# EDGAR Filing Document

**Accession Number:** 0000792359
**File Stem:** 0001752724-23-035682
**Filing Date:** 2023-2
**Character Count:** 153641
**Document Hash:** a397139e0be0b82cc2fd188176674a11
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-035682.hdr.sgml**: 20230223

**ACCESSION NUMBER**: 0001752724-23-035682

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221230

**FILED AS OF DATE**: 20230223

**DATE AS OF CHANGE**: 20230223

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** VIRTUS VARIABLE INSURANCE TRUST
- **CENTRAL INDEX KEY:** 0000792359
- **IRS NUMBER:** 000000000
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04642
- **FILM NUMBER:** 23657468

**BUSINESS ADDRESS:**
- **STREET 1:** ONE FINANCIAL PLAZA
- **CITY:** HARTFORD
- **STATE:** CT
- **ZIP:** 06103
- **BUSINESS PHONE:** 8002487971

**MAIL ADDRESS:**
- **STREET 1:** ONE FINANCIAL PLAZA
- **CITY:** HARTFORD
- **STATE:** CT
- **ZIP:** 06103

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** PHOENIX EDGE SERIES FUND
- **DATE OF NAME CHANGE:** 19920703

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** BIG EDGE SERIES FUND
- **DATE OF NAME CHANGE:** 19920304

## Series and Classes Contracts Data

### VIRTUS STRATEGIC ALLOCATION SERIES (Series ID: S000001966)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000005150 | Class A      |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Virtus Variable Insurance Trust

- **b. Investment Company Act file number:** 811-04642

- **c. CIK number of Registrant:** 0000792359

- **d. LEI of Registrant:** 5493003VWTC7OD2WQT04

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

  - **Street Address 1:** One Financial Plaza

  - **City:** Hartford

  - **State:** CT

  - **Foreign country:** US

  - **Zip / Postal Code:** 06103

  - **Telephone number:** 800-248-4790

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

- **a. Name of Series:** Virtus Strategic Allocation Series

- **b. EDGAR series identifier (if any):** S000001966

- **c. LEI of Series:** 549300DQUY8629YQT565

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $63776936.87

**Total Liabilities:** $94389.17

**Net Assets:** $63682547.70

**Cash Not Reported:** $164078.98

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 0.00000000 | **1-Year:** 0.00000000 | **5-Year:** -482.00000000 | **10-Year:** -1783.00000000 | **30-Year:** -3719.00000000

