# EDGAR Filing Document

**Accession Number:** 0001126087
**File Stem:** 0001752724-23-044012
**Filing Date:** 2023-2
**Character Count:** 611867
**Document Hash:** b1889a131be85ce27f33d0d47d1bd25a
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-044012.hdr.sgml**: 20230228

**ACCESSION NUMBER**: 0001752724-23-044012

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230228

**DATE AS OF CHANGE**: 20230228

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Brighthouse Funds Trust I
- **CENTRAL INDEX KEY:** 0001126087
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-10183
- **FILM NUMBER:** 23678680

**BUSINESS ADDRESS:**
- **STREET 1:** BRIGHTHOUSE INVESTMENT ADVISERS, LLC
- **STREET 2:** 125 HIGH STREET, SUITE 732
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02110
- **BUSINESS PHONE:** 9809495121

**MAIL ADDRESS:**
- **STREET 1:** BRIGHTHOUSE INVESTMENT ADVISERS, LLC
- **STREET 2:** 125 HIGH STREET, SUITE 732
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02110

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** MET INVESTORS SERIES TRUST
- **DATE OF NAME CHANGE:** 20001010

## Series and Classes Contracts Data

### PIMCO Total Return Portfolio (Series ID: S000011100)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000030635 | Class A      |  |
| C000030636 | Class B      |  |
| C000030638 | Class E      |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Brighthouse Funds Trust I

- **b. Investment Company Act file number:** 811-10183

- **c. CIK number of Registrant:** 0001126087

- **d. LEI of Registrant:** 549300LQX1AREJYGF247

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

  - **Street Address 1:** Brighthouse Investment Advisers, LLC

  - **City:** Boston

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02110

  - **Telephone number:** 980-949-4301

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

- **a. Name of Series:** PIMCO Total Return Portfolio

- **b. EDGAR series identifier (if any):** S000011100

- **c. LEI of Series:** TY07AK2IOS83GROMUB16

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $7126366000.83

**Total Liabilities:** $3212288094.68

**Net Assets:** $3914077906.15

**Delayed Delivery Securities:** $1638288895.83

**Cash Not Reported:** $4709184.23

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -7597.43000000 | **1-Year:** -130671.21000000 | **5-Year:** -274300.94000000 | **10-Year:** -239882.70000000 | **30-Year:** -59280.66000000

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

- **3-Month:** -1801.92000000 | **1-Year:** -31007.26000000 | **5-Year:** -26250.57000000 | **10-Year:** -32408.79000000 | **30-Year:** -4780.80000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000030635 | -1.69%               | 3.76%                | -0.21%               |
| Class ID C000030638 | -1.70%               | 3.79%                | -0.21%               |
| Class ID C000030636 | -1.72%               | 3.84%                | -0.32%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-51720624.99            | $-23332342.70                              |
| Month 2  | $3097699.03              | $143040465.82                              |
| Month 3  | $16087266.31             | $-39568657.49                              |

