESS:**
- **STREET 1:** 60 STATE ST
- **STREET 2:** 5TH FLOOR
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 021091820

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** VARIABLE INSURANCE CONTRACTS TRUST
- **DATE OF NAME CHANGE:** 19940929

## Series and Classes Contracts Data

### Pioneer Strategic Income VCT Portfolio (Series ID: S000010163)

| Class ID   | Class Name                                       | Ticker Symbol   |
|:---|:---|:---|
| C000028190 | Pioneer Strategic Income VCT Portfolio: Class I  |  |
| C000028191 | Pioneer Strategic Income VCT Portfolio: Class II |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** PIONEER VARIABLE CONTRACTS TRUST /MA/

- **b. Investment Company Act file number:** 811-08786

- **c. CIK number of Registrant:** 0000930709

- **d. LEI of Registrant:** 549300VNR8Z3H6PB2X77

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

  - **Street Address 1:** 60 State Street

  - **City:** Boston

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02109

  - **Telephone number:** 617-422-4947

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

- **a. Name of Series:** Pioneer Strategic Income VCT Portfolio

- **b. EDGAR series identifier (if any):** S000010163

- **c. LEI of Series:** KIE2348SOBWF0QF72O51

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

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

- **b. Date as of which information is reported:** 2022-12-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $36206371.58

**Total Liabilities:** $3847080.85

**Net Assets:** $32359290.73

**Stand-by Commitments:** $2924653.14

**Cash Not Reported:** $386226.34

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -559.00000000 | **1-Year:** 0.00000000 | **5-Year:** -2964.00000000 | **10-Year:** -5584.00000000 | **30-Year:** -5969.00000000

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

- **3-Month:** -1.00000000 | **1-Year:** -54.00000000 | **5-Year:** -2800.00000000 | **10-Year:** 494.00000000 | **30-Year:** -3186.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000028191 | -2.23%               | 4.19%                | -0.07%               |
| Class ID C000028190 | -2.09%               | 4.08%                | -0.05%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-191247.17              | $-236073.80                                |
| Month 2  | $-115422.90              | $1108540.91                                |
| Month 3  | $-92056.17               | $-51680.17                                 |

**Designated Index Information**

- **Index Name:** 65% Bloomberg US High Yield, 35% Bloomberg Barclays US Universal

