# EDGAR Filing Document

**Accession Number:** 0000912763
**File Stem:** 0001145549-23-008161
**Filing Date:** 2023-2
**Character Count:** 265248
**Document Hash:** 509d6ca9d250108060741e10caa09670
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001145549-23-008161.hdr.sgml**: 20230222

**ACCESSION NUMBER**: 0001145549-23-008161

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230222

**DATE AS OF CHANGE**: 20230222

**PERIOD START**: 20230930

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Federated Hermes Total Return Series, Inc.
- **CENTRAL INDEX KEY:** 0000912763
- **IRS NUMBER:** 256429335
- **STATE OF INCORPORATION:** MD
- **FISCAL YEAR END:** 0930

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-07115
- **FILM NUMBER:** 23652472

**BUSINESS ADDRESS:**
- **STREET 1:** 4000 ERICSSON DRIVE
- **CITY:** WARRENDALE
- **STATE:** PA
- **ZIP:** 15086-7561
- **BUSINESS PHONE:** 8003417400

**MAIL ADDRESS:**
- **STREET 1:** 4000 ERICSSON DRIVE
- **CITY:** WARRENDALE
- **STATE:** PA
- **ZIP:** 15086-7561

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** FEDERATED TOTAL RETURN SERIES INC
- **DATE OF NAME CHANGE:** 19950407

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** INSIGHT INSTITUTIONAL SERIES INC
- **DATE OF NAME CHANGE:** 19940118

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** STRATEGIC INVESTMENT SERIES INC
- **DATE OF NAME CHANGE:** 19931019

## Series and Classes Contracts Data

### Federated Hermes Ultrashort Bond Fund (Series ID: S000010898)

| Class ID   | Class Name           | Ticker Symbol   |
|:---|:---|:---|
| C000030205 | Class A Shares       | FULAX           |
| C000030206 | Institutional Shares | FULIX           |
| C000030207 | Service Shares       | FULBX           |
| C000212356 | Class R6 Shares      | FULLX           |

## Nport-Ex

Federated Hermes Ultrashort Bond Fund

Portfolio of Investments

December 31, 2022 (unaudited)

---

| | | |
|:---|:---|:---|
| **Principal** <br>**Amount** <br>**or Shares**<br>|  | **Value** |
|  | ASSET-BACKED SECURITIES—59.9% |  |
|  | **Auto Receivables—32.6%** |  |
| $2590000 | AmeriCredit Automobile Receivables Trust 2019-3, Class D, 2.580%, 9/18/2025 | $2490357 |
| &nbsp;&nbsp; 2000000 | AmeriCredit Automobile Receivables Trust 2020-2, Class C, 1.480%, 2/18/2026 | &nbsp;&nbsp; 1896130 |
| &nbsp;&nbsp; 5320000 | AmeriCredit Automobile Receivables Trust 2020-2, Class D, 2.130%, 3/18/2026 | &nbsp;&nbsp; 4956244 |
| &nbsp;&nbsp; 6000000 | AmeriCredit Automobile Receivables Trust 2020-3, Class C, 1.060%, 8/18/2026 | &nbsp;&nbsp; 5691723 |
| &nbsp;&nbsp; 17825000 | AmeriCredit Automobile Receivables Trust 2020-3, Class D, 1.490%, 9/18/2026 | &nbsp;&nbsp; 16519795 |
| &nbsp;&nbsp; 27000000 | AmeriCredit Automobile Receivables Trust 2021-1, Class D, 1.210%, 12/18/2026 | &nbsp;&nbsp; 24054971 |
| &nbsp;&nbsp; 15500000 | AmeriCredit Automobile Receivables Trust 2021-2, Class C, 1.010%, 1/19/2027 | &nbsp;&nbsp; 14120740 |
| &nbsp;&nbsp; 579419 | Canadian Pacer Auto Receivable 2020-1A, Class A3, 1.830%, 7/19/2024 | &nbsp;&nbsp; 575740 |
| &nbsp;&nbsp; 18002000 | Canadian Pacer Auto Receivable 2021-1A, Class B, 1.120%, 12/21/2026 | &nbsp;&nbsp; 16684725 |
| &nbsp;&nbsp; 4552508 | Capital One Prime Auto Receivables Trust 2019-1, Class A4, 2.560%, 10/15/2024 | &nbsp;&nbsp; 4539794 |
| &nbsp;&nbsp; 9500000 | CarMax Auto Owner Trust 2021-1, Class B, 0.740%, 10/15/2026 | &nbsp;&nbsp; 8604691 |
| &nbsp;&nbsp; 800000 | CarMax Auto Owner Trust 2021-1, Class C, 0.940%, 12/15/2026 | &nbsp;&nbsp; 727437 |
| &nbsp;&nbsp; 1750000 | CarMax Auto Owner Trust 2021-1, Class D, 1.280%, 7/15/2027 | &nbsp;&nbsp; 1562051 |
| &nbsp;&nbsp; 7000000 | CarMax Auto Owner Trust 2021-3, Class B, 1.000%, 3/15/2027 | &nbsp;&nbsp; 6258042 |
| &nbsp;&nbsp; 12075000 | CarMax Auto Owner Trust 2021-3, Class C, 1.250%, 5/17/2027 | &nbsp;&nbsp; 10803441 |
| &nbsp;&nbsp; 5600000 | CarMax Auto Owner Trust 2021-3, Class D, 1.500%, 1/18/2028 | &nbsp;&nbsp; 4918800 |
| &nbsp;&nbsp; 8050904 | Carvana Auto Receivables Trust 2021-N3, Class A1, 0.350%, 6/12/2028 | &nbsp;&nbsp; 7807874 |
| &nbsp;&nbsp; 9657079 | Chase Auto Credit Linked Notes 2020-2, Class B, 0.840%, 2/25/2028 | &nbsp;&nbsp; 9395540 |
| &nbsp;&nbsp; 821859 | Chase Auto Credit Linked Notes 2020-2, Class C, 1.139%, 2/25/2028 | &nbsp;&nbsp; 798966 |
| &nbsp;&nbsp; 1367808 | Chase Auto Credit Linked Notes 2020-2, Class D, 1.487%, 2/25/2028 | &nbsp;&nbsp; 1326126 |
| &nbsp;&nbsp; 2722741 | Chase Auto Credit Linked Notes 2021-1, Class D, 1.174%, 9/25/2028 | &nbsp;&nbsp; 2595426 |
| &nbsp;&nbsp; 1996677 | Chase Auto Credit Linked Notes 2021-1, Class E, 2.365%, 9/25/2028 | &nbsp;&nbsp; 1880541 |
| &nbsp;&nbsp; 7004165 | Chase Auto Credit Linked Notes 2021-2, Class B, 0.889%, 12/26/2028 | &nbsp;&nbsp; 6694240 |
| &nbsp;&nbsp; 3512858 | Chase Auto Credit Linked Notes 2021-2, Class C, 0.969%, 12/26/2028 | &nbsp;&nbsp; 3348753 |
| &nbsp;&nbsp; 3124935 | Chase Auto Credit Linked Notes 2021-2, Class D, 1.138%, 12/26/2028 | &nbsp;&nbsp; 2962055 |
| &nbsp;&nbsp; 1724102 | Chase Auto Credit Linked Notes 2021-2, Class E, 2.280%, 12/26/2028 | &nbsp;&nbsp; 1612041 |
| &nbsp;&nbsp; 10998442 | Chase Auto Credit Linked Notes 2021-3, Class B, 0.760%, 2/26/2029 | &nbsp;&nbsp; 10326707 |
| &nbsp;&nbsp; 2874593 | Chase Auto Credit Linked Notes 2021-3, Class C, 0.860%, 2/26/2029 | &nbsp;&nbsp; 2693295 |
| &nbsp;&nbsp; 1299816 | Chase Auto Credit Linked Notes 2021-3, Class E, 2.102%, 2/26/2029 | &nbsp;&nbsp; 1191129 |
| &nbsp;&nbsp; 532875 | Drive Auto Receivables Trust 2020-1, Class C, 2.360%, 3/16/2026 | &nbsp;&nbsp; 532162 |
| &nbsp;&nbsp; 8600000 | Drive Auto Receivables Trust 2020-1, Class D, 2.700%, 5/17/2027 | &nbsp;&nbsp; 8443686 |
| &nbsp;&nbsp; 11185000 | Drive Auto Receivables Trust 2021-1, Class C, 1.020%, 6/15/2027 | &nbsp;&nbsp; 10946570 |
| &nbsp;&nbsp; 36133805 | Drive Auto Receivables Trust 2021-2, Class B, 0.580%, 12/15/2025 | &nbsp;&nbsp; 35791668 |
| &nbsp;&nbsp; 37000000 | Drive Auto Receivables Trust 2021-2, Class C, 0.870%, 10/15/2027 | &nbsp;&nbsp; 35613277 |
| &nbsp;&nbsp; 3226879 | Ford Credit Auto Lease Trust 2020-B, Class C, 1.700%, 2/15/2025 | &nbsp;&nbsp; 3224147 |
| &nbsp;&nbsp; 15000000 | Ford Credit Auto Lease Trust 2021-A, Class B, 0.470%, 5/15/2024 | &nbsp;&nbsp; 14738910 |
| &nbsp;&nbsp; 5000000 | Ford Credit Auto Lease Trust 2021-A, Class C, 0.780%, 9/15/2025 | &nbsp;&nbsp; 4894011 |
| &nbsp;&nbsp; 6600000 | Ford Credit Auto Owner Trust 2019-B, Class B, 2.400%, 11/15/2024 | &nbsp;&nbsp; 6560899 |
| &nbsp;&nbsp; 5000000 | Ford Credit Auto Owner Trust 2019-B, Class C, 2.580%, 12/15/2025 | &nbsp;&nbsp; 4971443 |
| &nbsp;&nbsp; 5850000 | Ford Credit Auto Owner Trust 2019-C, Class C, 2.250%, 5/15/2026 | &nbsp;&nbsp; 5713463 |
| &nbsp;&nbsp; 5000000 | Ford Credit Auto Owner Trust 2020-C, Class B, 0.790%, 8/15/2026 | &nbsp;&nbsp; 4595414 |
| &nbsp;&nbsp; 4280000 | Ford Credit Auto Owner Trust 2020-C, Class C, 1.040%, 5/15/2028 | &nbsp;&nbsp; 3844441 |
| &nbsp;&nbsp; 2565000 | Ford Credit Auto Owner Trust 2021-A, Class C, 0.830%, 8/15/2028 | &nbsp;&nbsp; 2319536 |
| &nbsp;&nbsp; 2019615 | Ford Credit Auto Owner Trust 2022-A, Class A2, 0.730%, 9/15/2024 | &nbsp;&nbsp; 1996795 |
| &nbsp;&nbsp; 10700000 | Ford Credit Auto Owner Trust 2022-C, Class B, 5.030%, 2/15/2028 | &nbsp;&nbsp; 10625874 |

---

**1**

------

---

| | | |
|:---|:---|:---|
| **Principal**<br> **Amount**<br> **or Shares**<br>|  | **Value** |
|  | ASSET-BACKED SECURITIES—continued |  |
|  | **Auto Receivables—continued** |  |
| $2320000 | Ford Credit Auto Owner Trust 2022-C, Class C, 5.220%, 3/15/2030 | $2303597 |
| &nbsp;&nbsp; 14000000 | Ford Credit Floorplan Master Owner Trust 2020-1, Class B, 0.980%, 9/15/2025 | &nbsp;&nbsp; 13484319 |
| &nbsp;&nbsp; 14500000 | Ford Credit Floorplan Master Owner Trust 2020-1, Class C, 1.420%, 9/15/2025 | &nbsp;&nbsp; 13999087 |
| &nbsp;&nbsp; 17500000 | Ford Credit Floorplan Master Owner Trust 2020-1, Class D, 2.120%, 9/15/2025 | &nbsp;&nbsp; 16911407 |
| &nbsp;&nbsp; 2450000 | General Motors 2020-1, Class B, 1.030%, 8/15/2025 | &nbsp;&nbsp; 2385854 |
| &nbsp;&nbsp; 1440000 | General Motors 2020-1, Class C, 1.480%, 8/15/2025 | &nbsp;&nbsp; 1392595 |
| &nbsp;&nbsp; 13000000 | General Motors 2020-2, Class A, 0.690%, 10/15/2025 | &nbsp;&nbsp; 12527976 |
| &nbsp;&nbsp; 5750000 | General Motors 2020-2, Class B, 0.960%, 10/15/2025 | &nbsp;&nbsp; 5528716 |
| &nbsp;&nbsp; 4000000 | General Motors 2020-2, Class C, 1.310%, 10/15/2025 | &nbsp;&nbsp; 3849598 |
| &nbsp;&nbsp; 3000000 | GM Financial Automobile Leasing Trust 2020-2, Class C, 2.560%, 7/22/2024 | &nbsp;&nbsp; 2983513 |
| &nbsp;&nbsp; 7840000 | GM Financial Automobile Leasing Trust 2020-2, Class D, 3.210%, 12/20/2024 | &nbsp;&nbsp; 7795641 |
| &nbsp;&nbsp; 9000000 | GM Financial Automobile Leasing Trust 2020-3, Class D, 1.710%, 2/20/2025 | &nbsp;&nbsp; 8917507 |
| &nbsp;&nbsp; 9640000 | GM Financial Automobile Leasing Trust 2021-1, Class C, 0.700%, 2/20/2025 | &nbsp;&nbsp; 9349570 |
| &nbsp;&nbsp; 10000000 | GM Financial Automobile Leasing Trust 2021-1, Class D, 1.010%, 7/21/2025 | &nbsp;&nbsp; 9673612 |
| &nbsp;&nbsp; 8000000 | GM Financial Automobile Leasing Trust 2021-2, Class C, 1.010%, 5/20/2025 | &nbsp;&nbsp; 7673857 |
| &nbsp;&nbsp; 22750000 | GM Financial Automobile Leasing Trust 2021-3, Class C, 1.030%, 7/21/2025 | &nbsp;&nbsp; 21474936 |
| &nbsp;&nbsp; 9000000 | GM Financial Securitized Term 2019-3, Class C, 2.620%, 1/16/2025 | &nbsp;&nbsp; 8943585 |
| &nbsp;&nbsp; 3350000 | GM Financial Securitized Term 2020-3, Class B, 0.810%, 1/16/2026 | &nbsp;&nbsp; 3143149 |
| &nbsp;&nbsp; 2000000 | GM Financial Securitized Term 2020-3, Class D, 1.910%, 9/16/2027 | &nbsp;&nbsp; 1890679 |
| &nbsp;&nbsp; 5829039 | GM Financial Securitized Term 2021-1, Class A3, 0.350%, 10/16/2025 | &nbsp;&nbsp; 5643050 |
| &nbsp;&nbsp; 1675000 | GM Financial Securitized Term 2021-1, Class B, 0.750%, 5/17/2027 | &nbsp;&nbsp; 1534311 |
| &nbsp;&nbsp; 1375000 | GM Financial Securitized Term 2021-1, Class C, 1.040%, 5/17/2027 | &nbsp;&nbsp; 1254837 |
| &nbsp;&nbsp; 4250000 | GM Financial Securitized Term 2021-3, Class B, 0.970%, 8/16/2027 | &nbsp;&nbsp; 3804327 |
| &nbsp;&nbsp; 2757871 | Harley-Davidson Motorcycle Trust 2019-A, Class A4, 2.390%, 11/15/2026 | &nbsp;&nbsp; 2755262 |
| &nbsp;&nbsp; 6100000 | Hyundai Auto Lease Securitization Trust 2020-B, Class B, 0.810%, 10/15/2024 | &nbsp;&nbsp; 6049178 |
| &nbsp;&nbsp; 10127847 | Hyundai Auto Lease Securitization Trust 2021-A, Class A3, 0.330%, 1/16/2024 | &nbsp;&nbsp; 10060634 |
| &nbsp;&nbsp; 5150000 | Hyundai Auto Lease Securitization Trust 2021-A, Class B, 0.610%, 10/15/2025 | &nbsp;&nbsp; 5019482 |
| &nbsp;&nbsp; 20050000 | Hyundai Auto Lease Securitization Trust 2021-B, Class B, 0.620%, 3/16/2026 | &nbsp;&nbsp; 19135467 |
| &nbsp;&nbsp; 34000000 | Hyundai Auto Lease Securitization Trust 2021-C, Class B, 0.760%, 2/17/2026 | &nbsp;&nbsp; 32196570 |
| &nbsp;&nbsp; 16000000 | Hyundai Auto Receivables Trust 2019-A, Class C, 3.030%, 11/17/2025 | &nbsp;&nbsp; 15907594 |
| &nbsp;&nbsp; 2750000 | Hyundai Auto Receivables Trust 2019-B, Class B, 2.210%, 4/15/2025 | &nbsp;&nbsp; 2697449 |
| &nbsp;&nbsp; 4900000 | Hyundai Auto Receivables Trust 2019-B, Class C, 2.400%, 6/15/2026 | &nbsp;&nbsp; 4742988 |
| &nbsp;&nbsp; 4125000 | Hyundai Auto Receivables Trust 2020-B, Class B, 0.940%, 12/15/2025 | &nbsp;&nbsp; 3914044 |
| &nbsp;&nbsp; 6353000 | Hyundai Auto Receivables Trust 2020-B, Class C, 1.600%, 12/15/2026 | &nbsp;&nbsp; 5994396 |
| &nbsp;&nbsp; 6375000 | Hyundai Auto Receivables Trust 2020-C, Class C, 1.080%, 12/15/2027 | &nbsp;&nbsp; 5766290 |
| &nbsp;&nbsp; 9330000 | Hyundai Auto Receivables Trust 2021-B, Class B, 0.910%, 2/16/2027 | &nbsp;&nbsp; 8434578 |
| &nbsp;&nbsp; 5000000 | Hyundai Auto Receivables Trust 2021-B, Class C, 1.120%, 2/15/2028 | &nbsp;&nbsp; 4511522 |
| &nbsp;&nbsp; 11500000 | Mercedes-Benz Auto Lease Trust 2020-B, Class A4, 0.500%, 6/15/2026 | &nbsp;&nbsp; 11423371 |
| &nbsp;&nbsp; 4000000 | NextGear Floorplan Master Owner Trust 2020-1A, Class B, 1.790%, 2/15/2025 | &nbsp;&nbsp; 3961216 |
| &nbsp;&nbsp; 20000000 | NextGear Floorplan Master Owner Trust 2021-1A, Class A, 0.850%, 7/15/2026 | &nbsp;&nbsp; 18592087 |
| &nbsp;&nbsp; 7650000<br><sup>1</sup> <br>| NextGear Floorplan Master Owner Trust 2022-1A, Class A1, 4.857% (30-DAY AVERAGE SOFR +1.050%), 3/15/2027 | &nbsp;&nbsp; 7654714 |
| &nbsp;&nbsp; 883476 | Nissan Auto Receivables Owner 2020-B, Class A3, 0.550%, 7/15/2024 | &nbsp;&nbsp; 875443 |
| &nbsp;&nbsp; 1300000 | PenFed Auto Receivables Owner Trust 2022-A, Class B, 5.450%, 12/15/2028 | &nbsp;&nbsp; 1268500 |
| &nbsp;&nbsp; 1582000 | PenFed Auto Receivables Owner Trust 2022-A, Class C, 5.940%, 12/15/2028 | &nbsp;&nbsp; 1541711 |
| &nbsp;&nbsp; 800000 | PenFed Auto Receivables Owner Trust 2022-A, Class D, 7.160%, 6/17/2030 | &nbsp;&nbsp; 779821 |
| &nbsp;&nbsp; 5257960 | Santander Bank Auto Credit-Linked Notes 2021-1A, Class B, 1.833%, 12/15/2031 | &nbsp;&nbsp; 5080696 |
| &nbsp;&nbsp; 3420261 | Santander Bank Auto Credit-Linked Notes 2022-A, Class B, 5.281%, 5/15/2032 | &nbsp;&nbsp; 3313797 |
| &nbsp;&nbsp; 2564363 | Santander Bank Auto Credit-Linked Notes 2022-B, Class C, 5.916%, 8/16/2032 | &nbsp;&nbsp; 2554045 |
| &nbsp;&nbsp; 3846544 | Santander Bank Auto Credit-Linked Notes 2022-B, Class D, 6.793%, 8/16/2032 | &nbsp;&nbsp; 3831210 |
| &nbsp;&nbsp; 2991757 | Santander Bank Auto Credit-Linked Notes 2022-B, Class E, 8.681%, 8/16/2032 | &nbsp;&nbsp; 2980033 |

---

**2**

------

---

| | | |
|:---|:---|:---|
| **Principal**<br> **Amount**<br> **or Shares**<br>|  | **Value** |
|  | ASSET-BACKED SECURITIES—continued |  |
|  | **Auto Receivables—continued** |  |
| $4150000 | Santander Consumer Auto Receivables Trust 2020-B, Class B, 0.770%, 12/15/2025 | $4068325 |
| &nbsp;&nbsp; 2000000 | Santander Consumer Auto Receivables Trust 2020-B, Class C, 1.290%, 4/15/2026 | &nbsp;&nbsp; 1924207 |
| &nbsp;&nbsp; 3050000 | Santander Consumer Auto Receivables Trust 2020-B, Class D, 2.140%, 12/15/2026 | &nbsp;&nbsp; 2899660 |
| &nbsp;&nbsp; 1500000 | Santander Consumer Auto Receivables Trust 2021-AA, Class D, 1.570%, 1/15/2027 | &nbsp;&nbsp; 1361609 |
| &nbsp;&nbsp; 1750000 | Santander Consumer Auto Receivables Trust 2021-AA, Class E, 3.280%, 3/15/2027 | &nbsp;&nbsp; 1627133 |
| &nbsp;&nbsp; 8581139 | Santander Drive Auto Receivables Trust 2019-3, Class D, 2.680%, 10/15/2025 | &nbsp;&nbsp; 8524380 |
| &nbsp;&nbsp; 10000000 | Santander Drive Auto Receivables Trust 2020-2, Class D, 2.220%, 9/15/2026 | &nbsp;&nbsp; 9730294 |
| &nbsp;&nbsp; 14221456 | Santander Drive Auto Receivables Trust 2020-3, Class C, 1.120%, 1/15/2026 | &nbsp;&nbsp; 14098104 |
| &nbsp;&nbsp; 4100000 | Santander Drive Auto Receivables Trust 2020-3, Class D, 1.640%, 11/16/2026 | &nbsp;&nbsp; 3929199 |
| &nbsp;&nbsp; 15244000 | Santander Drive Auto Receivables Trust 2020-4, Class D, 1.480%, 1/15/2027 | &nbsp;&nbsp; 14562793 |
| &nbsp;&nbsp; 55000000 | Santander Drive Auto Receivables Trust 2021-1, Class D, 1.130%, 11/16/2026 | &nbsp;&nbsp; 51818646 |
| &nbsp;&nbsp; 41468027 | Santander Drive Auto Receivables Trust 2021-3, Class B, 0.600%, 12/15/2025 | &nbsp;&nbsp; 41151196 |
| &nbsp;&nbsp; 33000000 | Santander Drive Auto Receivables Trust 2021-3, Class C, 0.950%, 9/15/2027 | &nbsp;&nbsp; 31812007 |
| &nbsp;&nbsp; 34000000 | Santander Drive Auto Receivables Trust 2021-3, Class D, 1.330%, 9/15/2027 | &nbsp;&nbsp; 31716390 |
| &nbsp;&nbsp; 11000000 | Santander Drive Auto Receivables Trust 2021-4, Class C, 1.260%, 2/16/2027 | &nbsp;&nbsp; 10475035 |
| &nbsp;&nbsp; 3750000 | Santander Drive Auto Receivables Trust 2022-5, Class A3, 4.110%, 8/17/2026 | &nbsp;&nbsp; 3675302 |
| &nbsp;&nbsp; 6150000 | Santander Drive Auto Receivables Trust 2022-6, Class C, 4.960%, 11/15/2028 | &nbsp;&nbsp; 5907821 |
| &nbsp;&nbsp; 11953000 | Santander Retail Auto Lease Trust 2020-A, Class D, 2.520%, 11/20/2024 | &nbsp;&nbsp; 11806448 |
| &nbsp;&nbsp; 5750000 | Santander Retail Auto Lease Trust 2020-B, Class C, 1.180%, 12/20/2024 | &nbsp;&nbsp; 5471679 |
| &nbsp;&nbsp; 20000000 | Santander Retail Auto Lease Trust 2020-B, Class D, 1.980%, 10/20/2025 | &nbsp;&nbsp; 19089737 |
| &nbsp;&nbsp; 15000000 | Santander Retail Auto Lease Trust 2021-A, Class B, 0.920%, 3/20/2026 | &nbsp;&nbsp; 14262289 |
| &nbsp;&nbsp; 40000000 | Santander Retail Auto Lease Trust 2021-A, Class D, 1.380%, 3/22/2027 | &nbsp;&nbsp; 37708614 |
| &nbsp;&nbsp; 35500000 | Santander Retail Auto Lease Trust 2021-B, Class C, 1.100%, 6/20/2025 | &nbsp;&nbsp; 33483117 |
| &nbsp;&nbsp; 55825000 | Santander Retail Auto Lease Trust 2021-B, Class D, 1.410%, 11/20/2025 | &nbsp;&nbsp; 52357944 |
| &nbsp;&nbsp; 52000000 | Santander Retail Auto Lease Trust 2021-C, Class D, 1.390%, 8/20/2026 | &nbsp;&nbsp; 47714657 |
| &nbsp;&nbsp; 20670000 | Tesla Auto Lease Trust 2020-A, Class B, 1.180%, 1/22/2024 | &nbsp;&nbsp; 20487251 |
| &nbsp;&nbsp; 4650000 | Tesla Auto Lease Trust 2020-A, Class D, 2.330%, 2/20/2024 | &nbsp;&nbsp; 4601222 |
| &nbsp;&nbsp; 32660000 | Tesla Auto Lease Trust 2021-A, Class C, 1.180%, 3/20/2025 | &nbsp;&nbsp; 31059737 |
| &nbsp;&nbsp; 18150000 | Tesla Auto Lease Trust 2021-A, Class D, 1.340%, 3/20/2025 | &nbsp;&nbsp; 17160124 |
| &nbsp;&nbsp; 10000000 | Tesla Auto Lease Trust 2021-A, Class E, 2.640%, 3/20/2025 | &nbsp;&nbsp; 9359082 |
| &nbsp;&nbsp; 17350000 | Tesla Auto Lease Trust 2021-B, Class B, 0.910%, 9/22/2025 | &nbsp;&nbsp; 16123232 |
| &nbsp;&nbsp; 16000000 | Tesla Auto Lease Trust 2021-B, Class C, 1.120%, 9/22/2025 | &nbsp;&nbsp; 14837312 |
| &nbsp;&nbsp; 6000000 | Tesla Auto Lease Trust 2021-B, Class D, 1.320%, 9/22/2025 | &nbsp;&nbsp; 5541950 |
| &nbsp;&nbsp; 3691128 | Toyota Auto Receivables Owner Trust 2020-C, Class A3, 0.440%, 10/15/2024 | &nbsp;&nbsp; 3634405 |
| &nbsp;&nbsp; 11316778 | Volkswagen Auto Lease Trust 2020-A, Class A3, 0.390%, 1/22/2024 | &nbsp;&nbsp; 11260769 |
| &nbsp;&nbsp; 12000000 | Volkswagen Auto Lease Trust 2020-A, Class A4, 0.450%, 7/21/2025 | &nbsp;&nbsp; 11866139 |
| &nbsp;&nbsp; 1593000 | World Omni Auto Receivables Trust 2019-A, Class D, 2.590%, 12/15/2025 | &nbsp;&nbsp; 1560702 |
| &nbsp;&nbsp; 13500000 | World Omni Auto Receivables Trust 2019-C, Class B, 2.200%, 12/15/2025 | &nbsp;&nbsp; 13149627 |
| &nbsp;&nbsp; 8100000 | World Omni Auto Receivables Trust 2019-C, Class C, 2.400%, 6/15/2026 | &nbsp;&nbsp; 7885182 |
| &nbsp;&nbsp; 1400000 | World Omni Auto Receivables Trust 2020-A, Class C, 1.640%, 8/17/2026 | &nbsp;&nbsp; 1325765 |
| &nbsp;&nbsp; 5000000 | World Omni Auto Receivables Trust 2020-C, Class B, 0.870%, 10/15/2026 | &nbsp;&nbsp; 4600893 |
| &nbsp;&nbsp; 2650000 | World Omni Auto Receivables Trust 2020-C, Class C, 1.390%, 5/17/2027 | &nbsp;&nbsp; 2438776 |
| &nbsp;&nbsp; 6430000 | World Omni Auto Receivables Trust 2021-A, Class B, 0.640%, 12/15/2026 | &nbsp;&nbsp; 5916814 |
| &nbsp;&nbsp; 1685000 | World Omni Auto Receivables Trust 2021-A, Class C, 0.890%, 8/16/2027 | &nbsp;&nbsp; 1546988 |
| &nbsp;&nbsp; 5000000 | World Omni Auto Receivables Trust 2021-B, Class B, 1.040%, 6/15/2027 | &nbsp;&nbsp; 4556213 |
| &nbsp;&nbsp; 4500000 | World Omni Auto Receivables Trust 2021-B, Class C, 1.290%, 12/15/2027 | &nbsp;&nbsp; 4090158 |
| &nbsp;&nbsp; 3962580 | World Omni Auto Receivables Trust 2021-C, Class A2, 0.220%, 9/16/2024 | &nbsp;&nbsp; 3948365 |
| &nbsp;&nbsp; 5000000 | World Omni Auto Receivables Trust 2021-C, Class B, 0.840%, 9/15/2027 | &nbsp;&nbsp; 4553840 |
| &nbsp;&nbsp; 3000000 | World Omni Auto Receivables Trust 2021-C, Class C, 1.060%, 4/17/2028 | &nbsp;&nbsp; 2726018 |
| &nbsp;&nbsp; 5700000 | World Omni Automobile Lease Securitization Trust 2020-B, Class B, 0.700%, 2/17/2026 | &nbsp;&nbsp; 5601233 |