**Designated Index Information**

- **Index Name:** Bloomberg US Agg

- **Index Identifier:** LBUSTRUU

### Schedule of Portfolio Investments

| Name                                                | Title                                                                                                                                    | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |     Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Freddie Mac                                         | Freddie Mac Non Gold Pool                                                                                                                | CUSIP: 31349ULF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       16837 | PA      | $16922.62     | 0.00%             | 2035-02-01      | Floating      | 2.49%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PART                              | Brixmor Operating Partnership LP                                                                                                         | CUSIP: 11120VAE3<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              |  | US        |     6000000 | PA      | $5487511.32   | 0.14%             | 2027-03-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                          | Morgan Stanley ABS Capital I Inc Trust 2006-WMC1                                                                                         | CUSIP: 61744CXM3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1144354 | PA      | $1103757.34   | 0.03%             | 2035-12-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortgage Loan Trust         | MF1 2020-FL4 Ltd                                                                                                                         | CUSIP: 58003UAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     9413632 | PA      | $9226436.26   | 0.24%             | 2035-11-15      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31417JA26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         517 | PA      | $509.31       | 0.00%             | 2024-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                             | GSR Mortgage Loan Trust 2005-AR6                                                                                                         | CUSIP: 362341RX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        7814 | PA      | $7302.71      | 0.00%             | 2035-09-25      | Variable      | 3.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | Ginnie Mae II Pool                                                                                                                       | CUSIP: 36225CLK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1765 | PA      | $1702.71      | 0.00%             | 2029-10-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 3138EJNM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         255 | PA      | $253.94       | 0.00%             | 2025-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                 | JPMorgan Chase & Co                                                                                                                      | CUSIP: 46647PCB0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    13300000 | PA      | $11686210.72  | 0.30%             | 2027-04-22      | Fixed         | 1.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31410GDY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5165 | PA      | $5061.00      | 0.00%             | 2035-01-01      | Floating      | 2.52%                 | No            |                  2 | On Loan: No      |
| SBA TOWER TRUST                                     | SBA Tower Trust                                                                                                                          | CUSIP: 78403DAR1<br>LEI: N/A                  | Long             | DBT              |  | US        |    13000000 | PA      | $10881895.70  | 0.28%             | 2028-01-15      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                        | Broadcom Inc                                                                                                                             | CUSIP: 11135FBQ3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    10800000 | PA      | $7757508.56   | 0.20%             | 2036-11-15      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                         | Long: SWU01KQK0 IRS BRL R F 12.00500 SWU01KQK0 CCPNDFPREDISWAP / Short: SWU01KQK0 IRS BRL P V 00MBRCDI SWUV1KQK2 CCPNDFPREDISWAP         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   218800000 | OU      | $-565994.43   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust                            | Bear Stearns ALT-A Trust 2006-3                                                                                                          | CUSIP: 07386HQ87<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1173911 | PA      | $672029.15    | 0.02%             | 2036-05-25      | Variable      | 3.34%                 | No            |                  2 | On Loan: No      |
| WEC ENERGY GROUP INC                                | WEC Energy Group Inc                                                                                                                     | CUSIP: 92939UAD8<br>LEI: 549300IGLYTZUK3PVP70 | Long             | DBT              | CORP              | US        |     5000000 | PA      | $4241059.40   | 0.11%             | 2027-10-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                   | BARCLAYS CAPITAL REPO                                                                                                                    | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | Long             | RA               | CORP              | US        |    78400000 | PA      | $78400000.00  | 2.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                 | GS Mortgage-Backed Securities Trust 2021-HP1                                                                                             | CUSIP: 36262RAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    12081281 | PA      | $9697584.05   | 0.25%             | 2052-01-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Park Place Securities Inc                           | Park Place Securities Inc Asset-Backed Pass-Through Certificates Series 2004-MHQ                                                         | CUSIP: 70069FCY1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     4636570 | PA      | $4492101.44   | 0.11%             | 2034-12-25      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Non Gold Pool                                                                                                                | CUSIP: 3128JM6N2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        4490 | PA      | $4398.29      | 0.00%             | 2035-02-01      | Floating      | 2.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL REALTY INVS TRST                            | Federal Realty Investment Trust                                                                                                          | CUSIP: 313747BA4<br>LEI: 549300LI6XZ51GOCJ427 | Long             | DBT              |  | US        |     4900000 | PA      | $4192525.41   | 0.11%             | 2030-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | Ginnie Mae II Pool                                                                                                                       | CUSIP: 36225CEG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1085 | PA      | $1046.66      | 0.00%             | 2027-11-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                       | PURCHASED USD / SOLD BRL                                                                                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $-38429.76    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                      | Option One Mortgage Accept Corp Asset Back Certs Ser 2003 5                                                                              | CUSIP: 68400XBS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        7770 | PA      | $7381.34      | 0.00%             | 2033-08-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust              | Residential Asset Securitization Trust 2006-A5CB                                                                                         | CUSIP: 76112FAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2834281 | PA      | $1202210.29   | 0.03%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 3140QA4X5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       83577 | PA      | $84554.16     | 0.00%             | 2049-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                              | United States Treasury Note/Bond                                                                                                         | CUSIP: 912810RN0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    17200000 | PA      | $13848687.50  | 0.35%             | 2045-08-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Pool                                                                                                                         | CUSIP: 3131XDUV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      237365 | PA      | $228143.28    | 0.01%             | 2033-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Gold Pool                                                                                                                    | CUSIP: 3128LANZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       37139 | PA      | $38172.83     | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Gold Pool                                                                                                                    | CUSIP: 3128M7T48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      310176 | PA      | $321578.56    | 0.01%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset Backed Certificates   | First Franklin Mortgage Loan Trust 2004-FF8                                                                                              | CUSIP: 32027NNS6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1855592 | PA      | $1821590.51   | 0.05%             | 2034-10-25      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                              | PURCHASED USD / SOLD ZAR                                                                                                                 | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |           1 | NC      | $-219261.89   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust          | Bear Stearns Asset Backed Securities Trust 2001-3                                                                                        | CUSIP: 07384YBM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        8305 | PA      | $8080.59      | 0.00%             | 2032-10-27      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 3138AKXW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2135 | PA      | $2067.02      | 0.00%             | 2031-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LoanCore 2018-CRE1 Issuer, Ltd.                     | LoanCore 2021-CRE4 Issuer Ltd                                                                                                            | CUSIP: 53946CAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     4359447 | PA      | $4318993.81   | 0.11%             | 2035-07-15      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                              | Sequoia Mortgage Trust 6                                                                                                                 | CUSIP: 81743XAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      141041 | PA      | $133023.64    | 0.00%             | 2027-04-19      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                   | Citigroup Mortgage Loan Trust 2005-11                                                                                                    | CUSIP: 17307GW79<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      526372 | PA      | $484478.52    | 0.01%             | 2035-10-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Gold Pool                                                                                                                    | CUSIP: 312931ST6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       35432 | PA      | $35583.75     | 0.00%             | 2039-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31403DA66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3634 | PA      | $3749.28      | 0.00%             | 2035-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities Trust                 | Mastr Asset Backed Securities Trust 2006-WMC3                                                                                            | CUSIP: 55291KAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3101401 | PA      | $1086296.23   | 0.03%             | 2036-08-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                              | CHL Mortgage Pass-Through Trust 2007-7                                                                                                   | CUSIP: 12544TAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      955683 | PA      | $511129.59    | 0.01%             | 2037-06-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | Ginnie Mae II Pool                                                                                                                       | CUSIP: 36225CGG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1757 | PA      | $1731.97      | 0.00%             | 2028-05-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                         | Long: SWU01L3U1 IRS USD R F  2.85000 SWU01L3U1 CCPOIS / Short: SWU01L3U1 IRS USD P V 12MSOFR SWUV1L3U3 CCPOIS                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    16900000 | OU      | $-668241.21   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31418WMN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      349064 | PA      | $348235.02    | 0.01%             | 2025-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31406RFE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      204607 | PA      | $199736.33    | 0.01%             | 2035-09-01      | Floating      | 2.69%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                           | Uniform Mortgage-Backed Security, TBA                                                                                                    | CUSIP: 01F040628<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   157000000 | PA      | $147224876.99 | 3.76%             | 2053-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates               | CWABS Asset-Backed Certificates Trust 2007-6                                                                                             | CUSIP: 12669LAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2387442 | PA      | $2446416.99   | 0.06%             | 2037-09-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31368HMB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      239047 | PA      | $246850.08    | 0.01%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31410FXA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       24112 | PA      | $24953.38     | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31418SSA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5271 | PA      | $5260.72      | 0.00%             | 2025-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                           | Anchorage Capital Clo 11 Ltd                                                                                                             | CUSIP: 03330NAJ3<br>LEI: 549300NPGT86ACOLIL14 | Long             | ABS-CBDO         | CORP              | KY        |    12000000 | PA      | $11733876.00  | 0.30%             | 2032-07-22      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31405TTX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2994 | PA      | $3014.70      | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                              | United States Treasury Inflation Indexed Bonds                                                                                           | CUSIP: 912810SM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     6838100 | PA      | $4605980.05   | 0.12%             | 2050-02-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | Ginnie Mae I Pool                                                                                                                        | CUSIP: 36241KVW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       20785 | PA      | $21270.56     | 0.00%             | 2038-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31417YRP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       31992 | PA      | $30967.39     | 0.00%             | 2030-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Gold Pool                                                                                                                    | CUSIP: 3128M4T94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1586 | PA      | $1646.59      | 0.00%             | 2037-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31407YPX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      250978 | PA      | $259892.81    | 0.01%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Structured Asset Investment Loan Trust              | Structured Asset Investment Loan Trust 2006-BNC3                                                                                         | CUSIP: 86361KAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1055960 | PA      | $1009355.53   | 0.03%             | 2036-09-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                             | GSR Mortgage Loan Trust 2003-2F                                                                                                          | CUSIP: 36228FNB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          47 | PA      | $44.33        | 0.00%             | 2032-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                              | 317U1PBA2 PIMCO SWAPTION 2.547 CALL EUR 202303                                                                                           | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |    -7100000 | NC      | $-15892.76    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | Ginnie Mae I Pool                                                                                                                        | CUSIP: 36296UUE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       60545 | PA      | $61976.83     | 0.00%             | 2039-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31405R7C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      220635 | PA      | $228064.58    | 0.01%             | 2035-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                              | Pacific Gas and Electric Co                                                                                                              | CUSIP: 694308HW0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     1600000 | PA      | $1412050.42   | 0.04%             | 2027-12-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| United States Treasury                              | United States Treasury Inflation Indexed Bonds                                                                                           | CUSIP: 91282CCM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    16565075 | PA      | $14636283.55  | 0.37%             | 2031-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31410REW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         951 | PA      | $964.91       | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategies                    | Carlyle Global Market Strategies CLO 2012-4 Ltd                                                                                          | CUSIP: 14309YBQ6<br>LEI: 549300R4G5ROMXQ5CG20 | Long             | ABS-CBDO         | CORP              | KY        |    13500000 | PA      | $13220455.50  | 0.34%             | 2032-04-22      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| SPRINT LLC                                          | Sprint LLC                                                                                                                               | CUSIP: 85207UAH8<br>LEI: 549300ZTTY7CXOLJ6539 | Long             | DBT              | CORP              | US        |     1000000 | PA      | $1019540.00   | 0.03%             | 2024-06-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                         | 3 MONTH SOFR OPT  DEC23C 98 EXP 12/15/2023                                                                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |         -76 | NC      | $-9500.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31406TLC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       23043 | PA      | $23247.96     | 0.00%             | 2035-04-01      | Floating      | 2.55%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                              | Standard Chartered PLC                                                                                                                   | CUSIP: 853254CL2<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |     8100000 | PA      | $8342169.51   | 0.21%             | 2025-11-16      | Fixed         | 7.78%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31418EDD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    73901287 | PA      | $64858191.30  | 1.66%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BofA Securities, Inc.                               | Long: SWU01H553 IRS USD R F  1.76500 SWU01H553 CCPOIS / Short: SWU01H553 IRS USD P V 12MSOFR SWUV1H555 CCPOIS                            | CUSIP: 000000000<br>LEI: 549300HN4UKV1E2R3U73 | N/A              | DIR              |  | US        |    18300000 | OU      | $-2560374.96  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31382D4Z4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5610 | PA      | $5703.00      | 0.00%             | 2029-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | Government National Mortgage Association                                                                                                 | CUSIP: 38375BH21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       72454 | PA      | $71689.22     | 0.00%             | 2062-12-20      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31415VGJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7209 | PA      | $7317.32      | 0.00%             | 2038-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United Wholesale Mortgage LLC                       | UWM Mortgage Trust 2021-INV4                                                                                                             | CUSIP: 918307AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    12373191 | PA      | $9869413.63   | 0.25%             | 2051-12-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Consolidated Edison Co of New York Inc              | Consolidated Edison Co of New York Inc                                                                                                   | CUSIP: 20911MNL7<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | STIV             | CORP              | US        |    11300000 | PA      | $11269315.75  | 0.29%             | 2023-01-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                              | United States Treasury Note/Bond                                                                                                         | CUSIP: 912810QE1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    12800000 | PA      | $13755500.03  | 0.35%             | 2040-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                              | Credit Suisse Group AG                                                                                                                   | CUSIP: 225401AZ1<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    10650000 | PA      | $9344238.86   | 0.24%             | 2033-08-12      | Fixed         | 6.54%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust      | Structured Adjustable Rate Mortgage Loan Trust Series 2004-20                                                                            | CUSIP: 863579HD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      174228 | PA      | $171676.14    | 0.00%             | 2035-01-25      | Variable      | 3.56%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                    | Deutsche Bank AG/New York NY                                                                                                             | CUSIP: 251526CD9<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    13000000 | PA      | $10421948.55  | 0.27%             | 2031-09-18      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Gold Pool                                                                                                                    | CUSIP: 3128M7ZZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       29538 | PA      | $30662.53     | 0.00%             | 2040-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                              | 317U05QA1 PIMCO SWAPTION 3.14 PUT USD 20231023                                                                                           | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |    -6400000 | NC      | $-75532.80    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31419AM95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7359 | PA      | $7345.24      | 0.00%             | 2025-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Catamaran CLO Ltd                                   | Catamaran CLO 2014-1 Ltd                                                                                                                 | CUSIP: 14889DAJ7<br>LEI: 549300C8Q7ISEHHDRH76 | Long             | ABS-CBDO         | CORP              | KY        |    15918343 | PA      | $15729773.87  | 0.40%             | 2030-04-22      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                | Bank of America Corp                                                                                                                     | CUSIP: 06051GFB0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     2130000 | PA      | $2111657.33   | 0.05%             | 2024-01-22      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31406A2U5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       13028 | PA      | $13048.44     | 0.00%             | 2034-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31418PLN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       19671 | PA      | $19633.46     | 0.00%             | 2025-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Gold Pool                                                                                                                    | CUSIP: 3128P7PU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      119310 | PA      | $115616.46    | 0.00%             | 2030-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                      | PURCHASED CLP / SOLD USD                                                                                                                 | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | CL        |           1 | NC      | $872464.11    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31419AQV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         469 | PA      | $466.48       | 0.00%             | 2024-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                             | Goldman Sachs & Co. LLC                                                                                                                  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | Long             | RA               | CORP              | US        |    50000000 | PA      | $50000000.00  | 1.28%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31410KQ98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |           7 | PA      | $6.79         | 0.00%             | 2023-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31416B2P2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       17447 | PA      | $18092.73     | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN BANK GMBH                                | Volkswagen Bank GmbH                                                                                                                     | CUSIP: 000000000<br>LEI: 529900GJD3OQLRZCKW37 | Long             | DBT              | CORP              | DE        |     3400000 | PA      | $3563170.97   | 0.09%             | 2024-01-31      | Fixed         | 1.88%                 | Yes           |                  2 | On Loan: No      |
| US AIRWAYS 2013-1A PTT                              | US Airways 2013-1 Class A Pass Through Trust                                                                                             | CUSIP: 90346WAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      443831 | PA      | $403134.87    | 0.01%             | 2025-11-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| AREIT CRE Trust                                     | AREIT 2022-CRE6 Trust                                                                                                                    | CUSIP: 04002VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    12358921 | PA      | $11700966.83  | 0.30%             | 2037-01-16      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                         | Long: BWU01HN20 IRS BRL R V 00MBRCDI SWUV1HN22 CCPNDFPREDISWAP / Short: BWU01HN20 IRS BRL P F 11.92000 SWU01HN20 CCPNDFPREDISWAP         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    41600000 | OU      | $151001.60    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31404RSK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1056 | PA      | $1055.56      | 0.00%             | 2034-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Gold Pool                                                                                                                    | CUSIP: 3128M7KW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       26424 | PA      | $27429.60     | 0.00%             | 2039-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AbbVie Inc                                          | AbbVie Inc                                                                                                                               | CUSIP: 00287YAQ2<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |      700000 | PA      | $678402.90    | 0.02%             | 2025-05-14      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac REMICS                                                                                                                       | CUSIP: 3137F5BX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     4337556 | PA      | $4184650.84   | 0.11%             | 2043-10-15      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINL GRP                            | Sumitomo Mitsui Financial Group Inc                                                                                                      | CUSIP: 86562MCG3<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |     9800000 | PA      | $8075351.80   | 0.21%             | 2028-09-17      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | Ginnie Mae I Pool                                                                                                                        | CUSIP: 3622A3DC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1670146 | PA      | $1670473.23   | 0.04%             | 2048-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                              | 317U1Q9A3 PIMCO SWAPTION 3.14 PUT EUR 20230609                                                                                           | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |    -8800000 | NC      | $-286692.58   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31407GUK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5563 | PA      | $5722.65      | 0.00%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 3138AWTT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      111602 | PA      | $108531.94    | 0.00%             | 2026-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                         | Long: BWU01H5V6 IRS USD R V 12MSOFR BWU01H5V6 CCPOIS / Short: BWU01H5V6 IRS USD P F  1.75000 BWU01H5V6 CCPOIS                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    74900000 | OU      | $10590523.70  | 0.27%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC Structured Pass Through Securities            | Freddie Mac Structured Pass-Through Certificates                                                                                         | CUSIP: 31395A3J2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1579147 | PA      | $1580862.62   | 0.04%             | 2044-07-25      | Floating      | 3.45%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corporation                 | Banc of America Funding 2006-A Trust                                                                                                     | CUSIP: 058927AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      481947 | PA      | $447747.05    | 0.01%             | 2036-02-20      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP                              | Mizuho Financial Group Inc                                                                                                               | CUSIP: 60687YBH1<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |    12400000 | PA      | $9679132.48   | 0.25%             | 2031-07-10      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Gold Pool                                                                                                                    | CUSIP: 3128M6GG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       20651 | PA      | $21437.00     | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates               | CWABS Asset-Backed Certificates Trust 2006-23                                                                                            | CUSIP: 23243HAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        4636 | PA      | $4623.95      | 0.00%             | 2047-06-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31415QB96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4118 | PA      | $4182.53      | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| IndyMac ARM Trust                                   | IndyMac ARM Trust 2001-H2                                                                                                                | CUSIP: 45660UAT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        5739 | PA      | $5198.09      | 0.00%             | 2032-01-25      | Variable      | 3.54%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Gold Pool                                                                                                                    | CUSIP: 312930TR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         669 | PA      | $694.09       | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| OMEGA HLTHCARE INVESTORS                            | Omega Healthcare Investors Inc                                                                                                           | CUSIP: 681936BK5<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              |  | US        |     8900000 | PA      | $8200751.65   | 0.21%             | 2028-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| DELL INT LLC / EMC CORP                             | Dell International LLC / EMC Corp                                                                                                        | CUSIP: 24703TAE6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      900000 | PA      | $885869.20    | 0.02%             | 2026-10-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31412QKJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1012 | PA      | $1008.27      | 0.00%             | 2024-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Accredited Mortgage Loan Trust                      | Accredited Mortgage Loan Trust 2004-2                                                                                                    | CUSIP: 004375AW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4214054 | PA      | $3985298.65   | 0.10%             | 2034-07-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                   | Citigroup Mortgage Loan Trust 2007-6                                                                                                     | CUSIP: 17312VAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      550757 | PA      | $483370.80    | 0.01%             | 2046-10-25      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | Ginnie Mae II Pool                                                                                                                       | CUSIP: 36225CA30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2406 | PA      | $2347.85      | 0.00%             | 2026-11-20      | Floating      | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31376KNN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       67555 | PA      | $69871.89     | 0.00%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Society of Lloyd's                                  | Society of Lloyd's                                                                                                                       | CUSIP: 000000000<br>LEI: 213800O2FTUPFGPH3J11 | Long             | DBT              | CORP              | GB        |     1600000 | PA      | $1894705.57   | 0.05%             | 2024-10-30      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| IXIS Real Estate Capital Trust                      | IXIS Real Estate Capital Trust 2004-HE4                                                                                                  | CUSIP: 45071KAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1972785 | PA      | $1929788.93   | 0.05%             | 2035-02-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                        | Broadcom Inc                                                                                                                             | CUSIP: 11135FBP5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     8769000 | PA      | $6447550.18   | 0.16%             | 2035-11-15      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Pool                                                                                                                         | CUSIP: 3132A9TL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       95444 | PA      | $92260.02     | 0.00%             | 2032-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 3138ADS48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1400 | PA      | $1397.77      | 0.00%             | 2026-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 3140X6XR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       89722 | PA      | $86284.23     | 0.00%             | 2035-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31403DPP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2989 | PA      | $3085.74      | 0.00%             | 2035-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortgage Loan Trust         | MF1 Multifamily Housing Mortgage Loan Trust                                                                                              | CUSIP: 55282XAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     6212514 | PA      | $6016465.56   | 0.15%             | 2036-07-15      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 3138A2UF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       32843 | PA      | $32862.49     | 0.00%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31410CME9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1214 | PA      | $1232.61      | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                              | US 10YR ULTRA FUT MAR23                                                                                                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         415 | NC      | $-68654.28    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Sculptor CLO XXV, Ltd.                              | Sculptor CLO XXV Ltd                                                                                                                     | CUSIP: 811244AC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    15050000 | PA      | $14757819.30  | 0.38%             | 2031-01-15      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31418CXW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      223063 | PA      | $214513.08    | 0.01%             | 2033-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| IndyMac Residential Asset Backed Trust              | Home Equity Mortgage Loan Asset-Backed Trust Series INABS 2007-A                                                                         | CUSIP: 43710BAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2239843 | PA      | $1723691.32   | 0.04%             | 2037-04-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                     | Long: BWPC0JKD6 CDS USD R V 03MEVENT 2 CCPCDX / Short: BWPC0JKD6 CDS USD P F  5.00000 1 CCPCDX                                           | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |     4059000 | OU      | $-111894.45   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                              | United States Treasury Note/Bond                                                                                                         | CUSIP: 912810SW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    16900000 | PA      | $11944867.27  | 0.31%             | 2041-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| LEASEPLAN CORPORATION NV                            | LeasePlan Corp NV                                                                                                                        | CUSIP: 52206AAD2<br>LEI: 724500C60L930FVHS484 | Long             | DBT              | CORP              | NL        |    13100000 | PA      | $12290953.30  | 0.31%             | 2024-10-24      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Fixed Income Clearing Corp                          | FIXED INC CLEARING CORP.REPO                                                                                                             | CUSIP: 000000000<br>LEI: 549300H47WTHXPU08X20 | Long             | RA               | CORP              | US        |     3992451 | PA      | $3992450.70   | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                            | PURCHASED BRL / SOLD USD                                                                                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | BR        |           1 | NC      | $90601.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                              | General Motors Financial Co Inc                                                                                                          | CUSIP: 37045XDC7<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    11300000 | PA      | $11269429.66  | 0.29%             | 2023-11-17      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                         | Long: BWU01HLD8 IRS BRL R V 00MBRCDI SWUV1HLD0 CCPNDFPREDISWAP / Short: BWU01HLD8 IRS BRL P F 12.03000 SWU01HLD8 CCPNDFPREDISWAP         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   221100000 | OU      | $736096.85    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Sales Tax Securitization Corp                       | SALES TAX SECURITIZATION CORP IL                                                                                                         | CUSIP: 79467BDH5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     2000000 | PA      | $1586417.00   | 0.04%             | 2034-01-01      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31407MZ40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         402 | PA      | $411.42       | 0.00%             | 2035-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31415LMX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         422 | PA      | $420.01       | 0.00%             | 2023-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | Ginnie Mae II Pool                                                                                                                       | CUSIP: 36179UWB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      133416 | PA      | $133876.83    | 0.00%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Pool                                                                                                                         | CUSIP: 3132ADP69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      397761 | PA      | $382514.13    | 0.01%             | 2033-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                         | Long: BWU01HM96 IRS BRL R V 00MBRCDI SWUV1HM98 CCPNDFPREDISWAP / Short: BWU01HM96 IRS BRL P F 12.01500 SWU01HM96 CCPNDFPREDISWAP         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   104700000 | OU      | $353045.29    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Gold Pool                                                                                                                    | CUSIP: 3128M7CQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      216111 | PA      | $224336.18    | 0.01%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | Ginnie Mae                                                                                                                               | CUSIP: 01N040611<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     3050000 | PA      | $2891315.94   | 0.07%             | 2053-01-23      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                             | Goldman Sachs Group Inc/The                                                                                                              | CUSIP: 38141GZP2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    12300000 | PA      | $11994036.27  | 0.31%             | 2024-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HUNTINGTON INGALLS INDUS                            | Huntington Ingalls Industries Inc                                                                                                        | CUSIP: 446413AZ9<br>LEI: 5TZLZ6WJTBVJ0QWBG121 | Long             | DBT              | CORP              | US        |    13800000 | PA      | $11374627.78  | 0.29%             | 2028-08-16      | Fixed         | 2.04%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates               | CWABS Asset-Backed Certificates Trust 2007-1                                                                                             | CUSIP: 23245CAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     6221122 | PA      | $5586002.32   | 0.14%             | 2037-07-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| NYO Commercial Mortgage Trust                       | NYO Commercial Mortgage Trust 2021-1290                                                                                                  | CUSIP: 62955HAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    14000000 | PA      | $12683687.80  | 0.32%             | 2038-11-15      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                         | Long: BWU01MN94 IRS BRL R V 00MBRCDI SWUV1MN96 CCPNDFPREDISWAP / Short: BWU01MN94 IRS BRL P F 11.66250 SWU01MN94 CCPNDFPREDISWAP         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   218300000 | OU      | $663717.17    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                           | Uniform Mortgage-Backed Security, TBA                                                                                                    | CUSIP: 01F020612<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -34300000 | PA      | $-27901686.92 | -0.71%            | 2053-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                        | GS Mortgage Securities Trust 2016-GS3                                                                                                    | CUSIP: 36251PAZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    13346000 | PA      | $11304637.21  | 0.29%             | 2049-10-10      | Variable      | 3.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31418NYJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9005 | PA      | $8983.58      | 0.00%             | 2025-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Natixis Commercial Mortgage Securities              | Natixis Commercial Mortgage Securities Trust                                                                                             | CUSIP: 63875JAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    12000000 | PA      | $11657989.20  | 0.30%             | 2035-03-15      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                        | Broadcom Inc                                                                                                                             | CUSIP: 11135FBJ9<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    13300000 | PA      | $9443449.41   | 0.24%             | 2041-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | Ginnie Mae I Pool                                                                                                                        | CUSIP: 3622ABJW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2341508 | PA      | $2399674.66   | 0.06%             | 2049-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate Mortgage Trust         | Bear Stearns ARM Trust 2005-10                                                                                                           | CUSIP: 07387AET8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      544691 | PA      | $513483.53    | 0.01%             | 2035-10-25      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| MPT OPER PARTNERSP/FINL                             | MPT Operating Partnership LP / MPT Finance Corp                                                                                          | CUSIP: 55342UAL8<br>LEI: N/A                  | Long             | DBT              |  | US        |     2000000 | PA      | $1766503.38   | 0.05%             | 2028-06-05      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates               | CWABS Asset-Backed Certificates Trust 2006-17                                                                                            | CUSIP: 12666VAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      518841 | PA      | $505193.33    | 0.01%             | 2047-03-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Soundview Home Equity Loan Trust                    | Soundview Home Loan Trust 2007-WMC1                                                                                                      | CUSIP: 83612NAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2104975 | PA      | $589477.10    | 0.02%             | 2037-02-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership                                 | LCM XIII LP                                                                                                                              | CUSIP: 50184KBL1<br>LEI: 549300WD241FFLNM0E69 | Long             | ABS-CBDO         | CORP              | KY        |     9494766 | PA      | $9389146.06   | 0.24%             | 2027-07-19      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| MortgageIT Trust                                    | MortgageIT Mortgage Loan Trust 2006-1                                                                                                    | CUSIP: 61915RBY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1485874 | PA      | $1357127.84   | 0.03%             | 2036-04-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31418DAZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      182210 | PA      | $174405.23    | 0.00%             | 2029-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Gold Pool                                                                                                                    | CUSIP: 3128L1WN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        2974 | PA      | $3076.96      | 0.00%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Structured Asset Investment Loan Trust              | Structured Asset Investment Loan Trust 2005-9                                                                                            | CUSIP: 86358EYF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     4753611 | PA      | $4575693.19   | 0.12%             | 2035-11-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31403NZ83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       94605 | PA      | $94859.04     | 0.00%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corporation                 | Nomura Asset Acceptance Corp Alternative Loan Trust Series 2005-AP2                                                                      | CUSIP: 65535VLL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      602480 | PA      | $310741.59    | 0.01%             | 2035-05-25      | Variable      | 5.48%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                      | HarborView Mortgage Loan Trust 2005-2                                                                                                    | CUSIP: 41161PLR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      313599 | PA      | $277782.03    | 0.01%             | 2035-05-19      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                    | Deutsche Bank AG/New York NY                                                                                                             | CUSIP: 251526CC1<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    13200000 | PA      | $12748875.08  | 0.33%             | 2024-09-18      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Gold Pool                                                                                                                    | CUSIP: 3128M6AX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       11108 | PA      | $11531.06     | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31417YLN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7282 | PA      | $7267.88      | 0.00%             | 2025-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | Ginnie Mae I Pool                                                                                                                        | CUSIP: 3617JV7F0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      292382 | PA      | $300927.99    | 0.01%             | 2049-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                           | Uniform Mortgage-Backed Security, TBA                                                                                                    | CUSIP: 01F042616<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    38000000 | PA      | $36565739.02  | 0.93%             | 2053-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Funding                         | Towd Point Mortgage Funding 2019 - Granite4 PLC                                                                                          | CUSIP: 000000000<br>LEI: 635400655NWVVZHH1395 | Long             | ABS-MBS          | CORP              | GB        |    13425069 | PA      | $16179665.18  | 0.41%             | 2051-10-20      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                        | UBS Group AG                                                                                                                             | CUSIP: 90351DAF4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    10200000 | PA      | $9784034.92   | 0.25%             | 2026-04-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31418TE60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       20718 | PA      | $20219.76     | 0.00%             | 2025-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31404R3C9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         839 | PA      | $865.49       | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | Ginnie Mae I Pool                                                                                                                        | CUSIP: 36297BXM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       17542 | PA      | $17957.41     | 0.00%             | 2039-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Gold Pool                                                                                                                    | CUSIP: 3128K2F61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       12379 | PA      | $12835.42     | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Gold Pool                                                                                                                    | CUSIP: 3128MJJT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       53998 | PA      | $56057.94     | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31406MYP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       11296 | PA      | $11228.85     | 0.00%             | 2035-03-01      | Floating      | 2.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31407DTL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2914 | PA      | $2976.03      | 0.00%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Pool                                                                                                                         | CUSIP: 3131YBXS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      419065 | PA      | $402973.87    | 0.01%             | 2034-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP AMERICA                            | Volkswagen Group of America Finance LLC                                                                                                  | CUSIP: 928668BA9<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |    13300000 | PA      | $12728218.37  | 0.33%             | 2024-09-26      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust 2020-GSL                | Legacy Mortgage Asset Trust 2020-GS1                                                                                                     | CUSIP: 52474PAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    10516141 | PA      | $10437793.40  | 0.27%             | 2059-10-25      | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| ReadyCap Commercial Mortgage Trust                  | Ready Capital Mortgage Financing 2022-FL10 LLC                                                                                           | CUSIP: 755931AA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     9286796 | PA      | $9235616.50   | 0.24%             | 2039-10-25      | Floating      | 6.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31371FB50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         143 | PA      | $144.10       | 0.00%             | 2025-10-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                                     | Lehman XS Trust Series 2007-4N                                                                                                           | CUSIP: 52524HAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    10263984 | PA      | $8372936.40   | 0.21%             | 2047-03-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | Government National Mortgage Association                                                                                                 | CUSIP: 38376R6V3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     5400890 | PA      | $5373099.14   | 0.14%             | 2067-09-20      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| Republic of Peru                                    | Peruvian Government International Bond                                                                                                   | CUSIP: 715638BE1<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     7000000 | PA      | $1735556.48   | 0.04%             | 2031-08-12      | Fixed         | 6.95%                 | Yes           |                  2 | On Loan: No      |