- **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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Multifamily Connecticut Avenue              | Multifamily Connecticut Avenue Securities Trust 2019-01                          | CUSIP: 62547NAB5<br>LEI: 549300HG8ZEWVWVSN227 | Long             | ABS-MBS          | CORP              | US        |      94329 | PA      | $88564.37     | 0.27%             | 2049-10-25      | Floating      | 7.64%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                            | Connecticut Avenue Securities Trust 2022-R02                                     | CUSIP: 20754BAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     220000 | PA      | $208114.46    | 0.64%             | 2042-01-25      | Floating      | 8.43%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36177Q3V3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      62393 | PA      | $60087.00     | 0.19%             | 2042-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| VFI ABS LLC                                 | VFI ABS 2022-1 LLC                                                               | CUSIP: 91824CAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     100000 | PA      | $94204.22     | 0.29%             | 2029-11-26      | Fixed         | 6.68%                 | No            |                  2 | On Loan: No      |
| JETBLUE AIRWAYS CORP                        | JetBlue 2020-1 Class A Pass Through Trust                                        | CUSIP: 477164AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      18252 | PA      | $16226.90     | 0.05%             | 2032-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Westgate Resorts                            | Westgate Resorts 2022-1 LLC                                                      | CUSIP: 96034JAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     187614 | PA      | $174048.19    | 0.54%             | 2036-08-20      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31418D2H4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12246 | PA      | $11507.95     | 0.04%             | 2051-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                        | FREMF 2018-KHG1 Mortgage Trust                                                   | CUSIP: 30309FAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      75000 | PA      | $67125.95     | 0.21%             | 2027-12-25      | Variable      | 3.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36213MYE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        715 | PA      | $739.40       | 0.00%             | 2033-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SOUTH BROWARD FL HOSP DIST                  | South Broward Hospital District                                                  | CUSIP: 836753NK5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      15000 | PA      | $9677.25      | 0.03%             | 2047-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| NCR CORP                                    | NCR Corp                                                                         | CUSIP: 62886EAY4<br>LEI: 549300YKTY8JX1DV2R67 | Long             | DBT              | CORP              | US        |      25000 | PA      | $21313.36     | 0.07%             | 2028-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36216UV87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        208 | PA      | $213.83       | 0.00%             | 2029-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 3132XUZP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1351 | PA      | $1211.60      | 0.00%             | 2047-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Lorenz Re 2019, 6/30/22                     | Lorenz Re 2019, 6/30/22                                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      20578 | PA      | $37.04        | 0.00%             | 2023-06-30      | Floating      | 0.01%                 | Yes           |                  3 | On Loan: No      |
| PETROLEOS MEXICANOS                         | Petroleos Mexicanos                                                              | CUSIP: 71643VAB1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |      40000 | PA      | $31409.88     | 0.10%             | 2032-02-16      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| LEVEL 3 FINANCING INC                       | Level 3 Financing Inc                                                            | CUSIP: 527298BN2<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |      41000 | PA      | $34132.50     | 0.11%             | 2027-09-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Desarrolladora Homex SAB de CV              | Desarrolladora Homex SAB de CV                                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | MX        |      15463 | NS      | $21.43        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Palisades Center Trust                      | Palisades Center Trust 2016-PLSD                                                 | CUSIP: 69640GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      40000 | PA      | $26200.00     | 0.08%             | 2033-04-13      | Fixed         | 2.71%                 | No            |                  2 | On Loan: No      |
| Pear LLC                                    | PEAR 2021-1 LLC                                                                  | CUSIP: 70472TAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     100000 | PA      | $69065.00     | 0.21%             | 2034-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38381YRH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     159922 | PA      | $3433.75      | 0.01%             | 2049-09-20      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38382AFF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     236900 | PA      | $39649.81     | 0.12%             | 2049-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2022-INV1                                               | CUSIP: 465973BY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      98082 | PA      | $65800.81     | 0.20%             | 2052-03-25      | Variable      | 3.30%                 | No            |                  2 | On Loan: No      |
| LCM INVESTMENTS HOLDINGS                    | LCM Investments Holdings II LLC                                                  | CUSIP: 50190EAA2<br>LEI: 549300P5V78NNQTG4428 | Long             | DBT              | CORP              | US        |      35000 | PA      | $28027.60     | 0.09%             | 2029-05-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Provident Funding Mortgage Tru              | Provident Funding Mortgage Trust 2021-J1                                         | CUSIP: 74387MBA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      96337 | PA      | $62150.55     | 0.19%             | 2051-10-25      | Variable      | 2.64%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 3617GSGY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14565 | PA      | $13873.49     | 0.04%             | 2048-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 3128M6VZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2278 | PA      | $2324.66      | 0.01%             | 2038-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38381XEA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      70052 | PA      | $1040.72      | 0.00%             | 2049-07-20      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust              | Morgan Stanley Capital I Trust 2018-MP                                           | CUSIP: 61691DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $87132.92     | 0.27%             | 2040-07-11      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |
| Arivo Acceptance Auto Loan Rec              | Arivo Acceptance Auto Loan Receivables Trust 2022-2                              | CUSIP: 04047JAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     100000 | PA      | $101273.37    | 0.31%             | 2029-03-15      | Fixed         | 9.84%                 | No            |                  2 | On Loan: No      |
| WINDSTREAM ESCROW LLC                       | Windstream Escrow LLC / Windstream Escrow Finance Corp                           | CUSIP: 97382WAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      35000 | PA      | $28518.88     | 0.09%             | 2028-08-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                     | USD/BRL FORWARD                                                                  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |          1 | NC      | $3262.35      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SPIRIT AIRLINES INC                         | Spirit Airlines Inc                                                              | CUSIP: 848577AB8<br>LEI: 549300DCAFIXFNFR3304 | Long             | DBT              | CORP              | US        |      51000 | PA      | $41055.00     | 0.13%             | 2026-05-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| KREF 2021-FL2 Ltd                           | KREF 2021-FL2 Ltd                                                                | CUSIP: 48275RAL1<br>LEI: 54930083ELM2GCMVTQ91 | Long             | ABS-CBDO         | CORP              | KY        |     100000 | PA      | $92037.20     | 0.28%             | 2039-02-15      | Floating      | 7.18%                 | No            |                  2 | On Loan: No      |
| ATKORE INC                                  | Atkore Inc                                                                       | CUSIP: 047649AA6<br>LEI: 52990002TI38AM4RPV48 | Long             | DBT              | CORP              | US        |      25000 | PA      | $21437.50     | 0.07%             | 2031-06-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                   | Towd Point Mortgage Trust 2017-3                                                 | CUSIP: 89169DAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $80500.22     | 0.25%             | 2057-07-25      | Variable      | 2.26%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION   | CDS UNITED AIRLINES HOLDINGS, INC.                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |          1 | NC      | $-1435.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2021-DNA1                                          | CUSIP: 35564KBD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $89916.17     | 0.28%             | 2051-01-25      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| DIAMOND SPORTS GR/DIAMON                    | Diamond Sports Group LLC / Diamond Sports Finance Co                             | CUSIP: 25277LAC0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      19000 | PA      | $142.50       | 0.00%             | 2027-08-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| TRICIDA INC                                 | Tricida Inc                                                                      | CUSIP: 89610FAB7<br>LEI: 549300QVPFFJC8SZXG25 | Long             | DBT              | CORP              | US        |      75000 | PA      | $6750.00      | 0.02%             | 2027-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust               | CITIGROUP MORTGAGE LOAN TRUST 2021-INV2                                          | CUSIP: 17329RDN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      96826 | PA      | $73230.18     | 0.23%             | 2051-05-25      | Variable      | 2.99%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36198VMG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7946 | PA      | $7654.11      | 0.02%             | 2044-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140QMLV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      64364 | PA      | $53104.07     | 0.16%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                | UBS Group AG                                                                     | CUSIP: 902613AT5<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     200000 | PA      | $185136.28    | 0.57%             | 2033-08-05      | Fixed         | 4.99%                 | No            |                  2 | On Loan: No      |
| LSF11 A5 HOLDCO LLC                         | LSF11 A5 HoldCo LLC                                                              | CUSIP: 50216YAB6<br>LEI: 254900FPK7P5WNA66Y10 | Long             | LON              | CORP              | US        |      19900 | PA      | $19253.25     | 0.06%             | 2028-10-13      | Floating      | 7.94%                 | No            |                  2 | On Loan: No      |
| AMSTED INDUSTRIES                           | Amsted Industries Inc                                                            | CUSIP: 032177AH0<br>LEI: N2VLGYMEEBIU3PFSUY86 | Long             | DBT              | CORP              | US        |      14000 | PA      | $13281.24     | 0.04%             | 2027-07-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Wealth Management               | JPMorgan Chase Bank NA - JPMWM                                                   | CUSIP: 46591HBM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      66332 | PA      | $57648.76     | 0.18%             | 2051-03-25      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Lo              | Arbor Realty Commercial Real Estate Notes 2021-FL4 Ltd                           | CUSIP: 03880RAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     100000 | PA      | $88821.10     | 0.27%             | 2036-11-15      | Floating      | 7.72%                 | No            |                  2 | On Loan: No      |
| HILTON GRAND VAC BOR ESC                    | Hilton Grand Vacations Borrower Escrow LLC / Hilton Grand Vacations Borrower Esc | CUSIP: 43284MAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      30000 | PA      | $25800.00     | 0.08%             | 2029-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                   | Towd Point Mortgage Trust 2021-R1                                                | CUSIP: 89179TAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      93776 | PA      | $75229.51     | 0.23%             | 2060-11-30      | Variable      | 2.92%                 | No            |                  2 | On Loan: No      |
| Cascade MH Asset Trust                      | Cascade MH Asset Trust 2021-MH1                                                  | CUSIP: 14731QAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $76079.91     | 0.24%             | 2046-02-25      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3133BAFP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      59190 | PA      | $54275.73     | 0.17%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SC GAMES HOLDIN/US FINCO                    | Scientific Games Holdings LP/Scientific Games US FinCo Inc                       | CUSIP: 80874DAA4<br>LEI: 549300W5GPFXXB6TQ330 | Long             | DBT              | CORP              | US        |      25000 | PA      | $21117.50     | 0.07%             | 2030-03-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140XCXR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      89018 | PA      | $75585.90     | 0.23%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                          | Energy Transfer LP                                                               | CUSIP: 29273VAJ9<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      15000 | PA      | $11137.50     | 0.03%             | N/A             | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 2 YEAR US TREASURY NOTE                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |          4 | NC      | $902.85       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138EQFY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37330 | PA      | $34698.88     | 0.11%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3132DWES8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      89858 | PA      | $86495.83     | 0.27%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36200NBP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1866 | PA      | $1954.08      | 0.01%             | 2034-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HAMPTON ROADS VA TRANSPRTN ACC              | Hampton Roads Transportation Accountability Commission                           | CUSIP: 409328BT7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |       5000 | PA      | $4524.00      | 0.01%             | 2057-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                | Broadcom Inc                                                                     | CUSIP: 11135FBT7<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |      65000 | PA      | $57060.78     | 0.18%             | 2032-04-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| ABN AMRO BANK NV                            | ABN AMRO Bank NV                                                                 | CUSIP: 00084DAV2<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |     200000 | PA      | $144586.70    | 0.45%             | 2037-03-13      | Fixed         | 3.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140F9VT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39070 | PA      | $36253.17     | 0.11%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36179SNW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16854 | PA      | $16208.15     | 0.05%             | 2046-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se              | Wells Fargo Mortgage Backed Securities 2020-5 Trust                              | CUSIP: 95003BBJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      94431 | PA      | $70320.17     | 0.22%             | 2050-09-25      | Variable      | 2.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31419JSV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21585 | PA      | $21336.06     | 0.07%             | 2040-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140XFMX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      93598 | PA      | $79796.52     | 0.25%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36201L2D5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        482 | PA      | $494.66       | 0.00%             | 2033-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CHC Commercial Mortgage Trust               | CHC Commercial Mortgage Trust 2019 - CHC                                         | CUSIP: 162665AN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      99251 | PA      | $89954.11     | 0.28%             | 2034-06-15      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36290YUV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1873 | PA      | $1848.15      | 0.01%             | 2033-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 3617AVXD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10617 | PA      | $10113.06     | 0.03%             | 2048-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNICREDIT SPA                               | UniCredit SpA                                                                    | CUSIP: 904678AS8<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |     200000 | PA      | $162489.62    | 0.50%             | 2035-06-30      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38376CAG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12246 | PA      | $12140.33     | 0.04%             | 2039-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac Structured Agency Credit Risk Debt Notes                             | CUSIP: 35564KDX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |      25000 | PA      | $23089.50     | 0.07%             | 2033-08-25      | Floating      | 7.33%                 | No            |                  2 | On Loan: No      |