---

**3**

------

---

| | | |
|:---|:---|:---|
| **Principal**<br> **Amount**<br> **or Shares**<br>|  | **Value** |
|  | ASSET-BACKED SECURITIES—continued |  |
|  | **Auto Receivables—continued** |  |
| $5760000 | World Omni Automobile Lease Securitization Trust 2021-A, Class B, 0.750%, 11/16/2026 | $5441636 |
| &nbsp;&nbsp; 5000000 | World Omni Select Auto Trust 2019-A, Class C, 2.380%, 12/15/2025 | &nbsp;&nbsp; 4921009 |
| &nbsp;&nbsp; 9250000 | World Omni Select Auto Trust 2020-A, Class B, 0.840%, 6/15/2026 | &nbsp;&nbsp; 9001117 |
| &nbsp;&nbsp; 7750000 | World Omni Select Auto Trust 2020-A, Class C, 1.250%, 10/15/2026 | &nbsp;&nbsp; 7302664 |
| &nbsp;&nbsp; 9000000 | World Omni Select Auto Trust 2020-A, Class D, 1.700%, 10/15/2026 | &nbsp;&nbsp; 8566181 |
| &nbsp;&nbsp; 9250000 | World Omni Select Auto Trust 2021-A, Class B, 0.850%, 8/16/2027 | &nbsp;&nbsp; 8530451 |
| &nbsp;&nbsp; 3500000 | World Omni Select Auto Trust 2021-A, Class C, 1.090%, 11/15/2027 | &nbsp;&nbsp; 3170775 |
| &nbsp;&nbsp; 5000000 | World Omni Select Auto Trust 2021-A, Class D, 1.440%, 11/15/2027 | &nbsp;&nbsp; 4504044 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL | &nbsp;&nbsp; 1411803751 |
|  | **Credit Card—6.2%** |  |
| &nbsp;&nbsp; 11537000<br><sup>1</sup> <br>| American Express Credit Account Master Trust 2018-5, Class A, 4.658% (1-month USLIBOR +0.340%), 12/15/2025 | &nbsp;&nbsp; 11541793 |
| &nbsp;&nbsp; 10000000<br><sup>1</sup> <br>| American Express Credit Account Master Trust 2018-5, Class B, 4.868% (1-month USLIBOR +0.550%), 12/15/2025 | &nbsp;&nbsp; 10006606 |
| &nbsp;&nbsp; 3600000<br><sup>1</sup> <br>| American Express Credit Account Master Trust 2018-7, Class A, 4.678% (1-month USLIBOR +0.360%), 2/17/2026 | &nbsp;&nbsp; 3599313 |
| &nbsp;&nbsp; 16613000<br><sup>1</sup> <br>| American Express Credit Account Master Trust 2018-7, Class B, 4.888% (1-month USLIBOR +0.570%), 2/17/2026 | &nbsp;&nbsp; 16630090 |
| &nbsp;&nbsp; 18679000<br><sup>1</sup> <br>| American Express Credit Account Master Trust 2018-9, Class B, 4.908% (1-month USLIBOR +0.590%), 4/15/2026 | &nbsp;&nbsp; 18687865 |
| &nbsp;&nbsp; 4700000<br><sup>1</sup> <br>| Capital One Multi-Asset Execution Trust 2018-A2, Class A2, 4.668% (1-month USLIBOR +0.350%), 3/16/2026 | &nbsp;&nbsp; 4697921 |
| &nbsp;&nbsp; 30000000 | Cards II Trust 2021-1A, Class A, 0.602%, 4/15/2027 | &nbsp;&nbsp; 28305526 |
| &nbsp;&nbsp; 14000000 | Cards II Trust 2021-1A, Class B, 0.931%, 4/15/2027 | &nbsp;&nbsp; 13215441 |
| &nbsp;&nbsp; 6118000 | Cards II Trust 2021-1A, Class C, 1.200%, 4/15/2027 | &nbsp;&nbsp; 5774006 |
| &nbsp;&nbsp; 5000000 | Evergreen Credit Card Trust 2022-CRT1, Class C, 6.190%, 7/15/2026 | &nbsp;&nbsp; 4900676 |
| &nbsp;&nbsp; 6750000 | Evergreen Credit Card Trust Series 2021-1, Class C, 1.420%, 10/15/2026 | &nbsp;&nbsp; 6286142 |
| &nbsp;&nbsp; 8000000 | Golden Credit Card Trust 2021-1A, Class B, 1.440%, 8/15/2028 | &nbsp;&nbsp; 7110015 |
| &nbsp;&nbsp; 4250000 | Golden Credit Card Trust 2021-1A, Class C, 1.740%, 8/15/2028 | &nbsp;&nbsp; 3713479 |
| &nbsp;&nbsp; 15000000<br><sup>1</sup> <br>| Golden Credit Card Trust 2022-2A, Class A, 4.450% (30-DAY AVERAGE SOFR +0.250%), 1/15/2026 | &nbsp;&nbsp; 14926737 |
| &nbsp;&nbsp; 17658000 | Golden Credit Card Trust 2022-2A, Class B, 1.730%, 1/15/2026 | &nbsp;&nbsp; 17010547 |
| &nbsp;&nbsp; 7626000 | Golden Credit Card Trust 2022-2A, Class C, 2.030%, 1/15/2026 | &nbsp;&nbsp; 7354008 |
| &nbsp;&nbsp; 7648000 | Master Credit Card Trust 2018-1A, Class B, 3.245%, 7/21/2024 | &nbsp;&nbsp; 7643204 |
| &nbsp;&nbsp; 4237000 | Master Credit Card Trust 2018-1A, Class C, 3.737%, 7/21/2024 | &nbsp;&nbsp; 4234151 |
| &nbsp;&nbsp; 9000000 | Master Credit Card Trust 2021-1A, Class C, 1.060%, 11/21/2025 | &nbsp;&nbsp; 8410662 |
| &nbsp;&nbsp; 3000000 | Master Credit Card Trust 2022-1A, Class B, 1.970%, 7/21/2026 | &nbsp;&nbsp; 2821074 |
| &nbsp;&nbsp; 2000000 | Master Credit Card Trust 2022-1A, Class C, 2.270%, 7/21/2026 | &nbsp;&nbsp; 1879496 |
| &nbsp;&nbsp; 50000000<br><sup>1</sup> <br>| Trillium Credit Card Trust II 2021-2A, Class A, 4.098% (30-DAY AVERAGE SOFR +0.220%), 10/26/2026 | &nbsp;&nbsp; 49957027 |
| &nbsp;&nbsp; 10000000 | Trillium Credit Card Trust II 2021-2A, Class B, 1.084%, 10/26/2026 | &nbsp;&nbsp; 9628718 |
| &nbsp;&nbsp; 8044000 | Trillium Credit Card Trust II 2021-2A, Class C, 1.333%, 10/26/2026 | &nbsp;&nbsp; 7739919 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL | &nbsp;&nbsp;&nbsp;&nbsp; 266074416 |
|  | **Equipment Lease—7.8%** |  |
| &nbsp;&nbsp; 1500000 | CNH Equipment Trust 2019-A, Class B, 3.340%, 7/15/2026 | &nbsp;&nbsp; 1499211 |
| &nbsp;&nbsp; 3600000 | CNH Equipment Trust 2019-B, Class B, 2.870%, 11/16/2026 | &nbsp;&nbsp; 3582674 |
| &nbsp;&nbsp; 1733566 | CNH Equipment Trust 2020-A, Class A3, 1.160%, 6/16/2025 | &nbsp;&nbsp; 1709660 |
| &nbsp;&nbsp; 2200000 | CNH Equipment Trust 2020-A, Class B, 2.300%, 10/15/2027 | &nbsp;&nbsp; 2105468 |
| &nbsp;&nbsp; 10050000 | CNH Equipment Trust 2021-A, Class B, 0.970%, 6/15/2028 | &nbsp;&nbsp; 9189771 |
| &nbsp;&nbsp; 4834000 | Dell Equipment Finance Trust 2020-2, Class B, 0.920%, 11/22/2023 | &nbsp;&nbsp; 4745137 |
| &nbsp;&nbsp; 2350000 | Dell Equipment Finance Trust 2020-2, Class C, 1.370%, 1/22/2024 | &nbsp;&nbsp; 2300003 |
| &nbsp;&nbsp; 3380000 | Dell Equipment Finance Trust 2020-2, Class D, 1.920%, 3/23/2026 | &nbsp;&nbsp; 3316165 |
| &nbsp;&nbsp; 12280000 | Dell Equipment Finance Trust 2021-1, Class B, 0.710%, 5/22/2026 | &nbsp;&nbsp; 11869161 |
| &nbsp;&nbsp; 26617000 | Dell Equipment Finance Trust 2021-1, Class C, 0.810%, 5/22/2026 | &nbsp;&nbsp; 25725482 |
| &nbsp;&nbsp; 43518000 | Dell Equipment Finance Trust 2021-1, Class D, 1.030%, 11/23/2026 | &nbsp;&nbsp; 42042714 |
| &nbsp;&nbsp; 13000000 | Dell Equipment Finance Trust 2021-2, Class B, 0.810%, 12/22/2026 | &nbsp;&nbsp; 12309794 |
| &nbsp;&nbsp; 10500000 | Dell Equipment Finance Trust 2021-2, Class C, 0.940%, 12/22/2026 | &nbsp;&nbsp; 9933600 |
| &nbsp;&nbsp; 9000000 | Dell Equipment Finance Trust 2021-2, Class D, 1.210%, 6/22/2027 | &nbsp;&nbsp; 8427933 |

---

**4**

------

---

| | | |
|:---|:---|:---|
| **Principal**<br> **Amount**<br> **or Shares**<br>|  | **Value** |
|  | ASSET-BACKED SECURITIES—continued |  |
|  | **Equipment Lease—continued** |  |
| $3750000 | Dell Equipment Finance Trust 2022-2, Class C, 5.580%, 7/22/2027 | $3649627 |
| &nbsp;&nbsp; 4330000 | Dell Equipment Finance Trust 2022-2, Class D, 5.720%, 1/24/2028 | &nbsp;&nbsp; 4211503 |
| &nbsp;&nbsp; 443581 | DLL Securitization Trust 2019-DA1, Class A4, 2.920%, 4/20/2027 | &nbsp;&nbsp; 442350 |
| &nbsp;&nbsp; 1049607 | DLL Securitization Trust 2019-MA2, Class A4, 2.390%, 4/20/2027 | &nbsp;&nbsp; 1049527 |
| &nbsp;&nbsp; 8171186 | DLLAD LLC 2021-1A, Class A2, 0.350%, 9/20/2024 | &nbsp;&nbsp; 8050879 |
| &nbsp;&nbsp; 19000000 | DLLAD LLC 2021-1A, Class A3, 0.640%, 9/21/2026 | &nbsp;&nbsp; 17691157 |
| &nbsp;&nbsp; 14240180 | DLLMT LLC 2021-1A, Class A2, 0.600%, 3/20/2024 | &nbsp;&nbsp; 14076155 |
| &nbsp;&nbsp; 10800000 | Great America Leasing Receivables 2020-1, Class B, 2.000%, 2/16/2026 | &nbsp;&nbsp; 10427934 |
| &nbsp;&nbsp; 2610000 | Great America Leasing Receivables 2021-1, Class B, 0.720%, 12/15/2026 | &nbsp;&nbsp; 2390362 |
| &nbsp;&nbsp; 4702219 | HPEFS Equipment Trust 2020-1A, Class C, 2.030%, 2/20/2030 | &nbsp;&nbsp; 4685365 |
| &nbsp;&nbsp; 2750000 | HPEFS Equipment Trust 2020-1A, Class D, 2.260%, 2/20/2030 | &nbsp;&nbsp; 2721390 |
| &nbsp;&nbsp; 8000000 | HPEFS Equipment Trust 2020-2A, Class D, 2.790%, 7/22/2030 | &nbsp;&nbsp; 7892098 |
| &nbsp;&nbsp; 25000000 | HPEFS Equipment Trust 2021-1A, Class B, 0.570%, 3/20/2031 | &nbsp;&nbsp; 24222065 |
| &nbsp;&nbsp; 19640000 | HPEFS Equipment Trust 2021-1A, Class C, 0.750%, 3/20/2031 | &nbsp;&nbsp; 18846728 |
| &nbsp;&nbsp; 21250000 | HPEFS Equipment Trust 2021-1A, Class D, 1.030%, 3/20/2031 | &nbsp;&nbsp; 20027813 |
| &nbsp;&nbsp; 15600000 | HPEFS Equipment Trust 2021-2A, Class C, 0.880%, 9/20/2028 | &nbsp;&nbsp; 14847677 |
| &nbsp;&nbsp; 11200000 | HPEFS Equipment Trust 2021-2A, Class D, 1.290%, 3/20/2029 | &nbsp;&nbsp; 10364628 |
| &nbsp;&nbsp; 14400000 | HPEFS Equipment Trust 2022-1A, Class D, 2.400%, 11/20/2029 | &nbsp;&nbsp; 13444820 |
| &nbsp;&nbsp; 467788 | Kubota Credit Owner Trust 2020-1A, Class A3, 1.960%, 3/15/2024 | &nbsp;&nbsp; 464758 |
| &nbsp;&nbsp; 2233227 | MMAF Equipment Finance LLC 2020-A, Class A2, 0.740%, 4/9/2024 | &nbsp;&nbsp; 2214258 |
| &nbsp;&nbsp; 3679000 | Transportation Finance Equipment Trust 2019-1, Class B, 2.060%, 5/23/2024 | &nbsp;&nbsp; 3619424 |
| &nbsp;&nbsp; 2500000 | Transportation Finance Equipment Trust 2019-1, Class C, 2.190%, 8/23/2024 | &nbsp;&nbsp; 2464634 |
| &nbsp;&nbsp; 3000000 | Transportation Finance Equipment Trust 2019-1, Class D, 2.570%, 1/25/2027 | &nbsp;&nbsp; 2957816 |
| &nbsp;&nbsp; 4200000 | Volvo Financial Equipment LLC 2019-2A, Class B, 2.280%, 11/15/2024 | &nbsp;&nbsp; 4119831 |
| &nbsp;&nbsp; 1464000 | Volvo Financial Equipment LLC 2019-2A, Class C, 2.500%, 5/17/2027 | &nbsp;&nbsp; 1435730 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL | &nbsp;&nbsp;&nbsp;&nbsp; 335075302 |
|  | **Home Equity Loan—0.0%** |  |
| &nbsp;&nbsp; 28887<br><sup>1</sup> <br>| Countrywide Asset Backed Certificates 2004-4, Class A, 5.129% (1-month USLIBOR +0.740%), 8/25/2034 | &nbsp;&nbsp; 28047 |
| &nbsp;&nbsp; 109416<br><sup>2</sup> <br>| NC Finance Trust 1999-1, Class D, 8.750%, 1/25/2029 | &nbsp;&nbsp; 0 |
| &nbsp;&nbsp; 2532132<br><sup>2</sup> <br>| Washington Mutual Asset-Backed Certificates NIM Notes 2007-WM1, Class N1, 6.750%, 1/25/2047 | &nbsp;&nbsp; 0 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 28047 |
|  | **Manufactured Housing—0.0%** |  |
| &nbsp;&nbsp; 2922 | Indymac Manufactured Housing Contract 1997-1, Class A3, 6.610%, 2/25/2028 | &nbsp;&nbsp; 2929 |
|  | **Other—7.7%** |  |
| &nbsp;&nbsp; 2750000 | ARI Fleet Lease Trust 2021-A, Class B, 1.130%, 3/15/2030 | &nbsp;&nbsp; 2502903 |
| &nbsp;&nbsp; 2546000 | ARI Fleet Lease Trust 2021-A, Class C, 1.450%, 3/15/2030 | &nbsp;&nbsp; 2287356 |
| &nbsp;&nbsp; 2557155 | Chesapeake Funding II LLC 2019-1A, Class C, 3.360%, 4/15/2031 | &nbsp;&nbsp; 2555892 |
| &nbsp;&nbsp; 4000000 | Chesapeake Funding II LLC 2019-1A, Class D, 3.800%, 4/15/2031 | &nbsp;&nbsp; 3992151 |
| &nbsp;&nbsp; 4077273 | Chesapeake Funding II LLC 2020-1A, Class A1, 0.870%, 8/15/2032 | &nbsp;&nbsp; 3989922 |
| &nbsp;&nbsp; 1840000 | Chesapeake Funding II LLC 2020-1A, Class B, 1.240%, 8/15/2032 | &nbsp;&nbsp; 1770632 |
| &nbsp;&nbsp; 4838000 | Chesapeake Funding II LLC 2020-1A, Class C, 2.140%, 8/15/2032 | &nbsp;&nbsp; 4656342 |
| &nbsp;&nbsp; 1350000 | Chesapeake Funding II LLC 2020-1A, Class D, 2.830%, 8/15/2032 | &nbsp;&nbsp; 1273513 |
| &nbsp;&nbsp; 5300000 | Chesapeake Funding II LLC 2021-1A, Class B, 0.990%, 4/15/2033 | &nbsp;&nbsp; 4936493 |
| &nbsp;&nbsp; 2000000 | Chesapeake Funding II LLC 2021-1A, Class C, 1.230%, 4/15/2033 | &nbsp;&nbsp; 1859876 |
| &nbsp;&nbsp; 2550000 | Chesapeake Funding II LLC 2021-1A, Class D, 1.520%, 4/15/2033 | &nbsp;&nbsp; 2368033 |
| &nbsp;&nbsp; 129486 | Enterprise Fleet Financing LLC 2019-2, Class A2, 2.290%, 2/20/2025 | &nbsp;&nbsp; 129342 |
| &nbsp;&nbsp; 2000000 | Enterprise Fleet Financing LLC 2019-2, Class A3, 2.380%, 2/20/2025 | &nbsp;&nbsp; 1993932 |
| &nbsp;&nbsp; 185962 | Enterprise Fleet Financing LLC 2019-3, Class A2, 2.060%, 5/20/2025 | &nbsp;&nbsp; 185648 |
| &nbsp;&nbsp; 585024 | Enterprise Fleet Financing LLC 2020-1, Class A2, 1.780%, 12/22/2025 | &nbsp;&nbsp; 580106 |
| &nbsp;&nbsp; 26791330 | Enterprise Fleet Financing LLC 2021-2, Class A2, 0.480%, 5/20/2027 | &nbsp;&nbsp; 25733185 |