| WEC ENERGY GROUP INC                                | WEC Energy Group Inc                                                                                                                     | CUSIP: 92939UAE6<br>LEI: 549300IGLYTZUK3PVP70 | Long             | DBT              | CORP              | US        |     5000000 | PA      | $3898621.00   | 0.10%             | 2030-10-15      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                 | PURCHASED USD / SOLD GBP                                                                                                                 | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |           1 | NC      | $-3110100.95  | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31407PFB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       62539 | PA      | $64760.44     | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Gold Pool                                                                                                                    | CUSIP: 312929LV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        2443 | PA      | $2452.41      | 0.00%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31415VYQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       19005 | PA      | $19081.76     | 0.00%             | 2038-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                            | JP Morgan Mortgage Trust 2022-INV1                                                                                                       | CUSIP: 465973AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    11990713 | PA      | $9993983.09   | 0.26%             | 2052-03-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 3140MMU55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     6905769 | PA      | $6060779.95   | 0.15%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | Ginnie Mae II Pool                                                                                                                       | CUSIP: 36179VBJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       12140 | PA      | $11842.91     | 0.00%             | 2049-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Gold Pool                                                                                                                    | CUSIP: 3128L16J4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        2004 | PA      | $2015.14      | 0.00%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                            | 317U1QFA6 PIMCO SWAPTION 4.715 PUT USD 2023091                                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |  -226500000 | NC      | $-672206.70   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Oracle Corp                                         | Oracle Corp                                                                                                                              | CUSIP: 6840C3NT6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | STIV             | CORP              | US        |     7900000 | PA      | $7871631.10   | 0.20%             | 2023-01-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                              | United States Treasury Note/Bond                                                                                                         | CUSIP: 912810SL3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     9600000 | PA      | $6340125.02   | 0.16%             | 2050-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| EPR PROPERTIES                                      | EPR Properties                                                                                                                           | CUSIP: 26884UAF6<br>LEI: 549300YSSXFHMPOWZ492 | Long             | DBT              |  | US        |     2500000 | PA      | $1957378.85   | 0.05%             | 2029-08-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                              | Mitsubishi UFJ Financial Group Inc                                                                                                       | CUSIP: 606822BZ6<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    10500000 | PA      | $9093673.47   | 0.23%             | 2027-10-13      | Fixed         | 1.64%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Gold Pool                                                                                                                    | CUSIP: 3128M44E0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        4736 | PA      | $4915.85      | 0.00%             | 2037-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31384WFN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       90475 | PA      | $88258.13     | 0.00%             | 2031-02-01      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINL GRP                            | Sumitomo Mitsui Financial Group Inc                                                                                                      | CUSIP: 86562MCA6<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |     6500000 | PA      | $5922588.82   | 0.15%             | 2025-07-08      | Fixed         | 1.47%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Gold Pool                                                                                                                    | CUSIP: 3128M5PM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       17244 | PA      | $17865.84     | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc           | Structured Asset Mortgage Investments II Trust 2005-AR5                                                                                  | CUSIP: 86359LPD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       36274 | PA      | $31849.45     | 0.00%             | 2035-07-19      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31410K2B9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       13755 | PA      | $14263.82     | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 3138EGRS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         861 | PA      | $857.89       | 0.00%             | 2024-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | Ginnie Mae I Pool                                                                                                                        | CUSIP: 36206GNM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         641 | PA      | $641.98       | 0.00%             | 2026-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Tampa Electric Co                                   | Tampa Electric Co                                                                                                                        | CUSIP: 87513MNC8<br>LEI: WS423EPRKJIIJUITXD73 | Long             | STIV             | CORP              | US        |     8000000 | PA      | $7986664.88   | 0.20%             | 2023-01-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                              | 317U05MA5 PIMCO SWAPTION 3.225 PUT USD 2023102                                                                                           | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |    -1500000 | NC      | $-16729.20    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co LLC                            | Ford Motor Credit Co LLC                                                                                                                 | CUSIP: 345397YG2<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    13300000 | PA      | $12934620.54  | 0.33%             | 2024-01-09      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31410MQS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2792 | PA      | $2834.54      | 0.00%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                            | 317U1QCA9 PIMCO SWAPTION 4.2325 PUT USD 202309                                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |  -226500000 | NC      | $-1166044.65  | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation                  | Chase Mortgage Finance Trust Series 2005-A1                                                                                              | CUSIP: 16162WPB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      301734 | PA      | $272191.12    | 0.01%             | 2035-12-25      | Variable      | 3.82%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                         | Long: SWU01EIO5 IRS BRL R F 10.66500 SWU01EIO5 CCPNDFPREDISWAP F L / Short: SWU01EIO5 IRS BRL P V 00MCETIP SWUV1EIO7 CCPNDFPREDISWAP P S | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | BR        |    39850000 | OU      | $-268869.81   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                   | PURCHASED USD / SOLD EUR                                                                                                                 | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |           1 | NC      | $-26659.94    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31415PZX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       11175 | PA      | $11549.87     | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Gold Pool                                                                                                                    | CUSIP: 3128P7N33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       27556 | PA      | $26703.58     | 0.00%             | 2030-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31413Y7J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       15281 | PA      | $15908.05     | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | Ginnie Mae II Pool                                                                                                                       | CUSIP: 36225CTR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3770 | PA      | $3618.01      | 0.00%             | 2031-10-20      | Floating      | 2.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31410KFH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      604516 | PA      | $626882.63    | 0.02%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31418BKP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       32321 | PA      | $31853.47     | 0.00%             | 2024-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                              | United States Treasury Note/Bond                                                                                                         | CUSIP: 912810QX9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    39000000 | PA      | $31356914.16  | 0.80%             | 2042-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Regatta Funding                                     | Regatta XI Funding Ltd                                                                                                                   | CUSIP: 75887XAA5<br>LEI: 254900TUAAER6MTE4E64 | Long             | ABS-CBDO         | CORP              | KY        |    11200000 | PA      | $11008536.00  | 0.28%             | 2031-07-17      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| JPN BANK FOR INT'L COOP                             | Japan Bank for International Cooperation                                                                                                 | CUSIP: 471048BM9<br>LEI: 549300TJ3QFYVCTSCJ29 | Long             | DBT              | NUSS              | JP        |    11200000 | PA      | $10400006.51  | 0.27%             | 2027-07-21      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                         | 3 MONTH SOFR OPT  DEC23P 96.5 EXP 12/15/2023                                                                                             | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |         -76 | NC      | $-227525.00   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association            | Ginnie Mae II Pool                                                                                                                       | CUSIP: 36225CNP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3858 | PA      | $3786.23      | 0.00%             | 2030-04-20      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| Castlelake LP                                       | Castlelake LP First Lien Term Loan                                                                                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     7552286 | PA      | $6834818.77   | 0.17%             | 2031-05-13      | Floating      | 2.95%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Loan Trust              | Banc of America Alternative Loan Trust 2006-8                                                                                            | CUSIP: 06050AAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      326405 | PA      | $296440.79    | 0.01%             | 2046-11-25      | Floating      | 10.85%                | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | Ginnie Mae II Pool                                                                                                                       | CUSIP: 36225CLA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3643 | PA      | $3537.60      | 0.00%             | 2029-09-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                              | Pacific Gas and Electric Co                                                                                                              | CUSIP: 694308JB4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     3000000 | PA      | $2984706.39   | 0.08%             | 2023-08-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate Mortgage Trust         | Bear Stearns ARM Trust 2002-11                                                                                                           | CUSIP: 07384MSJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        1964 | PA      | $1534.91      | 0.00%             | 2033-02-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| LIFE STORAGE LP                                     | Life Storage LP                                                                                                                          | CUSIP: 53227JAD6<br>LEI: X0MIGH67XZCB7HL1A534 | Long             | DBT              |  | US        |    13500000 | PA      | $10385539.74  | 0.27%             | 2031-10-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset Backed Certificates   | First Franklin Mortgage Loan Trust 2004-FFH3                                                                                             | CUSIP: 32027NLS8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     5896701 | PA      | $5747765.98   | 0.15%             | 2034-10-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31411CKM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       35168 | PA      | $36056.04     | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI HC CAPITAL                               | Mitsubishi HC Capital Inc                                                                                                                | CUSIP: 60682LAC6<br>LEI: 353800MZ3QX9RLMH7B09 | Long             | DBT              | CORP              | JP        |     5045000 | PA      | $4985418.55   | 0.13%             | 2023-09-19      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31388JK53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       14186 | PA      | $13931.63     | 0.00%             | 2031-09-01      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Group AG                              | Credit Suisse Group AG                                                                                                                   | CUSIP: 225401AK4<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |     5500000 | PA      | $3953721.37   | 0.10%             | 2025-09-12      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| VIRGIN MONEY UK PLC                                 | Virgin Money UK PLC                                                                                                                      | CUSIP: 000000000<br>LEI: 213800ZK9VGCYYR6O495 | Long             | DBT              | CORP              | GB        |      500000 | PA      | $545683.81    | 0.01%             | 2027-09-03      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Chicago Board of Trade                              | US ULTRA BOND CBT MAR23                                                                                                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         109 | NC      | $-154292.99   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31417YN52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4737 | PA      | $4585.46      | 0.00%             | 2030-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust                      | Long Beach Mortgage Loan Trust 2006-4                                                                                                    | CUSIP: 54251MAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    28107241 | PA      | $8686182.96   | 0.22%             | 2036-05-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31404BR61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       15687 | PA      | $15546.85     | 0.00%             | 2034-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan Trust                  | Renaissance Home Equity Loan Trust 2003-2                                                                                                | CUSIP: 759950AW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       65452 | PA      | $60187.36     | 0.00%             | 2033-08-25      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31418A7E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       34669 | PA      | $34317.86     | 0.00%             | 2024-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Gold Pool                                                                                                                    | CUSIP: 3128L9WD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        9092 | PA      | $9438.91      | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUNDING CORP.                  | Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2004-3                                                                       | CUSIP: 16678RBU0<br>LEI: 549300TC8R2SGZ2KM445 | Long             | ABS-MBS          | CORP              | US        |        9950 | PA      | $8920.52      | 0.00%             | 2035-08-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| AbbVie Inc                                          | AbbVie Inc                                                                                                                               | CUSIP: 00287YAX7<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     3000000 | PA      | $2978283.36   | 0.08%             | 2023-05-14      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Gold Pool                                                                                                                    | CUSIP: 3128M8GS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         940 | PA      | $976.06       | 0.00%             | 2040-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BofA Securities, Inc.                               | Long: SWU01LN13 IRS NZD R F  4.25000 SWU01LN13 CCPVANILLA / Short: SWU01LN13 IRS NZD P V 03MNZDBB SWUV1LN15 CCPVANILLA                   | CUSIP: 000000000<br>LEI: 549300HN4UKV1E2R3U73 | N/A              | DIR              |  | US        |     2900000 | OU      | $-49731.27    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31404KFX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       54493 | PA      | $55228.26     | 0.00%             | 2034-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 3138EGHE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         762 | PA      | $759.07       | 0.00%             | 2025-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31385WSM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       18836 | PA      | $18514.30     | 0.00%             | 2032-11-01      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Pool                                                                                                                         | CUSIP: 3132A9VH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      287831 | PA      | $276799.43    | 0.01%             | 2033-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Non Gold Pool                                                                                                                | CUSIP: 3128QLPH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       68595 | PA      | $69346.94     | 0.00%             | 2035-08-01      | Floating      | 3.14%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31385W2N8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3060 | PA      | $3164.37      | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO                                     | Nissan Motor Co Ltd                                                                                                                      | CUSIP: 654744AD3<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |    14700000 | PA      | $12475474.58  | 0.32%             | 2030-09-17      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31415TB25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         167 | PA      | $165.96       | 0.00%             | 2023-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Gold Pool                                                                                                                    | CUSIP: 3128M66J2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       12704 | PA      | $13187.20     | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Booking Holdings Inc                                | Booking Holdings Inc                                                                                                                     | CUSIP: 741503BB1<br>LEI: FXM8FAOHMYDIPD38UZ17 | Long             | DBT              | CORP              | US        |     4600000 | PA      | $4578524.62   | 0.12%             | 2023-03-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust          | Bear Stearns Asset Backed Securities I Trust 2005-FR1                                                                                    | CUSIP: 073879G69<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4030709 | PA      | $3830401.75   | 0.10%             | 2035-06-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Venture CDO Ltd                                     | Venture XVII CLO Ltd                                                                                                                     | CUSIP: 92329YAL0<br>LEI: 549300SNYYGJ2M6QEK53 | Long             | ABS-CBDO         | CORP              | KY        |    10593129 | PA      | $10493003.22  | 0.27%             | 2027-04-15      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Bank of America Merrill Lynch International Limited | Long: SWU01B8C8 IRS JPY R F   .00000 SWU01B8C8 CCPOIS / Short: SWU01B8C8 IRS JPY P V 12MTONA SWUV1B8C0 CCPOIS                            | CUSIP: 000000000<br>LEI: EYKN6V0ZCB8VD9IULB80 | N/A              | DIR              |  | US        | 10670000000 | OU      | $-131374.98   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                           | Uniform Mortgage-Backed Security, TBA                                                                                                    | CUSIP: 01F040610<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    38800000 | PA      | $36381205.67  | 0.93%             | 2053-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                             | J P MORGAN TERM REPO                                                                                                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | Long             | RA               | CORP              | US        |    40700000 | PA      | $40700000.00  | 1.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | Ginnie Mae I Pool                                                                                                                        | CUSIP: 3617AYBE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       18054 | PA      | $18105.35     | 0.00%             | 2047-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ares European CLO                                   | Ares European CLO X DAC                                                                                                                  | CUSIP: 000000000<br>LEI: 635400SFL7VSI4HNPI68 | Long             | ABS-CBDO         | CORP              | IE        |    11000000 | PA      | $11394860.99  | 0.29%             | 2031-10-15      | Floating      | 2.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31416JPK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       32472 | PA      | $32968.01     | 0.00%             | 2032-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31418CZC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      144795 | PA      | $139250.76    | 0.00%             | 2033-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31406BB90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       15074 | PA      | $15162.84     | 0.00%             | 2035-01-01      | Floating      | 1.97%                 | No            |                  2 | On Loan: No      |
| UBS AG                                              | PURCHASED USD / SOLD ZAR                                                                                                                 | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |           1 | NC      | $-59117.87    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN FIN ORG MUNICIPAL                             | Japan Finance Organization for Municipalities                                                                                            | CUSIP: 471068AN6<br>LEI: 5493007YYYNZ4NMEOD64 | Long             | DBT              | NUSS              | JP        |    14000000 | PA      | $13821640.00  | 0.35%             | 2023-09-27      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                     | Danske Bank A/S                                                                                                                          | CUSIP: 23636ABC4<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |    12000000 | PA      | $11034271.32  | 0.28%             | 2028-04-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Gold Pool                                                                                                                    | CUSIP: 3128M53F5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       32834 | PA      | $34083.50     | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                            | Long: SWU01LHL6 TRS USD R V 12MFEDL SWUV1LHL8 EQUITYTRS / Short: SWU01LHL6 TRS USD P E SWU01LHL6 EQUITYTRS                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              |  | US        |   129312000 | OU      | $2796000.00   | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31418BNS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      149034 | PA      | $146456.64    | 0.00%             | 2025-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Gold Pool                                                                                                                    | CUSIP: 3128KQB96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         399 | PA      | $413.74       | 0.00%             | 2037-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Non Gold Pool                                                                                                                | CUSIP: 31349UCW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       11102 | PA      | $11247.27     | 0.00%             | 2034-10-01      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Gold Pool                                                                                                                    | CUSIP: 3128M4AH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       83434 | PA      | $86610.38     | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AES CORP/THE                                        | AES Corp/The                                                                                                                             | CUSIP: 00130HCG8<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |     5000000 | PA      | $3977606.30   | 0.10%             | 2031-01-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| IndyMac ARM Trust                                   | IndyMac ARM Trust 2001-H2                                                                                                                | CUSIP: 45660UAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         240 | PA      | $211.84       | 0.00%             | 2032-01-25      | Variable      | 3.69%                 | No            |                  2 | On Loan: No      |
| Argent Securities Inc.                              | Argent Securities Inc Asset-Backed Pass-Through Certificates Series 2005-W4                                                              | CUSIP: 040104PT2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3837055 | PA      | $2903755.50   | 0.07%             | 2036-02-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31405U2C2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       91956 | PA      | $90798.71     | 0.00%             | 2034-12-01      | Floating      | 3.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31408GFA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2767 | PA      | $2870.62      | 0.00%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Non Gold Pool                                                                                                                | CUSIP: 3128JMZG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        9629 | PA      | $9643.10      | 0.00%             | 2034-11-01      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| Park Place Securities Inc                           | Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2004-WCW2                                                                   | CUSIP: 70069FAZ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3702360 | PA      | $3616966.86   | 0.09%             | 2034-10-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31371MLB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       50314 | PA      | $52060.11     | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31417YBQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       13475 | PA      | $13110.21     | 0.00%             | 2029-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                             | Goldman Sachs Group Inc/The                                                                                                              | CUSIP: 38141GZV9<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      300000 | PA      | $303570.56    | 0.01%             | 2024-11-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 3138X9NM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      228593 | PA      | $219526.97    | 0.01%             | 2043-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                           | Uniform Mortgage-Backed Security, TBA                                                                                                    | CUSIP: 01F042616<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -38000000 | PA      | $-36565739.02 | -0.93%            | 2053-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                         | Long: SWU01IVA1 IRS EUR R F  1.00000 SWU01IVA1 CCPVANILLA / Short: SWU01IVA1 IRS EUR P V 06MEURIB SWUV1IVA3 CCPVANILLA                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     9200000 | OU      | $-881078.20   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Pool                                                                                                                         | CUSIP: 3132AEG67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      429938 | PA      | $413502.75    | 0.01%             | 2034-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AREIT CRE Trust                                     | AREIT 2021-CRE5 Trust                                                                                                                    | CUSIP: 04002PAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     9629884 | PA      | $9263105.48   | 0.24%             | 2038-11-17      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| ADANI ELECTRICITY MUMBAI                            | Adani Electricity Mumbai Ltd                                                                                                             | CUSIP: 00654GAA1<br>LEI: 335800AIC1B5EBFVUC38 | Long             | DBT              | CORP              | IN        |     3700000 | PA      | $2803831.25   | 0.07%             | 2030-02-12      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | Ginnie Mae II Pool                                                                                                                       | CUSIP: 36225CKL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2714 | PA      | $2625.61      | 0.00%             | 2029-07-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 3140X6WA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3438254 | PA      | $3301191.82   | 0.08%             | 2035-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31407MZ99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6237 | PA      | $6461.51      | 0.00%             | 2035-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                       | PURCHASED PEN / SOLD USD                                                                                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | PE        |           1 | NC      | $111106.10    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31414TMU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         452 | PA      | $450.38       | 0.00%             | 2023-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                           | Uniform Mortgage-Backed Security, TBA                                                                                                    | CUSIP: 01F052623<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   129800000 | PA      | $130033969.69 | 3.32%             | 2053-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust                      | Long Beach Mortgage Loan Trust 2005-WL2                                                                                                  | CUSIP: 542514ND2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     9074845 | PA      | $8831853.97   | 0.23%             | 2035-08-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                         | Long: BWU01H6H6 IRS GBP R V 12MSONIA SWUV1H6H8 CCPOIS / Short: BWU01H6H6 IRS GBP P F   .90000 SWU01H6H6 CCPOIS                           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     8400000 | OU      | $4665254.53   | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31416WFJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5738 | PA      | $5723.98      | 0.00%             | 2025-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31402YEW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         708 | PA      | $723.29       | 0.00%             | 2033-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                    | PURCHASED USD / SOLD ZAR                                                                                                                 | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |           1 | NC      | $81633.45     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                           | Uniform Mortgage-Backed Security, TBA                                                                                                    | CUSIP: 01F022618<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -85800000 | PA      | $-72630927.80 | -1.86%            | 2053-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| LOGICOR FINANCING SARL                              | Logicor Financing Sarl                                                                                                                   | CUSIP: 000000000<br>LEI: 254900IS16Q1A2TQFN22 | Long             | DBT              | CORP              | LU        |     4500000 | PA      | $3905112.15   | 0.10%             | 2027-07-15      | Fixed         | 1.62%                 | Yes           |                  2 | On Loan: No      |
| Oracle Corp                                         | Oracle Corp                                                                                                                              | CUSIP: 68389XBX2<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    10600000 | PA      | $7136626.70   | 0.18%             | 2050-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Ace Securities Corp.                                | ACE Securities Corp Home Equity Loan Trust Series 2006-FM1                                                                               | CUSIP: 00441VAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7907549 | PA      | $2907445.41   | 0.07%             | 2036-07-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31418CW26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      104940 | PA      | $100920.62    | 0.00%             | 2033-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31416VB37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        8810 | PA      | $8986.57      | 0.00%             | 2039-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                      | Fannie Mae-Aces                                                                                                                          | CUSIP: 3136BBAR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    20830164 | PA      | $1987341.42   | 0.05%             | 2031-01-25      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31385HJD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3765 | PA      | $3836.89      | 0.00%             | 2034-09-01      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31410G2H5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      439656 | PA      | $455924.75    | 0.01%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| American Tower Corp                                 | American Tower Corp                                                                                                                      | CUSIP: 03027XAB6<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |     1807000 | PA      | $1804826.00   | 0.05%             | 2023-01-31      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                           | Uniform Mortgage-Backed Security, TBA                                                                                                    | CUSIP: 01F030629<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   566988963 | PA      | $497813055.00 | 12.72%            | 2053-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AREIT CRE Trust                                     | AREIT 2022-CRE7 LLC                                                                                                                      | CUSIP: 00217VAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    11500000 | PA      | $11331364.00  | 0.29%             | 2039-06-17      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch First Franklin Mortgage Loan Trust    | Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-5                                                                           | CUSIP: 59025RAV9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     9586955 | PA      | $8156465.09   | 0.21%             | 2037-10-25      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31418TZ83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         407 | PA      | $405.26       | 0.00%             | 2025-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Pool                                                                                                                         | CUSIP: 3132D54A7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       38461 | PA      | $36989.79     | 0.00%             | 2034-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31371NV28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          22 | PA      | $21.78        | 0.00%             | 2023-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31418VVZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       51822 | PA      | $51982.46     | 0.00%             | 2040-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                              | CHL Mortgage Pass-Through Trust 2006-HYB5                                                                                                | CUSIP: 170256AD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1312060 | PA      | $1130107.52   | 0.03%             | 2036-09-20      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31385XHR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6295 | PA      | $6509.48      | 0.00%             | 2033-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                         | Long: BWU01GJD3 IRS JPY R V 12MTONAR SWUV1GJD5 CCPOIS / Short: BWU01GJD3 IRS JPY P F   .50000 SWU01GJD3 CCPOIS                           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  5085000000 | OU      | $5016939.11   | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| KREF 2022-Fl3 Ltd                                   | KREF 2022-FL3 Ltd                                                                                                                        | CUSIP: 48275EAA4<br>LEI: 549300DG0FGL1EU1CT79 | Long             | ABS-CBDO         | CORP              | KY        |    12500000 | PA      | $12115350.00  | 0.31%             | 2039-02-17      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                            | PURCHASED GBP / SOLD USD                                                                                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | GB        |           1 | NC      | $-4650.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SUN COMMUNITIES OPER LP                             | Sun Communities Operating LP                                                                                                             | CUSIP: 866677AE7<br>LEI: 549300PUNBPJCGT6X741 | Long             | DBT              |  | US        |    13200000 | PA      | $10419027.17  | 0.27%             | 2031-07-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31416CC61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         784 | PA      | $781.63       | 0.00%             | 2024-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Non Gold Pool                                                                                                                | CUSIP: 31349UJM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       42742 | PA      | $43147.22     | 0.00%             | 2035-01-01      | Floating      | 2.44%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                              | 317U1PCA1 PIMCO SWAPTION 2.547 PUT EUR 2023030                                                                                           | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |    -7100000 | NC      | $-446724.05   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                         | Long: SWPC0KR20 CDS USD R F  1.00000 FIX SOVEREIGN / Short: SWPC0KR20 CDS USD P V 03MEVENT FLO SOVEREIGN                                 | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | GB        |     3200000 | OU      | $-191572.32   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac REMICS                                                                                                                       | CUSIP: 3133T3WY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         998 | PA      | $1000.02      | 0.00%             | 2024-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Gold Pool                                                                                                                    | CUSIP: 312929FV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1274129 | PA      | $1322738.93   | 0.03%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31402BEZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       10634 | PA      | $10844.69     | 0.00%             | 2033-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Securitization Trust                    | MASTR Asset Securitization Trust 2006-2                                                                                                  | CUSIP: 55274QAP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      165349 | PA      | $109465.95    | 0.00%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31418U2L7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3443 | PA      | $3434.94      | 0.00%             | 2025-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                              | United States Treasury Inflation Indexed Bonds                                                                                           | CUSIP: 912810RL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     4302292 | PA      | $3476384.75   | 0.09%             | 2045-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Gold Pool                                                                                                                    | CUSIP: 31335HXK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         372 | PA      | $377.63       | 0.00%             | 2023-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GA GLOBAL FUNDING TRUST                             | GA Global Funding Trust                                                                                                                  | CUSIP: 36143L2F1<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |    14000000 | PA      | $13432580.00  | 0.34%             | 2023-12-08      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Pool                                                                                                                         | CUSIP: 3132D53V2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       89991 | PA      | $86549.14     | 0.00%             | 2034-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                              | 317U1O8A9 PIMCO SWAPTION 3.12 CALL USD 2022123                                                                                           | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |    -3700000 | NC      | $-0.37        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                  | Alternative Loan Trust 2006-J8                                                                                                           | CUSIP: 23245LAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7832031 | PA      | $3532256.06   | 0.09%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                         | Long: SWU01EG17 IRS BRL R F 10.99510 SWU01EG17 CCPNDFPREDISWAP / Short: SWU01EG17 IRS BRL P V 00MBRCDI SWUV1EG19 CCPNDFPREDISWAP         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   238800000 | OU      | $-1351352.23  | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                 | PURCHASED USD / SOLD ZAR                                                                                                                 | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |           1 | NC      | $-132494.52   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                              | 317U1Q8A4 PIMCO SWAPTION 2.067 CALL EUR 202306                                                                                           | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |    -8800000 | NC      | $-22399.71    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Non Gold Pool                                                                                                                | CUSIP: 31336R7E4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       30729 | PA      | $30294.34     | 0.00%             | 2032-08-01      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust      | Structured Adjustable Rate Mortgage Loan Trust                                                                                           | CUSIP: 863579PM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1605894 | PA      | $1456732.09   | 0.04%             | 2035-04-25      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | Ginnie Mae II Pool                                                                                                                       | CUSIP: 36225CHF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         290 | PA      | $279.52       | 0.00%             | 2028-10-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                             | Dryden 80 CLO Ltd                                                                                                                        | CUSIP: 26245JAQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1400000 | PA      | $1353868.60   | 0.03%             | 2033-01-17      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                               | Wells Fargo & Co                                                                                                                         | CUSIP: 000000000<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     2600000 | PA      | $2356642.51   | 0.06%             | 2030-05-04      | Fixed         | 1.74%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 3138A8HB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       26761 | PA      | $26279.02     | 0.00%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Republic of South Africa                            | Republic of South Africa Government Bond                                                                                                 | CUSIP: 000000000<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   971000000 | PA      | $60124422.86  | 1.54%             | 2026-12-21      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Gold Pool                                                                                                                    | CUSIP: 3128M6NG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      565293 | PA      | $584705.18    | 0.01%             | 2036-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                               | Wells Fargo & Co                                                                                                                         | CUSIP: 95000U2S1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     5400000 | PA      | $4765979.36   | 0.12%             | 2028-06-02      | Fixed         | 2.39%                 | No            |                  2 | On Loan: No      |