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

- **3-Month:** 0.00000000 | **1-Year:** 0.00000000 | **5-Year:** -155.00000000 | **10-Year:** -228.00000000 | **30-Year:** -291.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000005150 | 3.61%                | 4.84%                | -3.09%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $108110.94               | $2065544.80                                |
| Month 2  | $189835.64               | $2855166.95                                |
| Month 3  | $2996.70                 | $-2102499.46                               |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| HF SINCLAIR CORP                   | HF Sinclair Corp                                                                | CUSIP: 403949AB6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     45000 | PA      | $45037.78     | 0.07%             | 2026-04-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| OPEN TEXT CORP                     | Open Text Corp                                                                  | CUSIP: 000000000<br>LEI: 549300HP7ONDQODZJV16 | Long             | LON              | CORP              | CA        |     15000 | PA      | $14636.25     | 0.02%             | 2029-11-16      | Floating      | 7.83%                 | No            |                  2 | On Loan: No      |
| Aqua Finance Trust                 | Aqua Finance Trust 2019-A                                                       | CUSIP: 038370AC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $91930.77     | 0.14%             | 2040-07-16      | Fixed         | 4.01%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan      | New Residential Mortgage Loan Trust 2014-1                                      | CUSIP: 64828AAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22415 | PA      | $21042.13     | 0.03%             | 2054-01-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| METLIFE INC                        | MetLife Inc                                                                     | CUSIP: 59156RBT4<br>LEI: C4BXATY60WC6XEOZDX54 | Long             | DBT              | CORP              | US        |     40000 | PA      | $38034.70     | 0.06%             | N/A             | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| UFC HOLDINGS LLC                   | UFC Holdings LLC                                                                | CUSIP: 90266UAJ2<br>LEI: 549300JEOTH7UMZ3C491 | Long             | LON              | CORP              | US        |     19405 | PA      | $19124.50     | 0.03%             | 2026-04-29      | Floating      | 7.14%                 | No            |                  2 | On Loan: No      |
| ARES FINANCE CO LLC                | Ares Finance Co LLC                                                             | CUSIP: 04015CAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     80000 | PA      | $76357.41     | 0.12%             | 2024-10-08      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                         | Fannie Mae Pool                                                                 | CUSIP: 31416M4W1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3382 | PA      | $3433.04      | 0.01%             | 2039-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS             | Verizon Communications Inc                                                      | CUSIP: 92343VGJ7<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     36000 | PA      | $29604.91     | 0.05%             | 2031-03-21      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| IDAHO ST HLTH FACS AUTH REVENU     | Idaho Health Facilities Authority                                               | CUSIP: 451295A25<br>LEI: 549300X43KY1C2WW0J97 | Long             | DBT              | MUN               | US        |     90000 | PA      | $80493.02     | 0.13%             | 2048-03-01      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust          | Towd Point Mortgage Trust 2018-6                                                | CUSIP: 89176LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     66630 | PA      | $64666.90     | 0.10%             | 2058-03-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| MET TRANSPRTN AUTH NY DEDICATE     | Metropolitan Transportation Authority                                           | CUSIP: 59260XAW8<br>LEI: 5493000TKYODLXADQD60 | Long             | DBT              | MUN               | US        |    210000 | PA      | $225632.53    | 0.35%             | 2045-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SAN ANTONIO TX                     | City of San Antonio TX                                                          | CUSIP: 79623PEY7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     70000 | PA      | $53405.85     | 0.08%             | 2033-02-01      | Fixed         | 1.96%                 | No            |                  2 | On Loan: No      |
| MASCO CORP                         | Masco Corp                                                                      | CUSIP: 574599BR6<br>LEI: 5GCSNMQXHEYA1JO8QN11 | Long             | DBT              | CORP              | US        |     30000 | PA      | $18607.78     | 0.03%             | 2051-02-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Ecolab Inc                         | Ecolab Inc                                                                      | CUSIP: 278865100<br>LEI: 82DYEISM090VG8LTLS26 | Long             | EC               | CORP              | US        |      3313 | NS      | $482240.28    | 0.76%             |  |  |  | No            |                  1 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD           | Avolon Holdings Funding Ltd                                                     | CUSIP: 05401AAG6<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |     55000 | PA      | $50113.00     | 0.08%             | 2026-05-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| RESIDEO FUNDING INC                | Resideo Funding Inc                                                             | CUSIP: 76090LAE4<br>LEI: 5493000IFJ6XJKH66598 | Long             | LON              | CORP              | US        |     14499 | PA      | $14344.76     | 0.02%             | 2028-02-12      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan      | New Residential Mortgage Loan Trust 2016-4                                      | CUSIP: 64829LAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     74757 | PA      | $68649.74     | 0.11%             | 2056-11-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivable     | Westlake Automobile Receivables Trust 2020-3                                    | CUSIP: 96042QAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     55000 | PA      | $53619.08     | 0.08%             | 2025-11-17      | Fixed         | 1.24%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan      | New Residential Mortgage Loan Trust 2016-1                                      | CUSIP: 64829FAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16251 | PA      | $14906.30     | 0.02%             | 2056-03-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC               | Glencore Funding LLC                                                            | CUSIP: 378272BE7<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |     75000 | PA      | $61374.38     | 0.10%             | 2031-04-27      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Dreyfus Government Cash Management | Dreyfus Government Cash Management                                              | CUSIP: 262006208<br>LEI: 5493000Q69I5Q3QZIA91 | Long             | STIV             | RF                | US        |    809013 | NS      | $809013.12    | 1.27%             |  |  |  | No            |                  1 | On Loan: No      |
| GATES GLOBAL LLC                   | Gates Global LLC                                                                | CUSIP: 36740UAX0<br>LEI: 549300XI79MQJV13DW27 | Long             | LON              | CORP              | US        |     50000 | PA      | $49562.50     | 0.08%             | 2029-11-16      | Floating      | 7.82%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust           | JP Morgan Mortgage Trust 2014-2                                                 | CUSIP: 46641YAJ2<br>LEI: 549300BV8AJIRLDGMR51 | Long             | ABS-MBS          | CORP              | US        |     20407 | PA      | $19068.27     | 0.03%             | 2029-06-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Snowflake Inc                      | Snowflake Inc                                                                   | CUSIP: 833445109<br>LEI: 254900CJNSY1K7T53Z16 | Long             | EC               | CORP              | US        |      4904 | NS      | $703920.16    | 1.11%             |  |  |  | No            |                  1 | On Loan: No      |
| ALASKA AIRLINES 2020 TR            | Alaska Airlines 2020-1 Class A Pass Through Trust                               | CUSIP: 01166VAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     63242 | PA      | $60191.72     | 0.09%             | 2027-08-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                         | Fannie Mae Pool                                                                 | CUSIP: 31412MZA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       983 | PA      | $1015.67      | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SANTANDER HOLDINGS USA             | Santander Holdings USA Inc                                                      | CUSIP: 80282KAP1<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |    100000 | PA      | $95366.94     | 0.15%             | 2027-07-13      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| BAYPORT POLYMERS LLC               | Bayport Polymers LLC                                                            | CUSIP: 073096AC3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     65000 | PA      | $58695.81     | 0.09%             | 2032-04-14      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust           | Ajax Mortgage Loan Trust 2019-D                                                 | CUSIP: 00968FAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     42567 | PA      | $39540.50     | 0.06%             | 2065-09-25      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| DELL INT LLC / EMC CORP            | Dell International LLC / EMC Corp                                               | CUSIP: 24703TAJ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     35000 | PA      | $39221.63     | 0.06%             | 2036-07-15      | Fixed         | 8.10%                 | No            |                  2 | On Loan: No      |
| MercadoLibre Inc                   | MercadoLibre Inc                                                                | CUSIP: 58733R102<br>LEI: 549300DKPDN9M5S8GB14 | Long             | EC               | CORP              | UY        |       601 | NS      | $508590.24    | 0.80%             |  |  |  | No            |                  1 | On Loan: No      |
| CAE Inc                            | CAE Inc                                                                         | CUSIP: 124765108<br>LEI: 549300FFM2BEH2GF1E44 | Long             | EC               | CORP              | CA        |     12403 | NS      | $239907.36    | 0.38%             |  |  |  | No            |                  1 | On Loan: No      |
| Dominion Mortgage Trust            | Dominion Mortgage Trust 2021-RTL1                                               | CUSIP: 257463AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $89932.30     | 0.14%             | 2027-07-25      | Variable      | 2.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A     | Ginnie Mae I Pool                                                               | CUSIP: 36205A3F9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1665 | PA      | $1711.57      | 0.00%             | 2024-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                         | Fannie Mae Pool                                                                 | CUSIP: 31371KDL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       869 | PA      | $890.71       | 0.00%             | 2031-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GO DADDY OPERATING CO LLC          | Go Daddy Operating Co LLC                                                       | CUSIP: 38017BAT3<br>LEI: 5493005GJOH8HLL11157 | Long             | LON              | CORP              | US        |     15000 | PA      | $14960.40     | 0.02%             | 2029-11-10      | Floating      | 7.58%                 | No            |                  2 | On Loan: No      |
| GENERAL ELECTRIC CO                | General Electric Co                                                             | CUSIP: 369604BQ5<br>LEI: 3C7474T6CDKPR9K6YT90 | Long             | DBT              | CORP              | US        |     90000 | PA      | $88419.83     | 0.14%             | N/A             | Floating      | 8.10%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                    | United States Treasury Note/Bond                                                | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     50000 | PA      | $34769.53     | 0.05%             | 2052-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| S-1 Corp                           | S-1 Corp                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | KR        |      7680 | NS      | $361352.53    | 0.57%             |  |  |  | No            |                  1 | On Loan: No      |