---

**5**

------

---

| | | |
|:---|:---|:---|
| **Principal**<br> **Amount**<br> **or Shares**<br>|  | **Value** |
|  | ASSET-BACKED SECURITIES—continued |  |
|  | **Other—continued** |  |
| $28107634 | Enterprise Fleet Financing LLC 2021-3, Class A2, 0.770%, 8/20/2027 | $26933070 |
| &nbsp;&nbsp; 3100000 | Enterprise Fleet Financing LLC 2022-3, Class A2, 4.380%, 7/20/2029 | &nbsp;&nbsp; 3021650 |
| &nbsp;&nbsp; 19296000 | PFS Financing Corp. 2020-E, Class A, 1.000%, 10/15/2025 | &nbsp;&nbsp; 18615341 |
| &nbsp;&nbsp; 4000000 | PFS Financing Corp. 2020-E, Class B, 1.570%, 10/15/2025 | &nbsp;&nbsp; 3847068 |
| &nbsp;&nbsp; 7500000 | PFS Financing Corp. 2020-G, Class A, 0.970%, 2/15/2026 | &nbsp;&nbsp; 7077545 |
| &nbsp;&nbsp; 4915000 | PFS Financing Corp. 2020-G, Class B, 1.570%, 2/15/2026 | &nbsp;&nbsp; 4689128 |
| &nbsp;&nbsp; 35410000 | PFS Financing Corp. 2021-A, Class A, 0.710%, 4/15/2026 | &nbsp;&nbsp; 33380713 |
| &nbsp;&nbsp; 10875000 | PFS Financing Corp. 2021-A, Class B, 0.960%, 4/15/2026 | &nbsp;&nbsp; 10238995 |
| &nbsp;&nbsp; 38000000 | PFS Financing Corp. 2021-B, Class A, 0.775%, 8/15/2026 | &nbsp;&nbsp; 34824002 |
| &nbsp;&nbsp; 4500000 | PFS Financing Corp. 2021-B, Class B, 1.095%, 8/15/2026 | &nbsp;&nbsp; 4107339 |
| &nbsp;&nbsp; 6000000<br><sup>1</sup> <br>| PFS Financing Corp. 2022-B, Class B, 4.657% (30-DAY AVERAGE SOFR +0.850%), 2/15/2026 | &nbsp;&nbsp; 5968000 |
| &nbsp;&nbsp; 1943542 | Public Service New Hampshire 2018-1, Class A1, 3.094%, 2/1/2026 | &nbsp;&nbsp; 1923543 |
| &nbsp;&nbsp; 2802573 | Sierra Receivables Funding Co. 2020-2A, Class A, 1.330%, 7/20/2037 | &nbsp;&nbsp; 2637597 |
| &nbsp;&nbsp; 6920663 | Sofi Consumer Loan Program Trust 2021-1, Class A, 0.490%, 9/25/2030 | &nbsp;&nbsp; 6780606 |
| &nbsp;&nbsp; 10000000 | Verizon Master Trust 2021-2, Class C, 1.380%, 4/20/2028 | &nbsp;&nbsp; 9146124 |
| &nbsp;&nbsp; 11650000 | Verizon Master Trust 2022-1, Class B, 1.270%, 1/20/2027 | &nbsp;&nbsp; 11383288 |
| &nbsp;&nbsp; 6050000 | Verizon Master Trust 2022-1, Class C, 1.390%, 1/20/2027 | &nbsp;&nbsp; 5910697 |
| &nbsp;&nbsp; 226912 | Verizon Owner Trust 2019-C, Class A1A, 1.940%, 4/22/2024 | &nbsp;&nbsp; 226598 |
| &nbsp;&nbsp; 17600000 | Verizon Owner Trust 2019-C, Class C, 2.160%, 4/22/2024 | &nbsp;&nbsp; 17543307 |
| &nbsp;&nbsp; 4251538<br><sup>1</sup> <br>| Verizon Owner Trust 2020-A, Class A1B, 4.623% (1-month USLIBOR +0.270%), 7/22/2024 | &nbsp;&nbsp; 4249756 |
| &nbsp;&nbsp; 10000000 | Verizon Owner Trust 2020-A, Class C, 2.060%, 7/22/2024 | &nbsp;&nbsp; 9889768 |
| &nbsp;&nbsp; 17000000 | Verizon Owner Trust 2020-B, Class C, 0.830%, 2/20/2025 | &nbsp;&nbsp; 16109119 |
| &nbsp;&nbsp; 27000000 | Verizon Owner Trust 2020-C, Class B, 0.670%, 4/21/2025 | &nbsp;&nbsp; 25693967 |
| &nbsp;&nbsp; 9000000 | Verizon Owner Trust 2020-C, Class C, 0.770%, 4/21/2025 | &nbsp;&nbsp; 8555714 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL | &nbsp;&nbsp;&nbsp;&nbsp; 333568261 |
|  | **Student Loans—5.6%** |  |
| &nbsp;&nbsp; 2158574<br><sup>1</sup> <br>| Mississippi Higher Education Assistance Corp. 2014-1, Class A1, 5.069% (1-month USLIBOR +0.680%), 10/25/2035 | &nbsp;&nbsp; 2118188 |
| &nbsp;&nbsp; 5938537<br><sup>1</sup> <br>| Navient Student Loan Trust 2019-D, Class A2B, 5.368% (1-month USLIBOR +1.050%), 12/15/2059 | &nbsp;&nbsp; 5762189 |
| &nbsp;&nbsp; 10471197 | Navient Student Loan Trust 2020-GA, Class A, 1.170%, 9/16/2069 | &nbsp;&nbsp; 9025960 |
| &nbsp;&nbsp; 8626410 | Navient Student Loan Trust 2020-HA, Class A, 1.310%, 1/15/2069 | &nbsp;&nbsp; 7664583 |
| &nbsp;&nbsp; 17637229 | Navient Student Loan Trust 2021-A, Class A, 0.840%, 5/15/2069 | &nbsp;&nbsp; 15271004 |
| &nbsp;&nbsp; 50819644 | Navient Student Loan Trust 2021-BA, Class A, 0.940%, 7/15/2069 | &nbsp;&nbsp; 42887770 |
| &nbsp;&nbsp; 38111298 | Navient Student Loan Trust 2021-CA, Class A, 1.060%, 10/15/2069 | &nbsp;&nbsp; 32369591 |
| &nbsp;&nbsp; 42455883 | Navient Student Loan Trust 2021-FA, Class A, 1.110%, 2/18/2070 | &nbsp;&nbsp; 35909950 |
| &nbsp;&nbsp; 7771045<br><sup>1</sup> <br>| Nelnet Student Loan Trust 2021-CA, Class AFL, 5.093% (1-month USLIBOR +0.740%), 4/20/2062 | &nbsp;&nbsp; 7482467 |
| &nbsp;&nbsp; 46705342<br><sup>1</sup> <br>| Nelnet Student Loan Trust 2021-DA, Class AFL, 5.043% (1-month USLIBOR +0.690%), 4/20/2062 | &nbsp;&nbsp; 46474283 |
| &nbsp;&nbsp; 10185145<br><sup>1</sup> <br>| SMB Private Education Loan Trust 2021-D, Class A1B, 4.918% (1-month USLIBOR +0.600%), 3/17/2053 | &nbsp;&nbsp; 9940808 |
| &nbsp;&nbsp; 26698223<br><sup>1</sup> <br>| SMB Private Education Loan Trust 2021-E, Class A1B, 4.948% (1-month USLIBOR +0.630%), 2/15/2051 | &nbsp;&nbsp; 26292455 |
| &nbsp;&nbsp; 174984<br><sup>1</sup> <br>| Social Professional Loan Program LLC 2016-D, Class A1, 5.339% (1-month USLIBOR +0.950%), 1/25/2039 | &nbsp;&nbsp; 174525 |
| &nbsp;&nbsp; 323923<br><sup>1</sup> <br>| Social Professional Loan Program LLC 2017-A, Class A1, 5.088% (1-month USLIBOR +0.700%), 3/26/2040 | &nbsp;&nbsp; 323073 |
| &nbsp;&nbsp; 193022<br><sup>1</sup> <br>| Social Professional Loan Program LLC 2017-C, Class A1, 4.989% (1-month USLIBOR +0.600%), 7/25/2040 | &nbsp;&nbsp; 192397 |
| &nbsp;&nbsp; 116316<br><sup>1</sup> <br>| Social Professional Loan Program LLC 2018-A, Class A1, 4.739% (1-month USLIBOR +0.350%), 2/25/2042 | &nbsp;&nbsp; 115720 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL | &nbsp;&nbsp;&nbsp;&nbsp; 242004963 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL ASSET-BACKED SECURITIES <br>(IDENTIFIED COST $2,722,801,653)<br>| &nbsp;&nbsp; 2588557669 |
|  | CORPORATE BONDS—27.5% |  |
|  | **Capital Goods - Aerospace & Defense—0.1%** |  |
| &nbsp;&nbsp; 6835000 | Huntington Ingalls Industries, Inc., Sr. Unsecd. Note, 0.670%, 8/16/2023 | &nbsp;&nbsp; 6638242 |
| <sup>1</sup> <br>| **Communications - Cable & Satellite—0.8%** |  |
| &nbsp;&nbsp; 35830000 | Comcast Corp., Sr. Unsecd. Note, 4.709% (3-month USLIBOR +0.630%), 4/15/2024 | &nbsp;&nbsp; 35941783 |

---

**6**

------

---

| | | |
|:---|:---|:---|
| **Principal**<br> **Amount**<br> **or Shares**<br>|  | **Value** |
|  | CORPORATE BONDS—continued |  |
|  | **Communications - Telecom Wireless—0.9%** |  |
| $6530000 | American Tower Corp., Sr. Unsecd. Note, 0.600%, 1/15/2024 | $6226981 |
| &nbsp;&nbsp; 30800000<br><sup>1</sup> <br>| Vodafone Group PLC, Sr. Unsecd. Note, 5.069% (3-month USLIBOR +0.990%), 1/16/2024 | &nbsp;&nbsp; 30849985 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 37076966 |
| <sup>1</sup> <br>| **Communications - Telecom Wirelines—0.6%** |  |
| &nbsp;&nbsp; 25000000 | Verizon Communications, Inc., Sr. Unsecd. Note, 5.113% (SOFR +0.790%), 3/20/2026 | &nbsp;&nbsp; 24385771 |
| <sup>1</sup> <br>| **Consumer Cyclical - Automotive—2.5%** |  |
| &nbsp;&nbsp; 10000000 | American Honda Finance Corp., Sr. Unsecd. Note, Series MTN, 4.199% (3-month USLIBOR +0.280%), 1/12/2024 | &nbsp;&nbsp; 9979185 |
| &nbsp;&nbsp; 20000000 | Daimler Trucks Financial NA, Sr. Unsecd. Note, 144A, 5.062% (SOFR +0.750%), 12/13/2024 | &nbsp;&nbsp; 19732838 |
| &nbsp;&nbsp; 20000000 | General Motors Financial Co., Inc., Sr. Unsecd. Note, 4.416% (SOFR +0.620%), 10/15/2024 | &nbsp;&nbsp; 19444328 |
| &nbsp;&nbsp; 10000000 | General Motors Financial Co., Inc., Sr. Unsecd. Note, 5.033% (SOFR +0.760%), 3/8/2024 | &nbsp;&nbsp; 9856880 |
| &nbsp;&nbsp; 10000000 | General Motors Financial Co., Inc., Sr. Unsecd. Note, 5.244% (SOFR +1.040%), 2/26/2027 | &nbsp;&nbsp; 9385477 |
| &nbsp;&nbsp; 20000000 | Nissan Motor Acceptance Corp., Sr. Unsecd. Note, 144A, 5.375% (3-month USLIBOR +0.640%), 3/8/2024 | &nbsp;&nbsp; 19685469 |
| &nbsp;&nbsp; 10000000 | Toyota Motor Credit Corp., Sr. Unsecd. Note, Series MTN, 4.055% (SOFR +0.330%), 1/11/2024 | &nbsp;&nbsp; 9940829 |
| &nbsp;&nbsp; 10000000 | Toyota Motor Credit Corp., Sr. Unsecd. Note, Series MTN, 4.094% (SOFR +0.320%), 1/13/2025 | &nbsp;&nbsp; 9881396 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL | &nbsp;&nbsp;&nbsp;&nbsp; 107906402 |
| <sup>1</sup> <br>| **Consumer Cyclical - Leisure—0.1%** |  |
| &nbsp;&nbsp; 5000000 | Warnermedia Holdings, Inc., Sr. Unsecd. Note, 144A, 6.092% (SOFR +1.780%), 3/15/2024 | &nbsp;&nbsp; 4985340 |
|  | **Consumer Non-Cyclical - Food/Beverage—0.4%** |  |
| &nbsp;&nbsp; 5090000 | Conagra Brands, Inc., Sr. Unsecd. Note, 0.500%, 8/11/2023 | &nbsp;&nbsp; 4946657 |
| &nbsp;&nbsp; 6950000<br><sup>1</sup> <br>| General Mills, Inc., Sr. Unsecd. Note, 5.089% (3-month USLIBOR +1.010%), 10/17/2023 | &nbsp;&nbsp; 6966069 |
| &nbsp;&nbsp; 3755000 | JDE Peet's B.V., Sr. Unsecd. Note, 144A, 0.800%, 9/24/2024 | &nbsp;&nbsp; 3431995 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15344721 |
|  | **Consumer Non-Cyclical - Health Care—0.9%** |  |
| &nbsp;&nbsp; 1000000 | PerkinElmer, Inc., Sr. Unsecd. Note, 0.550%, 9/15/2023 | &nbsp;&nbsp; 968925 |
| &nbsp;&nbsp; 14235000 | PerkinElmer, Inc., Sr. Unsecd. Note, 0.850%, 9/15/2024 | &nbsp;&nbsp; 13200410 |
| &nbsp;&nbsp; 26600000<br><sup>1</sup> <br>| Thermo Fisher Scientific, Inc., Sr. Unsecd. Note, 4.34% (SOFR +0.530%), 10/18/2024 | &nbsp;&nbsp; 26356448 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 40525783 |
| <sup>1</sup> <br>| **Consumer Non-Cyclical - Pharmaceuticals—0.2%** |  |
| &nbsp;&nbsp; 9100000 | Bayer US Finance II LLC, Sr. Unsecd. Note, 144A, 5.779% (3-month USLIBOR +1.010%), 12/15/2023 | &nbsp;&nbsp; 9081580 |
|  | **Energy - Integrated—0.1%** |  |
| &nbsp;&nbsp; 3060000 | Shell International Finance B.V., Sr. Unsecd. Note, 0.375%, 9/15/2023 | &nbsp;&nbsp; 2965398 |
|  | **Financial Institution - Banking—12.9%** |  |
| &nbsp;&nbsp; 21550000<br><sup>1</sup> <br>| American Express Co., Sr. Unsecd. Note, 4.729% (SOFR +0.650%), 11/4/2026 | &nbsp;&nbsp; 20998331 |
| &nbsp;&nbsp; 6380000<br><sup>1</sup> <br>| ANZ New Zealand National (Int'l) Ltd., Sr. Unsecd. Note, 144A, 4.766% (SOFR +0.600%), 2/18/2025 | &nbsp;&nbsp; 6324313 |
| &nbsp;&nbsp; 15000000 | Bank of America Corp., Sr. Unsecd. Note, 4.92%, 7/22/2027 | &nbsp;&nbsp; 14523179 |
| &nbsp;&nbsp; 5000000<br><sup>1</sup> <br>| Bank of America Corp., Sr. Unsecd. Note, Series MTN, 4.684% (SOFR +0.730%), 10/24/2024 | &nbsp;&nbsp; 4955342 |
| &nbsp;&nbsp; 6500000<br><sup>1</sup> <br>| Bank of America Corp., Sr. Unsecd. Note, Series MTN, 4.963% (3-month BSBY +0.430%), 5/28/2024 | &nbsp;&nbsp; 6440460 |
| &nbsp;&nbsp; 30000000<br><sup>1</sup> <br>| Bank of Montreal, Sr. Unsecd. Note, 4.623% (SOFR +0.350%), 12/8/2023 | &nbsp;&nbsp; 29899825 |
| &nbsp;&nbsp; 10000000<br><sup>1</sup> <br>| Bank of Montreal, Sr. Unsecd. Note, Series MTN, 4.932% (SOFR +0.620%), 9/15/2026 | &nbsp;&nbsp; 9679946 |
| &nbsp;&nbsp; 10000000<br><sup>1</sup> <br>| Bank of New York Mellon Corp., Sr. Unsecd. Note, Series J, 4.121% (SOFR +0.200%), 10/25/2024 | &nbsp;&nbsp; 9880403 |
| &nbsp;&nbsp; 10000000 | Bank of New York Mellon Corp., Sr. Unsecd. Note, Series MTN, 4.214%, 4/26/2024 | &nbsp;&nbsp; 9934554 |
| &nbsp;&nbsp; 25000000 | Bank of New Zealand (BNZ), Sr. Unsecd. Note, 144A, 0.957%, 1/27/2027 | &nbsp;&nbsp; 24614827 |
| &nbsp;&nbsp; 20000000<br><sup>1</sup> <br>| Bank of Nova Scotia, Sr. Unsecd. Note, 4.922% (SOFR +0.610%), 9/15/2026 | &nbsp;&nbsp; 19348093 |
| &nbsp;&nbsp; 15000000<br><sup>1</sup> <br>| Barclays PLC, Sr. Unsecd. Note, 6.024% (3-month USLIBOR +1.380%), 5/16/2024 | &nbsp;&nbsp; 15000692 |
| &nbsp;&nbsp; 8000000 | BPCE SA, Sub., 144A, 5.700%, 10/22/2023 | &nbsp;&nbsp; 7942264 |
| &nbsp;&nbsp; 25000000<br><sup>1</sup> <br>| Canadian Imperial Bank of Commerce, Sr. Unsecd. Note, 4.230% (SOFR +0.420%), 10/18/2024 | &nbsp;&nbsp; 24626522 |
| &nbsp;&nbsp; 10000000<br><sup>1</sup> <br>| Canadian Imperial Bank of Commerce, Sr. Unsecd. Note, 4.706% (SOFR +0.400%), 12/14/2023 | &nbsp;&nbsp; 9967113 |
| &nbsp;&nbsp; 7695000 | Citigroup, Inc., Sr. Unsecd. Note, 4.615%, 1/25/2026 | &nbsp;&nbsp; 7524994 |
| &nbsp;&nbsp; 10000000<br><sup>1</sup> <br>| Citigroup, Inc., Sr. Unsecd. Note, 4.734% (SOFR +0.669%), 5/1/2025 | &nbsp;&nbsp; 9852843 |
| &nbsp;&nbsp; 15000000<br><sup>1</sup> <br>| Citigroup, Inc., Sr. Unsecd. Note, 5.060% (SOFR +0.770%), 6/9/2027 | &nbsp;&nbsp; 14394249 |

---

**7**

------

---

| | | |
|:---|:---|:---|
| **Principal**<br> **Amount**<br> **or Shares**<br>|  | **Value** |
|  | CORPORATE BONDS—continued |  |
|  | **Financial Institution - Banking—continued** |  |
| $8000000<br><sup>1</sup> <br>| Citigroup, Inc., Sr. Unsecd. Note, 5.494% (SOFR +1.280%), 2/24/2028 | $7731546 |
| &nbsp;&nbsp; 25975000<br><sup>1</sup> <br>| Commonwealth Bank of Australia, Sr. Unsecd. Note, 144A, 0.450% (SOFR +0.400%), 7/7/2025 | &nbsp;&nbsp; 25637764 |
| &nbsp;&nbsp; 12000000<br><sup>1</sup> <br>| Credit Suisse AG of New York, Sr. Unsecd. Note, 4.441% (SOFR +0.390%), 2/2/2024 | &nbsp;&nbsp; 11481735 |
| &nbsp;&nbsp; 25000000<br><sup>1</sup> <br>| Credit Suisse AG of New York, Sr. Unsecd. Note, Series FRN, 4.495% (SOFR +0.380%), 8/9/2023 | &nbsp;&nbsp; 24394951 |
| &nbsp;&nbsp; 10000000<br><sup>1</sup> <br>| DNB Bank ASA, Sr. Pfd., 144A, 5.153% (90-DAY AVERAGE SOFR +0.830%), 3/28/2025 | &nbsp;&nbsp; 9923062 |
| &nbsp;&nbsp; 12275000<br><sup>1</sup> <br>| Goldman Sachs Group, Inc., Sr. Unsecd. Note, 4.804% (SOFR +0.920%), 10/21/2027 | &nbsp;&nbsp; 11744925 |
| &nbsp;&nbsp; 9375000<br><sup>1</sup> <br>| Goldman Sachs Group, Inc., Sr. Unsecd. Note, 5.315% (SOFR +1.120%), 2/24/2028 | &nbsp;&nbsp; 9018023 |
| &nbsp;&nbsp; 10000000<br><sup>1</sup> <br>| Goldman Sachs Group, Inc., Sr. Unsecd. Note, Series FRN, 5.069% (SOFR +0.790%), 12/9/2026 | &nbsp;&nbsp; 9633304 |
| &nbsp;&nbsp; 5000000<br><sup>1</sup> <br>| HSBC Holdings PLC, Sr. Unsecd. Note, 5.674% (3-month USLIBOR +1.000%), 5/18/2024 | &nbsp;&nbsp; 4981551 |
| &nbsp;&nbsp; 8000000<br><sup>1</sup> <br>| JPMorgan Chase & Co., Sr. Unsecd. Note, 4.770% (SOFR +0.535%), 6/1/2025 | &nbsp;&nbsp; 7856158 |
| &nbsp;&nbsp; 20000000<br><sup>1</sup> <br>| JPMorgan Chase & Co., Sr. Unsecd. Note, 4.884% (SOFR +0.600%), 12/10/2025 | &nbsp;&nbsp; 19601069 |
| &nbsp;&nbsp; 6000000<br><sup>1</sup> <br>| JPMorgan Chase & Co., Sr. Unsecd. Note, 5.055% (3-month USLIBOR +0.730%), 4/23/2024 | &nbsp;&nbsp; 6001711 |
| &nbsp;&nbsp; 12500000<br><sup>1</sup> <br>| JPMorgan Chase & Co., Sr. Unsecd. Note, 5.088% (SOFR +0.765%), 9/22/2027 | &nbsp;&nbsp; 12109337 |
| &nbsp;&nbsp; 8570000<br><sup>1</sup> <br>| Morgan Stanley, Sr. Unsecd. Note, 4.579% (SOFR +0.625%), 1/24/2025 | &nbsp;&nbsp; 8453371 |
| &nbsp;&nbsp; 16000000<br><sup>1</sup> <br>| National Bank of Canada, Montreal, Sr. Unsecd. Note, 4.580% (SOFR +0.490%), 8/6/2024 | &nbsp;&nbsp; 15821895 |
| &nbsp;&nbsp; 3500000 | National Bank of Canada, Montreal, Sr. Unsecd. Note, Series MTN, 2.100%, 2/1/2023 | &nbsp;&nbsp; 3492522 |
| &nbsp;&nbsp; 2000000<br><sup>1</sup> <br>| NatWest Markets plc, Sr. Unsecd. Note, 144A, 4.656% (SOFR +0.530%), 8/12/2024 | &nbsp;&nbsp; 1966392 |
| &nbsp;&nbsp; 9000000<br><sup>1</sup> <br>| NatWest Markets plc, Sr. Unsecd. Note, 144A, 5.083% (SOFR +0.760%), 9/29/2026 | &nbsp;&nbsp; 8601169 |
| &nbsp;&nbsp; 10000000<br><sup>1</sup> <br>| Royal Bank of Canada, Sr. Unsecd. Note, 4.353% (SOFR +0.360%), 7/29/2024 | &nbsp;&nbsp; 9890720 |
| &nbsp;&nbsp; 10000000<br><sup>1</sup> <br>| Royal Bank of Canada, Sr. Unsecd. Note, Series GMTN, 4.157% (SOFR +0.300%), 1/19/2024 | &nbsp;&nbsp; 9925159 |
| &nbsp;&nbsp; 5000000<br><sup>1</sup> <br>| Royal Bank of Canada, Sr. Unsecd. Note, Series GMTN, 4.439% (3-month USLIBOR +0.360%), 1/17/2023 | &nbsp;&nbsp; 4999304 |
| &nbsp;&nbsp; 47000000<br><sup>1</sup> <br>| Truist Financial Corp., Sr. Unsecd. Note, Series MTN, 4.679% (SOFR +0.400%), 6/9/2025 | &nbsp;&nbsp; 46033941 |
| &nbsp;&nbsp; 35000000<br><sup>1</sup> <br>| UBS AG London, Sr. Unsecd. Note, 144A, 4.475% (SOFR +0.360%), 2/9/2024 | &nbsp;&nbsp; 34841194 |
| &nbsp;&nbsp; 10000000<br><sup>1</sup> <br>| UBS AG London, Sr. Unsecd. Note, 144A, 4.565% (SOFR +0.450%), 8/9/2024 | &nbsp;&nbsp; 9932580 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL | &nbsp;&nbsp;&nbsp;&nbsp; 559981333 |
|  | **Financial Institution - Finance Companies—0.9%** |  |
| &nbsp;&nbsp; 17000000 | AerCap Ireland Capital Ltd. / AerCap Global Aviation Trust, Sr. Unsecd. Note, 1.150%, 10/29/2023 | &nbsp;&nbsp; 16362574 |
| &nbsp;&nbsp; 21975000 | Air Lease Corp., Sr. Unsecd. Note, Series MTN, 0.700%, 2/15/2024 | &nbsp;&nbsp; 20766822 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 37129396 |
|  | **Financial Institution - Insurance - Life—1.5%** |  |
| &nbsp;&nbsp; 10000000<br><sup>1</sup> <br>| Met Life Global Funding I, Sec. Fac. Bond, 144A, 4.623% (SOFR +0.300%), 9/27/2024 | &nbsp;&nbsp; 9900244 |
| &nbsp;&nbsp; 20000000<br><sup>1</sup> <br>| New York Life Global Funding, Sec. Fac. Bond, 144A, 4.118% (SOFR +0.330%), 1/14/2025 | &nbsp;&nbsp; 19785580 |
| &nbsp;&nbsp; 5000000<br><sup>1</sup> <br>| New York Life Global Funding, Sec. Fac. Bond, 144A, 4.271% (SOFR +0.220%), 2/2/2023 | &nbsp;&nbsp; 4998983 |
| &nbsp;&nbsp; 20000000<br><sup>1</sup> <br>| Pacific Life Global Funding II, Sec. Fac. Bond, 144A, 4.368% (SOFR +0.400%), 1/27/2025 | &nbsp;&nbsp; 19585340 |
| &nbsp;&nbsp; 9815000 | Principal Life Global Funding II, Sec. Fac. Bond, 144A, 0.500%, 1/8/2024 | &nbsp;&nbsp; 9379147 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 63649294 |
|  | **Technology—0.3%** |  |
| &nbsp;&nbsp; 5000000<br><sup>1</sup> <br>| Qualcomm, Inc., Sr. Unsecd. Note, 5.145% (3-month USLIBOR +0.730%), 1/30/2023 | &nbsp;&nbsp; 5000328 |
| &nbsp;&nbsp; 11000000 | VMware, Inc., Sr. Unsecd. Note, 1.000%, 8/15/2024 | &nbsp;&nbsp; 10242137 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15242465 |
|  | **Utility - Electric—4.5%** |  |
| &nbsp;&nbsp; 18575000 | Black Hills Corp., Sr. Unsecd. Note, 1.037%, 8/23/2024 | &nbsp;&nbsp; 17334414 |
| &nbsp;&nbsp; 9375000 | CenterPoint Energy, Inc., Sr. Unsecd. Note, 4.776%, 5/13/2024 | &nbsp;&nbsp; 9267676 |
| &nbsp;&nbsp; 17440000<br><sup>1</sup> <br>| CenterPoint Energy Resources Corp., Sr. Unsecd. Note, 5.279% (3-month USLIBOR +0.500%), 3/2/2023 | &nbsp;&nbsp; 17431789 |
| &nbsp;&nbsp; 16885000<br><sup>1</sup> <br>| Dominion Energy, Inc., Sr. Unsecd. Note, Series D, 5.299% (3-month USLIBOR +0.530%), 9/15/2023 | &nbsp;&nbsp; 16854506 |
| &nbsp;&nbsp; 47010000<br><sup>1</sup> <br>| EverSource Energy, Sr. Unsecd. Note, Series T, 4.388% (SOFR +0.250%), 8/15/2023 | &nbsp;&nbsp; 46837103 |
| &nbsp;&nbsp; 15295000<br><sup>1</sup> <br>| Mississippi Power Co., Sr. Unsecd. Note, Series A, 4.623% (SOFR +0.300%), 6/28/2024 | &nbsp;&nbsp; 14994098 |
| &nbsp;&nbsp; 25790000<br><sup>1</sup> <br>| National Rural Utilities Cooperative Finance Corp., Sr. Unsecd. Note, Series D, 4.140% (SOFR +0.330%), 10/18/2024 | &nbsp;&nbsp; 25474827 |
| &nbsp;&nbsp; 30000000<br><sup>1</sup> <br>| NextEra Energy Capital Holdings, Inc., Sr. Unsecd. Note, 4.465% (SOFR +0.400%), 11/3/2023 | &nbsp;&nbsp; 29880794 |