| CVS Pass-Through Trust                              | CVS Pass-Through Trust                                                                                                                   | CUSIP: 126650BQ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      544943 | PA      | $554878.49    | 0.01%             | 2030-01-10      | Fixed         | 6.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31410GUV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         588 | PA      | $606.35       | 0.00%             | 2036-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Pool                                                                                                                         | CUSIP: 3132ADRY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      206956 | PA      | $199047.69    | 0.01%             | 2033-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UBS AG                                              | PURCHASED USD / SOLD CAD                                                                                                                 | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |           1 | NC      | $3344.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31376KPE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6481 | PA      | $6660.59      | 0.00%             | 2035-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Mill City Mortgage Trust                            | Mill City Mortgage Loan Trust 2019-GS2                                                                                                   | CUSIP: 59981TAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8400000 | PA      | $6964239.24   | 0.18%             | 2059-08-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                              | Pacific Gas and Electric Co                                                                                                              | CUSIP: 694308JM0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     5000000 | PA      | $4531993.00   | 0.12%             | 2030-07-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Lloyds Bank PLC                                     | Lloyds Bank PLC                                                                                                                          | CUSIP: 000000000<br>LEI: H7FNTJ4851HG0EXQ1Z70 | Long             | DBT              | CORP              | GB        |    13000000 | PA      | $7876505.13   | 0.20%             | 2032-04-02      | Variable      | 7.50%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 3138AGKX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5660 | PA      | $5573.64      | 0.00%             | 2026-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LUXE Commercial Mortgage Trust                      | LUXE Trust 2021-TRIP                                                                                                                     | CUSIP: 55066WAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4672347 | PA      | $4467270.78   | 0.11%             | 2038-10-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                      | PURCHASED CLP / SOLD USD                                                                                                                 | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | CL        |           1 | NC      | $885897.66    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| STARWOOD PROPERTY TRUST                             | Starwood Property Trust Inc                                                                                                              | CUSIP: 85571BAY1<br>LEI: BUGSFQZERKRBFWIG5267 | Long             | DBT              |  | US        |    13300000 | PA      | $11638503.35  | 0.30%             | 2027-01-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                         | Long: BWU01HMS4 IRS BRL R V 00MBRCDI SWUV1HMS6 CCPNDFPREDISWAP / Short: BWU01HMS4 IRS BRL P F 11.91000 SWU01HMS4 CCPNDFPREDISWAP         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    62200000 | OU      | $227452.49    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31417BEN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       20098 | PA      | $19602.30     | 0.00%             | 2042-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust                         | Extended Stay America Trust 2021-ESH                                                                                                     | CUSIP: 30227FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    13666691 | PA      | $13272396.12  | 0.34%             | 2038-07-15      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                            | Benchmark 2022-B33 Mortgage Trust                                                                                                        | CUSIP: 08163PBG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    13000000 | PA      | $11501785.10  | 0.29%             | 2055-03-15      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31408DRS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       78074 | PA      | $80783.01     | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Starwood Commercial Mortgage Trust                  | STWD 2019-FL1 Ltd                                                                                                                        | CUSIP: 78485WAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     8758403 | PA      | $8668524.71   | 0.22%             | 2038-07-15      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                                      | BCAP LLC 2011-RR4-I Trust                                                                                                                | CUSIP: 05533XAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1904143 | PA      | $834498.35    | 0.02%             | 2036-02-26      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                      | PURCHASED JPY / SOLD USD                                                                                                                 | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | JP        |           1 | NC      | $101886.56    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31407UMR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      471314 | PA      | $481945.95    | 0.01%             | 2034-11-01      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| UDR Inc                                             | UDR Inc                                                                                                                                  | CUSIP: 90265EAM2<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              |  | US        |     1900000 | PA      | $1766266.43   | 0.05%             | 2027-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31408EXX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         310 | PA      | $310.83       | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31417YU54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       18875 | PA      | $18839.08     | 0.00%             | 2025-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Non Gold Pool                                                                                                                | CUSIP: 3128NCBW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        5960 | PA      | $5882.32      | 0.00%             | 2035-02-01      | Floating      | 2.03%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                             | GSR Mortgage Loan Trust 2006-AR1                                                                                                         | CUSIP: 3623414A4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1404995 | PA      | $1345613.15   | 0.03%             | 2036-01-25      | Variable      | 3.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31411YCM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       18734 | PA      | $19026.85     | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| First Horizon Mortgage Pass-Through Trust           | First Horizon Mortgage Pass-Through Trust 2005-AR3                                                                                       | CUSIP: 32051GQL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       57505 | PA      | $39391.41     | 0.00%             | 2035-08-25      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31416BN53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      370328 | PA      | $382568.67    | 0.01%             | 2036-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Gold Pool                                                                                                                    | CUSIP: 3128M46E8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        3789 | PA      | $3933.01      | 0.00%             | 2037-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 3138ERM72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5048486 | PA      | $4854709.96   | 0.12%             | 2030-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | Ginnie Mae I Pool                                                                                                                        | CUSIP: 36241KKS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         799 | PA      | $810.36       | 0.00%             | 2036-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PART                              | Brixmor Operating Partnership LP                                                                                                         | CUSIP: 11120VAC7<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              |  | US        |     5500000 | PA      | $5185994.66   | 0.13%             | 2026-06-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                         | Long: BWU01HLR7 IRS BRL R V 00MBRCDI SWUV1HLR9 CCPNDFPREDISWAP / Short: BWU01HLR7 IRS BRL P F 12.02000 SWU01HLR7 CCPNDFPREDISWAP         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   103900000 | OU      | $348948.34    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31418P6Y6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         125 | PA      | $124.49       | 0.00%             | 2025-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                      | Morgan Stanley Capital I Trust 2020-CNP                                                                                                  | CUSIP: 61770YAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7500000 | PA      | $5708200.50   | 0.15%             | 2042-04-05      | Variable      | 2.43%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                      | Morgan Stanley                                                                                                                           | CUSIP: 61747YER2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     5400000 | PA      | $5135906.84   | 0.13%             | 2028-04-20      | Fixed         | 4.21%                 | No            |                  2 | On Loan: No      |
| Arbor Multifamily Mortgage Securities Trust         | Arbor Multifamily Mortgage Securities Trust 2020-MF1                                                                                     | CUSIP: 03881BAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7500000 | PA      | $6385821.75   | 0.16%             | 2053-05-15      | Fixed         | 2.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31381BDB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5030 | PA      | $5043.98      | 0.00%             | 2028-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | Ginnie Mae I Pool                                                                                                                        | CUSIP: 36291GAK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3210 | PA      | $3285.47      | 0.00%             | 2034-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31371MFY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      128933 | PA      | $131439.99    | 0.00%             | 2035-08-01      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31412LBS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2796 | PA      | $2838.63      | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                              | United States Treasury Inflation Indexed Bonds                                                                                           | CUSIP: 912810SV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2403450 | PA      | $1546023.20   | 0.04%             | 2051-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Gold Pool                                                                                                                    | CUSIP: 312928XM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       18387 | PA      | $18898.86     | 0.00%             | 2038-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | Government National Mortgage Association                                                                                                 | CUSIP: 38376RQ33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2638824 | PA      | $2627511.07   | 0.07%             | 2066-06-20      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 3138ASRC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      156572 | PA      | $152953.69    | 0.00%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31412YBH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9468 | PA      | $9861.06      | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                              | PURCHASED BRL / SOLD USD                                                                                                                 | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | BR        |           1 | NC      | $236470.79    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 3138M06E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       93706 | PA      | $90751.55     | 0.00%             | 2042-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31407CFZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       10527 | PA      | $10685.77     | 0.00%             | 2035-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31413D2T3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9086 | PA      | $9471.32      | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2016-1 A PTT                             | United Airlines 2016-1 Class A Pass Through Trust                                                                                        | CUSIP: 90931MAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     2134901 | PA      | $1796356.03   | 0.05%             | 2028-07-07      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| ReadyCap Commercial Mortgage Trust                  | Ready Capital Mortgage Financing 2021-FL7 LLC                                                                                            | CUSIP: 75575WAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     9628451 | PA      | $9219112.32   | 0.24%             | 2036-11-25      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| BRANDYWINE OPER PARTNERS                            | Brandywine Operating Partnership LP                                                                                                      | CUSIP: 105340AN3<br>LEI: IXBXSCONLDQ1ZI73YU71 | Long             | DBT              |  | US        |     7500000 | PA      | $7136354.93   | 0.18%             | 2024-10-01      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | Ginnie Mae I Pool                                                                                                                        | CUSIP: 36296QY37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      855222 | PA      | $872443.37    | 0.02%             | 2039-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31400QJ87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1371 | PA      | $1344.31      | 0.00%             | 2033-03-01      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| Metlife Securitization Trust                        | METLIFE SECURITIZATION TRUST 2018-1                                                                                                      | CUSIP: 59166DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3700017 | PA      | $3474226.83   | 0.09%             | 2057-03-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                         | Long: SWU01HLE6 IRS BRL R F 11.37100 SWU01HLE6 CCPNDFPREDISWAP / Short: SWU01HLE6 IRS BRL P V 00MBRCDI SWUV1HLE8 CCPNDFPREDISWAP         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   157900000 | OU      | $-836686.52   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Vodafone Group PLC                                  | Vodafone Group PLC                                                                                                                       | CUSIP: 92857MN57<br>LEI: 213800TB53ELEUKM7Q61 | Long             | STIV             | CORP              | US        |     8000000 | PA      | $7993838.64   | 0.20%             | 2023-01-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | Ginnie Mae II Pool                                                                                                                       | CUSIP: 36225CJ56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2634 | PA      | $2595.42      | 0.00%             | 2029-05-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | Ginnie Mae II Pool                                                                                                                       | CUSIP: 36225CMN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        5362 | PA      | $5237.70      | 0.00%             | 2030-01-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Gold Pool                                                                                                                    | CUSIP: 3128M4K69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         206 | PA      | $213.73       | 0.00%             | 2037-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Pool                                                                                                                         | CUSIP: 3132AECH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      666661 | PA      | $641174.44    | 0.02%             | 2034-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 3140QESP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      362895 | PA      | $338814.45    | 0.01%             | 2040-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | Ginnie Mae II Pool                                                                                                                       | CUSIP: 36225CY83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       17406 | PA      | $16883.02     | 0.00%             | 2033-09-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                  | Alternative Loan Trust 2007-5CB                                                                                                          | CUSIP: 02150EBP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2574574 | PA      | $1211256.65   | 0.03%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31406PD71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       96995 | PA      | $98998.90     | 0.00%             | 2035-05-01      | Floating      | 3.28%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ReRemic Trust                        | Morgan Stanley Re-REMIC Trust 2010-R5                                                                                                    | CUSIP: 61759HAZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1375722 | PA      | $1282392.21   | 0.03%             | 2037-03-26      | Variable      | 2.67%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31409HAJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       22144 | PA      | $22859.92     | 0.00%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                   | EURO-BTP FUTURE MAR23                                                                                                                    | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |          -2 | NC      | $17296.41     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Gold Pool                                                                                                                    | CUSIP: 3128M4V42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       56775 | PA      | $58935.91     | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                              | US 10YR NOTE (CBT)MAR23                                                                                                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         850 | NC      | $-737257.83   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31416CLT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       26147 | PA      | $27296.85     | 0.00%             | 2039-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Gold Pool                                                                                                                    | CUSIP: 3128M6E87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       53284 | PA      | $55317.20     | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31410KCH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       57376 | PA      | $59201.20     | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                     | Long: SWPC0IMN4 CDS EUR R F  1.00000 1 CCPCORPORATE / Short: SWPC0IMN4 CDS EUR P V 03MEVENT 2 CCPCORPORATE                               | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |     5000000 | OU      | $-103871.06   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ATMOS ENERGY CORP                                   | Atmos Energy Corp                                                                                                                        | CUSIP: 049560AT2<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |    12900000 | PA      | $10047031.74  | 0.26%             | 2031-01-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Gold Pool                                                                                                                    | CUSIP: 3128KNKP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        2632 | PA      | $2705.34      | 0.00%             | 2037-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31418NYE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       41528 | PA      | $40529.49     | 0.00%             | 2025-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31368HMV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      586379 | PA      | $611685.92    | 0.02%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates             | WaMu Mortgage Pass-Through Certificates Series 2007-HY6 Trust                                                                            | CUSIP: 92927XAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3215223 | PA      | $2775246.13   | 0.07%             | 2037-06-25      | Variable      | 3.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31410GD83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1633 | PA      | $1659.29      | 0.00%             | 2034-04-01      | Floating      | 3.49%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                | Bank of America Corp                                                                                                                     | CUSIP: 06051GJG5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     4800000 | PA      | $4417803.31   | 0.11%             | 2025-09-25      | Fixed         | 0.98%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO                                     | Nissan Motor Co Ltd                                                                                                                      | CUSIP: 654744AC5<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |     5600000 | PA      | $5077777.21   | 0.13%             | 2027-09-17      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31407YDU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2715 | PA      | $2794.79      | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc           | Structured Asset Mortgage Investments II Trust 2005-AR5                                                                                  | CUSIP: 86359LPE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       35707 | PA      | $32998.37     | 0.00%             | 2035-07-19      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31405UTZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1885 | PA      | $1854.84      | 0.00%             | 2034-11-01      | Floating      | 3.60%                 | No            |                  2 | On Loan: No      |
| EXPEDIA GROUP INC                                   | Expedia Group Inc                                                                                                                        | CUSIP: 30212PBH7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     2561000 | PA      | $2059380.34   | 0.05%             | 2031-03-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31419AU62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       32100 | PA      | $33373.50     | 0.00%             | 2039-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | Ginnie Mae I Pool                                                                                                                        | CUSIP: 36292DP48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1390 | PA      | $1411.56      | 0.00%             | 2035-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31416CEW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       78926 | PA      | $77777.04     | 0.00%             | 2024-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Non Gold Pool                                                                                                                | CUSIP: 3128JMY68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        7207 | PA      | $7177.51      | 0.00%             | 2034-11-01      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31402GP80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       34513 | PA      | $34177.17     | 0.00%             | 2033-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Gold Pool                                                                                                                    | CUSIP: 31296SRY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         896 | PA      | $925.22       | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                       | PURCHASED EUR / SOLD USD                                                                                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | XX        |           1 | NC      | $8103.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Gold Pool                                                                                                                    | CUSIP: 3128M6SS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       71875 | PA      | $74611.56     | 0.00%             | 2038-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 3138A8SR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3759 | PA      | $3668.84      | 0.00%             | 2026-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                         | Long: SWU01HMT2 IRS BRL R F 11.18000 SWU01HMT2 CCPNDFPREDISWAP / Short: SWU01HMT2 IRS BRL P V 00MBRCDI SWUV1HMT4 CCPNDFPREDISWAP         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    42900000 | OU      | $-259205.13   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31410FSD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         693 | PA      | $717.20       | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Receivables LLC Trust      | Securitized Asset Backed Receivables LLC Trust 2006-FR2                                                                                  | CUSIP: 81376VAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    14122552 | PA      | $8671092.80   | 0.22%             | 2036-03-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Pool                                                                                                                         | CUSIP: 3132D54W9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      139245 | PA      | $133295.07    | 0.00%             | 2035-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Gold Pool                                                                                                                    | CUSIP: 3128M7C95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      101286 | PA      | $105141.43    | 0.00%             | 2038-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                     | Long: SWPC0KBE1 CDS USD R F  1.00000 1 CCPCORPORATE / Short: SWPC0KBE1 CDS USD P V 03MEVENT 2 CCPCORPORATE                               | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |      500000 | OU      | $2330.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31407UEQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1074 | PA      | $1110.99      | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Gold Pool                                                                                                                    | CUSIP: 3128KMNX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        5698 | PA      | $5895.94      | 0.00%             | 2037-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                     | CVS Health Corp                                                                                                                          | CUSIP: 126650DR8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    14000000 | PA      | $11100196.10  | 0.28%             | 2031-09-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | Government National Mortgage Association                                                                                                 | CUSIP: 38376RGB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1914918 | PA      | $1884060.14   | 0.05%             | 2065-08-20      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                            | Capital One Financial Corp                                                                                                               | CUSIP: 14040HCS2<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    11500000 | PA      | $11133232.57  | 0.28%             | 2028-05-10      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| Asset Backed Securities Corp Home Equity Ln Trst    | Asset Backed Securities Corp Home Equity Loan Trust Series AMQ 2007-HE2                                                                  | CUSIP: 04544TAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       18721 | PA      | $12882.07     | 0.00%             | 2037-05-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                  | Alternative Loan Trust 2007-14T2                                                                                                         | CUSIP: 02150BAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3816088 | PA      | $2012046.59   | 0.05%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Palmer Square European Loan Funding                 | Palmer Square European Loan Funding 2021-1 DAC                                                                                           | CUSIP: 000000000<br>LEI: 549300EWDSB2XVX0CY09 | Long             | ABS-CBDO         | CORP              | IE        |     9815363 | PA      | $10190919.64  | 0.26%             | 2031-04-15      | Floating      | 2.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31418C2X1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      114045 | PA      | $109680.74    | 0.00%             | 2033-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                     | Long: SWPC0HJ26 CDS USD R F  1.00000 1 CCPCORPORATE / Short: SWPC0HJ26 CDS USD P V 03MEVENT 2 CCPCORPORATE                               | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |     4800000 | OU      | $25540.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac REMICS                                                                                                                       | CUSIP: 31395CEC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        9494 | PA      | $9366.34      | 0.00%             | 2034-07-15      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities      | CSFB Mortgage-Backed Pass-Through Certificates Series 2005-10                                                                            | CUSIP: 225470FG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      761966 | PA      | $564569.99    | 0.01%             | 2035-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | Ginnie Mae II Pool                                                                                                                       | CUSIP: 36225CDH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        7878 | PA      | $7686.73      | 0.00%             | 2027-08-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31406PQ85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       11981 | PA      | $12386.93     | 0.00%             | 2035-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Pool                                                                                                                         | CUSIP: 3132AD4R6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      105548 | PA      | $101511.24    | 0.00%             | 2034-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                              | Reperforming Loan REMIC Trust 2005-R2                                                                                                    | CUSIP: 12669GN64<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      641756 | PA      | $603972.76    | 0.02%             | 2035-06-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 3138XZBR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       27407 | PA      | $26897.81     | 0.00%             | 2029-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Non Gold Pool                                                                                                                | CUSIP: 31295MNX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       48189 | PA      | $47350.77     | 0.00%             | 2029-01-01      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANK                              | Federal Home Loan Banks                                                                                                                  | CUSIP: 3130ATJX6<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |     9900000 | PA      | $9900033.26   | 0.25%             | 2023-01-10      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| HCA INC                                             | HCA Inc                                                                                                                                  | CUSIP: 404119CE7<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     5200000 | PA      | $4568349.03   | 0.12%             | 2029-03-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Bayview Opportunity Master Fund                     | Bayview MSR Opportunity Master Fund Trust 2021-INV5                                                                                      | CUSIP: 07336JAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    12434484 | PA      | $10394942.41  | 0.27%             | 2051-11-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | Ginnie Mae II Pool                                                                                                                       | CUSIP: 36225CUV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1821 | PA      | $1800.83      | 0.00%             | 2032-04-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan Trust                  | JP Morgan Alternative Loan Trust                                                                                                         | CUSIP: 46628GAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      943010 | PA      | $780717.76    | 0.02%             | 2036-05-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31418DLN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       39034 | PA      | $37541.43     | 0.00%             | 2035-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                              | CHL Mortgage Pass-Through Trust 2006-OA5                                                                                                 | CUSIP: 126694M62<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1262050 | PA      | $1088565.45   | 0.03%             | 2046-04-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | Ginnie Mae I Pool                                                                                                                        | CUSIP: 3622A2D58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      157007 | PA      | $160235.12    | 0.00%             | 2039-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31412LGJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6294 | PA      | $6566.30      | 0.00%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TESCO PROPERTY FIN 6 PLC                            | Tesco Property Finance 6 PLC                                                                                                             | CUSIP: 000000000<br>LEI: 213800FORYFOB97FHO66 | Long             | DBT              | CORP              | GB        |      548586 | PA      | $595651.61    | 0.02%             | 2044-07-13      | Fixed         | 5.41%                 | Yes           |                  2 | On Loan: No      |
| Ripon Mortgages PLC                                 | Ripon Mortgages PLC                                                                                                                      | CUSIP: 000000000<br>LEI: 213800MQYZ3GZ4HK1I88 | Long             | ABS-MBS          | CORP              | GB        |    13223000 | PA      | $14922018.44  | 0.38%             | 2056-08-28      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 3140JGYY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      538460 | PA      | $517805.45    | 0.01%             | 2033-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                          | Morgan Stanley ABS Capital I Inc Trust 2007-HE6                                                                                          | CUSIP: 61755CAA0<br>LEI: 5493005XH7EPFP4PGZ13 | Long             | ABS-MBS          | CORP              | US        |       99733 | PA      | $86720.76     | 0.00%             | 2037-05-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31417YTV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       45062 | PA      | $43618.39     | 0.00%             | 2030-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| American Homes 4 Rent                               | American Homes 4 Rent LP                                                                                                                 | CUSIP: 02666TAA5<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              |  | US        |     1900000 | PA      | $1756857.06   | 0.04%             | 2028-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| EVERGY INC                                          | Evergy Inc                                                                                                                               | CUSIP: 30034WAA4<br>LEI: 549300PGTHDQY6PSUI61 | Long             | DBT              | CORP              | US        |    13500000 | PA      | $12816424.94  | 0.33%             | 2024-09-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31400ED49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4053 | PA      | $4124.21      | 0.00%             | 2034-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | Ginnie Mae II Pool                                                                                                                       | CUSIP: 36225CD86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       32642 | PA      | $31739.83     | 0.00%             | 2027-09-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                                | Jyske Realkredit A/S                                                                                                                     | CUSIP: 000000000<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |    16099192 | PA      | $1775886.33   | 0.05%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                 | GS Mortgage-Backed Securities Corp Trust 2022-PJ2                                                                                        | CUSIP: 36267EAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    12000967 | PA      | $9633115.88   | 0.25%             | 2052-06-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                            | Charter Communications Operating LLC / Charter Communications Operating Capital                                                          | CUSIP: 161175BZ6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    13300000 | PA      | $8666207.52   | 0.22%             | 2041-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae REMICS                                                                                                                        | CUSIP: 31392CRD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1767 | PA      | $1772.48      | 0.00%             | 2032-04-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31419AK89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5114 | PA      | $5098.70      | 0.00%             | 2025-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31419AXL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      164633 | PA      | $170808.29    | 0.00%             | 2039-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31407M2K0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      720335 | PA      | $745184.59    | 0.02%             | 2035-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31371MMG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9080 | PA      | $9398.37      | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31406AV25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      260150 | PA      | $257169.21    | 0.01%             | 2034-12-01      | Floating      | 2.31%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust       | JP Morgan Chase Commercial Mortgage Securities Trust 2019-FL12                                                                           | CUSIP: 46651QAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6599745 | PA      | $6273772.37   | 0.16%             | 2031-12-15      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| United States Treasury                              | United States Treasury Inflation Indexed Bonds                                                                                           | CUSIP: 912810RA8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1555248 | PA      | $1253817.13   | 0.03%             | 2043-02-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| Dell Equipment Finance Trust                        | Dell Equipment Finance Trust                                                                                                             | CUSIP: 24703WAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     5526421 | PA      | $5453145.43   | 0.14%             | 2027-08-23      | Fixed         | 2.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31410LET5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6776 | PA      | $6987.36      | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                     | Long: BWPC0LAV2 CDS EUR R V 03MEVENT 2 CCPITRAXX / Short: BWPC0LAV2 CDS EUR P F  1.00000 1 CCPITRAXX                                     | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    17900000 | OU      | $-84998.40    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CSC Holdings, LLC                                   | CSC Holdings, LLC 2019 Term Loan B5                                                                                                      | CUSIP: 64072UAK8<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | LON              | CORP              | US        |     5185856 | PA      | $4641341.34   | 0.12%             | 2027-04-15      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31418QTK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2511 | PA      | $2499.42      | 0.00%             | 2025-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Novastar Home Equity Loan                           | NovaStar Mortgage Funding Trust Series 2007-2                                                                                            | CUSIP: 66989EAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3207940 | PA      | $3087356.24   | 0.08%             | 2037-09-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| Starwood Commercial Mortgage Trust                  | STWD 2022-FL3 Ltd                                                                                                                        | CUSIP: 78485KAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    13000000 | PA      | $12570209.60  | 0.32%             | 2038-11-15      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| MASSMUTUAL GLOBAL FUNDIN                            | MassMutual Global Funding II                                                                                                             | CUSIP: 57629WDL1<br>LEI: 549300K1IE3K7YU6VG29 | Long             | DBT              | CORP              | US        |     7900000 | PA      | $7938352.68   | 0.20%             | 2027-12-07      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31417QNC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6924 | PA      | $7043.43      | 0.00%             | 2039-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31411AR80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1012 | PA      | $1015.13      | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Gold Pool                                                                                                                    | CUSIP: 3128LXQD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       11920 | PA      | $12371.39     | 0.00%             | 2036-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31410KXK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       61019 | PA      | $63276.99     | 0.00%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PERU                                    | Peruvian Government International Bond                                                                                                   | CUSIP: 000000000<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    23200000 | PA      | $5596374.48   | 0.14%             | 2029-02-12      | Fixed         | 5.94%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31410X6R2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       20291 | PA      | $20607.46     | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates             | WaMu Mortgage Pass-Through Certificates Series 2002-AR6 Trust                                                                            | CUSIP: 929227QB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       24903 | PA      | $22305.42     | 0.00%             | 2042-06-25      | Floating      | 3.45%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust                            | Bear Stearns ALT-A Trust 2006-6                                                                                                          | CUSIP: 073868BE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1390814 | PA      | $736368.52    | 0.02%             | 2036-11-25      | Variable      | 3.59%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                           | Boeing Co/The                                                                                                                            | CUSIP: 097023DE2<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    12300000 | PA      | $11787177.95  | 0.30%             | 2024-02-04      | Fixed         | 1.43%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Gold Pool                                                                                                                    | CUSIP: 312935LP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       26757 | PA      | $27685.76     | 0.00%             | 2039-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                  | Energy Transfer LP                                                                                                                       | CUSIP: 86765BAS8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     1800000 | PA      | $1825175.25   | 0.05%             | 2025-12-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Asset Backed Funding Certificates                   | ABFC 2005-OPT1 Trust                                                                                                                     | CUSIP: 04542BQB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6240875 | PA      | $5630346.40   | 0.14%             | 2035-07-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                              | Credit Suisse Group AG                                                                                                                   | CUSIP: 225401AV0<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |     7000000 | PA      | $6374872.84   | 0.16%             | 2028-08-11      | Fixed         | 6.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31407CC54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       19890 | PA      | $19789.47     | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                              | PURCHASED ZAR / SOLD USD                                                                                                                 | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | ZA        |           1 | NC      | $68839.99     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                         | Long: BWU01I4K9 IRS JPY R V 12MTONAR SWUV1I4K1 CCPOIS / Short: BWU01I4K9 IRS JPY P F   .66200 SWU01I4K9 CCPOIS                           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   285000000 | OU      | $221693.48    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                              | 317U05RA0 PIMCO SWAPTION 3.14 CALL USD 2023102                                                                                           | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |    -6400000 | NC      | $-9159.