| UNITED MEXICAN STATES              | Mexico Government International Bond                                            | CUSIP: 91086QBB3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     54000 | PA      | $43513.88     | 0.07%             | 2044-03-08      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Estee Lauder Cos Inc/The           | Estee Lauder Cos Inc/The                                                        | CUSIP: 518439104<br>LEI: 549300VFZ8XJ9NUPU221 | Long             | EC               | CORP              | US        |      3280 | NS      | $813800.80    | 1.28%             |  |  |  | No            |                  1 | On Loan: No      |
| Heineken Malaysia Bhd              | Heineken Malaysia Bhd                                                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | MY        |     53800 | NS      | $307777.53    | 0.48%             |  |  |  | No            |                  1 | On Loan: No      |
| STATE STREET CORP                  | State Street Corp                                                               | CUSIP: 857477BV4<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |     45000 | PA      | $41567.93     | 0.07%             | 2033-08-04      | Fixed         | 4.16%                 | No            |                  2 | On Loan: No      |
| Max Stock Ltd                      | Max Stock Ltd                                                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | IL        |     61367 | NS      | $102583.85    | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                         | Fannie Mae Pool                                                                 | CUSIP: 31411UG96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1691 | PA      | $1749.87      | 0.00%             | 2037-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BROOKFIELD FINANCE INC             | Brookfield Finance Inc                                                          | CUSIP: 11271LAC6<br>LEI: 549300XH8D8K6OYWGD17 | Long             | DBT              | CORP              | CA        |    115000 | PA      | $105444.19    | 0.17%             | 2028-01-25      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| IDEXX Laboratories Inc             | IDEXX Laboratories Inc                                                          | CUSIP: 45168D104<br>LEI: OGMTXK0LUU1HKV2P0J84 | Long             | EC               | CORP              | US        |       977 | NS      | $398576.92    | 0.63%             |  |  |  | No            |                  1 | On Loan: No      |
| Dext ABS 2020-1, LLC               | Dext ABS 2020-1 LLC                                                             | CUSIP: 25216AAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     16631 | PA      | $16404.97     | 0.03%             | 2027-02-16      | Fixed         | 1.46%                 | No            |                  2 | On Loan: No      |
| M/I HOMES INC                      | M/I Homes Inc                                                                   | CUSIP: 55305BAS0<br>LEI: 5299005M71FH9CCSFB69 | Long             | DBT              | CORP              | US        |     45000 | PA      | $39980.70     | 0.06%             | 2028-02-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| ARCELORMITTAL SA                   | ArcelorMittal SA                                                                | CUSIP: 03938LBF0<br>LEI: 2EULGUTUI56JI9SAL165 | Long             | DBT              | CORP              | LU        |     40000 | PA      | $39773.80     | 0.06%             | 2032-11-29      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| Bouvet ASA                         | Bouvet ASA                                                                      | CUSIP: 000000000<br>LEI: 5967007LIEEXZXFMBC26 | Long             | EC               | CORP              | NO        |     44912 | NS      | $275061.24    | 0.43%             |  |  |  | No            |                  1 | On Loan: No      |
| Bank of America Corp               | Bank of America Corp                                                            | CUSIP: 060505104<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | EC               | CORP              | US        |     29244 | NS      | $968561.28    | 1.52%             |  |  |  | No            |                  1 | On Loan: No      |
| Angel Oak Mortgage Trust           | Angel Oak Mortgage Trust 2021-8                                                 | CUSIP: 03465MAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     82198 | PA      | $67886.91     | 0.11%             | 2066-11-25      | Variable      | 1.82%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC            | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GVR2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    195000 | PA      | $190309.59    | 0.30%             | 2025-10-21      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                    | United States Treasury Note/Bond                                                | CUSIP: 912810RQ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1374000 | PA      | $1028031.09   | 1.61%             | 2046-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR COMPANY                 | Ford Motor Co                                                                   | CUSIP: 345370DA5<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |     26000 | PA      | $19498.48     | 0.03%             | 2032-02-12      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Firstkey Homes Trust               | FirstKey Homes 2021-SFR1 Trust                                                  | CUSIP: 33767WAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     75000 | PA      | $62959.21     | 0.10%             | 2038-08-17      | Fixed         | 2.19%                 | No            |                  2 | On Loan: No      |
| American Homes 4 Rent              | American Homes 4 Rent 2015-SFR2 Trust                                           | CUSIP: 02666BAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    110000 | PA      | $104866.92    | 0.16%             | 2052-10-17      | Fixed         | 4.69%                 | No            |                  2 | On Loan: No      |