---

**8**

------

---

| | | |
|:---|:---|:---|
| **Principal**<br> **Amount**<br> **or Shares**<br>|  | **Value** |
|  | CORPORATE BONDS—continued |  |
|  | **Utility - Electric—continued** |  |
| $14970000<br><sup>1</sup> <br>| PPL Electric Utilities Corp., 4.653% (SOFR +0.330%), 6/24/2024 | $14742241 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL | &nbsp;&nbsp;&nbsp;&nbsp; 192817448 |
| <sup>1</sup> <br>| **Utility - Natural Gas—0.6%** |  |
| &nbsp;&nbsp; 18950000 | Atmos Energy Corp., Sr. Unsecd. Note, 5.103% (3-month USLIBOR +0.380%), 3/9/2023 | &nbsp;&nbsp; 18939227 |
| &nbsp;&nbsp; 8935000 | Enbridge, Inc., Sr. Unsecd. Note, 4.560% (SOFR +0.400%), 2/17/2023 | &nbsp;&nbsp; 8932021 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 27871248 |
| <sup>1</sup> <br>| **Utility - Natural Gas Distributor—0.2%** |  |
| &nbsp;&nbsp; 9575000 | Southern California Gas Co., Sr. Unsecd. Note, 5.103% (3-month USLIBOR +0.350%), 9/14/2023 | &nbsp;&nbsp; 9548704 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL CORPORATE BONDS <br>(IDENTIFIED COST $1,213,123,995)<br>| &nbsp;&nbsp; 1191091874 |
|  | COLLATERALIZED MORTGAGE OBLIGATIONS—8.2% |  |
| <sup>1</sup> <br>| **Federal Home Loan Mortgage Corporation—6.5%** |  |
| &nbsp;&nbsp; 52878 | Federal Home Loan Mortgage Corp., Class FE, 4.717% (1-month USLIBOR +0.400%), 7/15/2036 | &nbsp;&nbsp; 52138 |
| &nbsp;&nbsp; 593032 | Federal Home Loan Mortgage Corp. REMIC, Series 2736, Class FB, 4.670% (1-month USLIBOR +0.550%), 12/15/2033 | &nbsp;&nbsp; 592283 |
| &nbsp;&nbsp; 894760 | Federal Home Loan Mortgage Corp. REMIC, Series 2819, Class F, 4.717% (1-month USLIBOR +0.400%), 6/15/2034 | &nbsp;&nbsp; 887026 |
| &nbsp;&nbsp; 91004 | Federal Home Loan Mortgage Corp. REMIC, Series 3071, Class TF, 4.617% (1-month USLIBOR +0.300%), 4/15/2035 | &nbsp;&nbsp; 90843 |
| &nbsp;&nbsp; 604698 | Federal Home Loan Mortgage Corp. REMIC, Series 3084, Class XF, 4.837% (1-month USLIBOR +0.520%), 12/15/2035 | &nbsp;&nbsp; 601194 |
| &nbsp;&nbsp; 154559 | Federal Home Loan Mortgage Corp. REMIC, Series 3152, Class WF, 4.777% (1-month USLIBOR +0.460%), 2/15/2034 | &nbsp;&nbsp; 153514 |
| &nbsp;&nbsp; 614724 | Federal Home Loan Mortgage Corp. REMIC, Series 3153, Class EF, 4.727% (1-month USLIBOR +0.410%), 5/15/2036 | &nbsp;&nbsp; 607916 |
| &nbsp;&nbsp; 253648 | Federal Home Loan Mortgage Corp. REMIC, Series 3153, Class FJ, 4.253% (1-month USLIBOR +0.380%), 5/15/2036 | &nbsp;&nbsp; 251567 |
| &nbsp;&nbsp; 126430 | Federal Home Loan Mortgage Corp. REMIC, Series 3156, Class HF, 4.802% (1-month USLIBOR +0.485%), 8/15/2035 | &nbsp;&nbsp; 125528 |
| &nbsp;&nbsp; 157665 | Federal Home Loan Mortgage Corp. REMIC, Series 3211, Class FN, 4.617% (1-month USLIBOR +0.300%), 9/15/2036 | &nbsp;&nbsp; 155240 |
| &nbsp;&nbsp; 206377 | Federal Home Loan Mortgage Corp. REMIC, Series 3317, Class F, 4.717% (1-month USLIBOR +0.400%), 7/15/2036 | &nbsp;&nbsp; 204076 |
| &nbsp;&nbsp; 61632 | Federal Home Loan Mortgage Corp. REMIC, Series 3320, Class FM, 4.717% (1-month USLIBOR +0.400%), 7/15/2036 | &nbsp;&nbsp; 61379 |
| &nbsp;&nbsp; 45367 | Federal Home Loan Mortgage Corp. REMIC, Series 3339, Class AF, 4.767% (1-month USLIBOR +0.450%), 7/15/2037 | &nbsp;&nbsp; 44856 |
| &nbsp;&nbsp; 921124 | Federal Home Loan Mortgage Corp. REMIC, Series 3382, Class FG, 4.917% (1-month USLIBOR +0.600%), 11/15/2037 | &nbsp;&nbsp; 916990 |
| &nbsp;&nbsp; 762081 | Federal Home Loan Mortgage Corp. REMIC, Series 3387, Class PF, 4.737% (1-month USLIBOR +0.420%), 11/15/2037 | &nbsp;&nbsp; 754929 |
| &nbsp;&nbsp; 79958 | Federal Home Loan Mortgage Corp. REMIC, Series 3542, Class NF, 5.067% (1-month USLIBOR +0.750%), 7/15/2036 | &nbsp;&nbsp; 80178 |
| &nbsp;&nbsp; 257852 | Federal Home Loan Mortgage Corp. REMIC, Series 3556, Class FA, 5.227% (1-month USLIBOR +0.910%), 7/15/2037 | &nbsp;&nbsp; 259929 |
| &nbsp;&nbsp; 3600390 | Federal Home Loan Mortgage Corp. REMIC, Series 3843, Class FB, 4.647% (1-month USLIBOR +0.330%), 4/15/2041 | &nbsp;&nbsp; 3590424 |
| &nbsp;&nbsp; 1081980 | Federal Home Loan Mortgage Corp. REMIC, Series 4238, Class FT, 4.667% (1-month USLIBOR +0.350%), 8/15/2043 | &nbsp;&nbsp; 1065915 |
| &nbsp;&nbsp; 1121762 | Federal Home Loan Mortgage Corp. REMIC, Series 4604, Class FB, 4.717% (1-month USLIBOR +0.400%), 8/15/2046 | &nbsp;&nbsp; 1099197 |
| &nbsp;&nbsp; 1938798 | Federal Home Loan Mortgage Corp. REMIC, Series 4703, Class FA, 0.746% (1-month USLIBOR +0.350%), 7/15/2047 | &nbsp;&nbsp; 1889985 |
| &nbsp;&nbsp; 15194518 | Federal Home Loan Mortgage Corp. REMIC, Series 4901, Class BF, 4.788% (1-month USLIBOR +0.400%), 7/25/2049 | &nbsp;&nbsp; 14989182 |
| &nbsp;&nbsp; 4678586 | Federal Home Loan Mortgage Corp. REMIC, Series 4916, Class FA, 4.788% (1-month USLIBOR +0.400%), 9/25/2049 | &nbsp;&nbsp; 4618496 |
| &nbsp;&nbsp; 20933276 | Federal Home Loan Mortgage Corp. REMIC, Series 4920, Class FA, 4.838% (1-month USLIBOR +0.450%), 10/25/2049 | &nbsp;&nbsp; 20609187 |
| &nbsp;&nbsp; 17825491 | Federal Home Loan Mortgage Corp. REMIC, Series 4988, Class KF, 4.738% (1-month USLIBOR +0.350%), 7/25/2050 | &nbsp;&nbsp; 17570859 |
| &nbsp;&nbsp; 30856738 | Federal Home Loan Mortgage Corp. REMIC, Series 4993, Class F, 4.838% (1-month USLIBOR +0.450%), 7/25/2050 | &nbsp;&nbsp; 29979206 |
| &nbsp;&nbsp; 7730726 | Federal Home Loan Mortgage Corp. REMIC, Series 5057, Class FH, 4.177% (SOFR +0.250%), 12/25/2050 | &nbsp;&nbsp; 7295794 |
| &nbsp;&nbsp; 9700130 | Federal Home Loan Mortgage Corp. REMIC, Series KF79, Class AL, 4.612% (1-month USLIBOR +0.470%), 5/25/2030 | &nbsp;&nbsp; 9640338 |
| &nbsp;&nbsp; 1281074 | Federal Home Loan Mortgage Corp. REMIC, Series KF87, Class AL, 4.492% (1-month USLIBOR +0.350%), 8/25/2030 | &nbsp;&nbsp; 1268524 |
| &nbsp;&nbsp; 17925728 | Federal Home Loan Mortgage Corp. REMIC, Series KF90, Class AL, 4.472% (1-month USLIBOR +0.330%), 9/25/2030 | &nbsp;&nbsp; 17640972 |
| &nbsp;&nbsp; 14582424 | Federal Home Loan Mortgage Corp. REMIC, Series KF92, Class AL, 4.472% (1-month USLIBOR +0.330%), 10/25/2030 | &nbsp;&nbsp; 14280873 |
| &nbsp;&nbsp; 11757802 | Federal Home Loan Mortgage Corp. REMIC, Series KF93, Class AL, 4.422% (1-month USLIBOR +0.280%), 10/25/2027 | &nbsp;&nbsp; 11637063 |
| &nbsp;&nbsp; 22369169 | Federal Home Loan Mortgage Corp. REMIC, Series KF94, Class AL, 4.442% (1-month USLIBOR +0.300%), 11/25/2030 | &nbsp;&nbsp; 21789655 |
| &nbsp;&nbsp; 37413381 | Federal Home Loan Mortgage Corp. REMIC, Series KF95, Class AL, 4.402% (1-month USLIBOR +0.260%), 11/25/2030 | &nbsp;&nbsp; 36366289 |
| &nbsp;&nbsp; 20451899 | Federal Home Loan Mortgage Corp. REMIC, Series KF96, Class AL, 4.402% (1-month USLIBOR +0.260%), 12/25/2030 | &nbsp;&nbsp; 20206194 |
| &nbsp;&nbsp; 18382222 | Federal Home Loan Mortgage Corp. REMIC, Series KF98, Class AL, 4.312% (1-month USLIBOR +0.170%), 12/25/2030 | &nbsp;&nbsp; 18159178 |
| &nbsp;&nbsp; 22594212 | Federal Home Loan Mortgage Corp. REMIC, Series K-F121, Class AS, 3.905% (30-DAY AVERAGE SOFR <br> +0.180%), 8/25/2028<br>| &nbsp;&nbsp; 21968899 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL | &nbsp;&nbsp;&nbsp;&nbsp; 281505816 |

---

**9**

------

---

| | | |
|:---|:---|:---|
| **Principal**<br> **Amount**<br> **or Shares**<br>|  | **Value** |
|  | COLLATERALIZED MORTGAGE OBLIGATIONS—continued |  |
| <sup>1</sup> <br>| **Federal National Mortgage Association—1.2%** |  |
| $13744 | Federal National Mortgage Association, Class FB, 4.888% (1-month USLIBOR +0.500%), 8/25/2039 | $13724 |
| &nbsp;&nbsp; 82826 | Federal National Mortgage Association REMIC, Series 2002-77, Class FA, 5.339% (1-month USLIBOR +1.000%), 12/18/2032 | &nbsp;&nbsp; 83659 |
| &nbsp;&nbsp; 180516 | Federal National Mortgage Association REMIC, Series 2006-44, Class FK, 4.818% (1-month USLIBOR +0.430%), 6/25/2036 | &nbsp;&nbsp; 179250 |
| &nbsp;&nbsp; 936135 | Federal National Mortgage Association REMIC, Series 2006-61, Class FQ, 4.788% (1-month USLIBOR +0.400%), 7/25/2036 | &nbsp;&nbsp; 927161 |
| &nbsp;&nbsp; 201304 | Federal National Mortgage Association REMIC, Series 2006-79, Class DF, 4.738% (1-month USLIBOR +0.350%), 8/25/2036 | &nbsp;&nbsp; 199514 |
| &nbsp;&nbsp; 620293 | Federal National Mortgage Association REMIC, Series 2006-81, Class FB, 4.738% (1-month USLIBOR +0.350%), 9/25/2036 | &nbsp;&nbsp; 613795 |
| &nbsp;&nbsp; 246401 | Federal National Mortgage Association REMIC, Series 2006-119, Class CF, 4.688% (1-month USLIBOR <br> +0.300%), 12/25/2036<br>| &nbsp;&nbsp; 243336 |
| &nbsp;&nbsp; 491363 | Federal National Mortgage Association REMIC, Series 2006-W1, Class 2AF1, 4.608% (1-month USLIBOR <br> +0.220%), 2/25/2046<br>| &nbsp;&nbsp; 486108 |
| &nbsp;&nbsp; 3087253 | Federal National Mortgage Association REMIC, Series 2007-22, Class FQ, 4.618% (1-month USLIBOR +0.230%), 3/25/2037 | &nbsp;&nbsp; 3036845 |
| &nbsp;&nbsp; 334405 | Federal National Mortgage Association REMIC, Series 2007-88, Class FY, 4.848% (1-month USLIBOR +0.460%), 9/25/2037 | &nbsp;&nbsp; 329913 |
| &nbsp;&nbsp; 178431 | Federal National Mortgage Association REMIC, Series 2007-97, Class FE, 4.838% (1-month USLIBOR +0.450%), 7/25/2037 | &nbsp;&nbsp; 177050 |
| &nbsp;&nbsp; 86177 | Federal National Mortgage Association REMIC, Series 2008-69, Class FB, 5.388% (1-month USLIBOR +1.000%), 6/25/2037 | &nbsp;&nbsp; 87018 |
| &nbsp;&nbsp; 215082 | Federal National Mortgage Association REMIC, Series 2009-69, Class F, 5.238% (1-month USLIBOR +0.850%), 4/25/2037 | &nbsp;&nbsp; 216468 |
| &nbsp;&nbsp; 5904988 | Federal National Mortgage Association REMIC, Series 2010-111, Class FM, 4.788% (1-month USLIBOR <br> +0.400%), 10/25/2040<br>| &nbsp;&nbsp; 5857668 |
| &nbsp;&nbsp; 1976524 | Federal National Mortgage Association REMIC, Series 2017-24, Class FB, 4.738% (1-month USLIBOR +0.350%), 4/25/2047 | &nbsp;&nbsp; 1938562 |
| &nbsp;&nbsp; 20016866 | Federal National Mortgage Association REMIC, Series 2018-85, Class FE, 4.688% (1-month USLIBOR +0.300%), 12/25/2048 | &nbsp;&nbsp; 19649885 |
| &nbsp;&nbsp; 1515006 | Federal National Mortgage Association REMIC, Series 2019-31, Class FA, 4.788% (1-month USLIBOR +0.400%), 7/25/2049 | &nbsp;&nbsp; 1495275 |
| &nbsp;&nbsp; 7032884 | Federal National Mortgage Association REMIC, Series 2020-47, Class FH, 4.788% (1-month USLIBOR +0.400%), 7/25/2050 | &nbsp;&nbsp; 6859536 |
| &nbsp;&nbsp; 11739457 | Federal National Mortgage Association REMIC, Series 2020-68, Class FB, 4.688% (1-month USLIBOR +0.300%), 10/25/2060 | &nbsp;&nbsp; 11489746 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 53884513 |
| <sup>1</sup> <br>| **Government National Mortgage Association—0.2%** |  |
| &nbsp;&nbsp; 3345690 | Government National Mortgage Association REMIC, Series 2012-H31, Class FA, 4.191% (1-month USLIBOR <br> +0.350%), 11/20/2062<br>| &nbsp;&nbsp; 3314320 |
| &nbsp;&nbsp; 1978112 | Government National Mortgage Association REMIC, Series 2013-H16, Class FA, 4.381% (1-month USLIBOR <br> +0.540%), 7/20/2063<br>| &nbsp;&nbsp; 1965224 |
| &nbsp;&nbsp; 1647461 | Government National Mortgage Association REMIC, Series 2013-H17, Class FA, 4.391% (1-month USLIBOR <br> +0.550%), 7/20/2063<br>| &nbsp;&nbsp; 1638880 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6918424 |
| <sup>1</sup> <br>| **Non-Agency Mortgage-Backed Securities—0.3%** |  |
| &nbsp;&nbsp; 12934175 | JP Morgan Mortgage Trust 2021-1, Class A11, 4.170% (30-DAY AVERAGE SOFR +0.650%), 6/25/2051 | &nbsp;&nbsp; 11535606 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS <br>(IDENTIFIED COST $363,117,431)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 353844359 |
|  | COMMERCIAL MORTGAGE-BACKED SECURITIES—2.1% |  |
| <sup>1</sup> <br>| **Commercial Mortgage—2.1%** |  |
| &nbsp;&nbsp; 20000000 | BHMS Mortgage Trust 2018-ATLS, Class A, 5.567% (1-month USLIBOR +1.250%), 7/15/2035 | &nbsp;&nbsp; 19277800 |
| &nbsp;&nbsp; 14053523 | DBWF Mortgage Trust 2018-GLKS, Class A, 5.469% (1-month USLIBOR +1.030%), 12/19/2030 | &nbsp;&nbsp; 13632455 |
| &nbsp;&nbsp; 25000000 | DBWF Mortgage Trust 2018-GLKS, Class B, 5.789% (1-month USLIBOR +1.350%), 12/19/2030 | &nbsp;&nbsp; 24001270 |
| &nbsp;&nbsp; 38000000 | Fontainebleau Miami Beach Trust, Class B, 3.447%, 12/10/2036 | &nbsp;&nbsp; 35233068 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES <br>(IDENTIFIED COST $97,378,404)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 92144593 |
|  | NON-AGENCY MORTGAGE-BACKED SECURITIES—0.4% |  |
|  | **Non-Agency Mortgage—0.4%** |  |
| &nbsp;&nbsp; 16847183 | BRASS PLC, Class A1, 0.669%, 4/16/2069 | &nbsp;&nbsp; 16067765 |
| &nbsp;&nbsp; 99687<br><sup>1</sup> <br>| Countrywide Alternative Loan Trust 2005-51, Class 3AB3, 5.452% (1-month USLIBOR +1.100%), 11/20/2035 | &nbsp;&nbsp; 74441 |
| &nbsp;&nbsp; 54952<br><sup>1</sup> <br>| Impac CMB Trust 2004-7, Class 1A2, 5.308% (1-month USLIBOR +0.920%), 11/25/2034 | &nbsp;&nbsp; 52672 |
| &nbsp;&nbsp; 96605<br><sup>1</sup> <br>| Impac CMB Trust 2004-9, Class 1A2, 5.268% (1-month USLIBOR +0.880%), 1/25/2035 | &nbsp;&nbsp; 91021 |
| &nbsp;&nbsp; 174468<br><sup>1</sup> <br>| Mellon Residential Funding Corp. 2001-TBC1, Class A1, 5.017% (1-month USLIBOR +0.700%), 11/15/2031 | &nbsp;&nbsp; 161716 |
| &nbsp;&nbsp; 505761 | Sequoia Mortgage Trust 2012-6, Class A2, 1.808%, 12/25/2042 | &nbsp;&nbsp; 414794 |
| &nbsp;&nbsp; 195972<br><sup>1</sup> <br>| Washington Mutual 2006-AR1, Class 2A1B, 3.118% (Fed Reserve 12Mo Cumulative Avg 1 Yr CMT +1.070%), 1/25/2046 | &nbsp;&nbsp; 168011 |

---

**10**

------

---

| | | |
|:---|:---|:---|
| **Principal**<br> **Amount**<br> **or Shares**<br>|  | **Value** |
|  | NON-AGENCY MORTGAGE-BACKED SECURITIES—continued |  |
|  | **Non-Agency Mortgage—continued** |  |
| $350117<br><sup>1</sup> <br>| Washington Mutual 2006-AR15, Class 1A, 2.888% (Fed Reserve 12Mo Cumulative Avg 1 Yr CMT +0.840%), 11/25/2046 | $316358 |
| &nbsp;&nbsp; 197526<br><sup>1</sup> <br>| Washington Mutual 2006-AR17, Class 1A, 2.509% (Fed Reserve 12Mo Cumulative Avg 1 Yr CMT +0.820%), 12/25/2046 | &nbsp;&nbsp; 171694 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL NON-AGENCY MORTGAGE-BACKED SECURITIES <br>(IDENTIFIED COST $18,511,127)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17518472 |
| <sup>1</sup> <br>| ADJUSTABLE RATE MORTGAGES—0.0% |  |
|  | **Federal National Mortgage Association—0.0%** |  |
| &nbsp;&nbsp; 393960 | FNMA ARM, 2.359%, 8/1/2033 | &nbsp;&nbsp; 376081 |
| &nbsp;&nbsp; 298095 | FNMA ARM, 2.917%, 7/1/2034 | &nbsp;&nbsp; 289836 |
| &nbsp;&nbsp; 19375 | FNMA ARM, 3.079%, 4/1/2030 | &nbsp;&nbsp; 18736 |
| &nbsp;&nbsp; 48687 | FNMA ARM, 3.089%, 5/1/2040 | &nbsp;&nbsp; 48583 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL ADJUSTABLE RATE MORTGAGES <br>(IDENTIFIED COST $769,782)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 733236 |
|  | MORTGAGE-BACKED SECURITY—0.0% |  |
|  | **Federal National Mortgage Association—0.0%** |  |
| &nbsp;&nbsp; 317323 | Federal National Mortgage Association, Pool 728568, 6.500%, 10/1/2033 <br>(IDENTIFIED COST $335,470)<br>| &nbsp;&nbsp; 334922 |
|  | INVESTMENT COMPANIES—2.1% |  |
| &nbsp;&nbsp;&nbsp; 5229110 | Bank Loan Core Fund | &nbsp;&nbsp; 45284096 |
| &nbsp;&nbsp;&nbsp; 2982933 | Federated Hermes Conservative Microshort Fund | &nbsp;&nbsp; 29650350 |
| &nbsp;&nbsp; 15651677 | Federated Hermes Institutional Prime Value Obligations Fund, Institutional Shares, 4.36%<sup>3</sup> <br>| &nbsp;&nbsp; 15648547 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL INVESTMENT COMPANIES <br>(IDENTIFIED COST $98,100,571)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 90582993 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL INVESTMENT IN SECURITIES—100.2% <br>(IDENTIFIED COST $4,514,138,433)<br>| &nbsp;&nbsp; 4334808118 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; OTHER ASSETS AND LIABILITIES - NET—(0.2)%<sup>4</sup> <br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (8456101) |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL NET ASSETS—100% | $4326352017 |

---

At December 31, 2022, the Fund had the following outstanding futures contracts:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Description** | **Number of** <br>**Contracts**<br>| &nbsp;&nbsp; **Notional** <br>**Value**<br>| &nbsp;&nbsp;&nbsp; **Expiration** <br>**Date**<br>| &nbsp;&nbsp; **Value and** <br>**Unrealized** <br>**Appreciation**<br>|
| **Short Futures:** |  |  |  |  |
| United States Treasury Notes 2-Year Short Futures | 2000 | $410156252 | March 2023 | $18352 |
| United States Treasury Notes 5-Year Short Futures | &nbsp;&nbsp; 500 | $53964844 | March 2023 | $58349 |
| &nbsp;&nbsp;&nbsp;&nbsp; NET UNREALIZED APPRECIATION ON FUTURES CONTRACTS | &nbsp;&nbsp;&nbsp;&nbsp; NET UNREALIZED APPRECIATION ON FUTURES CONTRACTS | &nbsp;&nbsp;&nbsp;&nbsp; NET UNREALIZED APPRECIATION ON FUTURES CONTRACTS | &nbsp;&nbsp;&nbsp;&nbsp; NET UNREALIZED APPRECIATION ON FUTURES CONTRACTS | $76701 |

---

The average notional value of short futures contracts held by the Fund throughout the period was $348,593,263. This is based on the contracts held as of each month-end throughout the three-month fiscal period.

Net Unrealized Appreciation on Futures Contracts is included in "Other Assets and Liabilities—Net."

**11**

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Affiliated fund holdings are investment companies which are managed by the Adviser or an affiliate of the Adviser. Transactions with affiliated fund holdings during the period ended December 31, 2022, were as follows:

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Affiliates** | **Value as of** <br>**9/30/2022**<br>| **Purchases** <br>**at Cost**<br>| **Proceeds** <br>**from Sales**<br>| **Change in** <br>**Unrealized** <br>**Appreciation/** <br>**Depreciation**<br>| **Net** <br>**Realized** <br>**Gain/** <br>**(Loss)**<br>| **Value as of** <br>**12/31/2022**<br>| **Shares** <br>**Held as of** <br>**12/31/2022**<br>| **Dividend** <br>**Income**<br>|
| Bank Loan Core Fund | $150593032 | $1748107 | $(107053000) | $11551112 | $(11555155) | $45284096 | &nbsp;&nbsp; 5229110 | $1748108 |
| Federated Hermes Conservative <br> Microshort Fund<br>| $49650349 | $— | $(20000000) | $140846 | $(140845) | $29650350 | &nbsp;&nbsp; 2982933 | $385806 |
| Federated Hermes Government <br> Obligations Fund, Premier Shares<br>| $1083960 | $13926472 | $(15010432) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; N/A | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; N/A | $— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | $— |
| Federated Hermes Institutional Prime <br> Value Obligations Fund, Institutional <br> Shares<br>| $111402267 | $627473472 | $(723234858) | $| $7666 | $15648547 | 15651677 | $354670 |
| &nbsp;&nbsp;&nbsp;&nbsp; TOTAL OF AFFILIATED <br> TRANSACTIONS<br>| $312729608 | $643148051 | $(865298290) | $11691958 | $(11688334) | $90582993 | 23863720 | $2488584 |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| 1 | *Floating/adjustable note with current rate and current maturity or next reset date shown. Adjustable rate mortgage security coupons are based on the weighted* <br> *average note rates of the underlying mortgages less the guarantee and servicing fees. These securities do not indicate an index and spread in their description* <br> *above.*<br>|
| 2 | *Market quotations and price evaluations are not available. Fair value determined using significant unobservable inputs in accordance with procedures established* <br> *by and under the general supervision of the Fund's Adviser acting through its Valuation Committee.*<br>|
| 3 | *7-day net yield.* |
| 4 | *Assets, other than investments in securities, less liabilities.* |

---

Note: The categories of investments are shown as a percentage of total net assets at December 31, 2022.

**Investment Valuation** 

In calculating its net asset value (NAV), the Fund generally values investments as follows:

◾ Fixed-income securities are fair valued using price evaluations provided by a pricing service approved by Federated Investment Management Company (the "Adviser").

◾ Shares of other mutual funds or non-exchange-traded investment companies are valued based upon their reported NAVs, or NAV per share practical expedient, as applicable.

◾ Derivative contracts listed on exchanges are valued at their reported settlement or closing price, except that options are valued at the mean of closing bid and ask quotations.

◾ Over-the-counter (OTC) derivative contracts are fair valued using price evaluations provided by a pricing service approved by the Adviser.

◾ Equity securities listed on an exchange or traded through a regulated market system are valued at their last reported sale price or official closing price in their principal exchange or market.