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                 | Southern California Edison Co                                                                                                            | CUSIP: 842400HS5<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     3000000 | PA      | $3087861.18   | 0.08%             | 2027-11-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31402HGD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       30011 | PA      | $30561.72     | 0.00%             | 2033-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31406XZH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         521 | PA      | $536.84       | 0.00%             | 2035-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31382F2C2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          39 | PA      | $39.48        | 0.00%             | 2029-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                         | Long: SWU01HMV7 IRS BRL R F 10.99000 SWU01HMV7 CCPNDFPREDISWAP / Short: SWU01HMV7 IRS BRL P V 00MBRCDI SWUV1HMV9 CCPNDFPREDISWAP         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    42600000 | OU      | $-368731.91   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Gold Pool                                                                                                                    | CUSIP: 3128KQRY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       22080 | PA      | $22163.59     | 0.00%             | 2037-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31401AME4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       19166 | PA      | $19726.32     | 0.00%             | 2033-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Welltower Inc                                       | Welltower Inc                                                                                                                            | CUSIP: 95040QAC8<br>LEI: T6IZ0MBEG5ACZDTR7D06 | Long             | DBT              |  | US        |     1102000 | PA      | $1065629.90   | 0.03%             | 2026-04-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                       | PURCHASED EUR / SOLD USD                                                                                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | XX        |           1 | NC      | $44726.18     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31408JB83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6189 | PA      | $6283.23      | 0.00%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | Ginnie Mae I Pool                                                                                                                        | CUSIP: 3620A2XZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      257951 | PA      | $263978.27    | 0.01%             | 2039-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31406DG67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       18747 | PA      | $18923.41     | 0.00%             | 2034-11-01      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31407FPF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1684 | PA      | $1743.84      | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                              | Verizon Communications Inc                                                                                                               | CUSIP: 92343VGN8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    15619000 | PA      | $12381213.79  | 0.32%             | 2032-03-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                         | BNP Paribas SA                                                                                                                           | CUSIP: 05565ASK0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    12500000 | PA      | $9657505.88   | 0.25%             | 2031-02-25      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 3138A2VH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2283 | PA      | $2210.26      | 0.00%             | 2030-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                            | Benchmark 2022-B35 Mortgage Trust                                                                                                        | CUSIP: 08163RBQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    11000000 | PA      | $10510913.60  | 0.27%             | 2055-05-15      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                   | Long: SWPC0KDQ2 CDS USD R F  1.00000 FIX SOVEREIGN / Short: SWPC0KDQ2 CDS USD P V 03MEVENT FLO SOVEREIGN                                 | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DCR              |  | GB        |     2400000 | OU      | $-111156.79   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JACKSON NATL LIFE GLOBAL                            | Jackson National Life Global Funding                                                                                                     | CUSIP: 46849CJL6<br>LEI: 635400PQXLYXWJI5QD78 | Long             | DBT              | CORP              | US        |     8300000 | PA      | $8301649.79   | 0.21%             | 2024-06-28      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | Ginnie Mae II Pool                                                                                                                       | CUSIP: 36202KYM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1997 | PA      | $1967.95      | 0.00%             | 2026-02-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31404HTN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         469 | PA      | $473.79       | 0.00%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                   | PURCHASED MYR / SOLD USD                                                                                                                 | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | MY        |           1 | NC      | $20689.94     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae REMICS                                                                                                                        | CUSIP: 3136A9YS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1933261 | PA      | $1902456.01   | 0.05%             | 2042-11-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Gold Pool                                                                                                                    | CUSIP: 3128LAFY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       27881 | PA      | $28944.07     | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership                                 | LCM XXV Ltd                                                                                                                              | CUSIP: 50189PAY8<br>LEI: 549300FY8UGGJMQNCO13 | Long             | ABS-CBDO         | CORP              | KY        |    12860769 | PA      | $12602627.41  | 0.32%             | 2030-07-20      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 3140FNHA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       83134 | PA      | $80579.13     | 0.00%             | 2031-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 3138X7XA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      162810 | PA      | $156112.80    | 0.00%             | 2028-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                   | PURCHASED GBP / SOLD USD                                                                                                                 | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | GB        |           1 | NC      | $-19298.70    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                    | T-Mobile USA Inc                                                                                                                         | CUSIP: 87264ACB9<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     8900000 | PA      | $7270588.62   | 0.19%             | 2031-02-15      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                       | PURCHASED USD / SOLD ZAR                                                                                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $-426072.95   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31380YAM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        8027 | PA      | $8147.79      | 0.00%             | 2028-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                           | Uniform Mortgage-Backed Security, TBA                                                                                                    | CUSIP: 01F032625<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   317112000 | PA      | $288169952.00 | 7.36%             | 2053-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                            | JP Morgan Mortgage Trust 2005-S3                                                                                                         | CUSIP: 466247ZP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      183604 | PA      | $90299.66     | 0.00%             | 2036-01-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | Ginnie Mae I Pool                                                                                                                        | CUSIP: 36203CHJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          83 | PA      | $82.59        | 0.00%             | 2023-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| DC Office Trust                                     | DC Office Trust 2019-MTC                                                                                                                 | CUSIP: 23312BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1000000 | PA      | $794651.20    | 0.02%             | 2045-09-15      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates               | CWABS Asset-Backed Certificates Trust 2006-2                                                                                             | CUSIP: 12667HAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1954253 | PA      | $1857496.52   | 0.05%             | 2047-04-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Gold Pool                                                                                                                    | CUSIP: 31292HS88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         478 | PA      | $491.98       | 0.00%             | 2033-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                            | PURCHASED USD / SOLD MXN                                                                                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-364732.70   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31417YUM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       13496 | PA      | $13063.43     | 0.00%             | 2030-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Gold Pool                                                                                                                    | CUSIP: 3128M54E7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       15739 | PA      | $16337.64     | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                         | Long: SWU01KS77 IRS EUR R F  1.75000 SWU01KS77 CCPVANILLA / Short: SWU01KS77 IRS EUR P V 06MEURIB SWUV1KS79 CCPVANILLA                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   124100000 | OU      | $-16538594.25 | -0.42%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Gold Pool                                                                                                                    | CUSIP: 3128L8VF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        7510 | PA      | $7538.56      | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Investment Trust             | American Home Mortgage Investment Trust 2006-3                                                                                           | CUSIP: 026929AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    10232250 | PA      | $8305154.10   | 0.21%             | 2046-12-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31412RB71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         214 | PA      | $213.91       | 0.00%             | 2025-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Oracle Corp                                         | Oracle Corp                                                                                                                              | CUSIP: 68389XBW4<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     6400000 | PA      | $4695109.57   | 0.12%             | 2040-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                   | Citigroup Mortgage Loan Trust 2007-AMC1                                                                                                  | CUSIP: 17311BAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5763677 | PA      | $3202137.62   | 0.08%             | 2036-12-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Securities Trust        | Wells Fargo Mortgage Backed Securities 2003-I Trust                                                                                      | CUSIP: 949802AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       67564 | PA      | $64778.38     | 0.00%             | 2033-09-25      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 3140JJMK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      217785 | PA      | $209425.16    | 0.01%             | 2033-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Tobacco Settlement Finance Authority                | TOBACCO SETTLEMENT FIN AUTH WV ASSET BACKED                                                                                              | CUSIP: 88880LAH6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     2250000 | PA      | $1993558.50   | 0.05%             | 2026-06-01      | Fixed         | 1.82%                 | No            |                  2 | On Loan: No      |
| Saxon Asset Securities Trust                        | Saxon Asset Securities Trust 2007-3                                                                                                      | CUSIP: 80557BAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1897472 | PA      | $1717882.33   | 0.04%             | 2047-09-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31414L2H0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       87732 | PA      | $90969.48     | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                         | IMM EUR FUT OPT DEC23P 96.5 EXP 12/18/2023                                                                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |       -1192 | NC      | $-4201800.00  | -0.11%            |  |  |  | No            |                  1 | On Loan: No      |
| Deutsche Bank AG                                    | PURCHASED USD / SOLD DKK                                                                                                                 | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |           1 | NC      | $-232362.63   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| PROLOGIS LP                                         | PROLOGIS LP                                                                                                                              | CUSIP: 74340XCB5<br>LEI: GL16H1DHB0QSHP25F723 | Long             | DBT              | CORP              | US        |    13500000 | PA      | $10700527.28  | 0.27%             | 2032-01-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                   | BARCLAYS CAPITAL REPO                                                                                                                    | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | Long             | RA               | CORP              | US        |     3000000 | PA      | $3000000.00   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | Ginnie Mae II Pool                                                                                                                       | CUSIP: 36225CQT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         746 | PA      | $723.43       | 0.00%             | 2030-10-20      | Floating      | 2.50%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                                      | BCAP LLC Trust 2007-AA2                                                                                                                  | CUSIP: 05530NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3991230 | PA      | $3575356.46   | 0.09%             | 2047-05-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| GreenPoint Mortgage Funding Trust                   | GreenPoint MTA Trust 2005-AR1                                                                                                            | CUSIP: 39538RAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       23001 | PA      | $20898.57     | 0.00%             | 2045-06-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | Ginnie Mae II Pool                                                                                                                       | CUSIP: 36225CXJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1283 | PA      | $1257.31      | 0.00%             | 2033-03-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| TCI-Symphony CLO                                    | TCI-Symphony CLO 2016-1 Ltd                                                                                                              | CUSIP: 87229WAQ4<br>LEI: 5493005WLG3H3B8NI222 | Long             | ABS-CBDO         | CORP              | KY        |    13000000 | PA      | $12719122.00  | 0.32%             | 2032-10-13      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31408B5A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5120 | PA      | $5009.29      | 0.00%             | 2036-01-01      | Floating      | 3.66%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                            | PURCHASED USD / SOLD EUR                                                                                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-21616.31    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                         | Long: BWU01M5X1 IRS BRL R V 00MBRCDI SWUV1M5X3 CCPNDFPREDISWAP / Short: BWU01M5X1 IRS BRL P F 12.83500 SWU01M5X1 CCPNDFPREDISWAP         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   242200000 | OU      | $267987.27    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                   | Citigroup Mortgage Loan Trust Inc                                                                                                        | CUSIP: 17307GXP8<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |      334796 | PA      | $326035.48    | 0.01%             | 2035-09-25      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                            | PURCHASED CNY / SOLD USD                                                                                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CN        |           1 | NC      | $137.09       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TICP CLO Ltd                                        | TICP CLO III-2 Ltd                                                                                                                       | CUSIP: 87249FAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3623147 | PA      | $3604770.83   | 0.09%             | 2028-04-20      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31410KXE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      241233 | PA      | $249902.87    | 0.01%             | 2038-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Gold Pool                                                                                                                    | CUSIP: 3128M6NC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       40040 | PA      | $41563.94     | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Non Gold Pool                                                                                                                | CUSIP: 3128QLPD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      177983 | PA      | $180163.69    | 0.00%             | 2035-06-01      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| BofA Securities, Inc.                               | Long: BWU01KSD4 IRS GBP R V 12MSONIA SWUV1KSD6 CCPOIS / Short: BWU01KSD4 IRS GBP P F  2.00000 SWU01KSD4 CCPOIS                           | CUSIP: 000000000<br>LEI: 549300HN4UKV1E2R3U73 | N/A              | DIR              |  | US        |      800000 | OU      | $253327.18    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust                       | MASTR Alternative Loan Trust 2006-2                                                                                                      | CUSIP: 5764342H6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      611761 | PA      | $67663.19     | 0.00%             | 2036-03-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | Ginnie Mae II Pool                                                                                                                       | CUSIP: 36225CFQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3992 | PA      | $3906.47      | 0.00%             | 2028-03-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                            | Benchmark 2019-B9 Mortgage Trust                                                                                                         | CUSIP: 08160JAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    13000000 | PA      | $12244646.70  | 0.31%             | 2052-03-15      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31407UK97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       45053 | PA      | $44376.57     | 0.00%             | 2035-10-01      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| Republic of Peru                                    | Peruvian Government International Bond                                                                                                   | CUSIP: 715638AY8<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    24300000 | PA      | $6692331.30   | 0.17%             | 2026-08-12      | Fixed         | 8.20%                 | Yes           |                  2 | On Loan: No      |
| MP Clo VII, LTD                                     | ACAS CLO 2015-1 Ltd                                                                                                                      | CUSIP: 55320RAQ0<br>LEI: 5493005EOEZ6JX072G15 | Long             | ABS-CBDO         | CORP              | KY        |    24482681 | PA      | $24014694.55  | 0.61%             | 2028-10-18      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                       | PURCHASED USD / SOLD KRW                                                                                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $-5514.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortgage Loan Trust         | MF1 2022-FL10 LLC                                                                                                                        | CUSIP: 55285BAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    10700000 | PA      | $10635586.00  | 0.27%             | 2037-09-17      | Floating      | 6.96%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                         | Long: BWU01M2K2 IRS BRL R V 00MBRCDI SWUV1M2K4 CCPNDFPREDISWAP / Short: BWU01M2K2 IRS BRL P F 12.76455 SWU01M2K2 CCPNDFPREDISWAP         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   247900000 | OU      | $309938.97    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | Ginnie Mae II Pool                                                                                                                       | CUSIP: 36225CQZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3765 | PA      | $3615.71      | 0.00%             | 2030-11-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust          | Bear Stearns Asset Backed Securities I Trust 2007-HE7                                                                                    | CUSIP: 07387VAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       91299 | PA      | $91129.41     | 0.00%             | 2037-10-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Wind River CLO Ltd                                  | THL Credit Wind River 2019-3 Clo Ltd                                                                                                     | CUSIP: 97314JAA3<br>LEI: 549300QKM4OHZM4I5C40 | Long             | ABS-CBDO         | CORP              | KY        |     4000000 | PA      | $3892892.00   | 0.10%             | 2031-04-15      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                   | EURO-OAT FUTURE MAR23                                                                                                                    | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |        -434 | NC      | $4403277.89   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| Countrywide Alternative Loan Trust                  | Alternative Loan Trust 2005-1CB                                                                                                          | CUSIP: 12667F2Y0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7657639 | PA      | $6065402.68   | 0.15%             | 2035-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31417FBM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       51154 | PA      | $52318.82     | 0.00%             | 2038-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | Government National Mortgage Association                                                                                                 | CUSIP: 38382YJ20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     4900000 | PA      | $4906070.12   | 0.13%             | 2072-12-20      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates               | CWABS Asset-Backed Certificates Trust 2006-15                                                                                            | CUSIP: 12666UAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      746110 | PA      | $743164.98    | 0.02%             | 2046-10-25      | Variable      | 4.33%                 | No            |                  2 | On Loan: No      |
| BRITISH AIR 18-1 A PTT                              | British Airways 2018-1 Class A Pass Through Trust                                                                                        | CUSIP: 11043HAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1374548 | PA      | $1144157.87   | 0.03%             | 2031-09-20      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31418CZ49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       20681 | PA      | $19890.57     | 0.00%             | 2033-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31402QYY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      127085 | PA      | $131259.79    | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Gold Pool                                                                                                                    | CUSIP: 3128M43N1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         720 | PA      | $743.46       | 0.00%             | 2035-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Gold Pool                                                                                                                    | CUSIP: 3128M5GF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        3761 | PA      | $3903.76      | 0.00%             | 2037-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GoodLeap Sustainable Home Improvement Loan Trust    | GoodLeap Sustainable Home Solutions Trust 2022-2                                                                                         | CUSIP: 38237KAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    10969471 | PA      | $8906976.50   | 0.23%             | 2049-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities Trust                 | Mastr Asset Backed Securities Trust 2006-AM3                                                                                             | CUSIP: 57645EAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      676519 | PA      | $672236.59    | 0.02%             | 2036-10-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| Sunrun Demeter Issuer LLC                           | Sunrun Demeter Issuer 2021-2 LLC                                                                                                         | CUSIP: 86772HAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    12845038 | PA      | $10018374.13  | 0.26%             | 2057-01-30      | Fixed         | 2.27%                 | No            |                  2 | On Loan: No      |
| United States Treasury                              | United States Treasury Note/Bond                                                                                                         | CUSIP: 912810TH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    48300000 | PA      | $42345515.63  | 1.08%             | 2042-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                              | US LONG BOND(CBT) MAR23                                                                                                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         233 | NC      | $-264276.06   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| IMPERIAL BRANDS FIN PLC                             | Imperial Brands Finance PLC                                                                                                              | CUSIP: 45262BAA1<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |     9326000 | PA      | $8915504.36   | 0.23%             | 2024-07-26      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                              | Pacific Gas and Electric Co                                                                                                              | CUSIP: 694308JL2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     3600000 | PA      | $3407962.64   | 0.09%             | 2025-07-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation                  | Chase Mortgage Finance Trust Series 2007-A1                                                                                              | CUSIP: 161630BK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      529180 | PA      | $480358.40    | 0.01%             | 2037-03-25      | Variable      | 3.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31406AWU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2311 | PA      | $2385.34      | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                             | GSR Mortgage Loan Trust 2006-AR2                                                                                                         | CUSIP: 36297TAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      942212 | PA      | $648909.25    | 0.02%             | 2036-04-25      | Variable      | 3.16%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                           | Uniform Mortgage-Backed Security, TBA                                                                                                    | CUSIP: 01F050619<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    24100000 | PA      | $23743835.98  | 0.61%             | 2053-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31408EXZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         386 | PA      | $387.32       | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 3140QBP36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1014221 | PA      | $1049037.41   | 0.03%             | 2049-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31385HJE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       22251 | PA      | $22204.52     | 0.00%             | 2036-12-01      | Floating      | 3.98%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31411XMB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       12274 | PA      | $12492.37     | 0.00%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Gold Pool                                                                                                                    | CUSIP: 31288JQP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          78 | PA      | $79.02        | 0.00%             | 2033-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31412EAP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4624 | PA      | $4693.89      | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31402RH77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       77845 | PA      | $73754.85     | 0.00%             | 2044-10-01      | Floating      | 2.89%                 | No            |                  2 | On Loan: No      |
| SYDNEY AIRPORT FINANCE                              | Sydney Airport Finance Co Pty Ltd                                                                                                        | CUSIP: 87124VAD1<br>LEI: 549300MJAANHLHOVTO40 | Long             | DBT              | CORP              | AU        |     3100000 | PA      | $3091467.50   | 0.08%             | 2023-03-22      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                              | CHL Mortgage Pass-Through Trust 2005-2                                                                                                   | CUSIP: 12669GPR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      227653 | PA      | $201522.11    | 0.01%             | 2035-03-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| State of Illinois                                   | ILLINOIS ST                                                                                                                              | CUSIP: 452152FA4<br>LEI: 54930048FV8RWPR02D67 | Long             | DBT              | MUN               | US        |     5720000 | PA      | $5826840.45   | 0.15%             | 2035-04-01      | Fixed         | 6.72%                 | No            |                  2 | On Loan: No      |
| United States Treasury                              | United States Treasury Note/Bond                                                                                                         | CUSIP: 9128286Z8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    38200000 | PA      | $36606343.75  | 0.94%             | 2024-06-30      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                         | Long: BWU01HIX8 IRS JPY R V 12MTONAR SWUV1HIX0 CCPOIS / Short: BWU01HIX8 IRS JPY P F   .80000 SWU01HIX8 CCPOIS                           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  5040000000 | OU      | $5166099.85   | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31385XK48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3713 | PA      | $3727.00      | 0.00%             | 2033-07-01      | Floating      | 3.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | Ginnie Mae I Pool                                                                                                                        | CUSIP: 36241LJY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      123558 | PA      | $126466.74    | 0.00%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                       | Long: SWPC0KA36 CDS USD R F  1.00000 FIX SOVEREIGN / Short: SWPC0KA36 CDS USD P V 03MEVENT FLO SOVEREIGN                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              |  | US        |     1700000 | OU      | $-78736.06    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | Ginnie Mae I Pool                                                                                                                        | CUSIP: 3617YFGP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     7190521 | PA      | $7192080.97   | 0.18%             | 2052-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                    | IndyMac INDX Mortgage Loan Trust 2006-AR15                                                                                               | CUSIP: 456610AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2133147 | PA      | $1886535.38   | 0.05%             | 2036-07-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| UBS AG                                              | PURCHASED JPY / SOLD USD                                                                                                                 | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | JP        |           1 | NC      | $9406.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 3138EJE38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1573 | PA      | $1570.02      | 0.00%             | 2027-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31419L3Z4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        8955 | PA      | $8820.67      | 0.00%             | 2025-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Barclays PLC                                        | Barclays PLC                                                                                                                             | CUSIP: 06738EBC8<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |      100000 | PA      | $99983.39     | 0.00%             | 2024-05-16      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| HCA INC                                             | HCA Inc                                                                                                                                  | CUSIP: 404119CD9<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     7300000 | PA      | $6637002.39   | 0.17%             | 2027-03-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| VMWARE INC                                          | VMware Inc                                                                                                                               | CUSIP: 928563AJ4<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |    13500000 | PA      | $11768848.43  | 0.30%             | 2026-08-15      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                      | PURCHASED USD / SOLD EUR                                                                                                                 | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |           1 | NC      | $-2718146.99  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Non Gold Pool                                                                                                                | CUSIP: 3128NCBF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        6186 | PA      | $6062.88      | 0.00%             | 2035-01-01      | Floating      | 1.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31407FUW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       62037 | PA      | $62952.56     | 0.00%             | 2035-08-01      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| Hyatt Hotels Corp                                   | Hyatt Hotels Corp                                                                                                                        | CUSIP: 448579AF9<br>LEI: T27JQIMTYSH41TCD5186 | Long             | DBT              | CORP              | US        |     2700000 | PA      | $2653238.51   | 0.07%             | 2026-03-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                               | Lehman Mortgage Trust 2006-4                                                                                                             | CUSIP: 52520RAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2906664 | PA      | $2131099.85   | 0.05%             | 2036-08-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| HUDSON PACIFIC PROPERTIE                            | Hudson Pacific Properties LP                                                                                                             | CUSIP: 44409MAB2<br>LEI: 5493007NTUGLGZ8T3526 | Long             | DBT              |  | US        |     2400000 | PA      | $2050443.86   | 0.05%             | 2029-04-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31402JYY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         796 | PA      | $810.92       | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                              | 317U05PA2 PIMCO SWAPTION 3.19 CALL USD 2023102                                                                                           | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |   -14100000 | NC      | $-21374.19    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Public Storage                                      | Public Storage                                                                                                                           | CUSIP: 74460DAC3<br>LEI: 549300LMZF40TKJ6DM64 | Long             | DBT              |  | US        |    15500000 | PA      | $14416446.62  | 0.37%             | 2027-09-15      | Fixed         | 3.09%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                       | PURCHASED USD / SOLD PEN                                                                                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $-255344.06   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31402RHU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       61903 | PA      | $58786.15     | 0.00%             | 2042-08-01      | Floating      | 2.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 3138AEPK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6139 | PA      | $5988.86      | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31416WEW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9579 | PA      | $9496.34      | 0.00%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HSI Asset Securitization Corporation Trust          | HSI Asset Securitization Corp Trust 2006-HE2                                                                                             | CUSIP: 44328BAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8625912 | PA      | $2278391.46   | 0.06%             | 2036-12-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31412QBP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5728 | PA      | $5745.26      | 0.00%             | 2039-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31418MYZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      143512 | PA      | $147589.87    | 0.00%             | 2039-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FirstEnergy Corp                                    | FirstEnergy Corp                                                                                                                         | CUSIP: 337932AH0<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |     1300000 | PA      | $1209322.96   | 0.03%             | 2027-07-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Gold Pool                                                                                                                    | CUSIP: 31297VKR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        5635 | PA      | $5784.07      | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                     | Long: SWPC0L936 CDS USD R F  1.00000 1 CCPCORPORATE / Short: SWPC0L936 CDS USD P V 03MEVENT 2 CCPCORPORATE                               | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |     6600000 | OU      | $-35362.80    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                              | Standard Chartered PLC                                                                                                                   | CUSIP: 853254CJ7<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |     6000000 | PA      | $5730856.68   | 0.15%             | 2026-03-30      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31417YPE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       17698 | PA      | $17664.23     | 0.00%             | 2025-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Social Professional Loan Program LLC                | Sofi Professional Loan Program 2016-F LLC                                                                                                | CUSIP: 78471AAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1549603 | PA      | $1477733.64   | 0.04%             | 2040-02-25      | Fixed         | 3.02%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP                              | Mizuho Financial Group Inc                                                                                                               | CUSIP: 60687YBL2<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |     9800000 | PA      | $7494413.68   | 0.19%             | 2031-09-08      | Fixed         | 1.98%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | Ginnie Mae I Pool                                                                                                                        | CUSIP: 36241LVF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        8581 | PA      | $8782.35      | 0.00%             | 2040-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities Trust                 | Mastr Asset Backed Securities Trust 2006-WMC3                                                                                            | CUSIP: 55291KAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4790097 | PA      | $1659279.15   | 0.04%             | 2036-08-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31410UF72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7937 | PA      | $8116.54      | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                         | Long: SWU01NKF1 IRS BRL R F 13.02400 SWU01NKF1 CCPNDFPREDISWAP / Short: SWU01NKF1 IRS BRL P V 00MBRCDI SWUV1NKF3 CCPNDFPREDISWAP         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    33600000 | OU      | $75860.17     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                           | Morgan Stanley Bank of America Merrill Lynch Trust 2016-C31                                                                              | CUSIP: 61766RAW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7531710 | PA      | $7218277.62   | 0.18%             | 2049-11-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | Ginnie Mae II Pool                                                                                                                       | CUSIP: 36225CMP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         795 | PA      | $785.99       | 0.00%             | 2030-01-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                     | CSAIL 2016-C7 Commercial Mortgage Trust                                                                                                  | CUSIP: 12637UAX7<br>LEI: 5493006MX7HG5PC85C29 | Long             | ABS-MBS          | CORP              | US        |     1876515 | PA      | $1806694.93   | 0.05%             | 2049-11-15      | Fixed         | 3.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31409WA76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1211 | PA      | $1233.72      | 0.00%             | 2036-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Securities                 | Banc of America Mortgage 2007-2 Trust                                                                                                    | CUSIP: 05952FAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4693718 | PA      | $3583534.79   | 0.09%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31376KPN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         447 | PA      | $454.57       | 0.00%             | 2035-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31410KLY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3502 | PA      | $3622.29      | 0.00%             | 2038-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                         | Long: BWU01E1O3 IRS JPY R V 06MTONA SWUV1E1O5 CCPOIS / Short: BWU01E1O3 IRS JPY P F   .80000 SWU01E1O3 CCPOIS                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   570000000 | OU      | $252565.50    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 3138WH3F7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       62184 | PA      | $61051.11     | 0.00%             | 2027-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31419BWX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6589 | PA      | $6430.97      | 0.00%             | 2025-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31412PRP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       78729 | PA      | $76862.48     | 0.00%             | 2024-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BSPDF 2021-FL1 Issuer Ltd                           | BSPDF 2021-FL1 Issuer Ltd                                                                                                                | CUSIP: 055731AA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    12000000 | PA      | $11464548.00  | 0.29%             | 2036-10-15      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                  | Alternative Loan Trust 2005-76                                                                                                           | CUSIP: 12668BDC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      403431 | PA      | $365369.33    | 0.01%             | 2036-01-25      | Floating      | 3.53%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Non Gold Pool                                                                                                                | CUSIP: 3128JNAL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       12243 | PA      | $12303.46     | 0.00%             | 2035-02-01      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| BOSTON PROPERTIES LP                                | Boston Properties LP                                                                                                                     | CUSIP: 10112RBF0<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              |  | US        |     4711000 | PA      | $3388857.61   | 0.09%             | 2033-10-01      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                            | Neuberger Berman CLO XIV Ltd                                                                                                             | CUSIP: 64129JBE9<br>LEI: 549300Z5ZNFT7IECFZ07 | Long             | ABS-CBDO         | CORP              | KY        |    12920834 | PA      | $12757010.41  | 0.33%             | 2030-01-28      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                       | PURCHASED USD / SOLD PEN                                                                                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $-115331.85   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | Ginnie Mae I Pool                                                                                                                        | CUSIP: 36291AGX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2412 | PA      | $2431.21      | 0.00%             | 2033-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31417MXZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1626 | PA      | $1622.21      | 0.00%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Gold Pool                                                                                                                    | CUSIP: 3128M55D8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        8562 | PA      | $8887.49      | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ace Securities Corp.                                | ACE Securities Corp Home Equity Loan Trust Series 2006-OP1                                                                               | CUSIP: 00442PAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2298104 | PA      | $2205129.95   | 0.06%             | 2036-04-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| City of Chicago IL                                  | CHICAGO IL                                                                                                                               | CUSIP: 167486D22<br>LEI: T5UYO5SYLC8K73MJQX30 | Long             | DBT              | MUN               | US        |     1939000 | PA      | $1970768.58   | 0.05%             | 2042-01-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                              | 317U05NA4 PIMCO SWAPTION 3.225 CALL USD 202310                                                                                           | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |    -1500000 | NC      | $-2367.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31406H3D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       34450 | PA      | $34665.39     | 0.00%             | 2035-01-01      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31406BJF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       13272 | PA      | $13305.34     | 0.00%             | 2035-01-01      | Floating      | 1.93%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Gold Pool                                                                                                                    | CUSIP: 3128L3H58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       31195 | PA      | $31666.34     | 0.00%             | 2037-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | Ginnie Mae I Pool                                                                                                                        | CUSIP: 36241LN77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       67155 | PA      | $68736.19     | 0.00%             | 2040-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                              | 317U1O7A0 PIMCO SWAPTION 3.62 PUT USD 20221230                                                                                           | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |    -3700000 | NC      | $-0.37        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                 | PURCHASED GBP / SOLD USD                                                                                                                 | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | GB        |           1 | NC      | $19278.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | Ginnie Mae I Pool                                                                                                                        | CUSIP: 3617NR7A5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      401908 | PA      | $403782.04    | 0.01%             | 2050-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | Ginnie Mae I Pool                                                                                                                        | CUSIP: 36241LJB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        9762 | PA      | $9990.19      | 0.00%             | 2040-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                              | Pacific Gas and Electric Co                                                                                                              | CUSIP: 694308HK6<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     4500000 | PA      | $4317806.70   | 0.11%             | 2024-08-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIF GAS CO                               | Southern California Gas Co                                                                                                               | CUSIP: 842434CW0<br>LEI: XY0N0J73VHV5F4CUJV89 | Long             | DBT              | CORP              | US        |    12500000 | PA      | $11526841.88  | 0.29%             | 2027-04-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31390NF56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       12743 | PA      | $12576.79     | 0.00%             | 2032-07-01      | Floating      | 3.90%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Group AG                              | Credit Suisse Group AG                                                                                                                   | CUSIP: 225401AG3<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    15700000 | PA      | $15307359.33  | 0.39%             | 2024-06-12      | Fixed         | 4.21%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                         | Long: BWU01MMI5 IRS BRL R V 00MBRCDI SWUV1MMI7 CCPNDFPREDISWAP / Short: BWU01MMI5 IRS BRL P F 12.95760 SWU01MMI5 CCPNDFPREDISWAP         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   485000000 | OU      | $400921.09    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31418DB43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      155242 | PA      | $149300.62    | 0.00%             | 2034-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31410FDB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3977 | PA      | $4037.63      | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                      | Long: SWPC0LER7 CDS USD R F  1.00000 FIX SOVEREIGN / Short: SWPC0LER7 CDS USD P V 03MEVENT FLO SOVEREIGN                                 | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DCR              |  | FR        |      500000 | OU      | $-36431.94    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                      | Long: SWPC0KSS2 CDS USD R F  1.00000 FIX SOVEREIGN / Short: SWPC0KSS2 CDS USD P V 03MEVENT FLO SOVEREIGN                                 | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DCR              |  | FR        |     2400000 | OU      | $-143679.24   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BofA Securities, Inc.                               | Long: BWU01NHV0 IRS USD R V 12MSOFR SWUV1NHV2 CCPOIS / Short: BWU01NHV0 IRS USD P F  4.27000 SWU01NHV0 CCPOIS                            | CUSIP: 000000000<br>LEI: 549300HN4UKV1E2R3U73 | N/A              | DIR              |  | US        |    49800000 | OU      | $65980.02     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31404LAU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      214447 | PA      | $210983.17    | 0.01%             | 2034-05-01      | Floating      | 3.41%                 | No            |                  2 | On Loan: No      |