| TVC Mortgage Trust 2020-RTL1       | TVC Mortgage Trust 2020-RTL1                                                    | CUSIP: 90114YAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     29278 | PA      | $29179.27     | 0.05%             | 2024-09-25      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| Danaher Corp                       | Danaher Corp                                                                    | CUSIP: 235851102<br>LEI: S4BKK9OTCEWQ3YHPFM11 | Long             | EC               | CORP              | US        |      4745 | NS      | $1259417.90   | 1.98%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                         | Fannie Mae Pool                                                                 | CUSIP: 31416M4U5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2881 | PA      | $2919.20      | 0.00%             | 2039-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II            | GLP Capital LP / GLP Financing II Inc                                           | CUSIP: 361841AK5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    100000 | PA      | $98052.96     | 0.15%             | 2028-06-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Visa Inc                           | Visa Inc                                                                        | CUSIP: 92826C839<br>LEI: 549300JZ4OKEHW3DPJ59 | Long             | EC               | CORP              | US        |     11678 | NS      | $2426221.28   | 3.81%             |  |  |  | No            |                  1 | On Loan: No      |
| Firstkey Homes Trust               | FirstKey Homes 2020-SFR2 Trust                                                  | CUSIP: 33767JAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    115000 | PA      | $102060.15    | 0.16%             | 2037-10-19      | Fixed         | 1.57%                 | No            |                  2 | On Loan: No      |
| Duck Creek Technologies Inc        | Duck Creek Technologies Inc                                                     | CUSIP: 264120106<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     28749 | NS      | $346425.45    | 0.54%             |  |  |  | No            |                  1 | On Loan: No      |
| MPT OPER PARTNERSP/FINL            | MPT Operating Partnership LP / MPT Finance Corp                                 | CUSIP: 55342UAJ3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     10000 | PA      | $7625.85      | 0.01%             | 2029-08-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Alten SA                           | Alten SA                                                                        | CUSIP: 000000000<br>LEI: 969500Y7G9TY7Y24GN07 | Long             | EC               | CORP              | FR        |      2855 | NS      | $356956.54    | 0.56%             |  |  |  | No            |                  1 | On Loan: No      |
| WELLS FARGO & COMPANY              | Wells Fargo & Co                                                                | CUSIP: 949746TD3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    105000 | PA      | $91902.83     | 0.14%             | N/A             | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Rightmove PLC                      | Rightmove PLC                                                                   | CUSIP: 000000000<br>LEI: 2138001JXGCFKBXYB828 | Long             | EC               | CORP              | GB        |     69781 | NS      | $431425.94    | 0.68%             |  |  |  | No            |                  1 | On Loan: No      |
| US TREASURY N/B                    | United States Treasury Note/Bond                                                | CUSIP: 912810SD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    485000 | PA      | $398268.36    | 0.63%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SCIENCE APPLICATIONS INT           | Science Applications International Corp                                         | CUSIP: 808625AA5<br>LEI: 549300LZPNZIXQGZPZ48 | Long             | DBT              | CORP              | US        |     25000 | PA      | $23124.95     | 0.04%             | 2028-04-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Paycom Software Inc                | Paycom Software Inc                                                             | CUSIP: 70432V102<br>LEI: 254900LSB0HNJUDC6Q18 | Long             | EC               | CORP              | US        |      5585 | NS      | $1733081.35   | 2.72%             |  |  |  | No            |                  1 | On Loan: No      |
| CPS Auto Trust                     | CPS Auto Receivables Trust 2019-D                                               | CUSIP: 12655KAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     60000 | PA      | $58407.83     | 0.09%             | 2025-10-15      | Fixed         | 3.86%                 | No            |                  2 | On Loan: No      |
| BIO-RAD LABS                       | Bio-Rad Laboratories Inc                                                        | CUSIP: 090572AQ1<br>LEI: 549300ZC1GPV35XYDK53 | Long             | DBT              | CORP              | US        |     10000 | PA      | $8565.21      | 0.01%             | 2032-03-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| American Homes 4 Rent              | American Homes 4 Rent 2015-SFR1 Trust                                           | CUSIP: 02666AAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     94302 | PA      | $89800.61     | 0.14%             | 2052-04-17      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                | JPMorgan Chase & Co                                                             | CUSIP: 46647PBX3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    150000 | PA      | $114738.62    | 0.18%             | 2032-02-04      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust       | CSMC 2020-RPL4 Trust                                                            | CUSIP: 126405AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     54843 | PA      | $48627.59     | 0.08%             | 2060-01-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| Monster Beverage Corp              | Monster Beverage Corp                                                           | CUSIP: 61174X109<br>LEI: 52990090AP0E7HCB6F33 | Long             | EC               | CORP              | US        |      8699 | NS      | $883209.47    | 1.39%             |  |  |  | No            |                  1 | On Loan: No      |