◾ For securities that are fair valued in accordance with procedures established by and under the general supervision of the Adviser, certain factors may be considered, such as: the last traded or purchase price of the security, information obtained by contacting the issuer or dealers, analysis of the issuer's financial statements or other available documents, fundamental analytical data, the nature and duration of restrictions on disposition, the movement of the market in which the security is normally traded, public trading in similar securities or derivative contracts of the issuer or comparable issuers, movement of a relevant index, or other factors including but not limited to industry changes and relevant government actions.

If any price, quotation, price evaluation or other pricing source is not readily available when the NAV is calculated, if the Fund cannot obtain price evaluations from a pricing service or from more than one dealer for an investment within a reasonable period of time as set forth in the Adviser's valuation policies and procedures for the Fund, or if information furnished by a pricing service, in the opinion of the Adviser's valuation committee ("Valuation Committee"), is deemed not representative of the fair value of such security, the Fund uses the fair value of the investment determined in accordance with the procedures described below. There can be no assurance that the Fund could obtain the fair value assigned to an investment if it sold the investment at approximately the time at which the Fund determines its NAV per share, and the actual value obtained could be materially different.

**Fair Valuation and Significant Events Procedures** 

Pursuant to Rule 2a-5 under the Investment Company Act, the Fund's Board of Trustees (the "Trustees") have designated the Adviser as the Fund's valuation designee to perform any fair value determinations for securities and other assets held by the Fund. The Adviser is subject to the Trustees' oversight and certain reporting and other requirements intended to provide the Trustees the information needed to oversee the Adviser's fair value determinations.

The Adviser, acting through its Valuation Committee, is responsible for determining the fair value of investments for which market quotations are not readily available. The Valuation Committee is comprised of officers of the Adviser and certain of the Adviser's affiliated companies and determines fair value and oversees the calculation of the NAV. The Valuation Committee is also authorized to use pricing services to provide fair value evaluations of the current value of certain investments for purposes of calculating the NAV. The Valuation Committee employs various methods for reviewing third-party pricing-service evaluations including periodic reviews of third-party pricing services' policies, procedures and valuation methods (including key inputs, methods, models and assumptions),

**12**

------

transactional back-testing, comparisons of evaluations of different pricing services, and review of price challenges by the Adviser based on recent market activity. In the event that market quotations and price evaluations are not available for an investment, the Valuation Committee determines the fair value of the investment in accordance with procedures adopted by the Adviser. The Trustees periodically review the fair valuations made by the Valuation Committee. The Trustees have also approved the Adviser's fair valuation and significant events procedures as part of the Fund's compliance program and will review any changes made to the procedures.

Factors considered by pricing services in evaluating an investment include the yields or prices of investments of comparable quality, coupon, maturity, call rights and other potential prepayments, terms and type, reported transactions, indications as to values from dealers and general market conditions. Some pricing services provide a single price evaluation reflecting the bid-side of the market for an investment (a "bid" evaluation). Other pricing services offer both bid evaluations and price evaluations indicative of a price between the prices bid and ask for the investment (a "mid" evaluation). The Fund normally uses bid evaluations for any U.S. Treasury and Agency securities, mortgage-backed securities and municipal securities. The Fund normally uses mid evaluations for any other types of fixed-income securities and any OTC derivative contracts. In the event that market quotations and price evaluations are not available for an investment, the fair value of the investment is determined in accordance with procedures adopted by the Adviser.

The Adviser has also adopted procedures requiring an investment to be priced at its fair value whenever the Valuation Committee determines that a significant event affecting the value of the investment has occurred between the time as of which the price of the investment would otherwise be determined and the time as of which the NAV is computed. An event is considered significant if there is both an affirmative expectation that the investment's value will change in response to the event and a reasonable basis for quantifying the resulting change in value. Examples of significant events that may occur after the close of the principal market on which a security is traded, or after the time of a price evaluation provided by a pricing service or a dealer, include:

◾ With respect to securities traded principally in foreign markets, significant trends in U.S. equity markets or in the trading of foreign securities index futures contracts;

◾ Political or other developments affecting the economy or markets in which an issuer conducts its operations or its securities are traded;

◾ Announcements concerning matters such as acquisitions, recapitalizations, litigation developments, or a natural disaster affecting the issuer's operations or regulatory changes or market developments affecting the issuer's industry.

The Adviser has adopted procedures whereby the Valuation Committee uses a pricing service to provide factors to update the fair value of equity securities traded principally in foreign markets from the time of the close of their respective foreign stock exchanges to the pricing time of the Fund. For other significant events, the Fund may seek to obtain more current quotations or price evaluations from alternative pricing sources. If a reliable alternative pricing source is not available, the Valuation Committee will determine the fair value of the investment in accordance with the fair valuation procedures approved by the Adviser. The Trustees periodically review fair valuations made in response to significant events.

Various inputs are used in determining the value of the Fund's investments. These inputs are summarized in the three broad levels listed below:

Level 1—quoted prices in active markets for identical securities.

Level 2—other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). Also includes securities valued at amortized cost.

Level 3—significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments).

The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>The following is a summary of the inputs used, as of December 31, 2022, in valuing the Fund's assets carried at fair value:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Valuation Inputs** | **Valuation Inputs** | **Valuation Inputs** | **Valuation Inputs** | **Valuation Inputs** |
|  | **Level 1—** <br>**Quoted** <br>**Prices**<br>| **Level 2—** <br>**Other** <br>**Significant** <br>**Observable** <br>**Inputs**<br>| **Level 3—** <br>**Significant** <br>**Unobservable** <br>**Inputs**<br>| **Total** |
| **Debt Securities:** |  |  |  |  |
| Asset-Backed Securities | $— | $2588557669 | $0 | $2588557669 |
| Corporate Bonds | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp; 1191091874 | &nbsp;&nbsp; — | &nbsp;&nbsp; 1191091874 |
| Collateralized Mortgage Obligations | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 353844359 | &nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 353844359 |
| Commercial Mortgage-Backed Securities | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 92144593 | &nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 92144593 |
| Non-Agency Mortgage-Backed Securities | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17518472 | &nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17518472 |
| Adjustable Rate Mortgages | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 733236 | &nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 733236 |
| Mortgage-Backed Security | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 334922 | &nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 334922 |
| **Investment Companies** | &nbsp;&nbsp; 90582993 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 90582993 |
| &nbsp;&nbsp;&nbsp;&nbsp; TOTAL SECURITIES | $90582993 | $4244225125 | $0 | $4334808118 |
| **Other Financial Instruments:**<sup>1</sup> <br>|  |  |  |  |
| Assets | $76701 | $— | $— | $76701 |
| &nbsp;&nbsp;&nbsp;&nbsp; TOTAL OTHER FINANCIAL INSTRUMENTS | $76701 | $— | $— | $76701 |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

1 *Other financial instruments are futures contracts.*

**13**

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&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| The following acronym(s) are used throughout this portfolio: | The following acronym(s) are used throughout this portfolio: |
| ARM | —Adjustable Rate Mortgage |
| BSBY | —Bloomberg Short-Term Bank Yield Index |
| CMT | —Constant Maturity Treasury |
| GMTN | —Global Medium Term Note |
| LIBOR | —London Interbank Offered Rate |
| MTN | —Medium Term Note |
| NIM | —Net Interest Margin |
| REMIC | —Real Estate Mortgage Investment Conduit |
| SOFR | —Secured Overnight Financing Rate |

---

**14**

------

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Federated Hermes Total Return Series, Inc.

- **b. Investment Company Act file number:** 811-07115

- **c. CIK number of Registrant:** 0000912763

- **d. LEI of Registrant:** 254900I1JON2W1ZB0K47

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

  - **Street Address 1:** Federated Hermes Funds

  - **City:** Warrendale

  - **State:** PA

  - **Foreign country:** US

  - **Zip / Postal Code:** 15086-7561

  - **Telephone number:** 8003417400

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

- **a. Name of Series:** Federated Hermes Ultrashort Bond Fund

- **b. EDGAR series identifier (if any):** S000010898

- **c. LEI of Series:** 4SLJRM7FK1CXGQHDBA02

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

- **a. Date of fiscal year-end:** 2023-09-30

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $4348720707.01

**Total Liabilities:** $14264995.72

**Net Assets:** $4334455711.29

**Cash Not Reported:** $3160147.01

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -20456.401278000000 | **1-Year:** -209136.148910000000 | **5-Year:** -110984.705539000000 | **10-Year:** -15850.913336000000 | **30-Year:** -1720.723899000000

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

- **3-Month:** -65.974338000000 | **1-Year:** -1562.901228000000 | **5-Year:** -758.934907000000 | **10-Year:** -539.621295000000 | **30-Year:** -138.663112000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000030205 | -0.07%               | 0.19%                | 0.42%                |
| Class ID C000030206 | -0.17%               | 0.31%                | 0.44%                |
| Class ID C000030207 | -0.18%               | 0.30%                | 0.43%                |
| Class ID C000212356 | -0.17%               | 0.31%                | 0.44%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-14314791.98            | $-4740994.13                               |
| Month 2  | $-21196668.79            | $27907241.82                               |
| Month 3  | $-3255695.14             | $12198921.09                               |