| FREEDOM MORTGAGE CORP                       | Freedom Mortgage Corp                                                            | CUSIP: 35640YAG2<br>LEI: 549300LYRWPSYPK6S325 | Long             | DBT              | CORP              | US        |      25000 | PA      | $19456.28     | 0.06%             | 2027-01-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| XPO ESCROW SUB LLC                          | XPO Escrow Sub LLC                                                               | CUSIP: 98379JAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      45000 | PA      | $45536.40     | 0.14%             | 2027-11-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust              | Morgan Stanley Capital I Trust 2014-150E                                         | CUSIP: 61764BAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $87773.15     | 0.27%             | 2032-09-09      | Fixed         | 4.01%                 | No            |                  2 | On Loan: No      |
| INSMED INC                                  | Insmed Inc                                                                       | CUSIP: 457669AA7<br>LEI: 529900Q55QAG41CCAC11 | Long             | DBT              | CORP              | US        |      35000 | PA      | $32637.50     | 0.10%             | 2025-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| ALLIED UNIVERSAL                            | Allied Universal Holdco LLC / Allied Universal Finance Corp                      | CUSIP: 019576AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      45000 | PA      | $41175.00     | 0.13%             | 2026-07-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38381YWF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      98992 | PA      | $12626.87     | 0.04%             | 2049-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| KEY COMMERCIAL MORTGAGE TRUST               | Key Commercial Mortgage Securities Trust 2019-S2                                 | CUSIP: 49307XAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      50000 | PA      | $44795.57     | 0.14%             | 2052-06-15      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2021-HQA4                                          | CUSIP: 35564KPN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     180000 | PA      | $153999.02    | 0.48%             | 2041-12-25      | Floating      | 7.68%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association   | USD/NOK FORWARD                                                                  | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $7444.84      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2020-DNA6                                          | CUSIP: 35566CBD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      50000 | PA      | $46886.63     | 0.14%             | 2050-12-25      | Floating      | 6.93%                 | No            |                  2 | On Loan: No      |
| ENERFLEX LTD                                | Enerflex Ltd                                                                     | CUSIP: 29269RAA3<br>LEI: 54930014N7872VUS3F89 | Long             | DBT              | CORP              | CA        |      50000 | PA      | $49862.25     | 0.15%             | 2027-10-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac Stacr Remic Trust 2020-HQA2                                          | CUSIP: 35565LAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      20790 | PA      | $21078.51     | 0.07%             | 2050-03-25      | Floating      | 7.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36200Q3L6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        147 | PA      | $151.90       | 0.00%             | 2032-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 31296YTX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        110 | PA      | $111.91       | 0.00%             | 2034-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31418D6K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     322477 | PA      | $263808.95    | 0.82%             | 2041-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | J.P. Morgan Mortgage Trust 2022-4                                                | CUSIP: 46655GAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $70368.48     | 0.22%             | 2052-10-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Cologix Data Centers Issuer LL              | Cologix Canadian Issuer LP                                                       | CUSIP: 19521DAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |     100000 | PA      | $67375.78     | 0.21%             | 2052-01-25      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140XGR84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      93470 | PA      | $84964.66     | 0.26%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AON CORP/AON GLOBAL HOLD                    | Aon Corp / Aon Global Holdings PLC                                               | CUSIP: 03740LAC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      19000 | PA      | $15507.95     | 0.05%             | 2031-12-02      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140XFLN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     136366 | PA      | $121208.32    | 0.37%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus              | CSAIL 2015-C1 Commercial Mortgage Trust                                          | CUSIP: 126281BF0<br>LEI: 549300UFJ8EKD81Y8R30 | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $85700.97     | 0.26%             | 2050-04-15      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| US RENAL CARE INC                           | US Renal Care Inc                                                                | CUSIP: 07335BAA4<br>LEI: 54930058SS5MF69JGN89 | Long             | DBT              | CORP              | US        |      31000 | PA      | $6742.50      | 0.02%             | 2027-07-15      | Fixed         | 10.62%                | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2020-DNA6                                          | CUSIP: 35566CBE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      50000 | PA      | $42307.46     | 0.13%             | 2050-12-25      | Floating      | 9.58%                 | No            |                  2 | On Loan: No      |
| NCR CORP                                    | NCR Corp                                                                         | CUSIP: 62886EAZ1<br>LEI: 549300YKTY8JX1DV2R67 | Long             | DBT              | CORP              | US        |      10000 | PA      | $8250.00      | 0.03%             | 2030-10-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                   | CIM Trust 2021-J2                                                                | CUSIP: 12564ECH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      95778 | PA      | $67467.52     | 0.21%             | 2051-04-25      | Variable      | 2.67%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F020612<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     500000 | PA      | $406730.13    | 1.26%             | 2053-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31418CHJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        461 | PA      | $412.80       | 0.00%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US 5 YEAR TREASURY NOTE                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         19 | NC      | $-27812.64    | -0.09%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138ENER6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28517 | PA      | $28269.60     | 0.09%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| IVORY COAST                                 | Ivory Coast Government International Bond                                        | CUSIP: 000000000<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |     100000 | PA      | $84263.68     | 0.26%             | 2032-01-30      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Bayview MSR Opportunity Master              | Bayview MSR Opportunity Master Fund Trust 2021-INV2                              | CUSIP: 07336LAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $67084.02     | 0.21%             | 2051-06-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust              | Morgan Stanley Capital I Trust 2016-UBS9                                         | CUSIP: 61766CAV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      25000 | PA      | $19257.86     | 0.06%             | 2049-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NMEF Funding LLC                            | NMEF Funding 2022-B LLC                                                          | CUSIP: 62890MAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     100000 | PA      | $100519.30    | 0.31%             | 2029-06-15      | Fixed         | 8.54%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Lo              | Arbor Realty Commercial Real Estate Notes 2021-FL4 Ltd                           | CUSIP: 03880RAJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     100000 | PA      | $90482.90     | 0.28%             | 2036-11-15      | Floating      | 7.22%                 | No            |                  2 | On Loan: No      |
| PENNSYLVANIA ST TURNPIKE COMMI              | Pennsylvania Turnpike Commission                                                 | CUSIP: 709225EU6<br>LEI: 549300J8LLBYEYEXZJ24 | Long             | DBT              | MUN               | US        |       5000 | PA      | $3634.80      | 0.01%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36184JAM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4085 | PA      | $3811.31      | 0.01%             | 2045-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                     | Flagstar Mortgage Trust 2021-7                                                   | CUSIP: 33852JBU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      96853 | PA      | $63094.91     | 0.19%             | 2051-08-25      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| ENERGIZER GAMMA ACQ BV                      | Energizer Gamma Acquisition BV                                                   | CUSIP: 000000000<br>LEI: 5493002SUYZDHEQ3JN34 | Long             | DBT              | CORP              | NL        |     100000 | PA      | $85003.02     | 0.26%             | 2029-06-30      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138WAF93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13011 | PA      | $12537.15     | 0.04%             | 2043-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se              | Wells Fargo Mortgage Backed Securities 2022-2 Trust                              | CUSIP: 949930AF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $66850.61     | 0.21%             | 2051-12-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| State Street Bank and Trust Company         | EUR/NOK FORWARD                                                                  | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              | CORP              | US        |          1 | NC      | $992.41       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2022-3                                                  | CUSIP: 46654UCV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      98366 | PA      | $68548.46     | 0.21%             | 2052-08-25      | Variable      | 3.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36179QR29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5227 | PA      | $5240.11      | 0.02%             | 2044-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 3136A4WQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26683 | PA      | $1949.15      | 0.01%             | 2041-08-25      | Floating      | 2.16%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                     | GLP Capital LP / GLP Financing II Inc                                            | CUSIP: 361841AR0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      21000 | PA      | $16787.08     | 0.05%             | 2032-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38382AFH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     236451 | PA      | $30708.30     | 0.09%             | 2049-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PAR PHARMACEUTICAL INC                      | Par Pharmaceutical Inc                                                           | CUSIP: 69888XAA7<br>LEI: 549300KK5WR4MGN4YT97 | Long             | DBT              | CORP              | US        |      31000 | PA      | $23559.21     | 0.07%             | 2027-04-01      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| INTER-AMERICAN DEVEL BK                     | Inter-American Development Bank                                                  | CUSIP: 000000000<br>LEI: VKU1UKDS9E7LYLMACP54 | Long             | DBT              | NUSS              | N/A       |  980000000 | PA      | $63209.76     | 0.20%             | 2023-03-14      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2021-8                                                  | CUSIP: 46592TCC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     144780 | PA      | $89024.33     | 0.28%             | 2051-12-25      | Variable      | 2.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140J9KV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38110 | PA      | $37764.57     | 0.12%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| KREF 2021-FL2 Ltd                           | KREF 2021-FL2 Ltd                                                                | CUSIP: 48275RAG2<br>LEI: 54930083ELM2GCMVTQ91 | Long             | ABS-CBDO         | CORP              | KY        |     100000 | PA      | $92852.90     | 0.29%             | 2039-02-15      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| LANCASTER CNTY NE SCH DIST #1               | Lancaster County School District 001                                             | CUSIP: 514014TU3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      10000 | PA      | $6346.20      | 0.02%             | 2043-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38382BHB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     115467 | PA      | $20203.78     | 0.06%             | 2049-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F032617<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     100000 | PA      | $90830.27     | 0.28%             | 2053-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR Trust 2019-HRP1                                                | CUSIP: 35564RCB8<br>LEI: 549300RWLR7W4OBRM426 | Long             | ABS-MBS          | CORP              | US        |      60000 | PA      | $57726.77     | 0.18%             | 2049-02-25      | Floating      | 8.44%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3133KYV97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      94151 | PA      | $76082.14     | 0.24%             | 2042-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Bank of America, National Association       | USD/EUR FORWARD                                                                  | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |          1 | NC      | $93189.03     | 0.29%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36202D4P3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1419 | PA      | $1466.22      | 0.00%             | 2034-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF ARGENTINA                       | Argentine Republic Government International Bond                                 | CUSIP: 040114HT0<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |     145500 | PA      | $36905.44     | 0.11%             | 2035-07-09      | Variable      | 1.50%                 | No            |                  2 | On Loan: No      |
| MONTGOMERY CNTY PA HGR EDU & H              | Montgomery County Higher Education and Health Authority                          | CUSIP: 613603G78<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      35000 | PA      | $28808.50     | 0.09%             | 2056-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ENLINK MIDSTREAM PARTNER                    | EnLink Midstream Partners LP                                                     | CUSIP: 29336UAD9<br>LEI: 88CPW63VL7KHJWS0NY83 | Long             | DBT              | CORP              | US        |       9000 | PA      | $6820.46      | 0.02%             | 2045-04-01      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38378GJK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        860 | PA      | $851.88       | 0.00%             | 2041-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Taubman Centers Commercial Mor              | Taubman Centers Commercial Mortgage Trust 2022-DPM                               | CUSIP: 87666YAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     145000 | PA      | $139274.83    | 0.43%             | 2037-05-15      | Floating      | 7.27%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36201VAT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        523 | PA      | $536.53       | 0.00%             | 2033-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140QKNV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     261509 | PA      | $224957.58    | 0.70%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                       | CUSIP: 21H050615<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     200000 | PA      | $198145.84    | 0.61%             | 2053-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| IMAX CORP                                   | IMAX Corp                                                                        | CUSIP: 45245EAJ8<br>LEI: 5493002KS2T1Q0X7VZ21 | Long             | DBT              | CORP              | CA        |      15000 | PA      | $12651.18     | 0.04%             | 2026-04-01      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| MACQUARIE GROUP LTD                         | Macquarie Group Ltd                                                              | CUSIP: 55608JAZ1<br>LEI: ACMHD8HWFMFUIQQ8Y590 | Long             | DBT              | CORP              | AU        |     100000 | PA      | $76718.27     | 0.24%             | 2033-01-14      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| AMER AIRLINE 21-1B PTT                      | American Airlines 2021-1 Class B Pass Through Trust                              | CUSIP: 02376LAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      15000 | PA      | $11901.57     | 0.04%             | 2030-07-11      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F060618<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     400000 | PA      | $405902.42    | 1.25%             | 2053-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                            | Connecticut Avenue Securities Trust 2020-SBT1                                    | CUSIP: 20753VCZ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      50000 | PA      | $50268.07     | 0.16%             | 2040-02-25      | Floating      | 8.04%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 3620A93H2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9634 | PA      | $9563.36      | 0.03%             | 2040-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ReadyCap Commercial Mortgage T              | Ready Capital Mortgage Trust 2019-5                                              | CUSIP: 75575MAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $76706.09     | 0.24%             | 2052-02-25      | Variable      | 5.41%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3133BEH55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     293544 | PA      | $275389.59    | 0.85%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Icon Brand Holdings LLC                     | Icon Brand Holdings LLC                                                          | CUSIP: 45112AAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      37030 | PA      | $11110.38     | 0.03%             | 2043-01-25      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36179QT68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10787 | PA      | $10819.35     | 0.03%             | 2044-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                            | Connecticut Avenue Securities Trust 2020-SBT1                                    | CUSIP: 20753VBE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      30000 | PA      | $29629.03     | 0.09%             | 2040-02-25      | Floating      | 8.04%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3133B9MF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      94352 | PA      | $86271.97     | 0.27%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140X7QE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      78948 | PA      | $67799.26     | 0.21%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES INC                         | United Airlines Inc                                                              | CUSIP: 90932LAG2<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | DBT              | CORP              | US        |      10000 | PA      | $9269.26      | 0.03%             | 2026-04-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Equifirst Mortgage Loan Trust               | Equifirst Mortgage Loan Trust 2003-1                                             | CUSIP: 29445FAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      18087 | PA      | $16427.30     | 0.05%             | 2032-12-25      | Variable      | 4.01%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities               | GS Mortgage-Backed Securities Corp Trust 2022-PJ4                                | CUSIP: 36264RBV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $70443.01     | 0.22%             | 2052-09-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| FMG RESOURCES AUG 2006                      | FMG Resources August 2006 Pty Ltd                                                | CUSIP: 30251GBC0<br>LEI: 549300EFD6S2NFE9D745 | Long             | DBT              | CORP              | AU        |      65000 | PA      | $54059.43     | 0.17%             | 2031-04-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| KUEHG CORP                                  | KUEHG Corp                                                                       | CUSIP: 000000000<br>LEI: 549300YNT566T1NYJX62 | Long             | LON              | CORP              | US        |      35009 | PA      | $33712.56     | 0.10%             | 2025-02-21      | Floating      | 8.48%                 | No            |                  2 | On Loan: No      |
| BANK OF INDUSTRY LTD                        | Bank of Industry Ltd                                                             | CUSIP: 000000000<br>LEI: 5493006N5JD4B34R6G14 | Long             | LON              | CORP              | NG        |      48895 | PA      | $48699.42     | 0.15%             | 2023-12-11      | Floating      | 10.75%                | No            |                  2 | On Loan: No      |
| Dreyfus Government Cash Management          | Dreyfus Government Cash Management                                               | CUSIP: 262006208<br>LEI: 5493000Q69I5Q3QZIA91 | Long             | STIV             | RF                | US        |     142240 | NS      | $142240.39    | 0.44%             |  |  |  | No            |                  1 | On Loan: No      |
| HARRIS CNTY TX CULTURAL EDU FA              | Harris County Cultural Education Facilities Finance Corp                         | CUSIP: 414009QY9<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      30000 | PA      | $21110.10     | 0.07%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                | GS Mortgage Securities Corp Trust 2020-DUNE                                      | CUSIP: 36258BAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $93485.02     | 0.29%             | 2036-12-15      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36176N3Q2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        460 | PA      | $441.73       | 0.00%             | 2041-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2020-HQA3                                          | CUSIP: 35565MBE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      30000 | PA      | $32905.11     | 0.10%             | 2050-07-25      | Floating      | 14.39%                | No            |                  2 | On Loan: No      |
| COLONY MORTGAGE CAPITAL LTD                 | CLNY Trust 2019-IKPR                                                             | CUSIP: 12564NAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      65000 | PA      | $59704.99     | 0.18%             | 2038-11-15      | Floating      | 7.04%                 | No            |                  2 | On Loan: No      |
| GRINDING MEDIA INC                          | Grinding Media Inc                                                               | CUSIP: 39854KAB6<br>LEI: 254900IYFJ03EGFQ8C34 | Long             | LON              | CORP              | US        |      39500 | PA      | $36932.50     | 0.11%             | 2028-10-12      | Floating      | 8.07%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F040412<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     100000 | PA      | $97464.59     | 0.30%             | 2038-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Rate Mortgage Trust                         | Rate Mortgage Trust 2021-J1                                                      | CUSIP: 75409JDE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      96000 | PA      | $65459.96     | 0.20%             | 2051-07-25      | Variable      | 2.71%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36177Q7M9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3533 | PA      | $3322.17      | 0.01%             | 2042-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36179XFF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     198552 | PA      | $182439.80    | 0.56%             | 2052-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140XCHD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30923 | PA      | $29045.14     | 0.09%             | 2051-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                       | CUSIP: 21H032613<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     100000 | PA      | $91861.52     | 0.28%             | 2053-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Emerald Plantation Holdings Lt              | Emerald Plantation Holdings Ltd                                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | HK        |       1032 | NS      | $0.00         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 31397NR31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1158 | PA      | $1139.54      | 0.00%             | 2029-06-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NEW JERSEY ST HLTH CARE FACS F              | New Jersey Health Care Facilities Financing Authority                            | CUSIP: 645790QE9<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      25000 | PA      | $17845.25     | 0.06%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CELANESE US HOLDINGS LLC                    | Celanese US Holdings LLC                                                         | CUSIP: 15089QAP9<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |      35000 | PA      | $33283.18     | 0.10%             | 2032-07-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                       | Toronto-Dominion Bank/The                                                        | CUSIP: 89115A2E1<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |      90000 | PA      | $85785.27     | 0.27%             | 2032-06-08      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36291R3A8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2046 | PA      | $2086.82      | 0.01%             | 2035-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 3136B47J1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21493 | PA      | $1284.61      | 0.00%             | 2049-07-25      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 3128MMSR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9915 | PA      | $9544.87      | 0.03%             | 2029-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ENERGY ACQUISITION LP                       | Energy Acquisition Co Inc                                                        | CUSIP: 29279EAB8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      12197 | PA      | $11003.63     | 0.03%             | 2025-06-26      | Floating      | 8.63%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION   | CDS UNITED AIRLINES HOLDINGS, INC.                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |          1 | NC      | $-797.51      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LORCA TELECOM BONDCO                        | Lorca Telecom Bondco SA                                                          | CUSIP: 000000000<br>LEI: 9598004HFBAS82YM7X35 | Long             | DBT              | CORP              | ES        |     100000 | PA      | $95537.66     | 0.30%             | 2027-09-18      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NEW JERSEY ST HLTH CARE FACS F              | New Jersey Health Care Facilities Financing Authority                            | CUSIP: 645790PD2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      10000 | PA      | $7097.40      | 0.02%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Rate Mortgage Trust                         | RATE Mortgage Trust 2021-HB1                                                     | CUSIP: 75409XDE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      97434 | PA      | $67993.78     | 0.21%             | 2051-12-25      | Variable      | 2.71%                 | No            |                  2 | On Loan: No      |
| NCL FINANCE LTD                             | NCL Finance Ltd                                                                  | CUSIP: 62888HAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      10000 | PA      | $7382.21      | 0.02%             | 2028-03-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| TEXAS ST WTR DEV BRD                        | Texas Water Development Board                                                    | CUSIP: 8828543M2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      10000 | PA      | $8656.40      | 0.03%             | 2040-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Eagle Re Ltd                                | Eagle RE 2019-1 Ltd                                                              | CUSIP: 269822AD4<br>LEI: 254900L82OLW9QTLJ788 | Long             | ABS-MBS          | CORP              | US        |     150000 | PA      | $138937.71    | 0.43%             | 2029-04-25      | Floating      | 8.89%                 | No            |                  2 | On Loan: No      |
| ROANOKE VA ECON DEV AUTH HOSPR              | Roanoke Economic Development Authority                                           | CUSIP: 770082BY0<br>LEI: 549300P5QQORJY0U4T83 | Long             | DBT              | MUN               | US        |      15000 | PA      | $11260.20     | 0.03%             | 2045-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                               | CUSIP: 3137F8M83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      59764 | PA      | $11625.69     | 0.04%             | 2050-12-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MARICOPA CNTY AZ INDL DEV AUTH              | Maricopa County Industrial Development Authority                                 | CUSIP: 56682HDB2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      20000 | PA      | $14163.80     | 0.04%             | 2049-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Hundred Acre Wood Trust                     | Hundred Acre Wood Trust 2021-INV1                                                | CUSIP: 44590HCC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      95766 | PA      | $66861.97     | 0.21%             | 2051-07-25      | Variable      | 3.23%                 | No            |                  2 | On Loan: No      |
| MINERAL RESOURCES LTD                       | Mineral Resources Ltd                                                            | CUSIP: 603051AC7<br>LEI: 5299007V1ACKFFX2P066 | Long             | DBT              | CORP              | AU        |      15000 | PA      | $15337.80     | 0.05%             | 2027-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| ALTA WIND HOLDINGS LLC                      | Alta Wind Holdings LLC                                                           | CUSIP: 021345AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      36687 | PA      | $36257.70     | 0.11%             | 2035-06-30      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2021-DNA1                                          | CUSIP: 35564KBE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      70000 | PA      | $53731.99     | 0.17%             | 2051-01-25      | Floating      | 8.68%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140XGMY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      93007 | PA      | $79978.31     | 0.25%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36176H6S8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      50227 | PA      | $48639.31     | 0.15%             | 2043-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust               | UBS Commercial Mortgage Trust 2018-C9                                            | CUSIP: 90291JAY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $17028.40     | 0.05%             | 2051-03-15      | Variable      | 0.38%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                  | USD/ZAR FORWARD                                                                  | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-4545.84     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION   | CDS UNITED AIRLINES HOLDINGS, INC.                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |          1 | NC      | $-797.51      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, National Association              | CAD/USD FORWARD                                                                  | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $327.51       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | CBOT US Long Bond                                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         12 | NC      | $-22662.39    | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| FREEDOM MORTGAGE CORP                       | Freedom Mortgage Corp                                                            | CUSIP: 35640YAB3<br>LEI: 549300LYRWPSYPK6S325 | Long             | DBT              | CORP              | US        |      25000 | PA      | $22486.92     | 0.07%             | 2025-04-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2022-INV1                                               | CUSIP: 46592PBJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      96235 | PA      | $63169.53     | 0.20%             | 2051-10-25      | Variable      | 2.99%                 | No            |                  2 | On Loan: No      |
| RESORTS WORLD/RWLV CAP                      | Resorts World Las Vegas LLC / RWLV Capital Inc                                   | CUSIP: 76120HAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     200000 | PA      | $141845.91    | 0.44%             | 2029-04-16      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36202XTP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3634 | PA      | $3684.35      | 0.01%             | 2035-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2020-DNA4                                          | CUSIP: 35565XBD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      68154 | PA      | $72461.83     | 0.22%             | 2050-08-25      | Floating      | 10.39%                | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                      | CCO Holdings LLC / CCO Holdings Capital Corp                                     | CUSIP: 1248EPCL5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      10000 | PA      | $7672.30      | 0.02%             | 2033-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                       | CUSIP: 21H042612<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     100000 | PA      | $96991.25     | 0.30%             | 2053-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                        | FREMF 2017-KW02 Mortgage Trust                                                   | CUSIP: 30301RAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      49000 | PA      | $44199.55     | 0.14%             | 2026-12-25      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.             | CDS CDX.NA.HY.37.V2                                                              | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |          1 | NC      | $-23923.93    | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31419AVT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4078 | PA      | $3982.79      | 0.01%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 3620AMK27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6689 | PA      | $6645.98      | 0.02%             | 2040-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                               | CUSIP: 3137FXAJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      48265 | PA      | $9744.35      | 0.03%             | 2050-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR COMPANY                          | Ford Motor Co                                                                    | CUSIP: 345370CR9<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |     135000 | PA      | $128025.93    | 0.40%             | 2026-12-08      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| BREAD FINANCIAL HLDGS                       | Bread Financial Holdings Inc                                                     | CUSIP: 018581AL2<br>LEI: 549300G8S4PO686J7H97 | Long             | DBT              | CORP              | US        |      87000 | PA      | $75690.00     | 0.23%             | 2026-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| NEW YORK ST THRUWAY AUTH PERSO              | New York State Thruway Authority                                                 | CUSIP: 650028XL2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      20000 | PA      | $15114.20     | 0.05%             | 2050-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                      | Standard Chartered PLC                                                           | CUSIP: 853254CH1<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |     205000 | PA      | $154160.15    | 0.48%             | 2033-01-12      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| AREIT CRE Trust                             | AREIT 2022-CRE6 Trust                                                            | CUSIP: 04002VAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |     100000 | PA      | $91502.72     | 0.28%             | 2037-01-16      | Floating      | 6.68%                 | No            |                  2 | On Loan: No      |