| CDW LLC/CDW FINANCE                | CDW LLC / CDW Finance Corp                                                      | CUSIP: 12513GBJ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     61000 | PA      | $50266.21     | 0.08%             | 2031-12-01      | Fixed         | 3.57%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                 | VICI Properties LP                                                              | CUSIP: 925650AC7<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |     30000 | PA      | $28557.52     | 0.04%             | 2030-02-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust     | Mariner Finance Issuance Trust 2019-A                                           | CUSIP: 56847MAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     54295 | PA      | $53563.68     | 0.08%             | 2032-07-20      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC           | OBX 2019-INV1 Trust                                                             | CUSIP: 67098AAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8538 | PA      | $8161.37      | 0.01%             | 2048-11-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                    | United States Treasury Note/Bond                                                | CUSIP: 91282CAD3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    100000 | PA      | $84835.94     | 0.13%             | 2027-07-31      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan      | New Residential Mortgage Loan Trust 2016-4                                      | CUSIP: 64829LAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     61241 | PA      | $55899.75     | 0.09%             | 2056-11-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| SERVICE PROPERTIES TRUST           | Service Properties Trust                                                        | CUSIP: 44106MAT9<br>LEI: 529900IS770AG1K9QG27 | Long             | DBT              | CORP              | US        |     70000 | PA      | $60378.28     | 0.09%             | 2025-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Auto Trader Group PLC              | Auto Trader Group PLC                                                           | CUSIP: 000000000<br>LEI: 213800QLK9BZILB1DI86 | Long             | EC               | CORP              | GB        |     71844 | NS      | $447828.52    | 0.70%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY                     | Morgan Stanley                                                                  | CUSIP: 617482V92<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    100000 | PA      | $108463.00    | 0.17%             | 2042-07-24      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Octane Receivables Trust           | Octane Receivables Trust 2020-1                                                 | CUSIP: 67592LAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     13774 | PA      | $13631.33     | 0.02%             | 2025-02-20      | Fixed         | 1.71%                 | No            |                  2 | On Loan: No      |
| Devon Energy Corp                  | Devon Energy Corp                                                               | CUSIP: 25179M103<br>LEI: 54930042348RKR3ZPN35 | Long             | EC               | CORP              | US        |      5274 | NS      | $324403.74    | 0.51%             |  |  |  | No            |                  1 | On Loan: No      |
| AmeriCredit Automobile Receiva     | AmeriCredit Automobile Receivables Trust 2020-3                                 | CUSIP: 03066PAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     85000 | PA      | $79839.79     | 0.13%             | 2026-08-18      | Fixed         | 1.06%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan      | New Residential Mortgage Loan Trust 2020-1                                      | CUSIP: 64830TAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     46845 | PA      | $43147.29     | 0.07%             | 2059-10-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Arroyo Mortgage Trust              | Arroyo Mortgage Trust 2019-1                                                    | CUSIP: 042859AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22536 | PA      | $20699.31     | 0.03%             | 2049-01-25      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                         | Fannie Mae Pool                                                                 | CUSIP: 31416AUG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4885 | PA      | $4953.18      | 0.01%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust         | GLS Auto Receivables Trust 2018-3                                               | CUSIP: 36255XAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     12099 | PA      | $12095.44     | 0.02%             | 2024-07-15      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| DT MIDSTREAM INC                   | DT Midstream Inc                                                                | CUSIP: 23345MAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     25000 | PA      | $21477.75     | 0.03%             | 2029-06-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| FinecoBank Banca Fineco SpA        | FinecoBank Banca Fineco SpA                                                     | CUSIP: 000000000<br>LEI: 549300L7YCATGO57ZE10 | Long             | EC               | CORP              | IT        |     23349 | NS      | $387905.90    | 0.61%             |  |  |  | No            |                  1 | On Loan: No      |
| T-MOBILE USA INC                   | T-Mobile USA Inc                                                                | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     90000 | PA      | $81523.33     | 0.13%             | 2030-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| PENTAIR FINANCE SARL               | Pentair Finance Sarl                                                            | CUSIP: 709629AS8<br>LEI: 549300H2U8U8TZPV3T89 | Long             | DBT              | CORP              | LU        |     45000 | PA      | $44103.23     | 0.07%             | 2032-07-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| OFFICE PPTY INCOME TRST            | Office Properties Income Trust                                                  | CUSIP: 81618TAC4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    135000 | PA      | $122330.64    | 0.19%             | 2025-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CELANESE US HOLDINGS LLC           | Celanese US Holdings LLC                                                        | CUSIP: 15089QAJ3<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |     70000 | PA      | $67622.07     | 0.11%             | 2024-05-08      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables      | Exeter Automobile Receivables Trust 2018-4                                      | CUSIP: 30166EAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     26427 | PA      | $26329.19     | 0.04%             | 2024-09-16      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust          | Towd Point Mortgage Trust 2020-MH1                                              | CUSIP: 89178YAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $84740.42     | 0.13%             | 2060-02-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust          | Morgan Stanley Bank of America Merrill Lynch Trust 2015-C22                     | CUSIP: 61690FAP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    225000 | PA      | $209328.37    | 0.33%             | 2048-04-15      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| ARAMARK SERVICES INC               | Aramark Services Inc                                                            | CUSIP: 038522AR9<br>LEI: 42YMHYH0XMHJEXDUB065 | Long             | DBT              | CORP              | US        |     20000 | PA      | $19754.20     | 0.03%             | 2025-05-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan      | New Residential Mortgage Loan Trust 2016-3                                      | CUSIP: 64829HAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21462 | PA      | $19810.95     | 0.03%             | 2056-09-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| LIBERTY MUTUAL GROUP INC           | Liberty Mutual Group Inc                                                        | CUSIP: 53079EBM5<br>LEI: QUR0DG15Z6FFGYCHH861 | Long             | DBT              | CORP              | US        |     30000 | PA      | $24438.00     | 0.04%             | 2051-12-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora     | Chase Mortgage Finance Corp                                                     | CUSIP: 16164AAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     29891 | PA      | $26026.49     | 0.04%             | 2045-12-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Moneysupermarket.com Group PLC     | Moneysupermarket.com Group PLC                                                  | CUSIP: 000000000<br>LEI: 54930016B7VO33FBE722 | Long             | EC               | CORP              | GB        |     57808 | NS      | $134462.55    | 0.21%             |  |  |  | No            |                  1 | On Loan: No      |
| CONSENSUS CLOUD SOLUTION           | Consensus Cloud Solutions Inc                                                   | CUSIP: 20848VAB1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     20000 | PA      | $18395.37     | 0.03%             | 2028-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                | JPMorgan Chase & Co                                                             | CUSIP: 46647PDK9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     40000 | PA      | $39042.14     | 0.06%             | 2033-09-14      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| VISTRA CORP                        | Vistra Corp                                                                     | CUSIP: 92840MAB8<br>LEI: 549300KP43CPCUJOOG15 | Long             | DBT              | CORP              | US        |     20000 | PA      | $19101.34     | 0.03%             | N/A             | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| INEOS US FINANCE LLC               | INEOS US Finance LLC                                                            | CUSIP: 000000000<br>LEI: 5493008MHJ4R367SNK31 | Long             | LON              | CORP              | US        |     68675 | PA      | $67497.51     | 0.11%             | 2027-11-08      | Floating      | 8.08%                 | No            |                  2 | On Loan: No      |
| Avant Credit Card Master Trust     | Avant Credit Card Master Trust                                                  | CUSIP: 05351KAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     60000 | PA      | $54892.46     | 0.09%             | 2027-04-15      | Fixed         | 1.37%                 | No            |                  2 | On Loan: No      |
| Corp Moctezuma SAB de CV           | Corp Moctezuma SAB de CV                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | MX        |     76431 | NS      | $215723.96    | 0.34%             |  |  |  | No            |                  1 | On Loan: No      |
| Provident Funding Mortgage Tru     | Provident Funding Mortgage Trust 2019-1                                         | CUSIP: 74387LAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19564 | PA      | $16271.32     | 0.03%             | 2049-12-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                | Charles Schwab Corp/The                                                         | CUSIP: 808513BJ3<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |     70000 | PA      | $55821.50     | 0.09%             | N/A             | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Meitec Corp                        | Meitec Corp                                                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | JP        |     15000 | NS      | $273849.44    | 0.43%             |  |  |  | No            |                  1 | On Loan: No      |
| BX Trust 2019-OC11                 | BX Trust 2019-OC11                                                              | CUSIP: 05606FAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     80000 | PA      | $63753.23     | 0.10%             | 2041-12-09      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| OWL ROCK CORE INCOME COR           | OWL Rock Core Income Corp                                                       | CUSIP: 69120VAF8<br>LEI: 5493003I42XBWPE05N35 | Long             | DBT              | CORP              | US        |     32000 | PA      | $28854.67     | 0.05%             | 2027-02-08      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                    | United States Treasury Note/Bond                                                | CUSIP: 912810SP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    595000 | PA      | $330620.12    | 0.52%             | 2050-08-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                 | Ally Financial Inc                                                              | CUSIP: 02005NBM1<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |     32000 | PA      | $21400.00     | 0.03%             | N/A             | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| S&P Global Inc                     | S&P Global Inc                                                                  | CUSIP: 78409V104<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | EC               | CORP              | US        |      1778 | NS      | $595523.32    | 0.94%             |  |  |  | No            |                  1 | On Loan: No      |
| TENABLE INC                        | Tenable Inc                                                                     | CUSIP: 88025XAC7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     19713 | PA      | $19121.77     | 0.03%             | 2028-07-07      | Floating      | 7.12%                 | No            |                  2 | On Loan: No      |