| OSD CLO 2021-23 Ltd                                 | OSD CLO 2021-23 Ltd                                                                                                                      | CUSIP: 671026AA0<br>LEI: 2549004IE8HHQL34D058 | Long             | ABS-CBDO         | CORP              | KY        |    13449460 | PA      | $13179502.92  | 0.34%             | 2031-04-17      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                            | JP Morgan Mortgage Trust 2005-A4                                                                                                         | CUSIP: 466247RN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      179855 | PA      | $178978.21    | 0.00%             | 2035-07-25      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | Government National Mortgage Association                                                                                                 | CUSIP: 38376RC53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     6946112 | PA      | $7051668.80   | 0.18%             | 2066-09-20      | Variable      | 4.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31419FWM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       73812 | PA      | $71447.74     | 0.00%             | 2030-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset Backed Certificates   | First Franklin Mortgage Loan Trust 2006-FF14                                                                                             | CUSIP: 32027LAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    16312000 | PA      | $12817537.33  | 0.33%             | 2036-10-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| Ripon Mortgages PLC                                 | Ripon Mortgages PLC                                                                                                                      | CUSIP: 000000000<br>LEI: 213800MQYZ3GZ4HK1I88 | Long             | ABS-MBS          | CORP              | GB        |     5777000 | PA      | $6620058.27   | 0.17%             | 2056-08-28      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31416MSW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          96 | PA      | $95.35        | 0.00%             | 2024-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | Ginnie Mae I Pool                                                                                                                        | CUSIP: 36297DK89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         369 | PA      | $372.06       | 0.00%             | 2039-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Gold Pool                                                                                                                    | CUSIP: 312930QW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        5124 | PA      | $5143.86      | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31405UMM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4726 | PA      | $4661.38      | 0.00%             | 2034-10-01      | Floating      | 3.83%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                            | Madison Park Funding XXXV Ltd                                                                                                            | CUSIP: 55819MAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     7300000 | PA      | $7140443.90   | 0.18%             | 2032-04-20      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                           | Uniform Mortgage-Backed Security, TBA                                                                                                    | CUSIP: 01F030611<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    16961037 | PA      | $14881092.48  | 0.38%             | 2053-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31408DLD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      120260 | PA      | $122085.18    | 0.00%             | 2035-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31405JC36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      105377 | PA      | $106738.94    | 0.00%             | 2034-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BofA Securities, Inc.                               | Long: SWU01GMR8 IRS USD R F  1.57300 SWU01GMR8 CCPOIS / Short: SWU01GMR8 IRS USD P V 12MSOFR SWUV1GMR0 CCPOIS                            | CUSIP: 000000000<br>LEI: 549300HN4UKV1E2R3U73 | N/A              | DIR              |  | US        |     6100000 | OU      | $-526662.41   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31406GCS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       15757 | PA      | $15781.35     | 0.00%             | 2035-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31402GW58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         789 | PA      | $799.32       | 0.00%             | 2033-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31389XGH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         675 | PA      | $666.45       | 0.00%             | 2032-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31371HHR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         891 | PA      | $921.64       | 0.00%             | 2029-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 3140HKL30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       71780 | PA      | $69379.74     | 0.00%             | 2033-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31418DFK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      339242 | PA      | $326226.92    | 0.01%             | 2034-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31417YTF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1377 | PA      | $1374.80      | 0.00%             | 2025-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Gold Pool                                                                                                                    | CUSIP: 3128M66H6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       20828 | PA      | $21620.64     | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                              | PURCHASED USD / SOLD PEN                                                                                                                 | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |           1 | NC      | $-430132.30   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | Ginnie Mae I Pool                                                                                                                        | CUSIP: 36241K4C9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       23506 | PA      | $23806.51     | 0.00%             | 2039-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | Ginnie Mae I Pool                                                                                                                        | CUSIP: 3620A8NL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       13318 | PA      | $13632.72     | 0.00%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                             | GLP Capital LP / GLP Financing II Inc                                                                                                    | CUSIP: 361841AJ8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     5000000 | PA      | $4915072.70   | 0.13%             | 2025-06-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31417MUQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       19985 | PA      | $19946.31     | 0.00%             | 2024-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                            | PURCHASED USD / SOLD AUD                                                                                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $252.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31416BMS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       24049 | PA      | $24989.94     | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Funding                         | Towd Point Mortgage Funding 2020-Auburn 14 PLC                                                                                           | CUSIP: 000000000<br>LEI: 6354008RRKZLZQWJ8D70 | Long             | ABS-MBS          | CORP              | GB        |    22937769 | PA      | $27219903.09  | 0.70%             | 2045-05-20      | Floating      | 4.17%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                              | PURCHASED USD / SOLD CLP                                                                                                                 | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |           1 | NC      | $-924016.60   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL                              | Marriott International Inc/MD                                                                                                            | CUSIP: 571903BA0<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |    10000000 | PA      | $9893203.40   | 0.25%             | 2023-12-01      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Gold Pool                                                                                                                    | CUSIP: 3128M5R93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       31546 | PA      | $32749.52     | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                  | Alternative Loan Trust 2006-23CB                                                                                                         | CUSIP: 02147RAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1774585 | PA      | $1646203.08   | 0.04%             | 2036-08-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                  | Alternative Loan Trust 2005-J3                                                                                                           | CUSIP: 12667GDJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      406283 | PA      | $16383.38     | 0.00%             | 2035-05-25      | Floating      | 0.61%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corporation             | Structured Asset Securities Corp Mortgage Loan Trust 2007-WF2                                                                            | CUSIP: 86364LAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       91281 | PA      | $90201.55     | 0.00%             | 2037-08-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| BofA Securities, Inc.                               | Long: SWU01J0R6 IRS EUR R F  1.58000 SWU01J0R6 CCPVANILLA / Short: SWU01J0R6 IRS EUR P V 06MEURIB SWUV1J0R8 CCPVANILLA                   | CUSIP: 000000000<br>LEI: 549300HN4UKV1E2R3U73 | N/A              | DIR              |  | US        |   265900000 | OU      | $-5793694.94  | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| UDR Inc                                             | UDR Inc                                                                                                                                  | CUSIP: 90265EAP5<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              |  | US        |     3400000 | PA      | $3177791.50   | 0.08%             | 2029-01-26      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31406EYN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2450 | PA      | $2457.03      | 0.00%             | 2035-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE                             | Nissan Motor Acceptance Co LLC                                                                                                           | CUSIP: 65480CAC9<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |    13500000 | PA      | $11270316.24  | 0.29%             | 2026-09-16      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Gold Pool                                                                                                                    | CUSIP: 31296LQL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         561 | PA      | $566.18       | 0.00%             | 2033-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31410KNH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       88932 | PA      | $92222.70     | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                              | 317U388O2 PIMCO FPPSWAPTION 2.697 PUT USD                                                                                                | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |   -34500000 | NC      | $-760652.55   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31406BZG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3429 | PA      | $3482.81      | 0.00%             | 2034-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31407HPR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       84161 | PA      | $87165.00     | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Venture CDO Ltd                                     | Venture XXVIII CLO Ltd                                                                                                                   | CUSIP: 92331AAU8<br>LEI: 54930010DKR017G3JK24 | Long             | ABS-CBDO         | CORP              | KY        |    11600000 | PA      | $11372500.80  | 0.29%             | 2030-07-20      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | Ginnie Mae II Pool                                                                                                                       | CUSIP: 36225CN36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        9637 | PA      | $9442.28      | 0.00%             | 2030-05-20      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset Backed Certificates   | First Franklin Mortgage Loan Trust 2006-FF16                                                                                             | CUSIP: 320275AD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     4719637 | PA      | $2013303.76   | 0.05%             | 2036-12-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Gold Pool                                                                                                                    | CUSIP: 3128LDQQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        6442 | PA      | $6512.63      | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                         | Long: SWU01EV36 IRS BRL R F 10.83270 SWU01EV36 CCPNDFPREDISWAP L / Short: SWU01EV36 IRS BRL P V 00MCETIP SWUV1EV38 CCPNDFPREDISWAP S     | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | BR        |    49801000 | OU      | $-310064.86   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Gold Pool                                                                                                                    | CUSIP: 3128M5NL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       21074 | PA      | $21875.87     | 0.00%             | 2037-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31411ENM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1233 | PA      | $1236.49      | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31418CLS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      334776 | PA      | $323602.58    | 0.01%             | 2032-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| IVORY COAST                                         | Ivory Coast Government International Bond                                                                                                | CUSIP: 000000000<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |     4900000 | PA      | $4384569.68   | 0.11%             | 2031-10-17      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31411FE42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       31037 | PA      | $31976.92     | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2020-1 A PTT                             | United Airlines 2020-1 Class A Pass Through Trust                                                                                        | CUSIP: 90931GAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    10116907 | PA      | $9974722.64   | 0.25%             | 2027-10-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 3140MFY56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     6936913 | PA      | $6091173.65   | 0.16%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BOSTON GAS COMPANY                                  | Boston Gas Co                                                                                                                            | CUSIP: 100743AM5<br>LEI: FN7P4E7K9JOBORDEUX61 | Long             | DBT              | CORP              | US        |    12500000 | PA      | $10882192.00  | 0.28%             | 2032-03-16      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31412PG70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       13332 | PA      | $13204.51     | 0.00%             | 2039-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corporation                 | Banc of America Funding 2005-D Trust                                                                                                     | CUSIP: 06051GDM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      236738 | PA      | $222049.39    | 0.01%             | 2035-05-25      | Variable      | 3.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 3138EGVH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      108025 | PA      | $112021.28    | 0.00%             | 2040-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | Ginnie Mae I Pool                                                                                                                        | CUSIP: 36241KVV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      201786 | PA      | $206553.31    | 0.01%             | 2038-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31412QSK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       22737 | PA      | $21838.00     | 0.00%             | 2035-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                     | Long: SWPC0KG30 CDS EUR R F  5.00000 1 CCPCORPORATE / Short: SWPC0KG30 CDS EUR P V 03MEVENT 2 CCPCORPORATE                               | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |     3200000 | OU      | $435527.36    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | Ginnie Mae II Pool                                                                                                                       | CUSIP: 36225CUH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         139 | PA      | $135.70       | 0.00%             | 2032-03-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31406AZX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         818 | PA      | $840.44       | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Flex Ltd                                            | Flex Ltd                                                                                                                                 | CUSIP: 33938XAA3<br>LEI: 549300EAQH74YHD07T53 | Long             | DBT              | CORP              | SG        |     8160000 | PA      | $7678263.63   | 0.20%             | 2029-06-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| AbbVie Inc                                          | AbbVie Inc                                                                                                                               | CUSIP: 00287YAY5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     1300000 | PA      | $1230876.53   | 0.03%             | 2026-05-14      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31415VXY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         326 | PA      | $324.47       | 0.00%             | 2023-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                       | PURCHASED USD / SOLD ZAR                                                                                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $-523606.39   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31411DS67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         525 | PA      | $543.47       | 0.00%             | 2037-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac REMICS                                                                                                                       | CUSIP: 3137AKPF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     8828625 | PA      | $7991918.91   | 0.20%             | 2042-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO                                     | Nissan Motor Co Ltd                                                                                                                      | CUSIP: 654744AB7<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |     8100000 | PA      | $7524082.87   | 0.19%             | 2025-09-17      | Fixed         | 3.52%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BLDG SOCIETY                             | Nationwide Building Society                                                                                                              | CUSIP: 63861VAC1<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |     5390000 | PA      | $5319493.41   | 0.14%             | 2024-08-01      | Fixed         | 4.36%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corporation                 | Banc of America Funding 2006 J Trust                                                                                                     | CUSIP: 05951EAM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       56741 | PA      | $51638.66     | 0.00%             | 2047-01-20      | Variable      | 4.27%                 | No            |                  2 | On Loan: No      |
| Harvest CLO                                         | Harvest Clo XX DAC                                                                                                                       | CUSIP: 000000000<br>LEI: 635400EXPHDZLGQCVU09 | Long             | ABS-CBDO         | CORP              | IE        |    10900000 | PA      | $11287549.28  | 0.29%             | 2031-10-20      | Floating      | 2.14%                 | No            |                  2 | On Loan: No      |
| United States Treasury                              | United States Treasury Note/Bond                                                                                                         | CUSIP: 912828G38<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   110600000 | PA      | $106223523.71 | 2.71%             | 2024-11-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                         | Long: SWU01HMA3 IRS BRL R F 11.32000 SWU01HMA3 CCPNDFPREDISWAP / Short: SWU01HMA3 IRS BRL P V 00MBRCDI SWUV1HMA5 CCPNDFPREDISWAP         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    72900000 | OU      | $-400686.48   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31410RH93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         322 | PA      | $327.00       | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | Ginnie Mae I Pool                                                                                                                        | CUSIP: 36241LXP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       44898 | PA      | $45948.07     | 0.00%             | 2040-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Manhattan West                                      | Manhattan West 2020-1MW Mortgage Trust                                                                                                   | CUSIP: 563136AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    12300000 | PA      | $10501851.93  | 0.27%             | 2039-09-10      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31376KR32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       53820 | PA      | $55631.08     | 0.00%             | 2035-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | Ginnie Mae II Pool                                                                                                                       | CUSIP: 36225CS23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         702 | PA      | $679.60       | 0.00%             | 2031-08-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| CSC Holdings LLC                                    | CSC Holdings LLC                                                                                                                         | CUSIP: 126307AS6<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |     3800000 | PA      | $3063750.00   | 0.08%             | 2028-02-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust              | Merrill Lynch Mortgage Investors Trust Series 2006-HE4                                                                                   | CUSIP: 59023EAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8776178 | PA      | $2226216.27   | 0.06%             | 2037-07-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates               | CWABS Asset-Backed Certificates Trust 2007-4                                                                                             | CUSIP: 12668WAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2319812 | PA      | $2230911.14   | 0.06%             | 2032-10-25      | Variable      | 4.48%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | Ginnie Mae II Pool                                                                                                                       | CUSIP: 36225CR40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2934 | PA      | $2924.03      | 0.00%             | 2031-04-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31414UZ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4541 | PA      | $4729.52      | 0.00%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31407DZ40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       26888 | PA      | $26959.86     | 0.00%             | 2035-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae REMICS                                                                                                                        | CUSIP: 31394VL73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      236299 | PA      | $234597.10    | 0.01%             | 2035-05-25      | Floating      | 3.26%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates               | CWABS Asset-Backed Certificates Trust 2006-11                                                                                            | CUSIP: 12666TAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      795886 | PA      | $788675.54    | 0.02%             | 2046-09-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | Ginnie Mae II Pool                                                                                                                       | CUSIP: 36225CFH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2470 | PA      | $2393.77      | 0.00%             | 2028-02-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| SPRINT LLC                                          | Sprint LLC                                                                                                                               | CUSIP: 85207UAF2<br>LEI: 549300ZTTY7CXOLJ6539 | Long             | DBT              | CORP              | US        |     2800000 | PA      | $2839160.80   | 0.07%             | 2023-09-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                              | United States Treasury Note/Bond                                                                                                         | CUSIP: 912810QB7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     9600000 | PA      | $9887250.05   | 0.25%             | 2039-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31403JR81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         139 | PA      | $139.72       | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Gold Pool                                                                                                                    | CUSIP: 3128KRVH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        2993 | PA      | $3041.43      | 0.00%             | 2036-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31417YPM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       32682 | PA      | $31636.01     | 0.00%             | 2030-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust                            | Bear Stearns ALT-A Trust 2005-4                                                                                                          | CUSIP: 07386HSY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      393018 | PA      | $363693.46    | 0.01%             | 2035-05-25      | Variable      | 3.12%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust      | Structured Adjustable Rate Mortgage Loan Trust Series 2005-17                                                                            | CUSIP: 863579VM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       45313 | PA      | $38426.45     | 0.00%             | 2035-08-25      | Variable      | 3.68%                 | No            |                  2 | On Loan: No      |
| GSAMP Trust                                         | GSAMP Trust 2006-HE1                                                                                                                     | CUSIP: 3623414T3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2155407 | PA      | $2157429.15   | 0.06%             | 2036-01-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | Government National Mortgage Association                                                                                                 | CUSIP: 38375UYN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     6399767 | PA      | $6332230.94   | 0.16%             | 2067-01-20      | Floating      | 3.67%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                 | COMM 2016-787S Mortgage Trust                                                                                                            | CUSIP: 12635WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    11600000 | PA      | $10601929.04  | 0.27%             | 2036-02-10      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| SANTANDER HOLDINGS USA                              | Santander Holdings USA Inc                                                                                                               | CUSIP: 80282KBB1<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |     4800000 | PA      | $4573873.25   | 0.12%             | 2025-06-02      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31413TJC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2552 | PA      | $2590.88      | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Gold Pool                                                                                                                    | CUSIP: 3128M5ED8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       57801 | PA      | $59717.26     | 0.00%             | 2037-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                       | PURCHASED USD / SOLD NZD                                                                                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $735.78       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31410GDF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6383 | PA      | $6340.46      | 0.00%             | 2033-06-01      | Floating      | 3.03%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Pool                                                                                                                         | CUSIP: 3132CWJA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      547981 | PA      | $534810.59    | 0.01%             | 2033-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Mercedes-Benz Finance North America LLC             | Mercedes-Benz Finance North America LLC                                                                                                  | CUSIP: 58768KNW1<br>LEI: 549300423Z16BB673J12 | Long             | STIV             | CORP              | US        |     8000000 | PA      | $7967518.88   | 0.20%             | 2023-01-30      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31417SAP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2520 | PA      | $2513.95      | 0.00%             | 2024-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Barclays PLC                                        | Barclays PLC                                                                                                                             | CUSIP: 06738EBB0<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |      700000 | PA      | $695126.51    | 0.02%             | 2024-05-16      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP                              | Mizuho Financial Group Inc                                                                                                               | CUSIP: 60687YBD0<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |     5900000 | PA      | $5418998.25   | 0.14%             | 2026-05-25      | Fixed         | 2.23%                 | No            |                  2 | On Loan: No      |
| BofA Securities, Inc.                               | Long: SWU01LBR9 IRS USD R F  3.05000 SWU01LBR9 CCPOIS / Short: SWU01LBR9 IRS USD P V 12MSOFR SWUV1LBR1 CCPOIS                            | CUSIP: 000000000<br>LEI: 549300HN4UKV1E2R3U73 | N/A              | DIR              |  | US        |     7300000 | OU      | $-254051.68   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates               | CWABS Asset-Backed Certificates Trust 2005-7                                                                                             | CUSIP: 1266732K7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      551974 | PA      | $550027.77    | 0.01%             | 2035-11-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| Citicorp Mortgage Securities, Inc.                  | Citicorp Mortgage Securities Trust Series 2007-4                                                                                         | CUSIP: 17312XAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      731549 | PA      | $629356.99    | 0.02%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                         | Long: SWU01JM92 IRS USD R F  2.15000 SWU01JM92 CCPOIS / Short: SWU01JM92 IRS USD P V 12MSOFR SWUV1JM94 CCPOIS                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    86400000 | OU      | $-5807540.16  | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31416XMX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       25093 | PA      | $24097.83     | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | Ginnie Mae I Pool                                                                                                                        | CUSIP: 36297HXT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      262303 | PA      | $268197.01    | 0.01%             | 2039-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | Ginnie Mae I Pool                                                                                                                        | CUSIP: 3620A9TG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3818 | PA      | $3894.57      | 0.00%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                         | 317552O02 PIMCO CDSOPT PUT EUR 3.0 20230315                                                                                              | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | US        |    -6200000 | NC      | $-337.81      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Simon Property Group LP                             | Simon Property Group LP                                                                                                                  | CUSIP: 828807DD6<br>LEI: MR92GTD0MJTTTTQDVG45 | Long             | DBT              |  | US        |    12390000 | PA      | $12266704.88  | 0.31%             | 2023-06-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Gold Pool                                                                                                                    | CUSIP: 31296NVD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1498 | PA      | $1513.40      | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | Ginnie Mae II Pool                                                                                                                       | CUSIP: 36202KZ40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2599 | PA      | $2553.78      | 0.00%             | 2026-05-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                         | Long: SWU01HY44 IRS EUR R F   .65000 SWU01HY44 CCPVANILLA / Short: SWU01HY44 IRS EUR P V 06MEURIB SWUV1HY46 CCPVANILLA                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    27000000 | OU      | $-2925823.96  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31410FYT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      153908 | PA      | $160676.24    | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | Ginnie Mae II Pool                                                                                                                       | CUSIP: 36202KAV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |           6 | PA      | $6.48         | 0.00%             | 2023-01-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Gold Pool                                                                                                                    | CUSIP: 312944HJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      148126 | PA      | $142905.84    | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                         | Long: SWU01EK95 IRS BRL R F 10.75470 SWU01EK95 CCPNDFPREDISWAP F L / Short: SWU01EK95 IRS BRL P V 00MCETIP SWUV1EK97 CCPNDFPREDISWAP P S | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | BR        |   247900000 | OU      | $-1600619.60  | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31412RB63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       10060 | PA      | $10040.19     | 0.00%             | 2025-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | Ginnie Mae I Pool                                                                                                                        | CUSIP: 36296TBZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         725 | PA      | $728.46       | 0.00%             | 2039-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                         | Long: BWU01MMX2 IRS BRL R V 00MBRCDI SWUV1MMX4 CCPNDFPREDISWAP / Short: BWU01MMX2 IRS BRL P F 11.69180 SWU01MMX2 CCPNDFPREDISWAP         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   134700000 | OU      | $399522.03    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Symphony CLO Ltd                                    | Symphony CLO XVII Ltd                                                                                                                    | CUSIP: 87165UAN1<br>LEI: 549300X84MR2MGY6OR68 | Long             | ABS-CBDO         | CORP              | KY        |     1259004 | PA      | $1248383.40   | 0.03%             | 2028-04-15      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31384USH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       42974 | PA      | $42206.33     | 0.00%             | 2028-10-01      | Floating      | 3.11%                 | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                                | Jyske Realkredit A/S                                                                                                                     | CUSIP: 000000000<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |    12524041 | PA      | $1306271.10   | 0.03%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                            | JP Morgan Mortgage Trust Series 2008-R1                                                                                                  | CUSIP: 46632GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4923072 | PA      | $4170188.43   | 0.11%             | 2037-12-26      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                            | Long: SWPC0KL67 CDS USD R F  1.00000 FIX CORPORATE / Short: SWPC0KL67 CDS USD P V 03MEVENT FLO CORPORATE                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              |  | US        |    36100000 | OU      | $-1400507.08  | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Bear Stearns Structured Products Inc.               | Bear Stearns Structured Products Inc Trust 2007-R6                                                                                       | CUSIP: 07402FAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      366535 | PA      | $260813.59    | 0.01%             | 2046-12-26      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Home Equity Trust                       | Wells Fargo Home Equity Asset-Backed Securities 2005-3 Trust                                                                             | CUSIP: 9497EMAH8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2510079 | PA      | $2498760.47   | 0.06%             | 2035-12-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| CADILLAC FAIRVIEW PRP TR                            | Ontario Teachers' Cadillac Fairview Properties Trust                                                                                     | CUSIP: 68327LAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |     1700000 | PA      | $1566590.65   | 0.04%             | 2027-03-20      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                     | Long: SWPC0I305 CDS USD R F  1.00000 1 CCPCORPORATE / Short: SWPC0I305 CDS USD P V 03MEVENT 2 CCPCORPORATE                               | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |     2900000 | OU      | $21114.90     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Gold Pool                                                                                                                    | CUSIP: 312928SS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         833 | PA      | $836.88       | 0.00%             | 2038-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Sales Tax Securitization Corp                       | SALES TAX SECURITIZATION CORP IL                                                                                                         | CUSIP: 79467BDG7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    10100000 | PA      | $8128114.38   | 0.21%             | 2033-01-01      | Fixed         | 3.01%                 | No            |                  2 | On Loan: No      |
| UniCredit SpA                                       | UniCredit SpA                                                                                                                            | CUSIP: 904678AG4<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |    29700000 | PA      | $29839233.60  | 0.76%             | 2023-12-04      | Fixed         | 7.83%                 | No            |                  2 | On Loan: No      |
| United States Treasury                              | United States Treasury Note/Bond                                                                                                         | CUSIP: 9128282R0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    24360000 | PA      | $22533951.50  | 0.58%             | 2027-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Ripon Mortgages PLC                                 | Ripon Mortgages PLC                                                                                                                      | CUSIP: 000000000<br>LEI: 213800MQYZ3GZ4HK1I88 | Long             | ABS-MBS          | CORP              | GB        |    16620108 | PA      | $19762091.97  | 0.50%             | 2056-08-28      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| Ameriquest Mortgage Securities Inc.                 | Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2004 R3                                                            | CUSIP: 03072SQC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      792928 | PA      | $781823.14    | 0.02%             | 2034-05-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Marathon CLO LTD                                    | Marathon CLO IX Ltd                                                                                                                      | CUSIP: 56577PAL3<br>LEI: 5493008SBRQGMZFP2M89 | Long             | ABS-CBDO         | CORP              | KY        |     8086129 | PA      | $7996882.33   | 0.20%             | 2029-04-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                   | EURO-BOBL FUTURE MAR23                                                                                                                   | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |         162 | NC      | $-739572.83   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| American Tower Corp                                 | American Tower Corp                                                                                                                      | CUSIP: 03027XAT7<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |    12000000 | PA      | $11677179.12  | 0.30%             | 2024-05-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31417YYC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       10253 | PA      | $10174.31     | 0.00%             | 2031-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                              | United States Treasury Note/Bond                                                                                                         | CUSIP: 9128282N9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    24800000 | PA      | $23853531.31  | 0.61%             | 2024-07-31      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                              | Sequoia Mortgage Trust 2003-4                                                                                                            | CUSIP: 81743PBW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       71760 | PA      | $65047.32     | 0.00%             | 2033-07-20      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                              | 317U0FJA7 PIMCO SWAPTION 3.65 PUT USD 20231120                                                                                           | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |   -15600000 | NC      | $-120884.40   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Non Gold Pool                                                                                                                | CUSIP: 31295MZJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        4858 | PA      | $4752.77      | 0.00%             | 2031-11-01      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31403DBG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6992 | PA      | $7236.24      | 0.00%             | 2036-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Asset Backed Funding Certificates                   | ABFC 2004-OPT5 Trust                                                                                                                     | CUSIP: 04542BJY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1147831 | PA      | $1072137.86   | 0.03%             | 2034-06-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                     | Long: BWPC0K0K9 CDS USD R V 03MEVENT 2 CCPCDX / Short: BWPC0K0K9 CDS USD P F  5.00000 1 CCPCDX                                           | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |     7722000 | OU      | $-225567.34   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Gold Pool                                                                                                                    | CUSIP: 3128L4R55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        4888 | PA      | $5074.29      | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust                       | MASTR Alternative Loan Trust 2005-1                                                                                                      | CUSIP: 576434D92<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2754639 | PA      | $2711167.09   | 0.07%             | 2035-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31403VKB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         349 | PA      | $356.35       | 0.00%             | 2034-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2016-2 AA PTT                            | United Airlines 2016-2 Class AA Pass Through Trust                                                                                       | CUSIP: 90932EAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     3678451 | PA      | $3127640.98   | 0.08%             | 2028-10-07      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                         | Long: SWU01NKG9 IRS BRL R F 12.99000 SWU01NKG9 CCPNDFPREDISWAP / Short: SWU01NKG9 IRS BRL P V 00MBRCDI SWUV1NKG1 CCPNDFPREDISWAP         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    33600000 | OU      | $70923.28     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | Ginnie Mae I Pool                                                                                                                        | CUSIP: 36241L6G6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        9961 | PA      | $10193.36     | 0.00%             | 2033-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust          | Bear Stearns Asset Backed Securities I Trust 2007-HE3                                                                                    | CUSIP: 073852AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5790414 | PA      | $7851035.86   | 0.20%             | 2037-04-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF CHILE                                   | Chile Government International Bond                                                                                                      | CUSIP: 168863DY1<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |    12500000 | PA      | $10561133.25  | 0.27%             | 2042-03-07      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                              | 317U391O7 PIMCO FPPSWAPTION 2.697 CALL USD                                                                                               | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |   -34500000 | NC      | $-432312.60   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Spirit AeroSystems Inc                              | Spirit AeroSystems Inc                                                                                                                   | CUSIP: 85205TAK6<br>LEI: ZD2NBKV6GCC3UMGBM518 | Long             | DBT              | CORP              | US        |     1600000 | PA      | $1291844.83   | 0.03%             | 2028-06-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 3138MGQD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       37469 | PA      | $37295.05     | 0.00%             | 2042-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                         | Long: SWU01J104 IRS BRL R F 12.07000 SWU01J104 CCPNDFPREDISWAP / Short: SWU01J104 IRS BRL P V 00MBRCDI SWUV1J106 CCPNDFPREDISWAP         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   259900000 | OU      | $-682913.19   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank N.A.                                       | PURCHASED USD / SOLD MXN                                                                                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $111744.08    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays PLC                                        | Barclays PLC                                                                                                                             | CUSIP: 06738EBD6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     2000000 | PA      | $1878259.82   | 0.05%             | 2029-05-16      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Gold Pool                                                                                                                    | CUSIP: 3132FCAZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        6898 | PA      | $7000.07      | 0.00%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31407YHH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       61365 | PA      | $59894.59     | 0.00%             | 2035-11-01      | Floating      | 3.48%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Non Gold Pool                                                                                                                | CUSIP: 3128JMW45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        2545 | PA      | $2507.97      | 0.00%             | 2034-11-01      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | Government National Mortgage Association                                                                                                 | CUSIP: 38376RLJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     3641543 | PA      | $3618402.08   | 0.09%             | 2065-10-20      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31402YJD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       78949 | PA      | $79496.91     | 0.00%             | 2033-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Gold Pool                                                                                                                    | CUSIP: 3128M9ZZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       47522 | PA      | $47163.70     | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31371HNM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1089 | PA      | $1123.66      | 0.00%             | 2029-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                           | Boeing Co/The                                                                                                                            | CUSIP: 097023DA0<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    12000000 | PA      | $11120716.56  | 0.28%             | 2026-02-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31407JHM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5992 | PA      | $6085.71      | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31402RDH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      275946 | PA      | $285365.98    | 0.01%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                                | Edison International                                                                                                                     | CUSIP: 281020AQ0<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |     2900000 | PA      | $2799591.13   | 0.07%             | 2024-11-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Apex Credit CLO LLC                                 | JFIN CLO 2017-II Ltd                                                                                                                     | CUSIP: 46593CAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    10696815 | PA      | $10504860.54  | 0.27%             | 2029-09-20      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                 | PURCHASED USD / SOLD ZAR                                                                                                                 | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |           1 | NC      | $-290854.36   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Gold Pool                                                                                                                    | CUSIP: 31292KZ75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        4582 | PA      | $4756.98      | 0.00%             | 2040-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP                              | Aviation Capital Group LLC                                                                                                               | CUSIP: 05369AAD3<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |    10500000 | PA      | $9795212.60   | 0.25%             | 2025-08-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31410GDV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       99889 | PA      | $101816.00    | 0.00%             | 2035-11-01      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| United States Treasury                              | United States Treasury Inflation Indexed Bonds                                                                                           | CUSIP: 912810RF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      511412 | PA      | $474566.25    | 0.01%             | 2044-02-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                         | Long: SWU01IQW9 IRS EUR R F  1.00000 SWU01IQW9 CCPVANILLA / Short: SWU01IQW9 IRS EUR P V 06MEURIB SWUV1IQW1 CCPVANILLA                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    23700000 | OU      | $-2265951.44  | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                              | United States Treasury Note/Bond                                                                                                         | CUSIP: 912810QD3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    57100000 | PA      | $59537902.20  | 1.52%             | 2039-11-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | Government National Mortgage Association                                                                                                 | CUSIP: 38376RMG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    13996072 | PA      | $13808429.89  | 0.35%             | 2065-12-20      | Floating      | 3.47%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                         | Long: SWPC0LEP1 CDS USD R F  1.00000 FIX SOVEREIGN / Short: SWPC0LEP1 CDS USD P V 03MEVENT FLO SOVEREIGN                                 | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | GB        |     1400000 | OU      | $-102009.45   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GCT Commercial Mortgage Trust                       | GCT Commercial Mortgage Trust 2021-GCT                                                                                                   | CUSIP: 36167RAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4000000 | PA      | $3711448.80   | 0.09%             | 2038-02-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | Ginnie Mae II Pool                                                                                                                       | CUSIP: 36225CA55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1017 | PA      | $988.29       | 0.00%             | 2027-01-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| FHLMC Structured Pass Through Securities            | Freddie Mac Structured Pass-Through Certificates                                                                                         | CUSIP: 31395HHV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      334075 | PA      | $332455.53    | 0.01%             | 2044-10-25      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| LSI OPEN POSITION NET ASSET                         | LSI OPEN POSITION NET ASSET                                                                                                              | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1000612 | PA      | $0.00         | 0.00%             | 2060-12-31      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Chicago Mercantile Exchange                         | Long: SWU01JEG5 IRS BRL R F 12.59000 SWU01JEG5 CCPNDFPREDISWAP / Short: SWU01JEG5 IRS BRL P V 00MBRCDI SWUV1JEG7 CCPNDFPREDISWAP         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    54600000 | OU      | $-41669.43    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                  | Alternative Loan Trust 2006-J1                                                                                                           | CUSIP: 12668BJZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1504036 | PA      | $1073509.93   | 0.03%             | 2036-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                            | Long: SWPC0KE57 CDS USD R F  1.00000 FIX SOVEREIGN / Short: SWPC0KE57 CDS USD P V 03MEVENT FLO SOVEREIGN                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              |  | US        |     3200000 | OU      | $-148209.06   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                            | PURCHASED CNY / SOLD USD                                                                                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CN        |           1 | NC      | $62.52        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31418BJS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       74194 | PA      | $73121.12     | 0.00%             | 2024-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31391LV69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       45505 | PA      | $45043.08     | 0.00%             | 2032-09-01      | Floating      | 3.44%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                              | US 5YR NOTE (CBT) MAR23                                                                                                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        -675 | NC      | $204772.73    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| DAE FUNDING LLC                                     | DAE Funding LLC                                                                                                                          | CUSIP: 23371DAH7<br>LEI: 635400SZTPQL3Y1P2C76 | Long             | DBT              | CORP              | US        |    11200000 | PA      | $10631264.00  | 0.27%             | 2024-02-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31411UWK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       16064 | PA      | $16573.51     | 0.00%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31418MXQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4005 | PA      | $3996.97      | 0.00%             | 2025-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31410RHZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         227 | PA      | $230.23       | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                     | CVS Health Corp                                                                                                                          | CUSIP: 126650DJ6<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     3900000 | PA      | $3535985.08   | 0.09%             | 2030-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31418RFS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       25518 | PA      | $25456.86     | 0.00%             | 2025-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                                | OneMain Finance Corp                                                                                                                     | CUSIP: 85172FAM1<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |     1100000 | PA      | $1056742.53   | 0.03%             | 2025-03-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Adagio CLO                                          | Adagio V CLO DAC                                                                                                                         | CUSIP: 000000000<br>LEI: 6354009XYAVGD2ZFCM19 | Long             | ABS-CBDO         | CORP              | IE        |    11000000 | PA      | $11435849.57  | 0.29%             | 2031-10-15      | Floating      | 2.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31371MAF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       47511 | PA      | $49101.28     | 0.00%             | 2035-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | Ginnie Mae II Pool                                                                                                                       | CUSIP: 36225CKZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2834 | PA      | $2741.31      | 0.00%             | 2029-08-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31410GDL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       20129 | PA      | $20416.43     | 0.00%             | 2035-02-01      | Floating      | 2.84%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                            | PURCHASED USD / SOLD GBP                                                                                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-6211.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31415VQA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      306788 | PA      | $317371.75    | 0.01%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Crown Castle Inc                                    | Crown Castle Inc                                                                                                                         | CUSIP: 22823QNA5<br>LEI: 54930012H97VSM0I2R19 | Long             | STIV             | CORP              | US        |     5900000 | PA      | $5891189.83   | 0.15%             | 2023-01-10      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                       | Citigroup Inc                                                                                                                            | CUSIP: 172967NG2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     8100000 | PA      | $7302383.44   | 0.19%             | 2028-02-24      | Fixed         | 3.07%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                              | 317U05OA3 PIMCO SWAPTION 3.19 PUT USD 20231023                                                                                           | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |   -14100000 | NC      | $-160999.44   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                         | Long: BWU01HMU9 IRS BRL R V 00MBRCDI SWUV1HMU1 CCPNDFPREDISWAP / Short: BWU01HMU9 IRS BRL P F 11.90000 SWU01HMU9 CCPNDFPREDISWAP         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    62400000 | OU      | $229865.66    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Gold Pool                                                                                                                    | CUSIP: 3128P7PY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        6618 | PA      | $6413.36      | 0.00%             | 2030-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Gemgarto                                            | Gemgarto 2021-1 PLC                                                                                                                      | CUSIP: 000000000<br>LEI: 635400KLHB2FIID9TE45 | Long             | ABS-MBS          | CORP              | GB        |     6464391 | PA      | $7694757.56   | 0.20%             | 2067-12-16      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| CHOICE HOTELS INTL INC                              | Choice Hotels International Inc                                                                                                          | CUSIP: 169905AF3<br>LEI: 5493003CYRY5RFGTIR97 | Long             | DBT              | CORP              | US        |     2500000 | PA      | $2177111.78   | 0.06%             | 2029-12-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31404NBP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        8554 | PA      | $8591.16      | 0.00%             | 2035-02-01      | Floating      | 1.96%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Gold Pool                                                                                                                    | CUSIP: 312928T46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      101224 | PA      | $101659.20    | 0.00%             | 2038-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securities Corporation            | RASC Series 2006-KS4 Trust                                                                                                               | CUSIP: 75406EAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      551121 | PA      | $548486.86    | 0.01%             | 2036-06-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                     | Long: SWPC0JYY5 CDS USD R F  1.00000 FIX CORPORATE / Short: SWPC0JYY5 CDS USD P V 03MEVENT FLO CORPORATE                                 | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |     4700000 | OU      | $32589.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                         | Long: BWU01E170 IRS JPY R V 06MTONA SWUV1E172 CCPOIS / Short: BWU01E170 IRS JPY P F   .78500 SWU01E170 CCPOIS                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   870000000 | OU      | $403442.28    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Gold Pool                                                                                                                    | CUSIP: 3128K9MM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       13098 | PA      | $13167.69     | 0.00%             | 2036-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Gold Pool                                                                                                                    | CUSIP: 3128KLJU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        6520 | PA      | $6603.83      | 0.00%             | 2037-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Non Gold Pool                                                                                                                | CUSIP: 3128JM7E1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       13170 | PA      | $13116.74     | 0.00%             | 2035-02-01      | Floating      | 2.05%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                          | Morgan Stanley ABS Capital I Inc Trust 2006-WMC2                                                                                         | CUSIP: 61749KAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2811384 | PA      | $2363207.86   | 0.06%             | 2036-07-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | Ginnie Mae I Pool                                                                                                                        | CUSIP: 36291KBJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         529 | PA      | $530.66       | 0.00%             | 2034-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae REMICS                                                                                                                        | CUSIP: 31392CRC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       15023 | PA      | $15066.09     | 0.00%             | 2032-04-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Pool                                                                                                                         | CUSIP: 3131X9ZX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        2043 | PA      | $2026.97      | 0.00%             | 2023-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                         | Long: SWU01NK53 IRS BRL R F 12.98000 SWU01NK53 CCPNDFPREDISWAP / Short: SWU01NK53 IRS BRL P V 00MBRCDI SWUV1NK55 CCPNDFPREDISWAP         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    67200000 | OU      | $138939.65    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31402DJS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1568 | PA      | $1618.02      | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Gold Pool                                                                                                                    | CUSIP: 31283H6F7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       11559 | PA      | $11944.77     | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                      | Morgan Stanley                                                                                                                           | CUSIP: 61744YAQ1<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     9400000 | PA      | $9349184.92   | 0.24%             | 2024-04-24      | Fixed         | 3.74%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Gold Pool                                                                                                                    | CUSIP: 31288H7A2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         528 | PA      | $540.20       | 0.00%             | 2033-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                        | CSMC Series 2014-7R                                                                                                                      | CUSIP: 12648WAW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9378868 | PA      | $8305698.38   | 0.21%             | 2036-10-27      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31415LVW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         479 | PA      | $477.84       | 0.00%             | 2023-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | Ginnie Mae II Pool                                                                                                                       | CUSIP: 36179UUM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       63351 | PA      | $63141.82     | 0.00%             | 2049-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31385JRN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1393 | PA      | $1441.22      | 0.00%             | 2032-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Group AG                              | Credit Suisse Group AG                                                                                                                   | CUSIP: 225401AH1<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    10400000 | PA      | $9848800.10   | 0.25%             | 2024-06-12      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                         | Long: BWU01JI06 IRS USD R V 12MSOFR SWUV1JI08 CCPOIS / Short: BWU01JI06 IRS USD P F  1.75000 SWU01JI06 CCPOIS                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    62900000 | OU      | $16871097.13  | 0.43%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Gold Pool                                                                                                                    | CUSIP: 3128M75R3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      112185 | PA      | $116455.22    | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                       | PURCHASED USD / SOLD JPY                                                                                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $-321672.12   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Gold Pool                                                                                                                    | CUSIP: 3128KDK95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       12311 | PA      | $12379.88     | 0.00%             | 2036-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31418DKG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       54559 | PA      | $52809.55     | 0.00%             | 2031-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | Ginnie Mae I Pool                                                                                                                        | CUSIP: 3622AADC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1735196 | PA      | $1735535.72   | 0.04%             | 2048-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WRKCo Inc                                           | WRKCo Inc                                                                                                                                | CUSIP: 92940PAB0<br>LEI: 549300JEB576INN13W07 | Long             | DBT              | CORP              | US        |    14700000 | PA      | $14419695.99  | 0.37%             | 2026-03-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| HANWHA LIFE INSURANCE                               | Hanwha Life Insurance Co Ltd                                                                                                             | CUSIP: 41135UAB1<br>LEI: 988400ZKCI3R9DQHR320 | Long             | DBT              | CORP              | KR        |    13000000 | PA      | $10796946.42  | 0.28%             | 2032-02-04      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                             | Hyundai Capital America                                                                                                                  | CUSIP: 44891ACA3<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    13500000 | PA      | $11080004.58  | 0.28%             | 2028-09-15      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Small Business Administration Participation Certs   | United States Small Business Administration                                                                                              | CUSIP: 83162CSE4<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |      490216 | PA      | $500939.73    | 0.01%             | 2028-12-01      | Fixed         | 6.22%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Gold Pool                                                                                                                    | CUSIP: 3128M7B88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       17918 | PA      | $18600.45     | 0.00%             | 2039-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Toro European CLO                                   | Toro European CLO 7 DAC                                                                                                                  | CUSIP: 000000000<br>LEI: 635400B4VLIGNRNR9O61 | Long             | ABS-CBDO         | CORP              | IE        |    15000000 | PA      | $15733118.74  | 0.40%             | 2034-02-15      | Floating      | 2.57%                 | No            |                  2 | On Loan: No      |
| State of Qatar                                      | Qatar Government International Bond                                                                                                      | CUSIP: 000000000<br>LEI: 52990074F6OJOAXK4P65 | Long             | DBT              | NUSS              | QA        |     1500000 | PA      | $1506198.00   | 0.04%             | 2048-04-23      | Fixed         | 5.10%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Non Gold Pool                                                                                                                | CUSIP: 3128NHK36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       52457 | PA      | $52429.84     | 0.00%             | 2035-09-01      | Floating      | 3.59%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                         | Long: SWU01KR29 IRS EUR R F   .55000 SWU01KR29 CCPVANILLA / Short: SWU01KR29 IRS EUR P V 06MEURIB SWUV1KR21 CCPVANILLA                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     5000000 | OU      | $-228475.67   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                           | Uniform Mortgage-Backed Security, TBA                                                                                                    | CUSIP: 01F052615<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    18500000 | PA      | $18545632.10  | 0.47%             | 2053-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Pool                                                                                                                         | CUSIP: 3132DWEG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     6854010 | PA      | $6015729.60   | 0.15%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                              | Pacific Gas and Electric Co                                                                                                              | CUSIP: 694308HM2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     2700000 | PA      | $2547294.75   | 0.07%             | 2025-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31406ABY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       40732 | PA      | $42103.68     | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Pool                                                                                                                         | CUSIP: 3132DWD67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     6864858 | PA      | $6024658.37   | 0.15%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust                            | Bear Stearns ALT-A Trust 2006-6                                                                                                          | CUSIP: 073868AV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1545685 | PA      | $871748.69    | 0.02%             | 2036-11-25      | Variable      | 3.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31410UK68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       14569 | PA      | $14504.13     | 0.00%             | 2036-08-01      | Floating      | 3.73%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae REMICS                                                                                                                        | CUSIP: 313920ZH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       46690 | PA      | $46487.33     | 0.00%             | 2031-09-18      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| McCormick & Co Inc/MD                               | McCormick & Co Inc/MD                                                                                                                    | CUSIP: 57978DNT2<br>LEI: 549300JQQA6MQ4OJP259 | Long             | STIV             | CORP              | US        |     8000000 | PA      | $7970768.00   | 0.20%             | 2023-01-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates             | WaMu Mortgage Pass-Through Certificates Series 2005-AR6 Trust                                                                            | CUSIP: 92922FH84<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4021462 | PA      | $3628220.73   | 0.09%             | 2045-02-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| United States Treasury                              | United States Treasury Note/Bond                                                                                                         | CUSIP: 912810RH3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   116300000 | PA      | $98268957.32  | 2.51%             | 2044-08-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| MidOcean Credit CLO                                 | MidOcean Credit CLO II                                                                                                                   | CUSIP: 59863KAS6<br>LEI: 549300EKSLXKVD2RWW61 | Long             | ABS-CBDO         | CORP              | KY        |    10582718 | PA      | $10440179.46  | 0.27%             | 2030-01-29      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 3140QBRJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      338624 | PA      | $325679.27    | 0.01%             | 2034-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31410QD40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3885 | PA      | $3948.40      | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc           | Structured Asset Mortgage Investments II Trust 2005-AR5                                                                                  | CUSIP: 86359LPF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      164487 | PA      | $146067.78    | 0.00%             | 2035-07-19      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Funding                         | Towd Point Mortgage Funding                                                                                                              | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     9269184 | PA      | $11041253.00  | 0.28%             | 2045-07-20      | Floating      | 3.83%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                             | Goldman Sachs Group Inc/The                                                                                                              | CUSIP: 38148LAE6<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     1675000 | PA      | $1619986.57   | 0.04%             | 2025-05-22      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PERU                                    | Peruvian Government International Bond                                                                                                   | CUSIP: 715638CL4<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    35000000 | PA      | $8755448.45   | 0.22%             | 2028-08-12      | Fixed         | 6.35%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Gold Pool                                                                                                                    | CUSIP: 3128M5ZZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        3016 | PA      | $3130.47      | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                         | Long: SWU01EHL2 IRS BRL R F 10.12000 SWU01EHL2 CCPNDFPREDISWAP / Short: SWU01EHL2 IRS BRL P V 00MBRCDI SWUV1EHL4 CCPNDFPREDISWAP         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    25600000 | OU      | $-349151.42   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FIN PLC                             | Imperial Brands Finance PLC                                                                                                              | CUSIP: 45262BAC7<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |    12800000 | PA      | $10946067.07  | 0.28%             | 2029-07-26      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| INTL FLAVOR & FRAGRANCES                            | International Flavors & Fragrances Inc                                                                                                   | CUSIP: 459506AQ4<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |    12800000 | PA      | $10155165.31  | 0.26%             | 2030-11-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31402YGE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7306 | PA      | $7461.10      | 0.00%             | 2033-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WYNN LAS VEGAS LLC/CORP                             | Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp                                                                                         | CUSIP: 983130AU9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     3800000 | PA      | $3744383.20   | 0.10%             | 2023-05-30      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| UBS AG                                              | PURCHASED USD / SOLD ZAR                                                                                                                 | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |           1 | NC      | $-377843.14   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                         | Long: SWU01J5I1 IRS NZD R F  4.00000 SWU01J5I1 CCPVANILLA / Short: SWU01J5I1 IRS NZD P V 03MNZDBB SWUV1J5I3 CCPVANILLA                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   112100000 | OU      | $-1095612.13  | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac REMICS                                                                                                                       | CUSIP: 3133T2RG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       11719 | PA      | $11623.14     | 0.00%             | 2023-11-15      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31416PFG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2065 | PA      | $2058.65      | 0.00%             | 2024-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                     | Long: SWPC0I0F5 CDS EUR R F  1.00000 1 CCPCORPORATE / Short: SWPC0I0F5 CDS EUR P V 03MEVENT 2 CCPCORPORATE                               | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |     6200000 | OU      | $-70150.83    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ROYALTY PHARMA PLC                                  | Royalty Pharma PLC                                                                                                                       | CUSIP: 78081BAH6<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |     3000000 | PA      | $2684824.26   | 0.07%             | 2025-09-02      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| Walgreens Boots Alliance Inc                        | Walgreens Boots Alliance Inc                                                                                                             | CUSIP: 93142XNB3<br>LEI: 549300RPTUOIXG4LIH86 | Long             | STIV             | CORP              | US        |     8000000 | PA      | $7987584.00   | 0.20%             | 2023-01-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                           | Uniform Mortgage-Backed Security, TBA                                                                                                    | CUSIP: 01F042418<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      100000 | PA      | $99317.56     | 0.00%             | 2038-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates               | CWABS Asset-Backed Certificates Trust 2006-14                                                                                            | CUSIP: 23243LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2343289 | PA      | $2192430.52   | 0.06%             | 2037-02-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                            | Long: SWPC0KVK5 CDS USD R F  1.00000 FIX SOVEREIGN / Short: SWPC0KVK5 CDS USD P V 03MEVENT FLO SOVEREIGN                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              |  | US        |     1300000 | OU      | $-77826.25    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31417AKJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3125 | PA      | $3024.57      | 0.00%             | 2031-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Barclays PLC                                        | Barclays PLC                                                                                                                             | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     4400000 | PA      | $5197226.08   | 0.13%             | 2024-01-17      | Fixed         | 3.12%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 3138A8WX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       18761 | PA      | $18309.65     | 0.00%             | 2026-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                     | Long: BWPC0LB90 CDS USD R V 03MEVENT 2 CCPCDX / Short: BWPC0LB90 CDS USD P F  1.00000 1 CCPCDX                                           | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    77100000 | OU      | $-616491.60   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Home Equity Loan Trust                              | Home Equity Loan Trust                                                                                                                   | CUSIP: 43710XAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     6196896 | PA      | $5946921.50   | 0.15%             | 2037-04-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                       | PURCHASED USD / SOLD PEN                                                                                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $-80816.42    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31390STH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      115139 | PA      | $109610.11    | 0.00%             | 2042-07-01      | Floating      | 2.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 3138XDR85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      268428 | PA      | $262787.97    | 0.01%             | 2028-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                              | United States Treasury Note/Bond                                                                                                         | CUSIP: 912810QU5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    15800000 | PA      | $13614539.10  | 0.35%             | 2042-02-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31414AWK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2774 | PA      | $2876.79      | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities      | Credit Suisse First Boston Mortgage Securities Corp                                                                                      | CUSIP: 22540VK43<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       23320 | PA      | $21151.46     | 0.00%             | 2032-03-25      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31407JEZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6956 | PA      | $7261.98      | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Marathon CLO LTD                                    | Marathon CLO V Ltd                                                                                                                       | CUSIP: 56576QAN8<br>LEI: 635400LRBGQZIPTCBI09 | Long             | ABS-CBDO         | CORP              | KY        |      244027 | PA      | $243501.17    | 0.01%             | 2027-11-21      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31418SSR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       10269 | PA      | $10238.86     | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Non Gold Pool                                                                                                                | CUSIP: 31349UEJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       21128 | PA      | $21445.19     | 0.00%             | 2034-11-01      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| New York State Urban Development Corp               | NEW YORK ST URBAN DEV CORP REVENUE                                                                                                       | CUSIP: 650036AU0<br>LEI: 54930039Y2EMGXN6LM88 | Long             | DBT              | MUN               | US        |     8100000 | PA      | $7267946.13   | 0.19%             | 2026-03-15      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust                            | DSLA Mortgage Loan Trust 2004-AR3                                                                                                        | CUSIP: 23332UBF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      175730 | PA      | $156409.94    | 0.00%             | 2044-07-19      | Variable      | 3.73%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                         | Long: SWU01HN38 IRS BRL R F 11.16500 SWU01HN38 CCPNDFPREDISWAP / Short: SWU01HN38 IRS BRL P V 00MBRCDI SWUV1HN30 CCPNDFPREDISWAP         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    28700000 | OU      | $-175095.74   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Gold Pool                                                                                                                    | CUSIP: 3128M5NM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       22282 | PA      | $23130.14     | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                          | Flagship Credit Auto Trust 2022-2                                                                                                        | CUSIP: 33844XAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    11000000 | PA      | $10686819.00  | 0.27%             | 2026-12-15      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31417YMK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       24236 | PA      | $23579.07     | 0.00%             | 2030-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                         | Long: SWU01E1J4 IRS JPY R F   .38000 SWU01E1J4 CCPOIS / Short: SWU01E1J4 IRS JPY P V 06MTONA SWUV1E1J6 CCPOIS                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  8640000000 | OU      | $-1114411.22  | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Targa Resources Corp                                | Targa Resources Corp                                                                                                                     | CUSIP: 87613LND7<br>LEI: 5493003QENHHS261UR94 | Long             | STIV             | CORP              | US        |     8000000 | PA      | $7986581.76   | 0.20%             | 2023-01-13      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31385XAS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6150 | PA      | $6360.17      | 0.00%             | 2033-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Gold Pool                                                                                                                    | CUSIP: 3128M8Y24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       29456 | PA      | $30537.10     | 0.00%             | 2040-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31412RBR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      136230 | PA      | $140940.11    | 0.00%             | 2040-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | Ginnie Mae I Pool                                                                                                                        | CUSIP: 3617LC4N5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2254866 | PA      | $2002532.99   | 0.05%             | 2049-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Venture CDO Ltd                                     | Venture XXVII CLO Ltd                                                                                                                    | CUSIP: 92331LBC3<br>LEI: 549300JZGSLL2771YV05 | Long             | ABS-CBDO         | CORP              | KY        |    13390580 | PA      | $13108065.11  | 0.33%             | 2030-07-20      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Realty Income Corp                                  | Realty Income Corp                                                                                                                       | CUSIP: 756109AV6<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              |  | US        |    10700000 | PA      | $10482835.05  | 0.27%             | 2025-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31417VY64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4303 | PA      | $4234.23      | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31401V5J6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4334 | PA      | $4468.90      | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TCW CLO                                             | TCW CLO 2018-1 Ltd                                                                                                                       | CUSIP: 87240UAR1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    13000000 | PA      | $12814035.00  | 0.33%             | 2031-04-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Gold Pool                                                                                                                    | CUSIP: 3128M5B33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       28399 | PA      | $29481.71     | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31402RHT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       60060 | PA      | $57261.85     | 0.00%             | 2042-08-01      | Floating      | 2.89%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                       | PURCHASED USD / SOLD PEN                                                                                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $-573883.05   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust          | Bear Stearns Asset Backed Securities I Trust 2006-HE1                                                                                    | CUSIP: 07387UBT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      895740 | PA      | $890817.51    | 0.02%             | 2036-02-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31406BQQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       19068 | PA      | $19061.26     | 0.00%             | 2035-01-01      | Floating      | 1.89%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Gold Pool                                                                                                                    | CUSIP: 3128M6NA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        5696 | PA      | $5912.29      | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                              | United States Treasury Note/Bond                                                                                                         | CUSIP: 912810SP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    75200000 | PA      | $41785937.31  | 1.07%             | 2050-08-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                                 | Nomura Holdings Inc                                                                                                                      | CUSIP: 65535HAS8<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |     9600000 | PA      | $7676817.22   | 0.20%             | 2030-07-16      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                       | Long: SWPC0KXJ6 CDS USD R F  1.00000 FIX SOVEREIGN / Short: SWPC0KXJ6 CDS USD P V 03MEVENT FLO SOVEREIGN                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              |  | US        |      400000 | OU      | $-23946.54    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Gold Pool                                                                                                                    | CUSIP: 3128M6RH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       24396 | PA      | $25325.11     | 0.00%             | 2038-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| 7-ELEVEN INC                                        | 7-Eleven Inc                                                                                                                             | CUSIP: 817826AE0<br>LEI: 549300K23JPL0SS3LB18 | Long             | DBT              | CORP              | US        |     9600000 | PA      | $7331451.65   | 0.19%             | 2031-02-10      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| Enel Finance America LLC                            | Enel Finance America LLC                                                                                                                 | CUSIP: 29279HNC5<br>LEI: 549300EGNLVUJX1DEC60 | Long             | STIV             | CORP              | US        |     7700000 | PA      | $7686906.38   | 0.20%             | 2023-01-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31371L5Q8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         771 | PA      | $758.18       | 0.00%             | 2025-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                           | Uniform Mortgage-Backed Security, TBA                                                                                                    | CUSIP: 01F060626<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      900000 | PA      | $912366.39    | 0.02%             | 2053-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                   | PURCHASED EUR / SOLD USD                                                                                                                 | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | XX        |           1 | NC      | $47226.51     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Gold Pool                                                                                                                    | CUSIP: 31297D6G8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       14016 | PA      | $14203.96     | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31416CE28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        8118 | PA      | $8101.79      | 0.00%             | 2024-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                  | Credit Agricole SA                                                                                                                       | CUSIP: 22535WAH0<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |     4000000 | PA      | $3498162.76   | 0.09%             | 2027-01-26      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                     | Long: SWPC0LK33 CDS EUR R F  1.00000 1 CCPCORPORATE / Short: SWPC0LK33 CDS EUR P V 03MEVENT 2 CCPCORPORATE                               | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |     3800000 | OU      | $9986.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Rio Oil Finance Trust                               | Rio Oil Finance Trust Series 2014-1                                                                                                      | CUSIP: 76716XAA0<br>LEI: 549300V5D1W52HY8NO65 | Long             | DBT              | CORP              | US        |     1068327 | PA      | $1079010.45   | 0.03%             | 2024-07-06      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                              | United States Treasury Note/Bond                                                                                                         | CUSIP: 91282CEP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1800000 | PA      | $1658812.50   | 0.04%             | 2032-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Bayer US Finance II LLC                             | Bayer US Finance II LLC                                                                                                                  | CUSIP: 07274NAG8<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |     6600000 | PA      | $6585110.00   | 0.17%             | 2023-12-15      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31410G4B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      159631 | PA      | $165604.17    | 0.00%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Pool                                                                                                                         | CUSIP: 3132A7VK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       28660 | PA      | $28136.74     | 0.00%             | 2026-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31418CKU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      199706 | PA      | $193041.19    | 0.00%             | 2032-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RELIANCE STAND LIFE II                              | Reliance Standard Life Global Funding II                                                                                                 | CUSIP: 75951AAJ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      600000 | PA      | $592188.99    | 0.02%             | 2023-09-19      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31416BTT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         178 | PA      | $177.43       | 0.00%             | 2024-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Gold Pool                                                                                                                    | CUSIP: 3128M5VU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         584 | PA      | $606.46       | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 3138EK2C8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         801 | PA      | $799.41       | 0.00%             | 2027-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                              | GSAA Home Equity Trust 2005-4                                                                                                            | CUSIP: 36242DZQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       75661 | PA      | $75116.66     | 0.00%             | 2035-03-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                           | Uniform Mortgage-Backed Security, TBA                                                                                                    | CUSIP: 01F052615<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -18500000 | PA      | $-18545632.10 | -0.47%            | 2053-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Banco Espirito Santo SA                             | Banco Espirito Santo SA                                                                                                                  | CUSIP: 000000000<br>LEI: 635400JV7IJL16OWIT96 | Long             | DBT              | CORP              | PT        |     1700000 | PA      | $218371.70    | 0.01%             | 2017-05-08      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| United States Treasury                              | United States Treasury Inflation Indexed Bonds                                                                                           | CUSIP: 91282CEZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    17536905 | PA      | $16062343.98  | 0.41%             | 2032-07-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| 1211 Avenue of the Americas Trust                   | 1211 Avenue of the Americas Trust 2015-1211                                                                                              | CUSIP: 90117PAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    12100000 | PA      | $11233728.33  | 0.29%             | 2035-08-10      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                        | GS Mortgage Securities Corp Trust 2017-GPTX                                                                                              | CUSIP: 36257CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8900000 | PA      | $8277000.00   | 0.21%             | 2034-05-10      | Fixed         | 2.86%                 | No            |                  2 | On Loan: No      |