| Citibank, National Association              | NZD/AUD FORWARD                                                                  | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $1069.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                        | OneMain Finance Corp                                                             | CUSIP: 682691AA8<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |     130000 | PA      | $96998.15     | 0.30%             | 2030-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F022618<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     200000 | PA      | $169302.86    | 0.52%             | 2053-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36290RUG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        638 | PA      | $655.56       | 0.00%             | 2033-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                         | COMM 2015-DC1 Mortgage Trust                                                     | CUSIP: 12629NAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      75000 | PA      | $69252.83     | 0.21%             | 2048-02-10      | Variable      | 4.04%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities               | GS Mortgage-Backed Securities Trust 2022-PJ1                                     | CUSIP: 36263NBM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      97426 | PA      | $61430.81     | 0.19%             | 2052-05-28      | Variable      | 2.83%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                    | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                        | CUSIP: 00774MAX3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |     150000 | PA      | $117264.11    | 0.36%             | 2032-01-30      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| TEVA PHARM FNC NL II                        | Teva Pharmaceutical Finance Netherlands II BV                                    | CUSIP: 000000000<br>LEI: 549300HSQCIKJAOYIT23 | Long             | DBT              | CORP              | NL        |     100000 | PA      | $88086.47     | 0.27%             | 2030-05-09      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F042418<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     100000 | PA      | $99317.56     | 0.31%             | 2038-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR COMPANY                          | Ford Motor Co                                                                    | CUSIP: 345370CS7<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |      42000 | PA      | $32004.62     | 0.10%             | 2046-12-08      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| VERMILION ENERGY INC                        | Vermilion Energy Inc                                                             | CUSIP: 923725AD7<br>LEI: WT03B8BB1IX8WI9ZGV02 | Long             | DBT              | CORP              | CA        |      45000 | PA      | $41066.23     | 0.13%             | 2030-05-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                       | CUSIP: 21H022614<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     200000 | PA      | $173271.61    | 0.54%             | 2053-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                     | NOK/USD FORWARD                                                                  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |          1 | NC      | $2243.32      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION   | USD CALL VERSUS EUR PUT                                                          | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |     350000 | NC      | $7.76         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TMS INTERNATIONAL CORP                      | TMS International Corp/DE                                                        | CUSIP: 87261QAC7<br>LEI: 549300L4K0F1YF8WKF23 | Long             | DBT              | CORP              | US        |      40000 | PA      | $28610.40     | 0.09%             | 2029-04-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                | Barclays PLC                                                                     | CUSIP: 06738ECE3<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     200000 | PA      | $209560.25    | 0.65%             | 2033-11-02      | Fixed         | 7.44%                 | No            |                  2 | On Loan: No      |
| Fontainebleau Miami Beach Trus              | Fontainebleau Miami Beach Trust 2019-FBLU                                        | CUSIP: 34461LAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $93071.79     | 0.29%             | 2036-12-10      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 10 YEAR US TREASURY NOTE                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |          1 | NC      | $-574.25      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                    | Ford Motor Credit Co LLC                                                         | CUSIP: 345397YT4<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     200000 | PA      | $175778.00    | 0.54%             | 2027-11-02      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| BINOM Securitization Trust                  | BINOM Securitization Trust 2022-RPL1                                             | CUSIP: 05552CAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $65435.31     | 0.20%             | 2061-02-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor              | JP Morgan Chase Commercial Mortgage Securities Trust 2020-LOOP                   | CUSIP: 46651WAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $57674.27     | 0.18%             | 2038-12-05      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                      | Sequoia Mortgage Trust 2022-1                                                    | CUSIP: 81749CAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $66403.81     | 0.21%             | 2052-02-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Multifamily Structured Credit               | Freddie Mac Multifamily Structured Credit Risk                                   | CUSIP: 35563GAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      75000 | PA      | $65825.54     | 0.20%             | 2051-11-25      | Floating      | 7.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138YTJ88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13633 | PA      | $13040.72     | 0.04%             | 2030-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36200NYP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        742 | PA      | $776.82       | 0.00%             | 2034-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LUMEN TECHNOLOGIES INC                      | Lumen Technologies Inc                                                           | CUSIP: 156700BD7<br>LEI: 8M3THTGWLTYZVE6BBY25 | Long             | DBT              | CORP              | US        |      45000 | PA      | $31059.54     | 0.10%             | 2029-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31418EJ76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     179742 | PA      | $177256.43    | 0.55%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36200WJL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2477 | PA      | $2592.27      | 0.01%             | 2034-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association   | USD/PLN FORWARD                                                                  | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $8384.26      | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| NORDEA BANK ABP                             | Nordea Bank Abp                                                                  | CUSIP: 65559CAD3<br>LEI: 529900ODI3047E2LIV03 | Long             | DBT              | CORP              | FI        |     235000 | PA      | $181432.43    | 0.56%             | N/A             | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | J.P. Morgan Mortgage Trust 2022-6                                                | CUSIP: 46655KDF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      98504 | PA      | $66589.63     | 0.21%             | 2052-11-25      | Variable      | 3.31%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3132DMA70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      26115 | PA      | $23762.92     | 0.07%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31416WYP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29230 | PA      | $28549.38     | 0.09%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| VIKING OCEAN CRUISES SHI                    | Viking Ocean Cruises Ship VII Ltd                                                | CUSIP: 92682RAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |       5000 | PA      | $4025.00      | 0.01%             | 2029-02-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36212WUQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      33290 | PA      | $32958.05     | 0.10%             | 2040-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                              | NRG Energy Inc                                                                   | CUSIP: 629377CR1<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |      20000 | PA      | $15203.95     | 0.05%             | 2031-02-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                              | NRG Energy Inc                                                                   | CUSIP: 629377CS9<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |      90000 | PA      | $67594.50     | 0.21%             | 2032-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                        | FREMF 2018-KW07 Mortgage Trust                                                   | CUSIP: 30297NAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      25000 | PA      | $20257.53     | 0.06%             | 2031-10-25      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| SBA TOWER TRUST                             | SBA Tower Trust                                                                  | CUSIP: 78403DAH3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     150000 | PA      | $143323.50    | 0.44%             | 2049-10-15      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36200MQ55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        740 | PA      | $770.92       | 0.00%             | 2033-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140J7WY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35960 | PA      | $35648.71     | 0.11%             | 2044-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ARTERA SERVICES LLC                         | Artera Services LLC                                                              | CUSIP: 73939VAA2<br>LEI: 549300J2G34D0WX8Z443 | Long             | DBT              | CORP              | US        |      57006 | PA      | $47491.13     | 0.15%             | 2025-12-04      | Fixed         | 9.03%                 | No            |                  2 | On Loan: No      |
| MILLICOM INTL CELLULAR                      | Millicom International Cellular SA                                               | CUSIP: 600814AQ0<br>LEI: 549300CTHC1CP86P2G96 | Long             | DBT              | CORP              | LU        |      11700 | PA      | $11185.46     | 0.03%             | 2029-03-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Genworth Mortgage Insurance Co              | Traingle Re 2021-1 Ltd                                                           | CUSIP: 89600FAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |     110000 | PA      | $109667.87    | 0.34%             | 2033-08-25      | Floating      | 8.29%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION   | CDS UNITED AIRLINES HOLDINGS, INC.                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |          1 | NC      | $-478.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                          | Energy Transfer LP                                                               | CUSIP: 86765BAK5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      19000 | PA      | $17421.60     | 0.05%             | 2042-02-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| UNICREDIT SPA                               | UniCredit SpA                                                                    | CUSIP: 904678AQ2<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |     200000 | PA      | $183298.43    | 0.57%             | 2034-04-02      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 3136B5SU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19682 | PA      | $2132.81      | 0.01%             | 2049-08-25      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| PROFRAC HOLDINGS II LLC                     | ProFrac Holdings II LLC                                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     115254 | PA      | $119287.95    | 0.37%             | 2025-03-04      | Floating      | 11.10%                | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT           | EURO-BUND                                                                        | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |         -6 | NC      | $55287.95     | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| FARMERS INS EXCH                            | Farmers Insurance Exchange                                                       | CUSIP: 309601AE2<br>LEI: 549300UWG2TLX1GZVT44 | Long             | DBT              | CORP              | US        |     120000 | PA      | $96466.18     | 0.30%             | 2057-11-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| MISSOURI ST HLTH & EDUCTNL FAC              | Health & Educational Facilities Authority of the State of Missouri               | CUSIP: 60637ATJ1<br>LEI: 549300IWTBCMX5JB3277 | Long             | DBT              | MUN               | US        |       5000 | PA      | $4213.45      | 0.01%             | 2038-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GLOBAL AIR LEASE CO LTD                     | Global Aircraft Leasing Co Ltd                                                   | CUSIP: 37960JAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     161346 | PA      | $137144.10    | 0.42%             | 2024-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| STAPLES INC                                 | Staples Inc                                                                      | CUSIP: 855031AR1<br>LEI: XQM2JINI1UL7642TU573 | Long             | LON              | CORP              | US        |       9698 | PA      | $9548.23      | 0.03%             | 2024-09-12      | Floating      | 8.94%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Trust 2021-ARIA                                                               | CUSIP: 05608RAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $90721.72     | 0.28%             | 2036-10-15      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140XD6E1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      92880 | PA      | $79176.70     | 0.24%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                        | FREMF 2018-KW04 Trust                                                            | CUSIP: 30296MAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      50000 | PA      | $41626.71     | 0.13%             | 2028-09-25      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36290RP49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        629 | PA      | $655.82       | 0.00%             | 2033-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F052615<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     100000 | PA      | $100246.66    | 0.31%             | 2053-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31418EBH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      95573 | PA      | $77238.56     | 0.24%             | 2042-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| LEVEL 3 FINANCING INC                       | Level 3 Financing Inc                                                            | CUSIP: 527298BT9<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |     165000 | PA      | $118696.08    | 0.37%             | 2029-07-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION   | CDS DELTA AIR LINES INC                                                          | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |          1 | NC      | $1508.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2021-DNA5                                          | CUSIP: 35564KJA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      80000 | PA      | $73061.51     | 0.23%             | 2034-01-25      | Floating      | 6.98%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust                                                         | CUSIP: 465976AD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $61470.14     | 0.19%             | 2052-07-25      | Variable      | 3.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31418D4N9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42638 | PA      | $40037.16     | 0.12%             | 2051-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 3136B5TL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19726 | PA      | $2046.93      | 0.01%             | 2049-08-25      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3133KL2H9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     285863 | PA      | $242761.59    | 0.75%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                            | Societe Generale SA                                                              | CUSIP: 83368RBK7<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |     200000 | PA      | $135327.73    | 0.42%             | 2043-01-21      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus              | CSAIL 2015-C4 Commercial Mortgage Trust                                          | CUSIP: 12635RBE7<br>LEI: 54930025J96YEH8FQE77 | Long             | ABS-MBS          | CORP              | US        |      25000 | PA      | $20925.15     | 0.06%             | 2048-11-15      | Variable      | 3.56%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Accepta              | Mello Mortgage Capital Acceptance 2022-INV2                                      | CUSIP: 58549JCD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      98567 | PA      | $64410.33     | 0.20%             | 2052-04-25      | Variable      | 3.53%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES INC                         | United Airlines Inc                                                              | CUSIP: 90932LAH0<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | DBT              | CORP              | US        |      10000 | PA      | $8706.96      | 0.03%             | 2029-04-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA ST HLTH FACS FING A              | California Health Facilities Financing Authority                                 | CUSIP: 13032UB31<br>LEI: 5493007RI8BUDOGHZ546 | Long             | DBT              | MUN               | US        |      20000 | PA      | $15280.40     | 0.05%             | 2051-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF SOUTH AFRICA                    | Republic of South Africa Government Bond                                         | CUSIP: 000000000<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    3800000 | PA      | $190478.04    | 0.59%             | 2032-03-31      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                               | CUSIP: 3137ATFZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      47713 | PA      | $5498.10      | 0.02%             | 2042-08-15      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3132DWCR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19503 | PA      | $18302.32     | 0.06%             | 2051-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36201RX71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4347 | PA      | $4258.87      | 0.01%             | 2035-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Eagle Re Ltd                                | Eagle RE 2021-2 Ltd                                                              | CUSIP: 26982AAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |     150000 | PA      | $139027.38    | 0.43%             | 2034-04-25      | Floating      | 8.18%                 | No            |                  2 | On Loan: No      |