**Designated Index Information**

- **Index Name:** Bloomberg Barclays US Government/Credit Bond Index

- **Index Identifier:** LUGCTRUU

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| American Express Credit Account Master Trust                | American Express Credit Account Master Trust                                  | CUSIP: 02582JJL5<br>LEI: 549300Y4SA5G3GIJTP18 | Long             | ABS-O            | CORP              | US        |  18679000 | PA      | $18687865.05  | 0.43%             | 2026-04-15      | Floating      | 3.06%                 | No            |                  2 | On Loan: No      |
| AmeriCredit Automobile Receivables Trust                    | AmeriCredit Automobile Receivables Trust 2020-3                               | CUSIP: 03066PAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6000000 | PA      | $5691723.30   | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                        | Bank of America Corp                                                          | CUSIP: 06051GJV2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  15000000 | PA      | $14523178.80  | 0.34%             | 2027-07-22      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| CANADIAN IMPERIAL BANK                                      | Canadian Imperial Bank of Commerce                                            | CUSIP: 13607HYE6<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |  25000000 | PA      | $24626521.75  | 0.57%             | 2024-10-18      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| Comcast Corp                                                | Comcast Corp                                                                  | CUSIP: 20030NCX7<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |  35830000 | PA      | $35941782.79  | 0.83%             | 2024-04-15      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| DNB BANK ASA                                                | DNB Bank ASA                                                                  | CUSIP: 25601B2C8<br>LEI: 549300GKFG0RYRRQ1414 | Long             | DBT              | CORP              | NO        |  10000000 | PA      | $9923062.40   | 0.23%             | 2025-03-28      | Floating      | 5.15%                 | Yes           |                  2 | On Loan: No      |
| Evergreen Credit Card Trust                                 | Evergreen Credit Card Trust Series 2022-CRT1                                  | CUSIP: 30023JBW7<br>LEI: 5493002G9KVV6J3CNU15 | Long             | ABS-O            | CORP              | CA        |   5000000 | PA      | $4900675.50   | 0.11%             |  |  |  | Yes           |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.            | Freddie Mac Multifamily Structured Pass Through Certificates                  | CUSIP: 3137H2NK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  22594212 | PA      | $21968899.00  | 0.51%             | 2028-08-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                 | Freddie Mac REMICS                                                            | CUSIP: 31396R6R3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    126430 | PA      | $125528.22    | 0.00%             | 2035-08-15      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                  | Fannie Mae REMICS                                                             | CUSIP: 31396XVJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    334406 | PA      | $329913.16    | 0.01%             | 2037-09-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                 | Freddie Mac REMICS                                                            | CUSIP: 31397HG28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     61632 | PA      | $61379.24     | 0.00%             | 2036-07-15      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust                                | Ford Credit Auto Owner Trust 2019-B                                           | CUSIP: 34532DAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4971443.25   | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| Ford Credit Auto Lease Trust                                | Ford Credit Auto Lease Trust 2021-A                                           | CUSIP: 34532QAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  15000000 | PA      | $14738910.00  | 0.34%             |  |  |  | No            |                  2 | On Loan: No      |
| General Motors                                              | GMF Floorplan Owner Revolving Trust                                           | CUSIP: 361886CK8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1440000 | PA      | $1392594.55   | 0.03%             |  |  |  | Yes           |                  2 | On Loan: No      |
| GM Financial Automobile Leasing Trust                       | GM Financial Automobile Leasing Trust 2020-2                                  | CUSIP: 36259PAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2983512.75   | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                                      | General Motors Financial Co Inc                                               | CUSIP: 37045XDF0<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |  10000000 | PA      | $9856880.00   | 0.23%             | 2024-03-08      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| GM Financial Automobile Leasing Trust                       | GM Financial Leasing Trust                                                    | CUSIP: 380144AF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8000000 | PA      | $7673857.20   | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| Golden Credit Card Trust                                    | Golden Credit Card Trust                                                      | CUSIP: 380881FK3<br>LEI: 549300BEDPMEONLTJX58 | Long             | ABS-O            | CORP              | CA        |   7626000 | PA      | $7354008.41   | 0.17%             |  |  |  | Yes           |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                     | Goldman Sachs Group Inc/The                                                   | CUSIP: 38141GXN9<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |  10000000 | PA      | $9633304.50   | 0.22%             | 2026-12-09      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Receivables Trust                              | Hyundai Auto Receivables Trust 2019-B                                         | CUSIP: 44891JAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4900000 | PA      | $4742988.08   | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| Hyundai Auto Lease Securitization Trust                     | Hyundai Auto Lease Securitization Trust 2021-A                                | CUSIP: 44891TAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10127847 | PA      | $10060633.64  | 0.23%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Hyundai Auto Lease Securitization Trust                     | Hyundai Auto Lease Securitization Trust 2021-C                                | CUSIP: 44933MAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  34000000 | PA      | $32196570.30  | 0.74%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Hyundai Auto Receivables Trust                              | Hyundai Auto Receivables Trust 2021-B                                         | CUSIP: 44934KAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4511522.25   | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, NA - CACLN                             | Chase Auto Credit Linked Notes Series 2021-1                                  | CUSIP: 46591HBT6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2722741 | PA      | $2595426.12   | 0.06%             |  |  |  | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                         | JPMorgan Chase & Co                                                           | CUSIP: 46647PAQ9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   6000000 | PA      | $6001711.50   | 0.14%             | 2024-04-23      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Master Credit Card Trust                                    | Master Credit Card Trust II                                                   | CUSIP: 576339CN3<br>LEI: 549300G7G68IV2D8IM76 | Long             | ABS-O            | CORP              | CA        |   3000000 | PA      | $2821073.85   | 0.07%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Master Credit Card Trust                                    | Master Credit Card Trust II                                                   | CUSIP: 576339CP8<br>LEI: 549300G7G68IV2D8IM76 | Long             | ABS-O            | CORP              | CA        |   2000000 | PA      | $1879496.30   | 0.04%             |  |  |  | Yes           |                  2 | On Loan: No      |
| PACIFIC LIFE GF II                                          | Pacific Life Global Funding II                                                | CUSIP: 6944PL2K4<br>LEI: 6354003EUPCHXTWUU869 | Long             | DBT              | CORP              | US        |  20000000 | PA      | $19585340.40  | 0.45%             | 2025-01-27      | Floating      | 4.37%                 | Yes           |                  2 | On Loan: No      |
| PERKINELMER INC                                             | PerkinElmer Inc                                                               | CUSIP: 714046AK5<br>LEI: 549300IKL1SDPFI7N655 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $968924.99    | 0.02%             | 2023-09-15      | Fixed         | 0.55%                 | No            |                  2 | On Loan: No      |
| Santander Consumer Auto Receivables Trust                   | Santander Consumer Auto Receivables Trust 2020-B                              | CUSIP: 802830AU3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3050000 | PA      | $2899660.01   | 0.07%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Santander Retail Auto Lease Trust                           | Santander Retail Auto Lease Trust 2020-A                                      | CUSIP: 80286KAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11953000 | PA      | $11806448.45  | 0.27%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                                | Drive Auto Receivables Trust 2020-1                                           | CUSIP: 26208QAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8600000 | PA      | $8443686.40   | 0.19%             |  |  |  | No            |                  2 | On Loan: No      |
| Master Credit Card Trust                                    | Master Credit Card Trust II Series 2018-1                                     | CUSIP: 576339BN4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |   7648000 | PA      | $7643203.94   | 0.18%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Santander Retail Auto Lease Trust                           | Santander Retail Auto Lease Trust 2020-B                                      | CUSIP: 80286RAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5750000 | PA      | $5471679.01   | 0.13%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Transportation Finance Equipment Trust                      | Transportation Finance Equipment Trust 2019-1                                 | CUSIP: 89389JAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2464634.38   | 0.06%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                      | Santander Drive Auto Receivables Trust 2019-3                                 | CUSIP: 80286HAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8581139 | PA      | $8524379.51   | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| WAMU ASSET-BACKED CERTIFICATES NIM                          | WM Asset Holdings Corp CI 2007-WM1                                            | CUSIP: 92933UAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   2532132 | PA      | $0.00         | 0.00%             | 2047-01-25      | Fixed         | 6.75%                 | Yes           |                  3 | On Loan: No      |
| Vodafone Group PLC                                          | Vodafone Group PLC                                                            | CUSIP: 92857WBN9<br>LEI: 213800TB53ELEUKM7Q61 | Long             | DBT              | CORP              | GB        |  30800000 | PA      | $30849984.70  | 0.71%             | 2024-01-16      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| World Omni Auto Receivables Trust                           | World Omni Auto Receivables Trust 2020-C                                      | CUSIP: 98163CAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4600892.75   | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| World Omni Auto Receivables Trust                           | World Omni Auto Receivables Trust 2021-C                                      | CUSIP: 98164CAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3962580 | PA      | $3948364.70   | 0.09%             | 2024-09-16      | Fixed         | 0.22%                 | No            |                  2 | On Loan: No      |
| World Omni Auto Receivables Trust                           | World Omni Auto Receivables Trust 2021-C                                      | CUSIP: 98164CAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2726017.65   | 0.06%             | 2028-04-17      | Fixed         | 1.06%                 | No            |                  2 | On Loan: No      |
| World Omni Auto Receivables Trust                           | World Omni Auto Receivables Trust 2021-A                                      | CUSIP: 98164EAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6430000 | PA      | $5916813.66   | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| ANZ NEW ZEALAND INTL/LDN                                    | ANZ New Zealand Int'l Ltd/London                                              | CUSIP: 00182EBQ1<br>LEI: 213800VD256NU2D97H12 | Long             | DBT              | CORP              | NZ        |   6380000 | PA      | $6324313.19   | 0.15%             | 2025-02-18      | Floating      | 4.77%                 | Yes           |                  2 | On Loan: No      |
| American Express Credit Account Master Trust                | American Express Credit Account Master Trust                                  | CUSIP: 02582JJD3<br>LEI: 549300Y4SA5G3GIJTP18 | Long             | ABS-O            | CORP              | US        |   3600000 | PA      | $3599312.58   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| Chesapeake Funding II LLC                                   | Chesapeake Funding II LLC                                                     | CUSIP: 165183CR3<br>LEI: 5493000HT7H4OFOD6Z12 | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1859876.10   | 0.04%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Dell Equipment Finance Trust                                | Dell Equipment Finance Trust 2021-1                                           | CUSIP: 24703QAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  26617000 | PA      | $25725482.22  | 0.59%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Enterprise Fleet Financing LLC                              | Enterprise Fleet Financing 2019-2 LLC                                         | CUSIP: 29374DAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    129486 | PA      | $129341.60    | 0.00%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                                  | Fannie Mae REMICS                                                             | CUSIP: 3136AVR27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1976524 | PA      | $1938562.41   | 0.04%             | 2047-04-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                 | Freddie Mac REMICS                                                            | CUSIP: 3137A9HR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3600390 | PA      | $3590424.12   | 0.08%             | 2041-04-15      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                 | Freddie Mac REMICS                                                            | CUSIP: 3137F24X1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1938798 | PA      | $1889985.11   | 0.04%             | 2047-07-15      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                  | Fannie Mae REMICS                                                             | CUSIP: 31396LM49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    246401 | PA      | $243336.32    | 0.01%             | 2036-12-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Federated Core Trust - Federated Bank Loan Core Fund        | FEDERATED CORE TR FEDERATED BANK LOAN CORE FUND                               | CUSIP: 31409N804<br>LEI: 549300FJK5JF0KIC2N83 | Long             | EC               | RF                | US        |   5187639 | NS      | $44924949.44  | 1.04%             |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF NY MELLON CORP                                      | Bank of New York Mellon Corp/The                                              | CUSIP: 06406RAY3<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |  10000000 | PA      | $9880403.10   | 0.23%             | 2024-10-25      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates                       | CWABS Inc Asset-Backed Certificates Trust 2004-4                              | CUSIP: 1266715J1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     28887 | PA      | $28047.12     | 0.00%             | 2034-08-25      | Floating      | 3.22%                 | No            |                  2 | On Loan: No      |
| Canadian Pacer Auto Receivables Trust                       | Canadian Pacer Auto Receivables Trust                                         | CUSIP: 13645YAD1<br>LEI: 549300G7ER2PTT19ZV22 | Long             | ABS-O            | CORP              | CA        |    579419 | PA      | $575740.48    | 0.01%             |  |  |  | Yes           |                  2 | On Loan: No      |
| CONAGRA BRANDS INC                                          | Conagra Brands Inc                                                            | CUSIP: 205887CG5<br>LEI: 54930035UDEIH090K650 | Long             | DBT              | CORP              | US        |   5090000 | PA      | $4946657.30   | 0.11%             | 2023-08-11      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| DAIMLER TRUCKS FINAN NA                                     | Daimler Trucks Finance North America LLC                                      | CUSIP: 233853AE0<br>LEI: 5493003HSDTSCZRXBA58 | Long             | DBT              | CORP              | US        |  20000000 | PA      | $19732838.20  | 0.46%             | 2024-12-13      | Floating      | 5.06%                 | Yes           |                  2 | On Loan: No      |
| Enterprise Fleet Financing LLC                              | Enterprise Fleet Financing 2019-3 LLC                                         | CUSIP: 29374WAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    185962 | PA      | $185647.41    | 0.00%             |  |  |  | Yes           |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.            | Freddie Mac Multifamily Structured Pass Through Certificates                  | CUSIP: 3137F8MQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  20451899 | PA      | $20206193.76  | 0.47%             | 2030-12-25      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                 | Freddie Mac REMICS                                                            | CUSIP: 31395ABZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    894760 | PA      | $887025.59    | 0.02%             | 2034-06-15      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                  | Fannie Mae REMICS                                                             | CUSIP: 31395NAY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    180516 | PA      | $179250.32    | 0.00%             | 2036-06-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                  | Fannie Mae REMICS                                                             | CUSIP: 31396XB29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    178431 | PA      | $177049.55    | 0.00%             | 2037-07-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                  | Fannie Mae REMICS                                                             | CUSIP: 31397MGS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86177 | PA      | $87018.02     | 0.00%             | 2037-06-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                              | Air Lease Corp                                                                | CUSIP: 00914AAL6<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |  21975000 | PA      | $20766821.97  | 0.48%             | 2024-02-15      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| AmeriCredit Automobile Receivables Trust                    | AmeriCredit Automobile Receivables Trust 2021-1                               | CUSIP: 03063FAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  27000000 | PA      | $24054970.95  | 0.55%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                        | Bank of America Corp                                                          | CUSIP: 06051GJJ9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4955341.75   | 0.11%             | 2024-10-24      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                 | Freddie Mac REMICS                                                            | CUSIP: 3137FPAS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  20933276 | PA      | $20609187.30  | 0.48%             | 2049-10-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| GM Financial Automobile Leasing Trust                       | GM Financial Automobile Leasing Trust 2020-2                                  | CUSIP: 36259PAH9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7840000 | PA      | $7795641.28   | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                    | Government National Mortgage Association                                      | CUSIP: 38375B3Y6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1647462 | PA      | $1638879.43   | 0.04%             | 2063-07-20      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                  | Fannie Mae REMICS                                                             | CUSIP: 31396KM90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    620294 | PA      | $613795.12    | 0.01%             | 2036-09-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| General Motors                                              | GMF Floorplan Owner Revolving Trust                                           | CUSIP: 361886CN2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5750000 | PA      | $5528716.43   | 0.13%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Federated Hermes Conservative Microshort Fund               | Federated Hermes Conservative Microshort Fund                                 | CUSIP: 31423A473<br>LEI: 254900CWA9RK4W0R7Y46 | Long             | EC               | RF                | US        |   2982933 | NS      | $29650349.65  | 0.68%             |  |  |  | No            |                  1 | On Loan: No      |
| GM Financial Securitized Term Auto Receivables Tr           | GM Financial Consumer Automobile Receivables Trust 2021-1                     | CUSIP: 36261LAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1675000 | PA      | $1534310.89   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                    | Government National Mortgage Association                                      | CUSIP: 38375BC42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3345690 | PA      | $3314320.69   | 0.08%             | 2062-11-20      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| HPEFS Equipment Trust                                       | HPEFS Equipment Trust                                                         | CUSIP: 40440YAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  25000000 | PA      | $24222065.00  | 0.56%             |  |  |  | Yes           |                  2 | On Loan: No      |
| GM Financial Automobile Leasing Trust                       | GM Financial Leasing Trust                                                    | CUSIP: 36261RAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10000000 | PA      | $9673612.50   | 0.22%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                     | Goldman Sachs Group Inc/The                                                   | CUSIP: 38141GYR9<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |  12275000 | PA      | $11744925.48  | 0.27%             | 2027-10-21      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Lease Securitization Trust                     | Hyundai Auto Lease Securitization Trust 2021-B                                | CUSIP: 44891VAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  20050000 | PA      | $19135467.37  | 0.44%             |  |  |  | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                    | JP Morgan Mortgage Trust 2021-1                                               | CUSIP: 46592EBC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12934176 | PA      | $11535605.80  | 0.27%             | 2051-06-25      | Floating      | 4.17%                 | Yes           |                  2 | On Loan: No      |
| CANADIAN IMPERIAL BANK                                      | Canadian Imperial Bank of Commerce                                            | CUSIP: 13607GRT3<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |  10000000 | PA      | $9967113.50   | 0.23%             | 2023-12-14      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                 | Freddie Mac REMICS                                                            | CUSIP: 31397PFG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    762082 | PA      | $754928.76    | 0.02%             | 2037-11-15      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                             | Impac CMB Trust Series 2004-7                                                 | CUSIP: 45254NKG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     54952 | PA      | $52672.05     | 0.00%             | 2034-11-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| Chase Auto Credit Linked Notes                              | JPMorgan Chase Bank NA - CACLN                                                | CUSIP: 46591HCE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2874593 | PA      | $2693294.98   | 0.06%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Navient Student Loan Trust                                  | Navient Private Education Refi Loan Trust 2019-D                              | CUSIP: 63941CAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5938537 | PA      | $5762189.15   | 0.13%             |  |  |  | Yes           |                  2 | On Loan: No      |
| NEW YORK LIFE GLOBAL FDG                                    | New York Life Global Funding                                                  | CUSIP: 64952WDZ3<br>LEI: 635400DPNHEAUHB7ZI15 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4998983.45   | 0.12%             | 2023-02-02      | Floating      | 4.27%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase Bank, NA - CACLN                             | JPMorgan Chase Bank NA - CACLN                                                | CUSIP: 48128U2N8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3512858 | PA      | $3348753.30   | 0.08%             |  |  |  | Yes           |                  2 | On Loan: No      |
| NATWEST MARKETS PLC                                         | NatWest Markets PLC                                                           | CUSIP: 63906YAE8<br>LEI: RR3QWICWWIPCS8A4S074 | Long             | DBT              | CORP              | GB        |   9000000 | PA      | $8601168.60   | 0.20%             | 2026-09-29      | Floating      | 5.08%                 | Yes           |                  2 | On Loan: No      |
| Hyundai Auto Receivables Trust                              | Hyundai Auto Receivables Trust 2020-B                                         | CUSIP: 44933FAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4125000 | PA      | $3914043.58   | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| MMAF Equipment Finance LLC                                  | MMAF Equipment Finance LLC 2020-A                                             | CUSIP: 60700MAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2233227 | PA      | $2214258.37   | 0.05%             |  |  |  | Yes           |                  2 | On Loan: No      |
| NEW YORK LIFE GLOBAL FDG                                    | New York Life Global Funding                                                  | CUSIP: 64952WEL3<br>LEI: 635400DPNHEAUHB7ZI15 | Long             | DBT              | CORP              | US        |  20000000 | PA      | $19785579.60  | 0.46%             | 2025-01-14      | Floating      | 4.12%                 | Yes           |                  2 | On Loan: No      |
| PFS Financing Corp.                                         | PFS Financing Corp                                                            | CUSIP: 69335PDX0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7500000 | PA      | $7077544.50   | 0.16%             |  |  |  | Yes           |                  2 | On Loan: No      |
| PFS Financing Corp.                                         | PFS Financing Corp                                                            | CUSIP: 69335PEJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6000000 | PA      | $5968000.20   | 0.14%             |  |  |  | Yes           |                  2 | On Loan: No      |
| PenFed Auto Receivables Owner Trust                         | PenFed Auto Receivables Owner Trust 2022-A                                    | CUSIP: 706874AE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1300000 | PA      | $1268499.70   | 0.03%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Tesla Auto Lease Trust                                      | Tesla Auto Lease Trust 2020-A                                                 | CUSIP: 88167HAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4650000 | PA      | $4601222.43   | 0.11%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Verizon Master Trust                                        | Verizon Master Trust                                                          | CUSIP: 92348KAN3<br>LEI: 5493007MUBNP1GFMEB89 | Long             | ABS-O            | CORP              | US        |   6050000 | PA      | $5910696.94   | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| Santander Consumer Auto Receivables Trust                   | Santander Consumer Auto Receivables Trust 2020-B                              | CUSIP: 802830AN9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4150000 | PA      | $4068324.68   | 0.09%             |  |  |  | Yes           |                  2 | On Loan: No      |
| SHELL INTERNATIONAL FIN                                     | Shell International Finance BV                                                | CUSIP: 822582CJ9<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |   3060000 | PA      | $2965398.66   | 0.07%             | 2023-09-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| World Omni Auto Receivables Trust                           | World Omni Auto Receivables Trust 2021-B                                      | CUSIP: 98163LAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4500000 | PA      | $4090158.23   | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| Santander Retail Auto Lease Trust                           | Santander Retail Auto Lease Trust 2020-B                                      | CUSIP: 80286RAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  20000000 | PA      | $19089737.00  | 0.44%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes                     | Santander Bank NA - SBCLN                                                     | CUSIP: 80290CAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5257960 | PA      | $5080696.05   | 0.12%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Tesla Auto Lease Trust                                      | Tesla Auto Lease Trust 2021-B                                                 | CUSIP: 88161KAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  17350000 | PA      | $16123231.82  | 0.37%             |  |  |  | Yes           |                  2 | On Loan: No      |
| THERMO FISHER SCIENTIFIC                                    | Thermo Fisher Scientific Inc                                                  | CUSIP: 883556CQ3<br>LEI: HCHV7422L5HDJZCRFL38 | Long             | DBT              | CORP              | US        |  26600000 | PA      | $26356447.74  | 0.61%             | 2024-10-18      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| Verizon Owner Trust                                         | Verizon Owner Trust 2019-C                                                    | CUSIP: 92348AAD7<br>LEI: 549300WANFF5OIMC3D47 | Long             | ABS-O            | CORP              | US        |  17600000 | PA      | $17543306.88  | 0.40%             |  |  |  | No            |                  2 | On Loan: No      |
| Volvo Financial Equipment LLC                               | Volvo Financial Equipment LLC                                                 | CUSIP: 92888BAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1464000 | PA      | $1435730.45   | 0.03%             |  |  |  | Yes           |                  2 | On Loan: No      |
| World Omni Auto Receivables Trust                           | World Omni Auto Receivables Trust 2019-C                                      | CUSIP: 98162RAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8100000 | PA      | $7885182.33   | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| World Omni Auto Receivables Trust                           | World Omni Auto Receivables Trust                                             | CUSIP: 98163MAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1400000 | PA      | $1325765.42   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| World Omni Auto Receivables Trust                           | World Omni Auto Receivables Trust 2021-A                                      | CUSIP: 98164EAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1685000 | PA      | $1546987.72   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                         | American Express Co                                                           | CUSIP: 025816CL1<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |  21550000 | PA      | $20998330.99  | 0.48%             | 2026-11-04      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| AmeriCredit Automobile Receivables Trust                    | AmeriCredit Automobile Receivables Trust 2019-3                               | CUSIP: 03066NAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2590000 | PA      | $2490356.87   | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Canadian Pacer Auto Receivables Trust                       | Canadian Pacer Auto Receivables Trust 2021-1                                  | CUSIP: 13646CAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |  18002000 | PA      | $16684725.25  | 0.38%             |  |  |  | Yes           |                  2 | On Loan: No      |
| DBWF Mortgage Trust                                         | DBWF 2018-GLKS Mortgage Trust                                                 | CUSIP: 23307GAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  25000000 | PA      | $24001270.00  | 0.55%             | 2030-12-19      | Floating      | 5.79%                 | Yes           |                  2 | On Loan: No      |
| Dell Equipment Finance Trust                                | Dell Equipment Finance Trust 2021-2                                           | CUSIP: 24702VAL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9000000 | PA      | $8427933.00   | 0.19%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Dell Equipment Finance Trust                                | Dell Equipment Finance Trust 2021-1                                           | CUSIP: 24703QAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12280000 | PA      | $11869161.55  | 0.27%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Dell Equipment Finance Trust                                | Dell Equipment Finance Trust 2020-2                                           | CUSIP: 24704GAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4834000 | PA      | $4745137.30   | 0.11%             |  |  |  | Yes           |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.            | Freddie Mac Multifamily Structured Pass Through Certificates                  | CUSIP: 3137FTZZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9700130 | PA      | $9640337.70   | 0.22%             | 2030-05-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                  | Fannie Mae Pool                                                               | CUSIP: 31385HJR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    298095 | PA      | $289836.36    | 0.01%             | 2034-07-01      | Floating      | 2.92%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                 | Freddie Mac REMICS                                                            | CUSIP: 31394PGD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    593032 | PA      | $592282.76    | 0.01%             | 2033-12-15      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                  | Fannie Mae REMICS                                                             | CUSIP: 31396PV99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3087253 | PA      | $3036845.06   | 0.07%             | 2037-03-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust                                | Ford Credit Auto Owner Trust 2020-C                                           | CUSIP: 34533YAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4280000 | PA      | $3844441.09   | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| GM Financial Securitized Term Auto Receivables Tr           | GM Financial Consumer Automobile Receivables Trust 2021-1                     | CUSIP: 36261LAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5829039 | PA      | $5643049.94   | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| GREAT AMERICA LEASING RECEIVABLES                           | GreatAmerica Leasing Receivables Funding LLC Series 2021-1                    | CUSIP: 39154TBL1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2610000 | PA      | $2390361.71   | 0.06%             |  |  |  | Yes           |                  2 | On Loan: No      |
| MISSISSIPPI POWE                                            | Mississippi Power Co                                                          | CUSIP: 605417CC6<br>LEI: LNZ0J6YZ5SC6ILIRU850 | Long             | DBT              | CORP              | US        |  15295000 | PA      | $14994098.25  | 0.35%             | 2024-06-28      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                                  | Navient Private Education Refi Loan Trust 2020-G                              | CUSIP: 63941UAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10471198 | PA      | $9025959.71   | 0.21%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Navient Student Loan Trust                                  | Navient Private Education Refi Loan Trust 2021-F                              | CUSIP: 63942GAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  42455883 | PA      | $35909950.14  | 0.83%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Navient Student Loan Trust                                  | Navient Private Education Refi Loan Trust 2021-B                              | CUSIP: 63942LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  50819644 | PA      | $42887770.14  | 0.99%             |  |  |  | Yes           |                  2 | On Loan: No      |
| PFS Financing Corp.                                         | PFS Financing Corp                                                            | CUSIP: 69335PEE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4500000 | PA      | $4107339.00   | 0.09%             |  |  |  | Yes           |                  2 | On Loan: No      |
| PPL ELECTRIC UTI                                            | PPL Electric Utilities Corp                                                   | CUSIP: 69351UAY9<br>LEI: 549300GCZLSGYEYPIR35 | Long             | DBT              | CORP              | US        |  14970000 | PA      | $14742240.73  | 0.34%             | 2024-06-24      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                            | SMB Private Education Loan Trust 2021-D                                       | CUSIP: 78449MAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10185145 | PA      | $9940807.76   | 0.23%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes                     | Santander Bank Auto Credit-Linked Notes Series 2022-A                         | CUSIP: 80290CAS3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3420261 | PA      | $3313796.54   | 0.08%             |  |  |  | Yes           |                  2 | On Loan: No      |
| TOYOTA MOTOR CREDIT CORP                                    | Toyota Motor Credit Corp                                                      | CUSIP: 89236TJU0<br>LEI: Z2VZBHUMB7PWWJ63I008 | Long             | DBT              | CORP              | US        |  10000000 | PA      | $9881395.60   | 0.23%             | 2025-01-13      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                                    | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                     | CUSIP: 00774MAT2<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |  17000000 | PA      | $16362573.78  | 0.38%             | 2023-10-29      | Fixed         | 1.15%                 | No            |                  2 | On Loan: No      |
| DBWF Mortgage Trust                                         | DBWF 2018-GLKS Mortgage Trust                                                 | CUSIP: 23307GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14053523 | PA      | $13632455.56  | 0.31%             | 2030-12-19      | Floating      | 5.47%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                                 | Freddie Mac REMICS                                                            | CUSIP: 31397GZ94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    206377 | PA      | $204075.55    | 0.00%             | 2036-07-15      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| World OMNI Select Auto Trust                                | World Omni Select Auto Trust 2020-A                                           | CUSIP: 98163DAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9000000 | PA      | $8566181.10   | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| American Express Credit Account Master Trust                | American Express Credit Account Master Trust                                  | CUSIP: 02582JJB7<br>LEI: 549300Y4SA5G3GIJTP18 | Long             | ABS-O            | CORP              | US        |  11537000 | PA      | $11541793.05  | 0.27%             |  |  |  | No            |                  2 | On Loan: No      |
| MET LIFE GLOB FUNDING I                                     | Metropolitan Life Global Funding I                                            | CUSIP: 59217GEQ8<br>LEI: 635400MMSOCXNNNZDZ82 | Long             | DBT              | CORP              | US        |  10000000 | PA      | $9900244.00   | 0.23%             | 2024-09-27      | Floating      | 4.62%                 | Yes           |                  2 | On Loan: No      |
| NATIONAL BANK OF CANADA                                     | National Bank of Canada                                                       | CUSIP: 63307A2Q7<br>LEI: BSGEFEIOM18Y80CKCV46 | Long             | DBT              | CORP              | CA        |  16000000 | PA      | $15821895.52  | 0.37%             | 2024-08-06      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                      | Santander Drive Auto Receivables Trust 2020-2                                 | CUSIP: 80285RAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10000000 | PA      | $9730294.50   | 0.22%             |  |  |  | No            |                  2 | On Loan: No      |
| American Express Credit Account Master Trust                | American Express Credit Account Master Trust                                  | CUSIP: 02582JJE1<br>LEI: 549300Y4SA5G3GIJTP18 | Long             | ABS-O            | CORP              | US        |  16613000 | PA      | $16630089.79  | 0.38%             | 2026-02-17      | Floating      | 3.04%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                         | American Tower Corp                                                           | CUSIP: 03027XBH2<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |   6530000 | PA      | $6226981.16   | 0.14%             | 2024-01-15      | Fixed         | 0.60%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                               | Citigroup Inc                                                                 | CUSIP: 172967NH0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   8000000 | PA      | $7731545.68   | 0.18%             | 2028-02-24      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                                         | Dominion Energy Inc                                                           | CUSIP: 25746UDH9<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |  16885000 | PA      | $16854506.37  | 0.39%             | 2023-09-15      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.            | Freddie Mac Multifamily Structured Pass Through Certificates                  | CUSIP: 3137F72K0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14582424 | PA      | $14280872.31  | 0.33%             | 2030-10-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.            | Freddie Mac Multifamily Structured Pass Through Certificates                  | CUSIP: 3137F9CM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  18382222 | PA      | $18159177.53  | 0.42%             | 2030-12-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                  | Fannie Mae REMICS                                                             | CUSIP: 31396KYA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    201304 | PA      | $199513.74    | 0.00%             | 2036-08-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Ford Credit Floorplan Master Owner Trust                    | Ford Credit Floorplan Master Owner Trust A                                    | CUSIP: 34528QHM9<br>LEI: 5493001DTG5N7T8BG747 | Long             | ABS-O            | CORP              | US        |  14000000 | PA      | $13484319.10  | 0.31%             |  |  |  | No            |                  2 | On Loan: No      |
| General Motors                                              | GMF Floorplan Owner Revolving Trust                                           | CUSIP: 361886CM4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13000000 | PA      | $12527975.85  | 0.29%             |  |  |  | Yes           |                  2 | On Loan: No      |