| Liberty Street Trust                                | 225 Liberty Street Trust 2016-225L                                                                                                       | CUSIP: 902055AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    11600000 | PA      | $10564466.84  | 0.27%             | 2036-02-10      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                              | PURCHASED USD / SOLD BRL                                                                                                                 | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |           1 | NC      | $-231613.89   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| 3839KF904                                           | 3839KF904                                                                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5395716 | PA      | $5400990.20   | 0.14%             | 2073-01-20      | Fixed         | 1.00%                 | No            |                  3 | On Loan: No      |
| Chicago Mercantile Exchange                         | Long: SWU01JWE0 IRS BRL R F 12.19500 SWU01JWE0 CCPNDFPREDISWAP / Short: SWU01JWE0 IRS BRL P V 00MBRCDI SWUV1JWE2 CCPNDFPREDISWAP         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    70100000 | OU      | $-147892.24   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Park Place Securities Inc                           | Park Place Securities Inc Series 2005-WCW1                                                                                               | CUSIP: 70069FKG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     5000000 | PA      | $4859534.00   | 0.12%             | 2035-09-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                    | Crown Castle Inc                                                                                                                         | CUSIP: 22822VAZ4<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              |  | US        |    12500000 | PA      | $11369446.63  | 0.29%             | 2027-03-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31406XDV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          17 | PA      | $17.24        | 0.00%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | Ginnie Mae II Pool                                                                                                                       | CUSIP: 36225CEE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2456 | PA      | $2367.32      | 0.00%             | 2027-11-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31417SX39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3698 | PA      | $3691.07      | 0.00%             | 2024-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                            | PURCHASED EUR / SOLD USD                                                                                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |           1 | NC      | $8032.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust                      | Adjustable Rate Mortgage Trust 2005-8                                                                                                    | CUSIP: 007036QH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      131654 | PA      | $100767.32    | 0.00%             | 2035-11-25      | Variable      | 3.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31376KTH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3104 | PA      | $3209.68      | 0.00%             | 2035-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                              | United States Treasury Inflation Indexed Bonds                                                                                           | CUSIP: 912810SG4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2605130 | PA      | $2175263.75   | 0.06%             | 2049-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | Ginnie Mae II Pool                                                                                                                       | CUSIP: 36225CMM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3425 | PA      | $3381.68      | 0.00%             | 2030-01-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | Ginnie Mae II Pool                                                                                                                       | CUSIP: 36225CPA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2908 | PA      | $2853.35      | 0.00%             | 2030-06-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| ING Groep NV                                        | ING Groep NV                                                                                                                             | CUSIP: 45685NAA4<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |     7900000 | PA      | $7714739.87   | 0.20%             | 2026-01-06      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                   | Citigroup Mortgage Loan Trust Inc                                                                                                        | CUSIP: 17307GXQ6<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |       60885 | PA      | $58214.49     | 0.00%             | 2035-09-25      | Floating      | 3.79%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust                            | Bear Stearns ALT-A Trust 2005-7                                                                                                          | CUSIP: 07386HVS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      401793 | PA      | $247425.01    | 0.01%             | 2035-09-25      | Variable      | 3.73%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                      | PURCHASED MXN / SOLD USD                                                                                                                 | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | MX        |           1 | NC      | $470566.25    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| DBGS Mortgage Trust                                 | DBGS 2019-1735 Mortgage Trust                                                                                                            | CUSIP: 23307EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    12550000 | PA      | $10698823.55  | 0.27%             | 2037-04-10      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31418DPM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4413725 | PA      | $4120846.65   | 0.11%             | 2040-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31402DP79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      115918 | PA      | $119605.40    | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31418MWY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       15226 | PA      | $15171.17     | 0.00%             | 2025-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31417KN94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       56457 | PA      | $54415.20     | 0.00%             | 2034-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31410F2H7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         362 | PA      | $374.89       | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                    | IndyMac INDX Mortgage Loan Trust 2006-AR4                                                                                                | CUSIP: 45661EAV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3399486 | PA      | $2950270.03   | 0.08%             | 2046-05-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                           | Uniform Mortgage-Backed Security, TBA                                                                                                    | CUSIP: 01F042624<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    77400000 | PA      | $74475613.60  | 1.90%             | 2053-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31406BEZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       10079 | PA      | $10056.79     | 0.00%             | 2034-12-01      | Floating      | 2.60%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                       | PURCHASED USD / SOLD NZD                                                                                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $1453.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31412MJT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         385 | PA      | $383.94       | 0.00%             | 2023-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                              | United States Treasury Note/Bond                                                                                                         | CUSIP: 912810RB6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    83700000 | PA      | $68316855.68  | 1.75%             | 2043-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31419AN52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       11506 | PA      | $11405.98     | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| STATE OF ISRAEL                                     | Israel Government International Bond                                                                                                     | CUSIP: 46513JB34<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |    14500000 | PA      | $13155125.00  | 0.34%             | 2030-07-03      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Enbridge US Inc                                     | Enbridge US Inc                                                                                                                          | CUSIP: 29251VN44<br>LEI: 5493003FRODSVHJWFS32 | Long             | STIV             | CORP              | US        |     9250000 | PA      | $9243902.68   | 0.24%             | 2023-01-04      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| DOLP Trust                                          | DOLP Trust 2021-NYC                                                                                                                      | CUSIP: 23345LAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    13200000 | PA      | $10484006.28  | 0.27%             | 2041-05-10      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Non Gold Pool                                                                                                                | CUSIP: 3128QLPS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       35705 | PA      | $35727.74     | 0.00%             | 2035-09-01      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Gold Pool                                                                                                                    | CUSIP: 31292JBM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        6930 | PA      | $6841.60      | 0.00%             | 2034-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31405DH59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6669 | PA      | $6693.46      | 0.00%             | 2034-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31414GL56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          73 | PA      | $73.11        | 0.00%             | 2023-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT AS                              | Nykredit Realkredit AS                                                                                                                   | CUSIP: 000000000<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |    10153338 | PA      | $1064033.76   | 0.03%             | 2053-10-01      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| FRESENIUS MED CARE III                              | Fresenius Medical Care US Finance III Inc                                                                                                | CUSIP: 35805BAC2<br>LEI: 5299006ZHLMXOOUVTU44 | Long             | DBT              | CORP              | US        |    12100000 | PA      | $10260652.99  | 0.26%             | 2026-12-01      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | Ginnie Mae II Pool                                                                                                                       | CUSIP: 36225CCW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1306 | PA      | $1286.48      | 0.00%             | 2027-06-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 3140QPXK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     6882812 | PA      | $6043850.02   | 0.15%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31418UC69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        8283 | PA      | $8262.93      | 0.00%             | 2025-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| 10 RENEW POWER SUBSIDIAR                            | ReNew Wind Energy AP2 / ReNew Power Pvt Ltd other 9 Subsidiaries                                                                         | CUSIP: 75973PAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | IN        |    13100000 | PA      | $10999894.85  | 0.28%             | 2028-07-14      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation                  | Chase Mortgage Finance Trust Series 2006-A1                                                                                              | CUSIP: 16163CAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      974092 | PA      | $802119.26    | 0.02%             | 2036-09-25      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| GOODMAN US FIN THREE                                | Goodman US Finance Three LLC                                                                                                             | CUSIP: 38239JAA9<br>LEI: N/A                  | Long             | DBT              |  | US        |    10800000 | PA      | $9744017.80   | 0.25%             | 2028-03-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                         | Long: BWU01M6S1 IRS BRL R V 00MBRCDI SWUV1M6S3 CCPNDFPREDISWAP / Short: BWU01M6S1 IRS BRL P F 11.58700 SWU01M6S1 CCPNDFPREDISWAP         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   213300000 | OU      | $735855.20    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                         | Long: SWU01I270 IRS USD R F  1.63500 SWU01I270 CCPOIS / Short: SWU01I270 IRS USD P V 12MSOFR SWUV1I272 CCPOIS                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    30000000 | OU      | $-2578149.00  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| GCAT                                                | GCAT 2020-3 LLC                                                                                                                          | CUSIP: 36168CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4261872 | PA      | $4114958.68   | 0.11%             | 2025-09-25      | Variable      | 2.98%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                              | Pacific Gas and Electric Co                                                                                                              | CUSIP: 694308KA4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    12600000 | PA      | $12298258.73  | 0.31%             | 2024-02-16      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                   | EURO-BUXL 30Y BND MAR23                                                                                                                  | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |         -46 | NC      | $1210374.20   | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| VOLKSWAGEN BANK GMBH                                | Volkswagen Bank GmbH                                                                                                                     | CUSIP: 000000000<br>LEI: 529900GJD3OQLRZCKW37 | Long             | DBT              | CORP              | DE        |     2000000 | PA      | $1996362.61   | 0.05%             | 2026-07-31      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                         | Long: SWU01HLS5 IRS BRL R F 11.35000 SWU01HLS5 CCPNDFPREDISWAP / Short: SWU01HLS5 IRS BRL P V 00MBRCDI SWUV1HLS7 CCPNDFPREDISWAP         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    71700000 | OU      | $-385690.12   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | Ginnie Mae II Pool                                                                                                                       | CUSIP: 36225CU38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4318 | PA      | $4259.87      | 0.00%             | 2032-05-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                            | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                                                                                | CUSIP: 00774MAG0<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |     3000000 | PA      | $2883708.87   | 0.07%             | 2025-10-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 3140JPME2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     6211176 | PA      | $5970287.15   | 0.15%             | 2034-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Republic of Peru                                    | Peruvian Government International Bond                                                                                                   | CUSIP: 000000000<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    30600000 | PA      | $7654763.50   | 0.20%             | 2028-08-12      | Fixed         | 6.35%                 | Yes           |                  2 | On Loan: No      |
| American Money Management Corporation               | AMMC CLO 16 Ltd                                                                                                                          | CUSIP: 00176JAT3<br>LEI: 549300I1YCI83LUUYL82 | Long             | ABS-CBDO         | CORP              | KY        |     6172557 | PA      | $6134934.88   | 0.16%             | 2029-04-14      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                        | Broadcom Inc                                                                                                                             | CUSIP: 11135FAS0<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    14900000 | PA      | $13131975.83  | 0.34%             | 2032-11-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | Government National Mortgage Association                                                                                                 | CUSIP: 38376RZX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     4843513 | PA      | $4790662.35   | 0.12%             | 2066-09-20      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Republic Services Inc                               | Republic Services Inc                                                                                                                    | CUSIP: 76076GNC3<br>LEI: NKNQHM6BLECKVOQP7O46 | Long             | STIV             | CORP              | US        |     8000000 | PA      | $7986722.64   | 0.20%             | 2023-01-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan Trust                 | CitiMortgage Alternative Loan Trust Series 2006-A5                                                                                       | CUSIP: 18974BAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4017204 | PA      | $3363968.78   | 0.09%             | 2036-10-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31410GPF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       80218 | PA      | $83034.76     | 0.00%             | 2036-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31418DDA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      289794 | PA      | $278675.30    | 0.01%             | 2034-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Gold Pool                                                                                                                    | CUSIP: 31297USC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        8734 | PA      | $8767.34      | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31412PPU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       25088 | PA      | $24854.71     | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Structured Products Inc.               | Bear Stearns Structured Products Inc Trust 2007-R6                                                                                       | CUSIP: 07402FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      407631 | PA      | $323759.56    | 0.01%             | 2036-01-26      | Variable      | 3.52%                 | No            |                  2 | On Loan: No      |
| CHENIERE CORP CHRISTI HD                            | Cheniere Corpus Christi Holdings LLC                                                                                                     | CUSIP: 16412XAG0<br>LEI: 549300I7CIEWU1BBLQ53 | Long             | DBT              | CORP              | US        |     9000000 | PA      | $8891352.90   | 0.23%             | 2027-06-30      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Non Gold Pool                                                                                                                | CUSIP: 31349ULB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       16451 | PA      | $16586.98     | 0.00%             | 2035-02-01      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                              | United States Treasury Inflation Indexed Bonds                                                                                           | CUSIP: 91282CDX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    17736345 | PA      | $15534777.01  | 0.40%             | 2032-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31414LB98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3916 | PA      | $4060.37      | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                         | Long: SWU01I7B6 IRS USD R F  1.78250 SWU01I7B6 CCPOIS / Short: SWU01I7B6 IRS USD P V 12MSOFR SWUV1I7B8 CCPOIS                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    22900000 | OU      | $-1838247.12  | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                         | Long: SWU01I841 IRS NZD R F  3.75000 SWU01I841 CCPVANILLA / Short: SWU01I841 IRS NZD P V 03MNZDBB SWUV1I843 CCPVANILLA                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    41800000 | OU      | $-1223299.10  | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                            | OBX 2018-1 Trust                                                                                                                         | CUSIP: 67112FAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5963461 | PA      | $5608465.41   | 0.14%             | 2057-06-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                       | Long: SWPC0KL26 CDS USD R F  1.00000 FIX CORPORATE / Short: SWPC0KL26 CDS USD P V 03MEVENT FLO CORPORATE                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              |  | US        |     3100000 | OU      | $-120265.15   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | Ginnie Mae I Pool                                                                                                                        | CUSIP: 3617YD2W1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     7344621 | PA      | $7031451.31   | 0.18%             | 2052-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Gold Pool                                                                                                                    | CUSIP: 3128LBU97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1047 | PA      | $1083.20      | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AMER AIRLN 14-1 A PTT                               | American Airlines 2014-1 Class A Pass Through Trust                                                                                      | CUSIP: 02377AAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     2705936 | PA      | $2335356.40   | 0.06%             | 2026-10-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31402RH69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       30061 | PA      | $28629.29     | 0.00%             | 2044-10-01      | Floating      | 2.89%                 | No            |                  2 | On Loan: No      |
| United States Treasury                              | United States Treasury Note/Bond                                                                                                         | CUSIP: 912810QC5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    15100000 | PA      | $16011308.56  | 0.41%             | 2039-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31402QWA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      100431 | PA      | $103688.28    | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                         | Long: SWU01JV35 IRS BRL R F 12.27500 SWU01JV35 CCPNDFPREDISWAP / Short: SWU01JV35 IRS BRL P V 00MBRCDI SWUV1JV37 CCPNDFPREDISWAP         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    32600000 | OU      | $-59902.25    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31416BTJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |           6 | PA      | $6.10         | 0.00%             | 2023-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31406VHE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       17048 | PA      | $17134.97     | 0.00%             | 2035-05-01      | Floating      | 2.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31418PKB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1051 | PA      | $1049.03      | 0.00%             | 2025-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                             | Goldman Sachs Group Inc/The                                                                                                              | CUSIP: 38141GVX9<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     7500000 | PA      | $7631002.20   | 0.19%             | 2027-10-28      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Gold Pool                                                                                                                    | CUSIP: 3128LXA42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       22791 | PA      | $22507.26     | 0.00%             | 2035-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                              | Pacific Gas and Electric Co                                                                                                              | CUSIP: 694308JP3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    10900000 | PA      | $10128361.31  | 0.26%             | 2026-01-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                            | 317U1QDA8 PIMCO SWAPTION 3.75 PUT USD 20230911                                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |   226500000 | NC      | $1840289.85   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31417YSY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         948 | PA      | $917.81       | 0.00%             | 2030-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                              | United States Treasury Note/Bond                                                                                                         | CUSIP: 912810ST6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    62400000 | PA      | $40567312.66  | 1.04%             | 2040-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Pool                                                                                                                         | CUSIP: 3132A9VC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        6684 | PA      | $6428.46      | 0.00%             | 2033-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Gold Pool                                                                                                                    | CUSIP: 3128M4AZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         255 | PA      | $264.42       | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                              | PURCHASED USD / SOLD ZAR                                                                                                                 | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |           1 | NC      | $188230.40    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                 | GS Mortgage-Backed Securities Trust 2022-GR2                                                                                             | CUSIP: 36267BAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    14330326 | PA      | $11932234.89  | 0.30%             | 2052-08-26      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                      | PURCHASED USD / SOLD EUR                                                                                                                 | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |           1 | NC      | $-3588.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                         | Long: SWPC0HXN4 CDS USD R F  1.00000 FIX CORPORATE / Short: SWPC0HXN4 CDS USD P V 03MEVENT FLO CORPORATE                                 | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | GB        |    14280000 | OU      | $-32348.48    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EQUINIX INC                                         | Equinix Inc                                                                                                                              | CUSIP: 29444UBK1<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              |  | US        |     2900000 | PA      | $2593384.36   | 0.07%             | 2025-09-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31368HNQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      772138 | PA      | $800713.37    | 0.02%             | 2039-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Pool                                                                                                                         | CUSIP: 3132ADYF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       65381 | PA      | $62874.88     | 0.00%             | 2034-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securities Corporation            | RASC Series 2003-KS4 Trust                                                                                                               | CUSIP: 76110WRS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      522783 | PA      | $480614.61    | 0.01%             | 2033-06-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Osaka Exchange                                      | JPN 10Y BOND(OSE) MAR23                                                                                                                  | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DIR              |  | JP        |        -194 | NC      | $3946114.98   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs Bank USA                              | 317U0FKA5 PIMCO SWAPTION 2.15 CALL USD 2023112                                                                                           | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |   -15600000 | NC      | $-9804.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust      | Structured Adjustable Rate Mortgage Loan Trust Series 2006-9                                                                             | CUSIP: 86361PAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5663151 | PA      | $3000071.80   | 0.08%             | 2036-10-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                            | PURCHASED JPY / SOLD USD                                                                                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | JP        |           1 | NC      | $21754.61     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC Structured Pass Through Securities            | Freddie Mac Structured Pass-Through Certificates                                                                                         | CUSIP: 31395M2F5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       29873 | PA      | $29973.83     | 0.00%             | 2045-02-25      | Floating      | 2.89%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Gold Pool                                                                                                                    | CUSIP: 3128M55N6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       14035 | PA      | $14569.67     | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BLUE OWL FINANCE LLC                                | Blue Owl Finance LLC                                                                                                                     | CUSIP: 09581JAA4<br>LEI: 254900OF2NO2GYFV5T41 | Long             | DBT              | CORP              | US        |    13000000 | PA      | $9655288.24   | 0.25%             | 2031-06-10      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 3140JVPM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2397227 | PA      | $2121571.68   | 0.05%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                              | United States Treasury Note/Bond                                                                                                         | CUSIP: 9128282Y5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     7900000 | PA      | $7581222.68   | 0.19%             | 2024-09-30      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                  | Alternative Loan Trust 2006-OC5                                                                                                          | CUSIP: 02147HAF9<br>LEI: 549300WJBLP6N8ETXD40 | Long             | ABS-MBS          | CORP              | US        |     4859474 | PA      | $4001686.23   | 0.10%             | 2046-06-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31416BN61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       43274 | PA      | $44655.20     | 0.00%             | 2036-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Pool                                                                                                                         | CUSIP: 3133B9Z56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     6122062 | PA      | $5372771.11   | 0.14%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | Ginnie Mae I Pool                                                                                                                        | CUSIP: 36241KZ35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       17451 | PA      | $17834.71     | 0.00%             | 2039-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                         | Long: BWU01BAV3 IRS BRL R V 00MBRCDI SWUV1BAV5 CCPNDFPREDISWAP / Short: BWU01BAV3 IRS BRL P F  7.90000 SWU01BAV3 CCPNDFPREDISWAP         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |     9400000 | OU      | $136615.32    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                          | Morgan Stanley ABS Capital I Inc Trust 2006-NC4                                                                                          | CUSIP: 61748LAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      164583 | PA      | $142453.70    | 0.00%             | 2036-06-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Gold Pool                                                                                                                    | CUSIP: 3128M6ND6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       18462 | PA      | $19164.92     | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                            | Benchmark 2022-B32 Mortgage Trust                                                                                                        | CUSIP: 08163NBK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    12646000 | PA      | $11099513.07  | 0.28%             | 2055-01-15      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31417YNW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       14076 | PA      | $13821.65     | 0.00%             | 2025-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANK                              | Federal Home Loan Banks                                                                                                                  | CUSIP: 3130ATJT5<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |     8600000 | PA      | $8599995.53   | 0.22%             | 2023-01-06      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                         | Long: SWU01EKA2 IRS BRL R F 10.20550 SWU01EKA2 CCPNDFPREDISWAP F L / Short: SWU01EKA2 IRS BRL P V 00MCETIP SWUV1EKA4 CCPNDFPREDISWAP P S | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | BR        |   104900000 | OU      | $-1375227.23  | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31419EZC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       27322 | PA      | $26447.27     | 0.00%             | 2030-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Gold Pool                                                                                                                    | CUSIP: 31297VZW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       23592 | PA      | $23680.87     | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Gold Pool                                                                                                                    | CUSIP: 3128M9J78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      884075 | PA      | $917729.95    | 0.02%             | 2039-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                             | BPCE SA                                                                                                                                  | CUSIP: 05583JAF9<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    17000000 | PA      | $16780700.00  | 0.43%             | 2023-09-12      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| OZLM Ltd                                            | OZLM XVI Ltd                                                                                                                             | CUSIP: 67111KAJ9<br>LEI: 54930042UBEHLEPQ4B17 | Long             | ABS-CBDO         | CORP              | KY        |    12580502 | PA      | $12373326.74  | 0.32%             | 2030-05-16      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Gold Pool                                                                                                                    | CUSIP: 3128M4XA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       12390 | PA      | $12862.88     | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL                              | Marriott International Inc/MD                                                                                                            | CUSIP: 571900BB4<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |     2600000 | PA      | $2547927.15   | 0.07%             | 2024-04-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP AMERICA                            | Volkswagen Group of America Finance LLC                                                                                                  | CUSIP: 928668AT9<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |    10900000 | PA      | $10721362.41  | 0.27%             | 2025-11-13      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| GSAMP Trust                                         | GSAMP Trust 2007-FM1                                                                                                                     | CUSIP: 3622MAAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2373421 | PA      | $1166833.72   | 0.03%             | 2036-12-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Receivables LLC Trust      | Securitized Asset Backed Receivables LLC Trust 2006-FR3                                                                                  | CUSIP: 813765AC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     6779685 | PA      | $3633976.22   | 0.09%             | 2036-05-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31405RDJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      224985 | PA      | $227209.53    | 0.01%             | 2034-09-01      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| KILROY REALTY LP                                    | Kilroy Realty LP                                                                                                                         | CUSIP: 49427RAR3<br>LEI: 5493008CT3N3JR7P1552 | Long             | DBT              |  | US        |    13300000 | PA      | $9227750.27   | 0.24%             | 2033-11-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Specialty Underwriting & Residential Finance        | Specialty Underwriting & Residential Finance Trust Series 2007-BC2                                                                       | CUSIP: 84752EAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2739420 | PA      | $1963589.21   | 0.05%             | 2037-04-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31414SXK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1110 | PA      | $1140.74      | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROGRESS LLC                            | Duke Energy Progress LLC                                                                                                                 | CUSIP: 26442UAL8<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |    13800000 | PA      | $10904508.15  | 0.28%             | 2031-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GSAMP Trust                                         | GSAMP Trust 2005-HE1                                                                                                                     | CUSIP: 36242DRX3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     4226728 | PA      | $3394864.06   | 0.09%             | 2034-12-25      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| United Wholesale Mortgage LLC                       | UWM Mortgage Trust 2021-INV3                                                                                                             | CUSIP: 90355RAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    16899821 | PA      | $13565401.73  | 0.35%             | 2051-11-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31391XDM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      288981 | PA      | $277672.04    | 0.01%             | 2041-09-01      | Floating      | 2.94%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Gold Pool                                                                                                                    | CUSIP: 3128M6WG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2834742 | PA      | $2942662.59   | 0.08%             | 2038-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                              | United States Treasury Note/Bond                                                                                                         | CUSIP: 912810QY7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    19800000 | PA      | $15870937.50  | 0.41%             | 2042-11-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                        | GS Mortgage Securities Trust 2016-GS4                                                                                                    | CUSIP: 36251XAS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1943192 | PA      | $1864266.63   | 0.05%             | 2049-11-10      | Variable      | 3.28%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                       | PURCHASED GBP / SOLD USD                                                                                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | GB        |           1 | NC      | $12054.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                              | Pacific Gas and Electric Co                                                                                                              | CUSIP: 694308KF3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     5000000 | PA      | $4930544.00   | 0.13%             | 2027-06-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31418C4C5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       41455 | PA      | $40595.33     | 0.00%             | 2033-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                            | PURCHASED EUR / SOLD USD                                                                                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |           1 | NC      | $9399.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | Ginnie Mae II Pool                                                                                                                       | CUSIP: 36225CUU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         401 | PA      | $392.27       | 0.00%             | 2032-04-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| Gallatin Funding Ltd                                | Gallatin CLO IX 2018-1 Ltd                                                                                                               | CUSIP: 36361WAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     6950656 | PA      | $6898490.93   | 0.18%             | 2028-01-21      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association            | Ginnie Mae I Pool                                                                                                                        | CUSIP: 36296XX41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        5743 | PA      | $5801.84      | 0.00%             | 2039-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                      | Option One Mortgage Loan Trust 2007-1                                                                                                    | CUSIP: 68400DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4315224 | PA      | $2861896.00   | 0.07%             | 2037-01-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| RBSSP Resecuritization Trust                        | RBSSP Resecuritization Trust 2011-4                                                                                                      | CUSIP: 74930PAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3290160 | PA      | $3162768.62   | 0.08%             | 2036-06-27      | Floating      | 3.81%                 | No            |                  2 | On Loan: No      |
| LEVEL 3 FINANCING INC                               | Level 3 Financing Inc                                                                                                                    | CUSIP: 527298BQ5<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |    12330000 | PA      | $9730039.36   | 0.25%             | 2029-11-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31403DSK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       48614 | PA      | $50632.81     | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                         | Long: SWU01I312 IRS USD R F  1.69000 SWU01I312 CCPOIS / Short: SWU01I312 IRS USD P V 12MSOFR SWUV1I314 CCPOIS                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    30000000 | OU      | $-2513640.00  | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31417YCJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       39249 | PA      | $38379.60     | 0.00%             | 2029-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31388FNB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       54105 | PA      | $52393.27     | 0.00%             | 2041-08-01      | Floating      | 2.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31417ACL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       42344 | PA      | $41566.29     | 0.00%             | 2026-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31385W2D0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2912 | PA      | $3010.95      | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                              | United States Treasury Note/Bond                                                                                                         | CUSIP: 912810RG5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    18000000 | PA      | $15871640.58  | 0.41%             | 2044-05-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                   | EURO-BUND FUTURE MAR23                                                                                                                   | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |        -755 | NC      | $6807067.43   | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 3138EGSJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1284481 | PA      | $1332011.90   | 0.03%             | 2041-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                       | PURCHASED PEN / SOLD USD                                                                                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | PE        |           1 | NC      | $19017.35     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset Backed Certificates   | First Franklin Mortgage Loan Trust 2005-FF9                                                                                              | CUSIP: 32027NVV0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      269875 | PA      | $269004.21    | 0.01%             | 2035-10-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust                      | Long Beach Mortgage Loan Trust 2005-3                                                                                                    | CUSIP: 542514NT7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      509911 | PA      | $484259.22    | 0.01%             | 2045-08-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31410GRN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      319673 | PA      | $331030.23    | 0.01%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31406QVM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2374 | PA      | $2443.84      | 0.00%             | 2035-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Gold Pool                                                                                                                    | CUSIP: 3128LCUJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        4154 | PA      | $4312.41      | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                              | United States Treasury Note/Bond                                                                                                         | CUSIP: 912810SS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    29100000 | PA      | $17314500.00  | 0.44%             | 2050-11-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                                          | CUSIP: 31418RR45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7974 | PA      | $7958.83      | 0.00%             | 2025-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                               | Wells Fargo & Co                                                                                                                         | CUSIP: 95000U2X0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     5500000 | PA      | $5345489.77   | 0.14%             | 2026-04-25      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT AS                              | Nykredit Realkredit AS                                                                                                                   | CUSIP: 000000000<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |    45372163 | PA      | $5020099.83   | 0.13%             | 2053-10-01      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                     | Long: SWPC0LEV8 CDS USD R F  1.00000 1 CCPCORPORATE / Short: SWPC0LEV8 CDS USD P V 03MEVENT 2 CCPCORPORATE                               | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |     3400000 | OU      | $-59588.40    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PIEDMONT OPERATING PARTN                            | Piedmont Operating Partnership LP                                                                                                        | CUSIP: 720198AE0<br>LEI: 549300WKGDPAS39FBD10 | Long             | DBT              |  | US        |    12900000 | PA      | $9812089.07   | 0.25%             | 2030-08-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |

### Signature

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

**Name of Applicant:** Brighthouse Funds Trust I

**Signature:** Alan Otis

**Name of Signer:** Alan Otis

**Title:** Treasurer