| GOL FINANCE SA                              | Gol Finance SA                                                                   | CUSIP: 36254VAC2<br>LEI: 5299007RH8MA67ZC6J07 | Long             | DBT              | CORP              | LU        |     110000 | PA      | $65402.47     | 0.20%             | 2026-06-30      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| ALGONQUIN PWR & UTILITY                     | Algonquin Power & Utilities Corp                                                 | CUSIP: 015857AH8<br>LEI: 549300K5VIUTJXQL7X75 | Long             | DBT              | CORP              | CA        |      75000 | PA      | $60750.00     | 0.19%             | 2082-01-18      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Accepta              | Mello Mortgage Capital Acceptance 2021-INV2                                      | CUSIP: 58549XAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $66842.96     | 0.21%             | 2051-08-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36179SUW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15123 | PA      | $14526.08     | 0.04%             | 2047-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140FMSE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19330 | PA      | $17924.55     | 0.06%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F042616<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50000 | PA      | $48112.81     | 0.15%             | 2053-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                               | United States Treasury Bill                                                      | CUSIP: 912796ZL6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1250000 | PA      | $1247199.45   | 3.85%             | 2023-01-24      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CORELOGIC INC                               | CoreLogic Inc                                                                    | CUSIP: 21871DAD5<br>LEI: 54930086CD8K2UIL0516 | Long             | DBT              | CORP              | US        |      55000 | PA      | $42196.00     | 0.13%             | 2028-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| VISTAJET MALTA/XO MGMT                      | VistaJet Malta Finance PLC / XO Management Holding Inc                           | CUSIP: 92840JAD1<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |      15000 | PA      | $13532.17     | 0.04%             | 2027-05-01      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140QFUB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15317 | PA      | $14442.95     | 0.04%             | 2050-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Pioneer ILS Interval Fund                   | Pioneer ILS Interval Fund                                                        | CUSIP: 72369L107<br>LEI: 549300LH2MO2SJZYNC86 | Long             | EC               | RF                | US        |     101752 | NS      | $825211.99    | 2.55%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138WHG97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        813 | PA      | $727.84       | 0.00%             | 2046-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140GPS58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10711 | PA      | $10237.06     | 0.03%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Lo              | Arbor Realty Commercial Real Estate Notes 2021-FL3 Ltd                           | CUSIP: 03880KAJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     100000 | PA      | $92893.50     | 0.29%             | 2034-08-15      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                            | Fannie Mae Connecticut Avenue Securities                                         | CUSIP: 30711XJ62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |      30000 | PA      | $30298.66     | 0.09%             | 2030-10-25      | Floating      | 8.14%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140XGUH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      94055 | PA      | $85582.95     | 0.26%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage               | Citigroup Commercial Mortgage Trust 2018-B2                                      | CUSIP: 17327FAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     150000 | PA      | $139216.76    | 0.43%             | 2051-03-10      | Fixed         | 3.74%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36179QPH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12980 | PA      | $12493.07     | 0.04%             | 2044-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                    | Lloyds Banking Group PLC                                                         | CUSIP: 53944YAU7<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |     200000 | PA      | $183638.07    | 0.57%             | 2033-08-11      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F030629<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     400000 | PA      | $351197.70    | 1.09%             | 2053-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FITNESS & SPORTS CLUBS LLC                  | Fitness International LLC                                                        | CUSIP: 33818XAH3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      15560 | PA      | $14417.55     | 0.04%             | 2025-04-18      | Floating      | 7.49%                 | No            |                  2 | On Loan: No      |
| FORTUNE BRANDS INNOVATIO                    | Fortune Brands Innovations Inc                                                   | CUSIP: 34964CAG1<br>LEI: 54930032LHW54PQUJD44 | Long             | DBT              | CORP              | US        |      50000 | PA      | $37537.81     | 0.12%             | 2052-03-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Oceanview Mortgage Trust                    | Oceanview Mortgage Trust 2021-1                                                  | CUSIP: 67647LCE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      95451 | PA      | $65862.46     | 0.20%             | 2051-05-25      | Variable      | 2.72%                 | No            |                  2 | On Loan: No      |
| ROCKINGHAM CNTY VA ECON DEV AU              | Rockingham County Economic Development Authority                                 | CUSIP: 77345QAA2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |       5000 | PA      | $3769.15      | 0.01%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association   | PLN/USD FORWARD                                                                  | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-5042.59     | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| SHELF DRILL HOLD LTD                        | Shelf Drilling Holdings Ltd                                                      | CUSIP: 822538AG9<br>LEI: 54930078ZJ3XP4MRYB68 | Long             | DBT              | CORP              | KY        |      22000 | PA      | $21560.00     | 0.07%             | 2024-11-15      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| LIBERTY MUTUAL GROUP INC                    | Liberty Mutual Group Inc                                                         | CUSIP: 53079EBN3<br>LEI: QUR0DG15Z6FFGYCHH861 | Long             | DBT              | CORP              | US        |      85000 | PA      | $76262.58     | 0.24%             | 2052-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION   | EUR CALL VERSUS USD PUT                                                          | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |    -350000 | NC      | $-5263.54     | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| GARDA WORLD SECURITY                        | Garda World Security Corp                                                        | CUSIP: 36485MAL3<br>LEI: 549300ZF1NDXLMCHNO20 | Long             | DBT              | CORP              | CA        |      39000 | PA      | $31689.39     | 0.10%             | 2029-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citibank, National Association              | PLN/EUR FORWARD                                                                  | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $5009.60      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION              | USD CALL VERSUS EUR PUT                                                          | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |     300000 | NC      | $3456.73      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                     | PEN/USD FORWARD                                                                  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |          1 | NC      | $6828.55      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Woodward Capital Management                 | RCKT Mortgage Trust 2022-3                                                       | CUSIP: 74938XBU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      99072 | PA      | $66238.83     | 0.20%             | 2052-05-25      | Variable      | 3.19%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36202D2F7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2283 | PA      | $2390.27      | 0.01%             | 2033-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PARK-OHIO INDUSTRIES INC                    | Park-Ohio Industries Inc                                                         | CUSIP: 700677AR8<br>LEI: 5493006LQUO5SLMNYM18 | Long             | DBT              | CORP              | US        |      57000 | PA      | $38722.38     | 0.12%             | 2027-04-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| GOTO GROUP INC                              | GoTo Group Inc                                                                   | CUSIP: 541056AA5<br>LEI: 549300D12V5KRBV00592 | Long             | DBT              | CORP              | US        |      45000 | PA      | $24201.99     | 0.07%             | 2027-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                       | CUSIP: 21H040616<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     100000 | PA      | $94609.74     | 0.29%             | 2053-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| OWENS & MINOR INC                           | Owens & Minor Inc                                                                | CUSIP: 69073LAD2<br>LEI: 549300LMT5KQQXCEZ733 | Long             | LON              | CORP              | US        |      34825 | PA      | $34912.06     | 0.11%             | 2029-03-29      | Floating      | 8.06%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                          | Energy Transfer LP                                                               | CUSIP: 29278NAE3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      35000 | PA      | $31550.67     | 0.10%             | 2048-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ATHENAHEALTH GROUP INC                      | AthenaHealth Group Inc                                                           | CUSIP: 60337JAA4<br>LEI: 254900AA3KZN4Q7A5Z33 | Long             | DBT              | CORP              | US        |      60000 | PA      | $44215.93     | 0.14%             | 2030-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                        | FREMF 2020-K106 Mortgage Trust                                                   | CUSIP: 30313WAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      50000 | PA      | $42953.73     | 0.13%             | 2053-03-25      | Variable      | 3.58%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                              | Air Lease Corp                                                                   | CUSIP: 00914AAS1<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |     150000 | PA      | $119164.55    | 0.37%             | 2032-01-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140FHLH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6672 | PA      | $6190.06      | 0.02%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140GVE92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8334 | PA      | $7956.39      | 0.02%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36211RFL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        795 | PA      | $817.18       | 0.00%             | 2030-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MEX BONOS DESARR FIX RT                     | Mexican Bonos                                                                    | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    5490000 | PA      | $273932.31    | 0.85%             | 2029-05-31      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2020-DNA3                                          | CUSIP: 35565WBD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      63779 | PA      | $66446.84     | 0.21%             | 2050-06-25      | Floating      | 9.49%                 | No            |                  2 | On Loan: No      |
| GRUPO AEROMEXICO SAB                        | Grupo Aeromexico SAB de CV                                                       | CUSIP: 40054JAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |     200000 | PA      | $176648.31    | 0.55%             | 2027-03-17      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                           | HSBC Holdings PLC                                                                | CUSIP: 404280DH9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     200000 | PA      | $185204.62    | 0.57%             | 2033-08-11      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 31335AWT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      26560 | PA      | $25080.41     | 0.08%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SLG Office Trust                            | SLG Office Trust 2021-OVA                                                        | CUSIP: 78449RAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $64923.55     | 0.20%             | 2041-07-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140XGFN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     183398 | PA      | $163491.86    | 0.51%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2021-HQA1                                          | CUSIP: 35564KCP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      70000 | PA      | $53289.51     | 0.16%             | 2033-08-25      | Floating      | 8.93%                 | No            |                  2 | On Loan: No      |
| IVORY COAST                                 | Ivory Coast Government International Bond                                        | CUSIP: 000000000<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |     100000 | PA      | $89481.06     | 0.28%             | 2031-10-17      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2020-DNA4                                          | CUSIP: 35565XBE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      40000 | PA      | $43925.65     | 0.14%             | 2050-08-25      | Floating      | 14.39%                | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2020-DNA5                                          | CUSIP: 35566ABE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      40000 | PA      | $44834.45     | 0.14%             | 2050-10-25      | Floating      | 15.43%                | No            |                  2 | On Loan: No      |
| MFRA Trust                                  | MFA 2021-RPL1 Trust                                                              | CUSIP: 55283QAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $75109.92     | 0.23%             | 2060-07-25      | Variable      | 2.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 3136B1Z98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18220 | PA      | $1666.89      | 0.01%             | 2048-06-25      | Floating      | 1.81%                 | No            |                  2 | On Loan: No      |
| UNIV OF NEBRASKA NE FACS CORP               | University of Nebraska Facilities Corp/The                                       | CUSIP: 914639LH0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      30000 | PA      | $21661.80     | 0.07%             | 2054-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38382AAB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     158670 | PA      | $3159.16      | 0.01%             | 2049-10-20      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| ReadyCap Commercial Mortgage T              | Ready Capital Mortgage Financing 2021-FL7 LLC                                    | CUSIP: 75575WAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      50000 | PA      | $45768.02     | 0.14%             | 2036-11-25      | Floating      | 7.34%                 | No            |                  2 | On Loan: No      |
| VERINT SYSTEMS INC                          | Verint Systems Inc                                                               | CUSIP: 92343XAC4<br>LEI: 549300KEQJS5FRVUCO94 | Long             | DBT              | CORP              | US        |      47000 | PA      | $40890.00     | 0.13%             | 2026-04-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                    | Benchmark 2018-B5 Mortgage Trust                                                 | CUSIP: 08160BAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      40000 | PA      | $37464.76     | 0.12%             | 2051-07-15      | Fixed         | 3.94%                 | No            |                  2 | On Loan: No      |