| GM Financial Automobile Leasing Trust                       | GM Financial Automobile Leasing Trust 2020-3                                  | CUSIP: 362569AG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9000000 | PA      | $8917507.35   | 0.21%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDEN CREDIT CARD TRUST                                    | GOLDEN CREDIT CARD TRUST                                                      | CUSIP: 380881FD9<br>LEI: 549300BEDPMEONLTJX58 | Long             | ABS-O            | CORP              | US        |   4250000 | PA      | $3713478.73   | 0.09%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Golden Credit Card Trust                                    | Golden Credit Card Trust                                                      | CUSIP: 380881FH0<br>LEI: 549300BEDPMEONLTJX58 | Long             | ABS-O            | CORP              | CA        |  15000000 | PA      | $14926737.00  | 0.34%             |  |  |  | Yes           |                  2 | On Loan: No      |
| GREAT AMERICA LEASING RECEIVABLES                           | GreatAmerica Leasing Receivables Funding LLC Series 2020-1                    | CUSIP: 39154TBE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10800000 | PA      | $10427933.52  | 0.24%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Hyundai Auto Lease Securitization Trust                     | Hyundai Auto Lease Securitization Trust 2020-B                                | CUSIP: 44891PAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6100000 | PA      | $6049177.55   | 0.14%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Chase Auto Credit Linked Notes                              | JPMorgan Chase Bank NA - CACLN                                                | CUSIP: 46591HCG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1299816 | PA      | $1191129.24   | 0.03%             |  |  |  | Yes           |                  2 | On Loan: No      |
| PFS Financing Corp.                                         | PFS Financing Corp                                                            | CUSIP: 69335PED3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  38000000 | PA      | $34824001.80  | 0.80%             |  |  |  | Yes           |                  2 | On Loan: No      |
| NEW CENTURY                                                 | NEW CENTURY CLASS D 1999 1                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    109416 | PA      | $0.00         | 0.00%             | 2029-01-25      | Variable      | 8.75%                 | No            |                  3 | On Loan: No      |
| Transportation Finance Equipment Trust                      | Transportation Finance Equipment Trust 2019-1                                 | CUSIP: 89389JAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3679000 | PA      | $3619423.56   | 0.08%             |  |  |  | Yes           |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                     | WaMu Mortgage Pass-Through Certificates Series 2006-AR15 Trust                | CUSIP: 93363QAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    350117 | PA      | $316358.33    | 0.01%             | 2046-11-25      | Floating      | 2.89%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                        | Bank of America Corp                                                          | CUSIP: 06051GJX8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   6500000 | PA      | $6440460.00   | 0.15%             | 2024-05-28      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| DLLMT LLC                                                   | Dllmt 2021-1 LLC                                                              | CUSIP: 23345FAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14240179 | PA      | $14076155.40  | 0.32%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Evergreen Credit Card Trust                                 | Evergreen Credit Card Trust                                                   | CUSIP: 30023JBU1<br>LEI: 5493002G9KVV6J3CNU15 | Long             | ABS-O            | CORP              | CA        |   6750000 | PA      | $6286141.69   | 0.15%             |  |  |  | Yes           |                  2 | On Loan: No      |
| EVERSOURCE ENERGY                                           | Eversource Energy                                                             | CUSIP: 30040WAM0<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |  47010000 | PA      | $46837102.39  | 1.08%             | 2023-08-15      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                  | Fannie Mae REMICS                                                             | CUSIP: 3136BAS96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7032884 | PA      | $6859535.93   | 0.16%             | 2050-07-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                                        | Fannie Mae Trust 2006-W1                                                      | CUSIP: 31395B5N9<br>LEI: 5493001NEANKKEPIN618 | Long             | ABS-MBS          | USGSE             | US        |    491363 | PA      | $486107.90    | 0.01%             | 2046-02-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                  | Fannie Mae REMICS                                                             | CUSIP: 31395N3L9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    936136 | PA      | $927160.68    | 0.02%             | 2036-07-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                 | Freddie Mac REMICS                                                            | CUSIP: 31397JYE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     45367 | PA      | $44855.62     | 0.00%             | 2037-07-15      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                  | Fannie Mae Pool                                                               | CUSIP: 31402GMR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    317323 | PA      | $334921.81    | 0.01%             | 2033-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                                      | General Motors Financial Co Inc                                               | CUSIP: 37045XDQ6<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |  10000000 | PA      | $9385477.00   | 0.22%             | 2027-02-26      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| HPEFS Equipment Trust                                       | HPEFS Equipment Trust 2020-1                                                  | CUSIP: 40438FAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2750000 | PA      | $2721389.96   | 0.06%             |  |  |  | Yes           |                  2 | On Loan: No      |
| ARI Fleet Lease Trust                                       | ARI Fleet Lease Trust 2021-A                                                  | CUSIP: 00217FAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2750000 | PA      | $2502903.29   | 0.06%             |  |  |  | Yes           |                  2 | On Loan: No      |
| HPEFS Equipment Trust                                       | HPEFS Equipment Trust                                                         | CUSIP: 40440YAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  19640000 | PA      | $18846727.63  | 0.43%             |  |  |  | Yes           |                  2 | On Loan: No      |
| HPEFS Equipment Trust                                       | HPEFS Equipment Trust 2021-2                                                  | CUSIP: 40441JAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11200000 | PA      | $10364627.84  | 0.24%             |  |  |  | Yes           |                  2 | On Loan: No      |
| AmeriCredit Automobile Receivables Trust                    | AmeriCredit Automobile Receivables Trust 2020-2                               | CUSIP: 03066EAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1896129.80   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| AmeriCredit Automobile Receivables Trust                    | AmeriCredit Automobile Receivables Trust 2020-2                               | CUSIP: 03066EAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5320000 | PA      | $4956244.20   | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| CARDS II Trust                                              | CARDS II Trust                                                                | CUSIP: 14161GBZ2<br>LEI: 549300GWPYLNK6X47W76 | Long             | ABS-O            | CORP              | CA        |  14000000 | PA      | $13215441.40  | 0.30%             |  |  |  | Yes           |                  2 | On Loan: No      |
| CarMax Auto Owner Trust                                     | CarMax Auto Owner Trust 2021-3                                                | CUSIP: 14317DAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7000000 | PA      | $6258041.65   | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| CENTERPOINT ENERGY INC                                      | CenterPoint Energy Inc                                                        | CUSIP: 15189TAZ0<br>LEI: 21TPXMRRHFKOBHDC8J74 | Long             | DBT              | CORP              | US        |   9375000 | PA      | $9267675.75   | 0.21%             | 2024-05-13      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| Chesapeake Funding II LLC                                   | Chesapeake Funding II LLC                                                     | CUSIP: 165183CB8<br>LEI: 5493000HT7H4OFOD6Z12 | Long             | ABS-O            | CORP              | US        |   2557155 | PA      | $2555892.29   | 0.06%             | 2031-04-15      | Fixed         | 3.36%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase Bank, NA - CACLN                             | JPMorgan Chase Bank NA - CACLN                                                | CUSIP: 48128U2P3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3124935 | PA      | $2962055.01   | 0.07%             |  |  |  | Yes           |                  2 | On Loan: No      |
| NATIONAL RURAL UTIL COOP                                    | National Rural Utilities Cooperative Finance Corp                             | CUSIP: 63743HFA5<br>LEI: 4NYF266XZC35SCTGX023 | Long             | DBT              | CORP              | US        |  25790000 | PA      | $25474827.37  | 0.59%             | 2024-10-18      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| Chesapeake Funding II LLC                                   | Chesapeake Funding II LLC                                                     | CUSIP: 165183CL6<br>LEI: 5493000HT7H4OFOD6Z12 | Long             | ABS-O            | CORP              | US        |   1840000 | PA      | $1770632.00   | 0.04%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Chesapeake Funding II LLC                                   | Chesapeake Funding II LLC                                                     | CUSIP: 165183CM4<br>LEI: 5493000HT7H4OFOD6Z12 | Long             | ABS-O            | CORP              | US        |   4838000 | PA      | $4656342.05   | 0.11%             |  |  |  | Yes           |                  2 | On Loan: No      |
| CITIGROUP INC                                               | Citigroup Inc                                                                 | CUSIP: 17327CAP8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   7695000 | PA      | $7524993.52   | 0.17%             | 2026-01-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| DLL Securitization Trust                                    | DLL 2019-2 LLC                                                                | CUSIP: 23342NAD0<br>LEI: 54930006VDXWCS0NKG23 | Long             | ABS-O            | CORP              | US        |   1049607 | PA      | $1049526.82   | 0.02%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Dell Equipment Finance Trust                                | Dell Equipment Finance Trust 2022-2                                           | CUSIP: 24702CAJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3750000 | PA      | $3649626.94   | 0.08%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Dell Equipment Finance Trust                                | Dell Equipment Finance Trust 2021-2                                           | CUSIP: 24702VAJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10500000 | PA      | $9933599.55   | 0.23%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Navient Student Loan Trust                                  | Navient Private Education Refi Loan Trust 2020-H                              | CUSIP: 63935BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8626410 | PA      | $7664583.07   | 0.18%             |  |  |  | Yes           |                  2 | On Loan: No      |
| NextGear Floorplan Master Owner Trust                       | NextGear Floorplan Master Owner Trust                                         | CUSIP: 65341KBQ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  20000000 | PA      | $18592087.00  | 0.43%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Enterprise Fleet Financing LLC                              | Enterprise Fleet Financing 2022-3 LLC                                         | CUSIP: 29374FAB9<br>LEI: RKWYUSIDZTWNAX1D9U96 | Long             | ABS-O            | CORP              | US        |   3100000 | PA      | $3021649.98   | 0.07%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                                 | Freddie Mac REMICS                                                            | CUSIP: 3137FNQV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4678586 | PA      | $4618495.82   | 0.11%             | 2049-09-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| PFS Financing Corp.                                         | PFS Financing Corp                                                            | CUSIP: 69335PEB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10875000 | PA      | $10238995.20  | 0.24%             |  |  |  | Yes           |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                            | SMB Private Education Loan Trust 2021-E                                       | CUSIP: 78450MAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  26698223 | PA      | $26292455.27  | 0.61%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                                 | Freddie Mac REMICS                                                            | CUSIP: 3137FUQ98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  17825491 | PA      | $17570859.08  | 0.41%             | 2050-07-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                  | Fannie Mae REMICS                                                             | CUSIP: 31392F6K8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82826 | PA      | $83658.82     | 0.00%             | 2032-12-18      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                      | Santander Drive Auto Receivables Trust 2020-3                                 | CUSIP: 80285WAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14221456 | PA      | $14098103.60  | 0.33%             |  |  |  | No            |                  2 | On Loan: No      |
| Santander Retail Auto Lease Trust                           | Santander Retail Auto Lease Trust 2021-C                                      | CUSIP: 80286CAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  52000000 | PA      | $47714656.60  | 1.10%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                      | Santander Drive Auto Receivables Trust 2021-3                                 | CUSIP: 80287EAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  34000000 | PA      | $31716390.00  | 0.73%             |  |  |  | No            |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes                     | Santander Bank Auto Credit-Linked Notes Series 2022-B                         | CUSIP: 80290CBA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2991757 | PA      | $2980032.80   | 0.07%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                                 | Freddie Mac REMICS                                                            | CUSIP: 31396R3N5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    154559 | PA      | $153513.62    | 0.00%             | 2034-02-15      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                 | Freddie Mac REMICS                                                            | CUSIP: 31396TZ89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     52878 | PA      | $52138.43     | 0.00%             | 2036-07-15      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIF GAS CO                                       | Southern California Gas Co                                                    | CUSIP: 842434CV2<br>LEI: XY0N0J73VHV5F4CUJV89 | Long             | DBT              | CORP              | US        |   9575000 | PA      | $9548704.08   | 0.22%             | 2023-09-14      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| TOYOTA MOTOR CREDIT CORP                                    | Toyota Motor Credit Corp                                                      | CUSIP: 89236THV0<br>LEI: Z2VZBHUMB7PWWJ63I008 | Long             | DBT              | CORP              | US        |  10000000 | PA      | $9940828.50   | 0.23%             | 2024-01-11      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                  | Fannie Mae REMICS                                                             | CUSIP: 31398NWL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5904988 | PA      | $5857668.48   | 0.14%             | 2040-10-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust                                | Ford Credit Auto Owner Trust 2019-C                                           | CUSIP: 34531KAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5850000 | PA      | $5713463.05   | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| Verizon Owner Trust                                         | Verizon Owner Trust 2020-C                                                    | CUSIP: 92348CAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  27000000 | PA      | $25693966.80  | 0.59%             |  |  |  | No            |                  2 | On Loan: No      |
| World Omni Auto Receivables Trust                           | World Omni Auto Receivables Trust 2019-C                                      | CUSIP: 98162RAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13500000 | PA      | $13149627.08  | 0.30%             |  |  |  | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust                                | Ford Credit Auto Owner Trust 2019-B                                           | CUSIP: 34532DAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6600000 | PA      | $6560898.96   | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| GM Financial Securitized Term Auto Receivables Tr           | GM Financial Consumer Automobile Receivables Trust 2020-3                     | CUSIP: 362590AG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1890679.20   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Golden Credit Card Trust                                    | Golden Credit Card Trust                                                      | CUSIP: 380881FC1<br>LEI: 549300BEDPMEONLTJX58 | Long             | ABS-O            | CORP              | US        |   8000000 | PA      | $7110014.80   | 0.16%             |  |  |  | Yes           |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                     | Goldman Sachs Group Inc/The                                                   | CUSIP: 38141GZL1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   9375000 | PA      | $9018023.34   | 0.21%             | 2028-02-24      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| AmeriCredit Automobile Receivables Trust                    | AmeriCredit Automobile Receivables Trust 2020-3                               | CUSIP: 03066PAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  17825000 | PA      | $16519794.68  | 0.38%             |  |  |  | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                          | Alternative Loan Trust 2005-51                                                | CUSIP: 12668ARF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     99687 | PA      | $74441.19     | 0.00%             | 2035-11-20      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| Capital One Multi-Asset Execution Trust                     | Capital One Multi-Asset Execution Trust                                       | CUSIP: 14041NFS5<br>LEI: R42WS16M9R97TJJKGU15 | Long             | ABS-O            | CORP              | US        |   4700000 | PA      | $4697920.96   | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust                                     | Carmax Auto Owner Trust 2021-1                                                | CUSIP: 14316NAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1750000 | PA      | $1562050.61   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Chesapeake Funding II LLC                                   | Chesapeake Funding II LLC                                                     | CUSIP: 165183CS1<br>LEI: 5493000HT7H4OFOD6Z12 | Long             | ABS-O            | CORP              | US        |   2550000 | PA      | $2368033.28   | 0.05%             |  |  |  | Yes           |                  2 | On Loan: No      |
| CITIGROUP INC                                               | Citigroup Inc                                                                 | CUSIP: 172967MZ1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |  15000000 | PA      | $14394249.15  | 0.33%             | 2027-06-09      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| Dell Equipment Finance Trust                                | Dell Equipment Finance Trust 2022-2                                           | CUSIP: 24702CAL8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4330000 | PA      | $4211503.27   | 0.10%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                                | Drive Auto Receivables Trust 2020-1                                           | CUSIP: 26208QAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    532875 | PA      | $532161.86    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| HPEFS Equipment Trust                                       | HPEFS Equipment Trust                                                         | CUSIP: 40441RAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14400000 | PA      | $13444819.92  | 0.31%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Hyundai Auto Lease Securitization Trust                     | Hyundai Auto Lease Securitization Trust 2021-A                                | CUSIP: 44891TAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5150000 | PA      | $5019482.26   | 0.12%             |  |  |  | Yes           |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.            | Freddie Mac Multifamily Structured Pass Through Certificates                  | CUSIP: 3137F6JG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  17925728 | PA      | $17640972.10  | 0.41%             | 2030-09-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.            | Freddie Mac Multifamily Structured Pass Through Certificates                  | CUSIP: 3137F84A8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  22369169 | PA      | $21789655.14  | 0.50%             | 2030-11-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, NA - CACLN                             | Chase Auto Credit Linked Notes Series 2020-2                                  | CUSIP: 46591HAW0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    821859 | PA      | $798965.88    | 0.02%             |  |  |  | Yes           |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                    | Magallanes Inc                                                                | CUSIP: 55903VAA1<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4985340.20   | 0.12%             | 2024-03-15      | Floating      | 6.09%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                                 | Freddie Mac REMICS                                                            | CUSIP: 31396GE98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    604698 | PA      | $601194.03    | 0.01%             | 2035-12-15      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| GM Financial Automobile Leasing Trust                       | GM Financial Leasing Trust                                                    | CUSIP: 36261RAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9640000 | PA      | $9349570.42   | 0.22%             |  |  |  | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                   | Nelnet Student Loan Trust 2021-D                                              | CUSIP: 64034YAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  46705342 | PA      | $46474283.50  | 1.07%             |  |  |  | Yes           |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                        | Royal Bank of Canada                                                          | CUSIP: 78016EZV2<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |  10000000 | PA      | $9890720.40   | 0.23%             | 2024-07-29      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| Santander Consumer Auto Receivables Trust                   | Santander Consumer Auto Receivables Trust 2021-A                              | CUSIP: 80282YAH9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1750000 | PA      | $1627133.03   | 0.04%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Santander Consumer Auto Receivables Trust                   | Santander Consumer Auto Receivables Trust 2020-B                              | CUSIP: 802830AR0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1924206.70   | 0.04%             |  |  |  | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase Bank, NA - CACLN                             | JPMorgan Chase Bank NA - CACLN                                                | CUSIP: 48128U2M0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7004165 | PA      | $6694239.95   | 0.15%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Mercedes-Benz Auto Lease Trust                              | Mercedes-Benz Auto Lease Trust 2020-B                                         | CUSIP: 58769EAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11500000 | PA      | $11423371.48  | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                      | Santander Drive Auto Receivables Trust 2020-3                                 | CUSIP: 80285WAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4100000 | PA      | $3929199.13   | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes                     | Santander Bank Auto Credit-Linked Notes Series 2022-B                         | CUSIP: 80290CAY0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2564363 | PA      | $2554045.34   | 0.06%             |  |  |  | Yes           |                  2 | On Loan: No      |
| PRINCIPAL LFE GLB FND II                                    | Principal Life Global Funding II                                              | CUSIP: 74256LEJ4<br>LEI: 635400WSLKBQWSOIIT41 | Long             | DBT              | CORP              | US        |   9815000 | PA      | $9379146.47   | 0.22%             | 2024-01-08      | Fixed         | 0.50%                 | Yes           |                  2 | On Loan: No      |
| Santander Retail Auto Lease Trust                           | Santander Retail Auto Lease Trust 2021-A                                      | CUSIP: 80286TAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  40000000 | PA      | $37708614.00  | 0.87%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Tesla Auto Lease Trust                                      | Tesla Auto Lease Trust 2021-A                                                 | CUSIP: 88161FAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  18150000 | PA      | $17160124.41  | 0.40%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Tesla Auto Lease Trust                                      | Tesla Auto Lease Trust 2021-B                                                 | CUSIP: 88161KAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6000000 | PA      | $5541950.40   | 0.13%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes                     | Santander Bank Auto Credit-Linked Notes Series 2022-B                         | CUSIP: 80290CAZ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3846544 | PA      | $3831209.77   | 0.09%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                      | Santander Drive Auto Receivables Trust 2022-6                                 | CUSIP: 802918AE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6150000 | PA      | $5907821.30   | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| Trillium Credit Card Trust II                               | Trillium Credit Card Trust II                                                 | CUSIP: 89621ABD0<br>LEI: 549300P7QN1SDIOQVL28 | Long             | ABS-O            | CORP              | CA        |  10000000 | PA      | $9628717.50   | 0.22%             |  |  |  | Yes           |                  2 | On Loan: No      |
| World Omni Auto Receivables Trust                           | World Omni Auto Receivables Trust 2020-C                                      | CUSIP: 98163CAH3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2650000 | PA      | $2438775.52   | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                      | Sequoia Mortgage Trust 2012-6                                                 | CUSIP: 81744NAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    505761 | PA      | $414793.34    | 0.01%             | 2042-12-25      | Variable      | 1.81%                 | No            |                  2 | On Loan: No      |
| Tesla Auto Lease Trust                                      | Tesla Auto Lease Trust 2021-A                                                 | CUSIP: 88161FAH9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10000000 | PA      | $9359082.50   | 0.22%             |  |  |  | Yes           |                  2 | On Loan: No      |
| World OMNI Select Auto Trust                                | World Omni Select Auto Trust 2021-A                                           | CUSIP: 98163HAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3500000 | PA      | $3170774.78   | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                      | US 5YR NOTE (CBT) MAR23                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |      -500 | NC      | $58348.50     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Trillium Credit Card Trust II                               | Trillium Credit Card Trust II                                                 | CUSIP: 89621ABE8<br>LEI: 549300P7QN1SDIOQVL28 | Long             | ABS-O            | CORP              | CA        |   8044000 | PA      | $7739919.10   | 0.18%             |  |  |  | Yes           |                  2 | On Loan: No      |
| UBS AG LONDON                                               | UBS AG/London                                                                 | CUSIP: 902674YC8<br>LEI: BFM8T61CT2L1QCEMIK50 | Long             | DBT              | CORP              | CH        |  35000000 | PA      | $34841194.15  | 0.80%             | 2024-02-09      | Floating      | 4.47%                 | Yes           |                  2 | On Loan: No      |
| Verizon Master Trust                                        | Verizon Master Trust                                                          | CUSIP: 92348KAG8<br>LEI: 5493007MUBNP1GFMEB89 | Long             | ABS-O            | CORP              | US        |  10000000 | PA      | $9146124.00   | 0.21%             |  |  |  | No            |                  2 | On Loan: No      |
| Verizon Owner Trust                                         | Verizon Owner Trust 2020-A                                                    | CUSIP: 92348TAD6<br>LEI: 549300XY7L2MRX0BQH89 | Long             | ABS-O            | CORP              | US        |  10000000 | PA      | $9889768.00   | 0.23%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                      | US 2YR NOTE (CBT) MAR23                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |     -2000 | NC      | $18352.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| VMWARE INC                                                  | VMware Inc                                                                    | CUSIP: 928563AH8<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |  11000000 | PA      | $10242137.18  | 0.24%             | 2024-08-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| World OMNI Select Auto Trust                                | World Omni Select Auto Trust 2019-A                                           | CUSIP: 98163BAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4921009.25   | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| World Omni Automobile Lease Securitization Trust            | World Omni Automobile Lease Securitization Trust 2021-A                       | CUSIP: 98163JAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5760000 | PA      | $5441636.16   | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| World Omni Auto Receivables Trust                           | World Omni Auto Receivables Trust 2021-B                                      | CUSIP: 98163LAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4556213.25   | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF NOVA SCOTIA                                         | Bank of Nova Scotia/The                                                       | CUSIP: 0641598M1<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |  20000000 | PA      | $19348092.60  | 0.45%             | 2026-09-15      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Chesapeake Funding II LLC                                   | Chesapeake Funding II LLC                                                     | CUSIP: 165183CN2<br>LEI: 5493000HT7H4OFOD6Z12 | Long             | ABS-O            | CORP              | US        |   1350000 | PA      | $1273513.25   | 0.03%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust                                | Ford Credit Auto Owner Trust 2021-A                                           | CUSIP: 34532NAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2565000 | PA      | $2319536.17   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Santander Retail Auto Lease Trust                           | Santander Retail Auto Lease Trust 2017-A                                      | CUSIP: 80286DAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  55825000 | PA      | $52357943.72  | 1.21%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Bayer US Finance II LLC                                     | Bayer US Finance II LLC                                                       | CUSIP: 07274NAG8<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |   9100000 | PA      | $9081580.24   | 0.21%             | 2023-12-15      | Floating      | 5.78%                 | Yes           |                  2 | On Loan: No      |
| Chesapeake Funding II LLC                                   | Chesapeake Funding II LLC                                                     | CUSIP: 165183CJ1<br>LEI: 5493000HT7H4OFOD6Z12 | Long             | ABS-O            | CORP              | US        |   4077273 | PA      | $3989922.11   | 0.09%             |  |  |  | Yes           |                  2 | On Loan: No      |
| COMMONWEALTH BANK AUST                                      | Commonwealth Bank of Australia                                                | CUSIP: 2027A0KG3<br>LEI: MSFSBD3QN1GSN7Q6C537 | Long             | DBT              | CORP              | AU        |  25975000 | PA      | $25637763.98  | 0.59%             | 2025-07-07      | Floating      | 4.09%                 | Yes           |                  2 | On Loan: No      |
| Indymac Manufactured Housing Contract                       | Indymac Manufactured Housing Contract Pass-Through Certificates Series 1997-1 | CUSIP: 22540ABC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2922 | PA      | $2929.55      | 0.00%             | 2028-02-25      | Fixed         | 6.61%                 | No            |                  2 | On Loan: No      |
| DLLAD LLC                                                   | DLLAD 2021-1 LLC                                                              | CUSIP: 233262AB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8171186 | PA      | $8050879.40   | 0.19%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                                | Drive Auto Receivables Trust 2021-1                                           | CUSIP: 262108AE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11185000 | PA      | $10946569.91  | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                                | Enbridge Inc                                                                  | CUSIP: 29250NBD6<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |   8935000 | PA      | $8932021.07   | 0.21%             | 2023-02-17      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                 | Freddie Mac REMICS                                                            | CUSIP: 31397B5Q0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    157665 | PA      | $155240.14    | 0.00%             | 2036-09-15      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust                                | Ford Credit Auto Owner Trust 2022-A                                           | CUSIP: 345286AB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2019615 | PA      | $1996794.79   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, NA - CACLN                             | Chase Auto Credit Linked Notes Series 2020-2                                  | CUSIP: 46591HAY6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1367808 | PA      | $1326125.53   | 0.03%             |  |  |  | Yes           |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                         | JPMorgan Chase & Co                                                           | CUSIP: 46647PCQ7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |  12500000 | PA      | $12109337.00  | 0.28%             | 2027-09-22      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| NATWEST MARKETS PLC                                         | NatWest Markets PLC                                                           | CUSIP: 63906YAC2<br>LEI: RR3QWICWWIPCS8A4S074 | Long             | DBT              | CORP              | GB        |   2000000 | PA      | $1966392.20   | 0.05%             | 2024-08-12      | Floating      | 4.66%                 | Yes           |                  2 | On Loan: No      |
| PFS Financing Corp.                                         | PFS Financing Corp                                                            | CUSIP: 69335PDT9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  19296000 | PA      | $18615341.32  | 0.43%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Santander Consumer Auto Receivables Trust                   | Santander Consumer Auto Receivables Trust 2021-A                              | CUSIP: 80282YAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1361609.03   | 0.03%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                      | Santander Drive Auto Receivables Trust 2021-3                                 | CUSIP: 80287EAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  33000000 | PA      | $31812006.60  | 0.73%             |  |  |  | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                      | Santander Drive Auto Receivables Trust 2022-5                                 | CUSIP: 80287HAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3750000 | PA      | $3675301.50   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| Social Professional Loan Program LLC                        | Sofi Professional Loan Program 2018-A LLC                                     | CUSIP: 83406EAA3<br>LEI: 5493002WMPR84WZ75V46 | Long             | ABS-O            | CORP              | US        |    116316 | PA      | $115719.67    | 0.00%             | 2042-02-25      | Floating      | 2.83%                 | Yes           |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM TRUST                            | SoFi Consumer Loan Program 2021-1 Trust                                       | CUSIP: 83407CAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6920663 | PA      | $6780605.50   | 0.16%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Tesla Auto Lease Trust                                      | Tesla Auto Lease Trust 2021-A                                                 | CUSIP: 88161FAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  32660000 | PA      | $31059736.75  | 0.72%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Toyota Auto Receivables Owner Trust                         | Toyota Auto Receivables 2020-C Owner Trust                                    | CUSIP: 89237VAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3691128 | PA      | $3634404.80   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| Verizon Owner Trust                                         | Verizon Owner Trust 2020-A                                                    | CUSIP: 92348TAB0<br>LEI: 549300XY7L2MRX0BQH89 | Long             | ABS-O            | CORP              | US        |   4251538 | PA      | $4249755.74   | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| World OMNI Select Auto Trust                                | World Omni Select Auto Trust 2020-A                                           | CUSIP: 98163DAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9250000 | PA      | $9001116.73   | 0.21%             |  |  |  | No            |                  2 | On Loan: No      |
| World OMNI Select Auto Trust                                | World Omni Select Auto Trust 2020-A                                           | CUSIP: 98163DAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7750000 | PA      | $7302663.80   | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays PLC                                                | Barclays PLC                                                                  | CUSIP: 06738EBC8<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |  15000000 | PA      | $15000691.80  | 0.35%             | 2024-05-16      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| Enterprise Fleet Financing LLC                              | Enterprise Fleet Financing 2021-2 LLC                                         | CUSIP: 29374YAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  26791330 | PA      | $25733185.36  | 0.59%             |  |  |  | Yes           |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.            | Freddie Mac Multifamily Structured Pass Through Certificates                  | CUSIP: 3137F73C7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11757802 | PA      | $11637062.23  | 0.27%             | 2027-10-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                 | Freddie Mac REMICS                                                            | CUSIP: 31396RKP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    253648 | PA      | $251567.45    | 0.01%             | 2036-05-15      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                           | HSBC Holdings PLC                                                             | CUSIP: 404280BR9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   5000000 | PA      | $4981550.65   | 0.11%             | 2024-05-18      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Receivables Trust                              | Hyundai Auto Receivables Trust 2020-C                                         | CUSIP: 44891RAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6375000 | PA      | $5766289.50   | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| Social Professional Loan Program LLC                        | SoFi Professional Loan Program 2017-A LLC                                     | CUSIP: 83404FAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    323924 | PA      | $323072.71    | 0.01%             | 2040-03-26      | Floating      | 3.18%                 | Yes           |                  2 | On Loan: No      |
| Volkswagen Auto Lease Trust                                 | Volkswagen Auto Lease Trust 2020-A                                            | CUSIP: 92868VAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11316778 | PA      | $11260769.09  | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| ATMOS ENERGY CORP                                           | Atmos Energy Corp                                                             | CUSIP: 049560AV7<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |  18950000 | PA      | $18939227.49  | 0.44%             | 2023-03-09      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| BRASS PLC                                                   | Brass No 10 PLC                                                               | CUSIP: 10554PAA1<br>LEI: 213800UCE3NFG8SQKH09 | Long             | ABS-MBS          | CORP              | GB        |  16847183 | PA      | $16067765.24  | 0.37%             | 2069-04-16      | Variable      | 0.67%                 | Yes           |                  2 | On Loan: No      |
| Dell Equipment Finance Trust                                | Dell Equipment Finance Trust 2021-2                                           | CUSIP: 24702VAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13000000 | PA      | $12309793.60  | 0.28%             |  |  |  | Yes           |                  2 | On Loan: No      |
| PFS Financing Corp.                                         | PFS Financing Corp                                                            | CUSIP: 69335PDU6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $3847068.40   | 0.09%             |  |  |  | Yes           |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.            | Freddie Mac Multifamily Structured Pass Through Certificates                  | CUSIP: 3137FX4E5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1281074 | PA      | $1268524.28   | 0.03%             | 2030-08-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                 | Freddie Mac REMICS                                                            | CUSIP: 31396EFY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     91004 | PA      | $90843.39     | 0.00%             | 2035-04-15      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| PERKINELMER INC                                             | PerkinElmer Inc                                                               | CUSIP: 714046AL3<br>LEI: 549300IKL1SDPFI7N655 | Long             | DBT              | CORP              | US        |  14235000 | PA      | $13200410.16  | 0.30%             | 2024-09-15      | Fixed         | 0.85%                 | No            |                  2 | On Loan: No      |