| PRIME SECSRVC BRW/FINANC                    | Prime Security Services Borrower LLC / Prime Finance Inc                         | CUSIP: 74166MAE6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     104000 | PA      | $94656.64     | 0.29%             | 2028-01-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                        | FREMF 2019-K88 Mortgage Trust                                                    | CUSIP: 302971AT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      75000 | PA      | $66519.12     | 0.21%             | 2052-02-25      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36225BZ27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        267 | PA      | $275.05       | 0.00%             | 2032-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| TRINSEO OP / TRINSEO FIN                    | Trinseo Materials Operating SCA / Trinseo Materials Finance Inc                  | CUSIP: 89668QAF5<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |      50000 | PA      | $32386.00     | 0.10%             | 2029-04-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                  | EUR/USD FORWARD                                                                  | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-16575.43    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140XFKT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      93863 | PA      | $76786.07     | 0.24%             | 2042-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| TRONOX INC                                  | Tronox Inc                                                                       | CUSIP: 897051AC2<br>LEI: 549300EPZ4YXC7E5P181 | Long             | DBT              | CORP              | US        |     105000 | PA      | $87281.25     | 0.27%             | 2029-03-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36184QTQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7559 | PA      | $7279.59      | 0.02%             | 2045-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                               | CUSIP: 3137AS5J9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      89497 | PA      | $8734.14      | 0.03%             | 2042-07-15      | Floating      | 1.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F050411<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     100000 | PA      | $100436.75    | 0.31%             | 2038-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JBS USA/FOOD/FINANCE                        | JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc                           | CUSIP: 46590XAD8<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |      13000 | PA      | $9969.06      | 0.03%             | 2032-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                 | CUSIP: 91282CGC9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     656400 | PA      | $652605.19    | 2.02%             | 2027-12-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                       | CUSIP: 21H030617<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     400000 | PA      | $356072.70    | 1.10%             | 2053-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                              | NRG Energy Inc                                                                   | CUSIP: 629377CL4<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |     132000 | PA      | $116733.97    | 0.36%             | 2029-06-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36178GJ62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4027 | PA      | $3878.31      | 0.01%             | 2044-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140KLYF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      72201 | PA      | $62377.10     | 0.19%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3133ARDX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      88462 | PA      | $75095.78     | 0.23%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ReadyCap Commercial Mortgage T              | Ready Capital Mortgage Financing 2022-FL8 LLC                                    | CUSIP: 75574PAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      55000 | PA      | $51878.76     | 0.16%             | 2037-01-25      | Floating      | 7.64%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                   | Boeing Co/The                                                                    | CUSIP: 097023CQ6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     237000 | PA      | $162714.44    | 0.50%             | 2050-02-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                | ING Groep NV                                                                     | CUSIP: 456837AZ6<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |     220000 | PA      | $150976.39    | 0.47%             | N/A             | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31417YNA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10982 | PA      | $11038.87     | 0.03%             | 2030-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140QLJX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13690 | PA      | $12875.58     | 0.04%             | 2051-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BUILDERS FIRSTSOURCE INC                    | Builders FirstSource Inc                                                         | CUSIP: 12008RAR8<br>LEI: 549300W0SKP6L3H7DP63 | Long             | DBT              | CORP              | US        |      63000 | PA      | $59172.51     | 0.18%             | 2032-06-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                     | BPCE SA                                                                          | CUSIP: 05578QAF0<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |     250000 | PA      | $182416.39    | 0.56%             | 2032-10-19      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| BIO-RAD LABS                                | Bio-Rad Laboratories Inc                                                         | CUSIP: 090572AQ1<br>LEI: 549300ZC1GPV35XYDK53 | Long             | DBT              | CORP              | US        |      30000 | PA      | $25695.63     | 0.08%             | 2032-03-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                       | Wells Fargo & Co                                                                 | CUSIP: 949746804<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | EP               | CORP              | US        |        319 | NS      | $378015.00    | 1.17%             |  |  |  | No            |                  1 | On Loan: No      |
| ReadyCap Commercial Mortgage T              | Ready Capital Mortgage Financing 2022-FL8 LLC                                    | CUSIP: 75574PAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      25000 | PA      | $23636.10     | 0.07%             | 2037-01-25      | Floating      | 8.19%                 | No            |                  2 | On Loan: No      |
| Continental Credit Card llc                 | Continental Finance Credit Card ABS Master Trust                                 | CUSIP: 66981PAK4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     100000 | PA      | $98376.81     | 0.30%             | 2030-10-15      | Fixed         | 9.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140XHEC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      92699 | PA      | $79532.13     | 0.25%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2022-HQA1                                          | CUSIP: 35564KTJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      25000 | PA      | $24252.82     | 0.07%             | 2042-03-25      | Floating      | 9.18%                 | No            |                  2 | On Loan: No      |
| GARDA WORLD SECURITY                        | Garda World Security Corp                                                        | CUSIP: 36485MAK5<br>LEI: 549300ZF1NDXLMCHNO20 | Long             | DBT              | CORP              | CA        |      35000 | PA      | $30904.30     | 0.10%             | 2027-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140MJ6G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1072987 | PA      | $908667.77    | 2.81%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3133KYWD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      94129 | PA      | $76065.44     | 0.24%             | 2042-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| INDONESIA GOVERNMENT                        | Indonesia Treasury Bond                                                          | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        | 1784000000 | PA      | $112065.70    | 0.35%             | 2028-05-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| MINERAL RESOURCES LTD                       | Mineral Resources Ltd                                                            | CUSIP: 603051AD5<br>LEI: 5299007V1ACKFFX2P066 | Long             | DBT              | CORP              | AU        |      15000 | PA      | $15202.95     | 0.05%             | 2030-05-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 31335ABN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4702 | PA      | $4881.21      | 0.02%             | 2041-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BENTLEY SYSTEMS                             | Bentley Systems Inc                                                              | CUSIP: 08265TAD1<br>LEI: 549300WVEHPGE0Z56F71 | Long             | DBT              | CORP              | US        |      22000 | PA      | $17908.00     | 0.06%             | 2027-07-01      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140MNNC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37701 | PA      | $34571.28     | 0.11%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                               | United States Treasury Bill                                                      | CUSIP: 912796XT1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     950000 | PA      | $946985.86    | 2.93%             | 2023-02-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31371KLT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         68 | PA      | $70.40        | 0.00%             | 2032-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31416X4Z0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12542 | PA      | $12433.60     | 0.04%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2021-7                                                  | CUSIP: 46592NCC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      96333 | PA      | $59113.93     | 0.18%             | 2051-11-25      | Variable      | 2.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36184NEC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6991 | PA      | $6523.68      | 0.02%             | 2045-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AFRICAN EXPORT-IMPORT BA                    | African Export-Import Bank/The                                                   | CUSIP: 00831TAA9<br>LEI: 21380068LJCDYA42GJ76 | Long             | DBT              | NUSS              | N/A       |     200000 | PA      | $173340.00    | 0.54%             | 2029-09-21      | Fixed         | 3.99%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 3622A25J7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12448 | PA      | $12499.31     | 0.04%             | 2044-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| OREGON ST HLTH & SCIENCE UNIV               | Oregon Health & Science University                                               | CUSIP: 685869HG7<br>LEI: 549300XTWOAGON8L2G98 | Long             | DBT              | MUN               | US        |      15000 | PA      | $11124.90     | 0.03%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BROWN BROTHERS HARRIMAN & CO.               | USD/EUR FORWARD                                                                  | CUSIP: 000000000<br>LEI: 5493006KMX1VFTPYPW14 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-2405.63     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                          | Banco Santander SA                                                               | CUSIP: 05971KAL3<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |     200000 | PA      | $151021.43    | 0.47%             | 2032-11-22      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36179XFH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      99295 | PA      | $96339.33     | 0.30%             | 2052-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JBS USA/FOOD/FINANCE                        | JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc                           | CUSIP: 46590XAJ5<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |      45000 | PA      | $42831.52     | 0.13%             | 2052-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GARDA WORLD SECURITY COR                    | Garda World Security Corp                                                        | CUSIP: 36257BAA7<br>LEI: 549300ZF1NDXLMCHNO20 | Long             | DBT              | CORP              | CA        |      24000 | PA      | $23114.79     | 0.07%             | 2027-11-01      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac Structured Agency Credit Risk Debt Notes                             | CUSIP: 35565TBD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |      70000 | PA      | $66850.12     | 0.21%             | 2050-11-25      | Floating      | 7.93%                 | No            |                  2 | On Loan: No      |
| State Street Bank and Trust Company         | USD/AUD FORWARD                                                                  | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              | CORP              | US        |          1 | NC      | $2276.26      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MASSACHUSETTS ST                            | Commonwealth of Massachusetts                                                    | CUSIP: 57582RN69<br>LEI: 5493001N1YCXNI1O7K10 | Long             | DBT              | MUN               | US        |      15000 | PA      | $11298.00     | 0.03%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 3132WMM50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5015 | PA      | $4796.06      | 0.01%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38382CAZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     134330 | PA      | $2473.15      | 0.01%             | 2050-01-20      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31418EAV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      94031 | PA      | $75992.76     | 0.23%             | 2042-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association   | KZT/USD FORWARD                                                                  | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-400.80      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                 | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1350000 | PA      | $938777.34    | 2.90%             | 2052-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3131YBED6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8743 | PA      | $8314.67      | 0.03%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ENLINK MIDSTREAM PARTNER                    | EnLink Midstream Partners LP                                                     | CUSIP: 29336UAC1<br>LEI: 88CPW63VL7KHJWS0NY83 | Long             | DBT              | CORP              | US        |      34000 | PA      | $28042.07     | 0.09%             | 2044-04-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| JBS USA/FOOD/FINANCE                        | JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc                           | CUSIP: 46590XAH9<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |     105000 | PA      | $100146.90    | 0.31%             | 2033-04-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| SLG Office Trust                            | SLG Office Trust 2021-OVA                                                        | CUSIP: 78449RAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $69656.02     | 0.22%             | 2041-07-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138YKFW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19419 | PA      | $18077.36     | 0.06%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                        | OneMain Finance Corp                                                             | CUSIP: 682691AB6<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |      55000 | PA      | $45538.35     | 0.14%             | 2027-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITI GROUP/CSL CAPITAL                     | Uniti Group LP / Uniti Group Finance Inc / CSL Capital LLC                       | CUSIP: 91327BAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      30000 | PA      | $19875.00     | 0.06%             | 2029-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| WESTERN GLOBAL AIRLINES                     | Western Global Airlines LLC                                                      | CUSIP: 958278AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      60000 | PA      | $45055.85     | 0.14%             | 2025-08-15      | Fixed         | 10.38%                | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138X8YD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18145 | PA      | $17380.04     | 0.05%             | 2043-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| 1011778 BC ULC                              | 1011778 BC ULC                                                                   | CUSIP: 000000000<br>LEI: 549300RHSHNRWI5LLA86 | Long             | LON              | CORP              | CA        |      69070 | PA      | $67969.22     | 0.21%             | 2026-11-19      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| ENLINK MIDSTREAM PARTNER                    | EnLink Midstream Partners LP                                                     | CUSIP: 29336UAG2<br>LEI: 88CPW63VL7KHJWS0NY83 | Long             | DBT              | CORP              | US        |     135000 | PA      | $108438.75    | 0.34%             | 2047-06-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| IAMGOLD CORP                                | IAMGOLD Corp                                                                     | CUSIP: 450913AF5<br>LEI: 254900E7II30XAB9LA72 | Long             | DBT              | CORP              | CA        |     107000 | PA      | $83079.13     | 0.26%             | 2028-10-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.             | CDS CDX.NA.HY.39.V1                                                              | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |          1 | NC      | $-28910.44    | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, National Association              | USD/IDR FORWARD                                                                  | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-1373.