| UBS AG LONDON                                               | UBS AG/London                                                                 | CUSIP: 902674YL8<br>LEI: BFM8T61CT2L1QCEMIK50 | Long             | DBT              | CORP              | CH        |  10000000 | PA      | $9932579.70   | 0.23%             | 2024-08-09      | Floating      | 4.56%                 | Yes           |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust                                | Ford Credit Auto Owner Trust 2022-C                                           | CUSIP: 34535AAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2320000 | PA      | $2303597.14   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| GM Financial Securitized Term Auto Receivables Tr           | GM Financial Consumer Automobile Receivables Trust 2021-3                     | CUSIP: 380140AE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4250000 | PA      | $3804327.36   | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                         | JPMorgan Chase & Co                                                           | CUSIP: 46647PCG9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   8000000 | PA      | $7856157.84   | 0.18%             | 2025-06-01      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                                  | Navient Private Education Refi Loan Trust 2021-c                              | CUSIP: 63942JAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  38111298 | PA      | $32369590.86  | 0.75%             |  |  |  | Yes           |                  2 | On Loan: No      |
| PenFed Auto Receivables Owner Trust                         | PenFed Auto Receivables Owner Trust 2022-A                                    | CUSIP: 706874AF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1582000 | PA      | $1541711.05   | 0.04%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                      | Santander Drive Auto Receivables Trust 2021-3                                 | CUSIP: 80287EAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  41468027 | PA      | $41151196.34  | 0.95%             |  |  |  | No            |                  2 | On Loan: No      |
| ARI Fleet Lease Trust                                       | ARI Fleet Lease Trust 2021-A                                                  | CUSIP: 00217FAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2546000 | PA      | $2287355.93   | 0.05%             |  |  |  | Yes           |                  2 | On Loan: No      |
| American Express Credit Account Master Trust                | American Express Credit Account Master Trust                                  | CUSIP: 02582JJC5<br>LEI: 549300Y4SA5G3GIJTP18 | Long             | ABS-O            | CORP              | US        |  10000000 | PA      | $10006606.50  | 0.23%             | 2025-12-15      | Floating      | 3.02%                 | No            |                  2 | On Loan: No      |
| AMERICAN HONDA FINANCE                                      | American Honda Finance Corp                                                   | CUSIP: 02665WDU2<br>LEI: B6Q2VFHD1797Q7NZ3E43 | Long             | DBT              | CORP              | US        |  10000000 | PA      | $9979185.50   | 0.23%             | 2024-01-12      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| BHMS Mortgage Trust                                         | BHMS 2018-ATLS                                                                | CUSIP: 05549GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  20000000 | PA      | $19277800.00  | 0.44%             | 2035-07-15      | Floating      | 5.57%                 | Yes           |                  2 | On Loan: No      |
| BANK OF MONTREAL                                            | Bank of Montreal                                                              | CUSIP: 06368FAD1<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |  10000000 | PA      | $9679946.10   | 0.22%             | 2026-09-15      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| CNH Equipment Trust                                         | CNH Equipment Trust 2021-A                                                    | CUSIP: 12598AAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10050000 | PA      | $9189770.75   | 0.21%             |  |  |  | No            |                  2 | On Loan: No      |
| Capital One Prime Auto Receivables Trust                    | Capital One Prime Auto Receivables Trust 2019-1                               | CUSIP: 14042WAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4552508 | PA      | $4539794.29   | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust                                     | CarMax Auto Owner Trust 2021-3                                                | CUSIP: 14317DAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5600000 | PA      | $4918799.76   | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE NEW YORK                                      | Credit Suisse AG/New York NY                                                  | CUSIP: 22550UAB7<br>LEI: 549300D0YARF5HYP1809 | Long             | DBT              | CORP              | CH        |  12000000 | PA      | $11481734.76  | 0.26%             | 2024-02-02      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| Dell Equipment Finance Trust                                | Dell Equipment Finance Trust 2021-1                                           | CUSIP: 24703QAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  43518000 | PA      | $42042713.69  | 0.97%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                                  | Fannie Mae REMICS                                                             | CUSIP: 3136B3QC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  20016866 | PA      | $19649885.10  | 0.45%             | 2048-12-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                 | Freddie Mac REMICS                                                            | CUSIP: 3137B4CT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1081980 | PA      | $1065915.18   | 0.02%             | 2043-08-15      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.            | Freddie Mac Multifamily Structured Pass Through Certificates                  | CUSIP: 3137F84M2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  37413381 | PA      | $36366289.42  | 0.84%             | 2030-11-25      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                  | Fannie Mae REMICS                                                             | CUSIP: 31396QVX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13744 | PA      | $13723.66     | 0.00%             | 2039-08-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                 | Freddie Mac REMICS                                                            | CUSIP: 31396RKK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    614724 | PA      | $607916.10    | 0.01%             | 2036-05-15      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                 | Freddie Mac REMICS                                                            | CUSIP: 31398EDL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     79958 | PA      | $80177.94     | 0.00%             | 2036-07-15      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                 | Freddie Mac REMICS                                                            | CUSIP: 31398EK29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    257852 | PA      | $259928.66    | 0.01%             | 2037-07-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust                                | Ford Credit Auto Owner Trust 2022-C                                           | CUSIP: 34535AAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10700000 | PA      | $10625873.61  | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| General Mills Inc                                           | General Mills Inc                                                             | CUSIP: 370334CC6<br>LEI: 2TGYMUGI08PO8X8L6150 | Long             | DBT              | CORP              | US        |   6950000 | PA      | $6966068.96   | 0.16%             | 2023-10-17      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Harley-Davidson Motorcycle Trust                            | Harley-Davidson Motorcycle Trust 2019-A                                       | CUSIP: 41284WAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2757871 | PA      | $2755262.09   | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Hyundai Auto Receivables Trust                              | Hyundai Auto Receivables Trust 2019-B                                         | CUSIP: 44891JAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2750000 | PA      | $2697449.43   | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Chase Auto Credit Linked Notes                              | JPMorgan Chase Bank NA - CACLN                                                | CUSIP: 46591HCD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10998442 | PA      | $10326706.73  | 0.24%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Kubota Credit Owner Trust                                   | Kubota Credit Owner Trust 2020-1                                              | CUSIP: 50117WAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    467788 | PA      | $464758.45    | 0.01%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Master Credit Card Trust                                    | Master Credit Card Trust                                                      | CUSIP: 576339CL7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |   9000000 | PA      | $8410661.55   | 0.19%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Mississippi Higher Education Assistance Corp.               | Mississippi Higher Education Assistance Corp                                  | CUSIP: 60535YAA1<br>LEI: 549300HWPV47979HMV21 | Long             | ABS-O            | CORP              | US        |   2158574 | PA      | $2118188.45   | 0.05%             | 2035-10-25      | Floating      | 3.16%                 | No            |                  2 | On Loan: No      |
| Federated Hermes Institutional Prime Value Obligations Fund | Federated Institutional Prime Value Obligations Fund                          | CUSIP: 60934N583<br>LEI: 254900OXLDDVEP8MMK94 | Long             | STIV             | RF                | US        |  15651677 | NS      | $15648546.48  | 0.36%             |  |  |  | No            |                  1 | On Loan: No      |
| NATIONAL BANK OF CANADA                                     | National Bank of Canada                                                       | CUSIP: 63307A2J3<br>LEI: BSGEFEIOM18Y80CKCV46 | Long             | DBT              | CORP              | CA        |   3500000 | PA      | $3492521.55   | 0.08%             | 2023-02-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                                  | Navient Private Education Refi Loan Trust 2021-A                              | CUSIP: 63942BAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  17637229 | PA      | $15271003.58  | 0.35%             |  |  |  | Yes           |                  2 | On Loan: No      |
| NextGear Floorplan Master Owner Trust                       | NextGear Floorplan Master Owner Trust                                         | CUSIP: 65341KBP0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $3961215.60   | 0.09%             |  |  |  | Yes           |                  2 | On Loan: No      |
| NextGear Floorplan Master Owner Trust                       | NextGear Floorplan Master Owner Trust                                         | CUSIP: 65341KBS4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7650000 | PA      | $7654714.31   | 0.18%             |  |  |  | Yes           |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE                                     | Nissan Motor Acceptance Corp                                                  | CUSIP: 654740BR9<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |  20000000 | PA      | $19685469.40  | 0.45%             | 2024-03-08      | Floating      | 5.37%                 | Yes           |                  2 | On Loan: No      |
| Public Service New Hampshire Funding Llc.                   | PSNH Funding LLC 3                                                            | CUSIP: 69363PAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1943542 | PA      | $1923543.21   | 0.04%             | 2026-02-01      | Fixed         | 3.09%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                        | Royal Bank of Canada                                                          | CUSIP: 78015K7E8<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |   5000000 | PA      | $4999303.95   | 0.12%             | 2023-01-17      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| Santander Retail Auto Lease Trust                           | Santander Retail Auto Lease Trust 2017-A                                      | CUSIP: 80286DAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  35500000 | PA      | $33483117.20  | 0.77%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Trillium Credit Card Trust II                               | Trillium Credit Card Trust II                                                 | CUSIP: 89621ABC2<br>LEI: 549300P7QN1SDIOQVL28 | Long             | ABS-O            | CORP              | CA        |  50000000 | PA      | $49957027.50  | 1.15%             |  |  |  | Yes           |                  2 | On Loan: No      |
| BPCE SA                                                     | BPCE SA                                                                       | CUSIP: 05578QAA1<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   8000000 | PA      | $7942263.76   | 0.18%             | 2023-10-22      | Fixed         | 5.70%                 | Yes           |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                                       | Truist Financial Corp                                                         | CUSIP: 89788MAF9<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |  47000000 | PA      | $46033940.85  | 1.06%             | 2025-06-09      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                     | WaMu Mortgage Pass-Through Certificates Series 2006-AR17 Trust                | CUSIP: 92925DAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    197526 | PA      | $171693.55    | 0.00%             | 2046-12-25      | Floating      | 2.51%                 | No            |                  2 | On Loan: No      |
| BANK OF MONTREAL                                            | Bank of Montreal                                                              | CUSIP: 06368EA44<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |  30000000 | PA      | $29899824.90  | 0.69%             | 2023-12-08      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| BANK OF NY MELLON CORP                                      | Bank of New York Mellon Corp/The                                              | CUSIP: 06406RAT4<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |  10000000 | PA      | $9934553.80   | 0.23%             | 2024-04-26      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| World Omni Auto Receivables Trust                           | World Omni Auto Receivables Trust 2021-C                                      | CUSIP: 98164CAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4553839.50   | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust                                     | Carmax Auto Owner Trust 2021-1                                                | CUSIP: 14316NAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    800000 | PA      | $727437.16    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust                                     | CarMax Auto Owner Trust 2021-3                                                | CUSIP: 14317DAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12075000 | PA      | $10803440.92  | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                              | Carvana Auto Receivables Trust                                                | CUSIP: 14687GAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8050903 | PA      | $7807873.67   | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| Dell Equipment Finance Trust                                | Dell Equipment Finance Trust 2020-2                                           | CUSIP: 24704GAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3380000 | PA      | $3316164.81   | 0.08%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Enterprise Fleet Financing LLC                              | Enterprise Fleet Financing 2020-1 LLC                                         | CUSIP: 29373KAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    585024 | PA      | $580106.01    | 0.01%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                                 | Freddie Mac REMICS                                                            | CUSIP: 3137FMKA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  15194518 | PA      | $14989181.94  | 0.35%             | 2049-07-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                  | Fannie Mae Pool                                                               | CUSIP: 31385YCQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48687 | PA      | $48583.44     | 0.00%             | 2040-05-01      | Floating      | 3.09%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                 | Freddie Mac REMICS                                                            | CUSIP: 31397PHA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    921124 | PA      | $916990.40    | 0.02%             | 2037-11-15      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Fontainebleau Miami Beach Trust                             | Fontainebleau Miami Beach Trust 2019-FBLU                                     | CUSIP: 34461LAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  38000000 | PA      | $35233068.00  | 0.81%             | 2036-12-10      | Fixed         | 3.45%                 | Yes           |                  2 | On Loan: No      |
| GM Financial Securitized Term Auto Receivables Tr           | GM Financial Consumer Automobile Receivables Trust 2019-3                     | CUSIP: 36257PAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9000000 | PA      | $8943585.30   | 0.21%             |  |  |  | No            |                  2 | On Loan: No      |
| HPEFS Equipment Trust                                       | HPEFS Equipment Trust                                                         | CUSIP: 40438PAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8000000 | PA      | $7892098.40   | 0.18%             |  |  |  | Yes           |                  2 | On Loan: No      |
| HPEFS Equipment Trust                                       | HPEFS Equipment Trust                                                         | CUSIP: 40440YAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  21250000 | PA      | $20027812.63  | 0.46%             |  |  |  | Yes           |                  2 | On Loan: No      |
| HPEFS Equipment Trust                                       | HPEFS Equipment Trust 2021-2                                                  | CUSIP: 40441JAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  15600000 | PA      | $14847676.74  | 0.34%             |  |  |  | Yes           |                  2 | On Loan: No      |
| JDE PEET'S NV                                               | JDE Peet's NV                                                                 | CUSIP: 47216QAA1<br>LEI: 724500EHG519SE5ZRT89 | Long             | DBT              | CORP              | NL        |   3755000 | PA      | $3431994.56   | 0.08%             | 2024-09-24      | Fixed         | 0.80%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase Bank, NA - CACLN                             | JPMorgan Chase Bank NA - CACLN                                                | CUSIP: 48128U2Q1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1724102 | PA      | $1612040.89   | 0.04%             |  |  |  | Yes           |                  2 | On Loan: No      |
| PenFed Auto Receivables Owner Trust                         | PenFed Auto Receivables Owner Trust 2022-A                                    | CUSIP: 706874AG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    800000 | PA      | $779820.64    | 0.02%             |  |  |  | Yes           |                  2 | On Loan: No      |
| QUALCOMM Inc                                                | QUALCOMM Inc                                                                  | CUSIP: 747525AS2<br>LEI: H1J8DDZKZP6H7RWC0H53 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $5000327.55   | 0.12%             | 2023-01-30      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                      | Santander Drive Auto Receivables Trust 2020-4                                 | CUSIP: 80286WAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  15244000 | PA      | $14562792.90  | 0.34%             |  |  |  | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                     | WaMu Mortgage Pass-Through Certificates Series 2006-AR1 Trust                 | CUSIP: 92925CCF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    195972 | PA      | $168010.58    | 0.00%             | 2046-01-25      | Floating      | 3.12%                 | No            |                  2 | On Loan: No      |
| World OMNI Select Auto Trust                                | World Omni Select Auto Trust 2019-A                                           | CUSIP: 98163BAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1593000 | PA      | $1560702.08   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| AmeriCredit Automobile Receivables Trust                    | AmeriCredit Automobile Receivables Trust 2021-2                               | CUSIP: 03066RAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  15500000 | PA      | $14120740.25  | 0.33%             |  |  |  | No            |                  2 | On Loan: No      |
| BLACK HILLS CORP                                            | Black Hills Corp                                                              | CUSIP: 092113AU3<br>LEI: 3MGELCRSTNSAMJ962671 | Long             | DBT              | CORP              | US        |  18575000 | PA      | $17334413.83  | 0.40%             | 2024-08-23      | Fixed         | 1.04%                 | No            |                  2 | On Loan: No      |
| CNH Equipment Trust                                         | CNH EQUIPMENT TRUST 07/26 3.34                                                | CUSIP: 12596JAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1499210.70   | 0.03%             | 2026-07-15      | Fixed         | 3.34%                 | No            |                  2 | On Loan: No      |
| CNH Equipment Trust                                         | CNH Equipment Trust 2020-A                                                    | CUSIP: 12597PAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2200000 | PA      | $2105468.09   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| CARDS II Trust                                              | CARDS II Trust                                                                | CUSIP: 14161GCA6<br>LEI: 549300GWPYLNK6X47W76 | Long             | ABS-O            | CORP              | CA        |   6118000 | PA      | $5774006.27   | 0.13%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Chesapeake Funding II LLC                                   | Chesapeake Funding II LLC                                                     | CUSIP: 165183CQ5<br>LEI: 5493000HT7H4OFOD6Z12 | Long             | ABS-O            | CORP              | US        |   5300000 | PA      | $4936493.14   | 0.11%             |  |  |  | Yes           |                  2 | On Loan: No      |
| CREDIT SUISSE NEW YORK                                      | Credit Suisse AG/New York NY                                                  | CUSIP: 22550UAD3<br>LEI: 549300D0YARF5HYP1809 | Long             | DBT              | CORP              | CH        |  25000000 | PA      | $24394951.25  | 0.56%             | 2023-08-09      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Enterprise Fleet Financing LLC                              | Enterprise Fleet Financing 2019-2 LLC                                         | CUSIP: 29374DAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1993932.30   | 0.05%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                                 | Freddie Mac REMICS                                                            | CUSIP: 3137F7JH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7730726 | PA      | $7295794.20   | 0.17%             | 2050-12-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                  | Fannie Mae Pool                                                               | CUSIP: 31388XVV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    393960 | PA      | $376080.78    | 0.01%             | 2033-08-01      | Floating      | 2.36%                 | No            |                  2 | On Loan: No      |
| Ford Credit Floorplan Master Owner Trust                    | Ford Credit Floorplan Master Owner Trust A                                    | CUSIP: 34528QHP2<br>LEI: 5493001DTG5N7T8BG747 | Long             | ABS-O            | CORP              | US        |  17500000 | PA      | $16911406.75  | 0.39%             |  |  |  | No            |                  2 | On Loan: No      |
| GM Financial Securitized Term Auto Receivables Tr           | GM Financial Consumer Automobile Receivables Trust 2020-3                     | CUSIP: 362590AE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3350000 | PA      | $3143148.72   | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| Hyundai Auto Receivables Trust                              | Hyundai Auto Receivables Trust 2021-B                                         | CUSIP: 44934KAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9330000 | PA      | $8434577.97   | 0.19%             |  |  |  | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                             | Impac CMB Trust Series 2004-9                                                 | CUSIP: 45254NKY2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     96604 | PA      | $91021.16     | 0.00%             | 2035-01-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST                                   | Nelnet Student Loan Trust 2021-C                                              | CUSIP: 64035GAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7771045 | PA      | $7482466.64   | 0.17%             |  |  |  | Yes           |                  2 | On Loan: No      |
| PFS Financing Corp.                                         | PFS Financing Corp                                                            | CUSIP: 69335PDY8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4915000 | PA      | $4689128.23   | 0.11%             |  |  |  | Yes           |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                        | Royal Bank of Canada                                                          | CUSIP: 78015K7M0<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |  10000000 | PA      | $9925158.70   | 0.23%             | 2024-01-19      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| Santander Retail Auto Lease Trust                           | Santander Retail Auto Lease Trust 2021-A                                      | CUSIP: 80286TAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  15000000 | PA      | $14262289.50  | 0.33%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Sierra Receivables Funding Co LLC                           | Sierra Timeshare 2020-2 Receivables Funding LLC                               | CUSIP: 826525AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2802573 | PA      | $2637597.34   | 0.06%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Social Professional Loan Program LLC                        | SoFi Professional Loan Program 2016-D LLC                                     | CUSIP: 83404LAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    174984 | PA      | $174525.15    | 0.00%             | 2039-01-25      | Floating      | 3.43%                 | Yes           |                  2 | On Loan: No      |
| Tesla Auto Lease Trust                                      | Tesla Auto Lease Trust 2020-A                                                 | CUSIP: 88167HAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  20670000 | PA      | $20487251.36  | 0.47%             |  |  |  | Yes           |                  2 | On Loan: No      |
| World Omni Automobile Lease Securitization Trust            | World Omni Automobile Lease Securitization Trust 2020-B                       | CUSIP: 98163GAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5700000 | PA      | $5601232.97   | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| World OMNI Select Auto Trust                                | World Omni Select Auto Trust 2021-A                                           | CUSIP: 98163HAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9250000 | PA      | $8530450.83   | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| CNH Equipment Trust                                         | CNH EQUIPMENT TRUST CNH 2019 B B                                              | CUSIP: 12596TAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3600000 | PA      | $3582673.74   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| CARDS II Trust                                              | CARDS II Trust                                                                | CUSIP: 14161GBY5<br>LEI: 549300GWPYLNK6X47W76 | Long             | ABS-O            | CORP              | CA        |  30000000 | PA      | $28305526.50  | 0.65%             |  |  |  | Yes           |                  2 | On Loan: No      |
| CENTERPOINT ENERGY RES                                      | CenterPoint Energy Resources Corp                                             | CUSIP: 15189WAN0<br>LEI: 2JADVB0458J06WCD4N56 | Long             | DBT              | CORP              | US        |  17440000 | PA      | $17431789.25  | 0.40%             | 2023-03-02      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                               | Citigroup Inc                                                                 | CUSIP: 172967MW8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |  10000000 | PA      | $9852843.10   | 0.23%             | 2025-05-01      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                                | Drive Auto Receivables Trust 2021-2                                           | CUSIP: 262104AD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  36133805 | PA      | $35791668.35  | 0.83%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                  | Fannie Mae REMICS                                                             | CUSIP: 3136B5MD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1515006 | PA      | $1495275.46   | 0.03%             | 2049-07-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                  | Fannie Mae REMICS                                                             | CUSIP: 31396Q6Q7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    215082 | PA      | $216468.15    | 0.00%             | 2037-04-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Lease Trust                                | Ford Credit Auto Lease Trust 2021-A                                           | CUSIP: 34532QAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4894011.25   | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| GM Financial Automobile Leasing Trust                       | GM Financial Automobile Leasing Trust 2021-3                                  | CUSIP: 36262XAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  22750000 | PA      | $21474936.44  | 0.50%             |  |  |  | No            |                  2 | On Loan: No      |
| Golden Credit Card Trust                                    | Golden Credit Card Trust                                                      | CUSIP: 380881FJ6<br>LEI: 549300BEDPMEONLTJX58 | Long             | ABS-O            | CORP              | CA        |  17658000 | PA      | $17010547.36  | 0.39%             |  |  |  | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase Bank, NA - CACLN                             | Chase Auto Credit Linked Notes Series 2021-1                                  | CUSIP: 46591HBU3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1996677 | PA      | $1880540.99   | 0.04%             |  |  |  | Yes           |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                         | JPMorgan Chase & Co                                                           | CUSIP: 46647PCS3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |  20000000 | PA      | $19601069.20  | 0.45%             | 2025-12-10      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| Master Credit Card Trust                                    | Master Credit Card Trust II Series 2018-1                                     | CUSIP: 576339BP9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |   4237000 | PA      | $4234151.04   | 0.10%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Mellon Residential Funding Corporation                      | Mellon Residential Funding Corp Mor Pas Thr Cer Ser 01 Tbc1                   | CUSIP: 585525FC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    174468 | PA      | $161716.17    | 0.00%             | 2031-11-15      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                      | Santander Drive Auto Receivables Trust 2021-4                                 | CUSIP: 80285VAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11000000 | PA      | $10475034.90  | 0.24%             |  |  |  | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                      | Santander Drive Auto Receivables Trust 2021-1                                 | CUSIP: 80286NAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  55000000 | PA      | $51818646.00  | 1.20%             |  |  |  | No            |                  2 | On Loan: No      |
| Social Professional Loan Program LLC                        | Sofi Professional Loan Program 2017-C LLC                                     | CUSIP: 83405DAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    193022 | PA      | $192396.79    | 0.00%             | 2040-07-25      | Floating      | 3.08%                 | Yes           |                  2 | On Loan: No      |
| Verizon Owner Trust                                         | Verizon Owner Trust 2020-B                                                    | CUSIP: 92290BAD3<br>LEI: 549300ESLK4DH2NBDS67 | Long             | ABS-O            | CORP              | US        |  17000000 | PA      | $16109118.40  | 0.37%             |  |  |  | No            |                  2 | On Loan: No      |
| Volvo Financial Equipment LLC                               | Volvo Financial Equipment LLC                                                 | CUSIP: 92888BAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4200000 | PA      | $4119831.45   | 0.10%             |  |  |  | Yes           |                  2 | On Loan: No      |
| BANK OF NEW ZEALAND                                         | Bank of New Zealand                                                           | CUSIP: 06407EAD7<br>LEI: N7LGVZM7X4UQ66T7LT74 | Long             | DBT              | CORP              | NZ        |  25000000 | PA      | $24614827.25  | 0.57%             | 2027-01-27      | Floating      | 4.78%                 | Yes           |                  2 | On Loan: No      |
| CNH Equipment Trust                                         | CNH Equipment Trust 2020-A                                                    | CUSIP: 12597PAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1733566 | PA      | $1709659.70   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust                                     | Carmax Auto Owner Trust 2021-1                                                | CUSIP: 14316NAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9500000 | PA      | $8604691.50   | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| Chesapeake Funding II LLC                                   | Chesapeake Funding II LLC                                                     | CUSIP: 165183CC6<br>LEI: 5493000HT7H4OFOD6Z12 | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $3992150.60   | 0.09%             | 2031-04-15      | Fixed         | 3.80%                 | Yes           |                  2 | On Loan: No      |
| DLL Securitization Trust                                    | DLL 2019-1 LLC                                                                | CUSIP: 23291GAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    443581 | PA      | $442349.81    | 0.01%             | 2027-04-20      | Fixed         | 2.92%                 | Yes           |                  2 | On Loan: No      |
| DLLAD LLC                                                   | DLLAD 2021-1 LLC                                                              | CUSIP: 233262AC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  19000000 | PA      | $17691157.45  | 0.41%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Dell Equipment Finance Trust                                | Dell Equipment Finance Trust 2020-2                                           | CUSIP: 24704GAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2350000 | PA      | $2300003.28   | 0.05%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                                | Drive Auto Receivables Trust 2021-2                                           | CUSIP: 262104AE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  37000000 | PA      | $35613277.00  | 0.82%             |  |  |  | No            |                  2 | On Loan: No      |
| Enterprise Fleet Financing LLC                              | Enterprise Fleet Financing LLC                                                | CUSIP: 29373MAB5<br>LEI: RKWYUSIDZTWNAX1D9U96 | Long             | ABS-O            | CORP              | US        |  28107634 | PA      | $26933069.43  | 0.62%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                                  | Fannie Mae REMICS                                                             | CUSIP: 3136BB3Z3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11739457 | PA      | $11489745.56  | 0.27%             | 2060-10-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                 | Freddie Mac REMICS                                                            | CUSIP: 3137BRN76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1121762 | PA      | $1099196.90   | 0.03%             | 2046-08-15      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                 | Freddie Mac REMICS                                                            | CUSIP: 3137FU5D2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  30856738 | PA      | $29979205.93  | 0.69%             | 2050-07-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                  | Fannie Mae Pool                                                               | CUSIP: 31385HHZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19375 | PA      | $18735.76     | 0.00%             | 2030-04-01      | Floating      | 3.08%                 | No            |                  2 | On Loan: No      |
| Ford Credit Floorplan Master Owner Trust                    | Ford Credit Floorplan Master Owner Trust A                                    | CUSIP: 34528QHN7<br>LEI: 5493001DTG5N7T8BG747 | Long             | ABS-O            | CORP              | US        |  14500000 | PA      | $13999086.63  | 0.32%             |  |  |  | No            |                  2 | On Loan: No      |
| Ford Credit Auto Lease Trust                                | Ford Credit Auto Lease Trust 2020-B                                           | CUSIP: 34531RAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3226879 | PA      | $3224147.02   | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust                                | Ford Credit Auto Owner Trust 2020-C                                           | CUSIP: 34533YAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4595413.75   | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| General Motors                                              | GMF Floorplan Owner Revolving Trust                                           | CUSIP: 361886CJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2450000 | PA      | $2385854.10   | 0.06%             |  |  |  | Yes           |                  2 | On Loan: No      |
| General Motors                                              | GMF Floorplan Owner Revolving Trust                                           | CUSIP: 361886CP7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $3849598.40   | 0.09%             |  |  |  | Yes           |                  2 | On Loan: No      |
| GM Financial Securitized Term Auto Receivables Tr           | GM Financial Consumer Automobile Receivables Trust 2021-1                     | CUSIP: 36261LAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1375000 | PA      | $1254836.89   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                                      | General Motors Financial Co Inc                                               | CUSIP: 37045XDN3<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |  20000000 | PA      | $19444327.60  | 0.45%             | 2024-10-15      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                    | Government National Mortgage Association                                      | CUSIP: 38375B4Y5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1978112 | PA      | $1965224.31   | 0.05%             | 2063-07-20      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| HPEFS Equipment Trust                                       | HPEFS Equipment Trust 2020-1                                                  | CUSIP: 40438FAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4702219 | PA      | $4685364.97   | 0.11%             |  |  |  | Yes           |                  2 | On Loan: No      |
| HUNTINGTON INGALLS INDUS                                    | Huntington Ingalls Industries Inc                                             | CUSIP: 446413AW6<br>LEI: 5TZLZ6WJTBVJ0QWBG121 | Long             | DBT              | CORP              | US        |   6835000 | PA      | $6638241.74   | 0.15%             | 2023-08-16      | Fixed         | 0.67%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Receivables Trust                              | Hyundai Auto Receivables Trust 2019-A                                         | CUSIP: 44932NAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  16000000 | PA      | $15907593.60  | 0.37%             | 2025-11-17      | Fixed         | 3.03%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Receivables Trust                              | Hyundai Auto Receivables Trust 2020-B                                         | CUSIP: 44933FAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6353000 | PA      | $5994396.02   | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, NA - CACLN                             | Chase Auto Credit Linked Notes Series 2020-2                                  | CUSIP: 46591HAU4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9657079 | PA      | $9395539.79   | 0.22%             |  |  |  | Yes           |                  2 | On Loan: No      |
| MORGAN STANLEY                                              | Morgan Stanley                                                                | CUSIP: 61747YEJ0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   8570000 | PA      | $8453370.96   | 0.20%             | 2025-01-24      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL                                      | NextEra Energy Capital Holdings Inc                                           | CUSIP: 65339KBX7<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |  30000000 | PA      | $29880793.80  | 0.69%             | 2023-11-03      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| Nissan Auto Receivables Owner Trust                         | Nissan Auto Receivables 2020-B Owner Trust                                    | CUSIP: 65479CAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    883476 | PA      | $875442.71    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| PFS Financing Corp.                                         | PFS Financing Corp                                                            | CUSIP: 69335PDZ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  35410000 | PA      | $33380713.10  | 0.77%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Tesla Auto Lease Trust                                      | Tesla Auto Lease Trust 2021-B                                                 | CUSIP: 88161KAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  16000000 | PA      | $14837312.00  | 0.34%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Transportation Finance Equipment Trust                      | Transportation Finance Equipment Trust 2019-1                                 | CUSIP: 89389JAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2957815.65   | 0.07%             |  |  |  | Yes           |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                      | Verizon Communications Inc                                                    | CUSIP: 92343VGE8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |  25000000 | PA      | $24385771.00  | 0.56%             | 2026-03-20      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Verizon Owner Trust                                         | Verizon Owner Trust 2019-C                                                    | CUSIP: 92348AAA3<br>LEI: 549300WANFF5OIMC3D47 | Long             | ABS-O            | CORP              | US        |    226912 | PA      | $226598.21    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Verizon Owner Trust                                         | Verizon Owner Trust 2020-C                                                    | CUSIP: 92348CAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9000000 | PA      | $8555714.10   | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| Verizon Master Trust                                        | Verizon Master Trust                                                          | CUSIP: 92348KAM5<br>LEI: 5493007MUBNP1GFMEB89 | Long             | ABS-O            | CORP              | US        |  11650000 | PA      | $11383287.81  | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| Volkswagen Auto Lease Trust                                 | Volkswagen Auto Lease Trust 2020-A                                            | CUSIP: 92868VAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12000000 | PA      | $11866138.80  | 0.27%             |  |  |  | No            |                  2 | On Loan: No      |
| World OMNI Select Auto Trust                                | World Omni Select Auto Trust 2021-A                                           | CUSIP: 98163HAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4504044.00   | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |

### Signature

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

**Name of Applicant:** Federated Hermes Total Return Series, Inc.

**Signature:** Stephen Van Meter

**Name of Signer:** Federated Hermes Total Return Series, Inc.

**Title:** Chief Compliance Officer