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                     | MXN/USD FORWARD                                                                  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-2865.76     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| OSCAR ACQUISITIONCO LLC                     | Oscar AcquisitionCo LLC / Oscar Finance Inc                                      | CUSIP: 687785AB1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      15000 | PA      | $13461.00     | 0.04%             | 2030-04-15      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities               | GS Mortgage-Backed Securities Trust 2021-GR3                                     | CUSIP: 36263TBF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      97845 | PA      | $70067.64     | 0.22%             | 2052-04-25      | Variable      | 3.39%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                               | CUSIP: 3137FV4S8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      45069 | PA      | $8630.66      | 0.03%             | 2050-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31416WH39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2513 | PA      | $2545.01      | 0.01%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 3132WMEP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19061 | PA      | $18242.43     | 0.06%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3133KYV63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      93348 | PA      | $76358.12     | 0.24%             | 2041-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                          | Energy Transfer LP                                                               | CUSIP: 29273VAM2<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     353000 | PA      | $294755.00    | 0.91%             | N/A             | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36225BY85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        507 | PA      | $536.92       | 0.00%             | 2033-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 3132QUC50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21695 | PA      | $20188.82     | 0.06%             | 2045-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 31297QUH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        544 | PA      | $543.12       | 0.00%             | 2035-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31418CDA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        943 | PA      | $844.37       | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                   | Towd Point Mortgage Trust 2017-1                                                 | CUSIP: 89173FAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $79330.96     | 0.25%             | 2056-10-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| SPIRIT LOYALTY KY LTD/IP                    | Spirit Loyalty Cayman Ltd / Spirit IP Cayman Ltd                                 | CUSIP: 84859BAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |      15000 | PA      | $15076.95     | 0.05%             | 2025-09-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| COEUR MINING INC                            | Coeur Mining Inc                                                                 | CUSIP: 192108BC1<br>LEI: 5493003AVK173D48DR70 | Long             | DBT              | CORP              | US        |     115000 | PA      | $89749.06     | 0.28%             | 2029-02-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| CITY OF BUENOS AIRES                        | Ciudad Autonoma De Buenos Aires/Government Bonds                                 | CUSIP: 11942GAD4<br>LEI: 5299007MC8RF52X0ON96 | Long             | DBT              | NUSS              | AR        |     250000 | PA      | $229024.38    | 0.71%             | 2027-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36200QLP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        124 | PA      | $127.89       | 0.00%             | 2032-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PECF USS INTERMEDIATE HO                    | PECF USS Intermediate Holding III Corp                                           | CUSIP: 69291LAB2<br>LEI: 254900DIL842DEXPYJ91 | Long             | LON              | CORP              | US        |      14888 | PA      | $12466.73     | 0.04%             | 2028-12-15      | Floating      | 8.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140MMR26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     187781 | PA      | $158285.32    | 0.49%             | 2042-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140XGS91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     190882 | PA      | $173991.48    | 0.54%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                  | USD/EUR FORWARD                                                                  | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $175.71       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION   | CDS UNITED AIRLINES HOLDINGS, INC.                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |          1 | NC      | $-2233.02     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac Structured Agency Credit Risk Debt Notes                             | CUSIP: 35565TBE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |      80000 | PA      | $72024.49     | 0.22%             | 2050-11-25      | Floating      | 11.33%                | No            |                  2 | On Loan: No      |
| UNITED WHOLESALE MTGE LL                    | United Wholesale Mortgage LLC                                                    | CUSIP: 913229AA8<br>LEI: 549300HW662MN1WU8550 | Long             | DBT              | CORP              | US        |      84000 | PA      | $66820.34     | 0.21%             | 2029-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| STICHTING AK RABOBANK                       | Stichting AK Rabobank Certificaten                                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |     283675 | PA      | $291149.12    | 0.90%             | N/A             | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| INTL FINANCE CORP                           | International Finance Corp                                                       | CUSIP: 000000000<br>LEI: QKL54NQY28TCDAI75F60 | Long             | DBT              | NUSS              | N/A       |   49000000 | PA      | $105383.93    | 0.33%             | 2023-02-03      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36290N6R8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         69 | PA      | $70.61        | 0.00%             | 2033-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF ARGENTINA                       | Argentine Republic Government International Bond                                 | CUSIP: 040114HX1<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |       6500 | PA      | $1725.47      | 0.01%             | 2029-07-09      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 3129362R7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8446 | PA      | $8543.26      | 0.03%             | 2039-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36192S4A5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8744 | PA      | $8157.43      | 0.03%             | 2046-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140J5E70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11290 | PA      | $10795.01     | 0.03%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                 | CUSIP: 912810SA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1138000 | PA      | $932759.92    | 2.88%             | 2048-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Grupo Aeromexico SAB de CV                  | Grupo Aeromexico SAB de CV                                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | MX        |       1529 | NS      | $12697.92     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| TREASURY BILL                               | United States Treasury Bill                                                      | CUSIP: 912796ZJ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1000000 | PA      | $999296.57    | 3.09%             | 2023-01-10      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Citibank, National Association              | USD/INR FORWARD                                                                  | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $2720.37      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF SERBIA                          | Serbia International Bond                                                        | CUSIP: 000000000<br>LEI: 254900W94OCY91V32O78 | Long             | DBT              | NUSS              | RS        |     100000 | PA      | $59980.74     | 0.19%             | 2036-09-23      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| GAINESVILLE & HALL CNTY GA HOS              | Gainesville & Hall County Hospital Authority                                     | CUSIP: 362762QQ2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      10000 | PA      | $7135.80      | 0.02%             | 2051-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36176MW74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7729 | PA      | $7658.27      | 0.02%             | 2041-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                              | Air Lease Corp                                                                   | CUSIP: 00914AAK8<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |      70000 | PA      | $58008.76     | 0.18%             | 2030-12-01      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR COMPANY                          | Ford Motor Co                                                                    | CUSIP: 345370DB3<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |      40000 | PA      | $36934.30     | 0.11%             | 2032-08-19      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31418EAB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     124929 | PA      | $105308.25    | 0.33%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US 10YR ULTRA                                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         -6 | NC      | $17970.30     | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| SEASPAN CORP                                | Seaspan Corp                                                                     | CUSIP: 81254UAK2<br>LEI: 5493007Z8Q1H45KT7W98 | Long             | DBT              | CORP              | MH        |      32000 | PA      | $24249.60     | 0.07%             | 2029-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                   | Boeing Co/The                                                                    | CUSIP: 097023CW3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     165000 | PA      | $152984.02    | 0.47%             | 2050-05-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| OWS CRE FUNDING I LLC                       | OWS Cre Funding I LLC                                                            | CUSIP: 67114QAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     100000 | PA      | $95494.46     | 0.30%             | 2023-09-01      | Floating      | 9.02%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36200K7J0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        313 | PA      | $330.61       | 0.00%             | 2033-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ST CLG BLDG AUTH EDUC              | Virginia College Building Authority                                              | CUSIP: 92778WPX8<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      25000 | PA      | $18782.00     | 0.06%             | 2051-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se              | Wells Fargo Mortgage Backed Securities 2022-INV1 Trust                           | CUSIP: 95003NBK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      98797 | PA      | $65932.67     | 0.20%             | 2052-03-25      | Variable      | 3.44%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2022-DNA2                                          | CUSIP: 35564KSJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     220000 | PA      | $200855.75    | 0.62%             | 2042-02-25      | Floating      | 8.68%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                         | Intesa Sanpaolo SpA                                                              | CUSIP: 46115HBQ9<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |     200000 | PA      | $146941.59    | 0.45%             | 2032-06-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                        | FREMF 2019-KJ24 Mortgage Trust                                                   | CUSIP: 30312FAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      58170 | PA      | $52877.26     | 0.16%             | 2027-10-25      | Variable      | 7.60%                 | No            |                  2 | On Loan: No      |
| SPIRIT AEROSYSTEMS INC                      | Spirit AeroSystems Inc                                                           | CUSIP: 85205TAN0<br>LEI: ZD2NBKV6GCC3UMGBM518 | Long             | DBT              | CORP              | US        |      30000 | PA      | $31581.00     | 0.10%             | 2029-11-30      | Fixed         | 9.38%                 | No            |                  2 | On Loan: No      |
| UNIV OF CALIFORNIA CA RGTS MED              | Regents of the University of California Medical Center Pooled Revenue            | CUSIP: 913366KT6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      10000 | PA      | $9455.90      | 0.03%             | 2053-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| State Street Bank and Trust Company         | EUR/USD FORWARD                                                                  | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-32606.06    | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| VISTAJET MALTA/XO MGMT                      | VistaJet Malta Finance PLC / XO Management Holding Inc                           | CUSIP: 92840JAB5<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |      75000 | PA      | $60136.88     | 0.19%             | 2030-02-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140XHHW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      90381 | PA      | $89385.05     | 0.28%             | 2044-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 3622A2Q70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13639 | PA      | $13209.69     | 0.04%             | 2045-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RBSCF Trust                                 | RBS Commercial Funding Inc 2013-SMV Trust                                        | CUSIP: 74932BAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $89000.00     | 0.28%             | 2031-03-11      | Variable      | 3.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31416BTA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10478 | PA      | $10534.48     | 0.03%             | 2039-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COMMERCIAL METALS CO                        | Commercial Metals Co                                                             | CUSIP: 201723AR4<br>LEI: 549300OQS2LO07ZJ7N73 | Long             | DBT              | CORP              | US        |      30000 | PA      | $26097.80     | 0.08%             | 2032-03-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Commercial Mortgage Trust 2021-VOLT                                           | CUSIP: 05609VAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $92000.49     | 0.28%             | 2036-09-15      | Floating      | 6.72%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                        | FREMF 2017-KW03 Mortgage Trust                                                   | CUSIP: 30302YAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      50000 | PA      | $46032.52     | 0.14%             | 2027-07-25      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 3132WMG57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8602 | PA      | $8224.15      | 0.03%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140MNNF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      93982 | PA      | $85921.62     | 0.27%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140FM7M2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6204 | PA      | $5925.82      | 0.02%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ADLER REAL ESTATE AG                        | ADLER Real Estate AG                                                             | CUSIP: 000000000<br>LEI: 529900Y6QFNN3D363B76 | Long             | DBT              | CORP              | DE        |     100000 | PA      | $73754.01     | 0.23%             | 2026-04-27      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Lo              | Arbor Realty Commercial Real Estate Notes 2022-FL2 Ltd                           | CUSIP: 03881JAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     100000 | PA      | $94597.56     | 0.29%             | 2037-05-15      | Floating      | 8.69%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac Stacr Trust 2018-HQA2                                                | CUSIP: 35563XBD3<br>LEI: 5493005RUXPCBST1N217 | Long             | ABS-MBS          | CORP              | US        |     150000 | PA      | $151041.41    | 0.47%             | 2048-10-25      | Floating      | 8.64%                 | No            |                  2 | On Loan: No      |
| COMMSCOPE TECH LLC                          | CommScope Technologies LLC                                                       | CUSIP: 20338HAB9<br>LEI: M4TWC4QDOKW45N7T6Y12 | Long             | DBT              | CORP              | US        |      50000 | PA      | $33960.08     | 0.10%             | 2027-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                        | Bank of America Corp                                                             | CUSIP: 060505682<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | EP               | CORP              | US        |         24 | NS      | $27840.00     | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36202FXC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4589 | PA      | $4579.60      | 0.01%             | 2041-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HAT HOLDINGS I LLC/HAT                      | HAT Holdings I LLC / HAT Holdings II LLC                                         | CUSIP: 418751AE3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      65000 | PA      | $56472.00     | 0.17%             | 2026-06-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                      | CCO Holdings LLC / CCO Holdings Capital Corp                                     | CUSIP: 1248EPCD3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     125000 | PA      | $107801.88    | 0.33%             | 2030-03-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| DRAFTKINGS HOLDINGS INC                     | DraftKings Holdings Inc                                                          | CUSIP: 26142RAB0<br>LEI: 5493008P45UYYL683Z97 | Long             | DBT              | CORP              | US        |     122000 | PA      | $75457.00     | 0.23%             | 2028-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION              | EUR CALL VERSUS USD PUT                                                          | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |    -300000 | NC      | $-8326.41     | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| YPF SOCIEDAD ANONIMA                        | YPF SA                                                                           | CUSIP: 984245AQ3<br>LEI: 5493003N7447U18U5U53 | Long             | DBT              | CORP              | AR        |     130000 | PA      | $92094.60     | 0.28%             | 2027-07-21      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| CHARLOTTE NC ARPT REVENUE                   | City of Charlotte NC Airport Revenue                                             | CUSIP: 161036TR9<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      15000 | PA      | $13910.10     | 0.04%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                    | Benchmark 2020-IG3 Mortgage Trust                                                | CUSIP: 08162QAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $77032.45     | 0.24%             | 2048-09-15      | Variable      | 3.29%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                              | Morgan Stanley                                                                   | CUSIP: 61747YES0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     100000 | PA      | $91435.88     | 0.28%             | 2037-04-20      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-02-22

**Name of Applicant:** PIONEER VARIABLE CONTRACTS TRUST /MA/

**Signature:** Anthony J. Koenig, Jr

**Name of Signer:** Anthony J. Koenig, Jr

**Title:** Managing Director, Chief Operations Officer & Treasurer of the Funds