| ELANCO ANIMAL HEALTH INC           | Elanco Animal Health Inc                                                        | CUSIP: 28414BAF3<br>LEI: 549300SHPNDCE059M934 | Long             | LON              | CORP              | US        |     17665 | PA      | $16933.64     | 0.03%             | 2027-08-01      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| Victorian Plumbing Group PLC       | Victorian Plumbing Group PLC                                                    | CUSIP: 000000000<br>LEI: 894500R59II0S4WXGZ04 | Long             | EC               | CORP              | GB        |    148790 | NS      | $138507.35    | 0.22%             |  |  |  | No            |                  1 | On Loan: No      |
| Mortgage Advice Bureau Holding     | Mortgage Advice Bureau Holdings Ltd                                             | CUSIP: 000000000<br>LEI: 2138008AY1RA61T6W960 | Long             | EC               | CORP              | GB        |     33989 | NS      | $217782.31    | 0.34%             |  |  |  | No            |                  1 | On Loan: No      |
| Towd Point Mortgage Trust          | Towd Point Mortgage Trust 2016-3                                                | CUSIP: 89172YAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    145000 | PA      | $142151.58    | 0.22%             | 2056-04-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Residential Mortgage Loan Trus     | Residential Mortgage Loan Trust 2019-2                                          | CUSIP: 76119DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6105 | PA      | $5927.25      | 0.01%             | 2059-05-25      | Variable      | 2.91%                 | No            |                  2 | On Loan: No      |
| SAN DIEGO CNTY CA REGL ARPT AU     | San Diego County Regional Airport Authority                                     | CUSIP: 79742GAF8<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    265000 | PA      | $257328.28    | 0.40%             | 2043-07-01      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| FDM Group Holdings PLC             | FDM Group Holdings PLC                                                          | CUSIP: 000000000<br>LEI: 213800YR62D7GUZLMZ71 | Long             | EC               | CORP              | GB        |     19343 | NS      | $175151.55    | 0.28%             |  |  |  | No            |                  1 | On Loan: No      |
| ACC Auto Trust                     | ACC Auto Trust 2021-A                                                           | CUSIP: 00108XAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     65000 | PA      | $62479.62     | 0.10%             | 2027-04-15      | Fixed         | 1.79%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust       | Credit Suisse Mortgage Capital Certificates 2019-ICE4                           | CUSIP: 12653VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $98896.67     | 0.16%             | 2036-05-15      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| Fair Isaac Corp                    | Fair Isaac Corp                                                                 | CUSIP: 303250104<br>LEI: RI6HET5SJUEY30V1PS26 | Long             | EC               | CORP              | US        |      1438 | NS      | $860758.04    | 1.35%             |  |  |  | No            |                  1 | On Loan: No      |
| KINDER MORGAN INC                  | Kinder Morgan Inc                                                               | CUSIP: 28368EAE6<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |     25000 | PA      | $28107.47     | 0.04%             | 2032-01-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| PHILLIPS EDISON GROCERY            | Phillips Edison Grocery Center Operating Partnership I LP                       | CUSIP: 71845JAA6<br>LEI: 549300WUPIVS6ZE0ZI51 | Long             | DBT              | CORP              | US        |     65000 | PA      | $47565.12     | 0.07%             | 2031-11-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| BIO-RAD LABS                       | Bio-Rad Laboratories Inc                                                        | CUSIP: 090572AR9<br>LEI: 549300ZC1GPV35XYDK53 | Long             | DBT              | CORP              | US        |     32000 | PA      | $29573.26     | 0.05%             | 2027-03-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                   | BAT Capital Corp                                                                | CUSIP: 05526DBX2<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     62000 | PA      | $66685.65     | 0.10%             | 2032-10-19      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| NEW YORK ST ENVRNMNTL FACS COR     | New York State Environmental Facilities Corp                                    | CUSIP: 64986DMK8<br>LEI: 549300QJ33JJW73OQO60 | Long             | DBT              | MUN               | US        |    175000 | PA      | $189978.79    | 0.30%             | 2051-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Brockhaus Technologies AG          | Brockhaus Technologies AG                                                       | CUSIP: 000000000<br>LEI: 5299007DQ4OLATJQIX97 | Long             | EC               | CORP              | DE        |      5054 | NS      | $121185.22    | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| SEMPRA GLOBAL                      | Sempra Global                                                                   | CUSIP: 81685VAA1<br>LEI: 549300L0B3MD11PUAA07 | Long             | DBT              | CORP              | US        |     58000 | PA      | $46240.80     | 0.07%             | 2032-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Nordnet AB publ                    | Nordnet AB publ                                                                 | CUSIP: 000000000<br>LEI: 549300D6WW5ZTWLZ4C08 | Long             | EC               | CORP              | SE        |      7041 | NS      | $101854.74    | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| Trade Desk Inc/The                 | Trade Desk Inc/The                                                              | CUSIP: 88339J105<br>LEI: 549300GXPD31VT3E0P46 | Long             | EC               | CORP              | US        |     18550 | NS      | $831596.50    | 1.31%             |  |  |  | No            |                  1 | On Loan: No      |
| Airbnb Inc                         | Airbnb Inc                                                                      | CUSIP: 009066101<br>LEI: 549300HMUDNO0RY56D37 | Long             | EC               | CORP              | US        |      6794 | NS      | $580887.00    | 0.91%             |  |  |  | No            |                  1 | On Loan: No      |
| Chase Mortgage Finance Corpora     | Chase Mortgage Finance Corp                                                     | CUSIP: 16163YAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24380 | PA      | $20424.65     | 0.03%             | 2045-04-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Orange Lake Timeshare Trust        | Orange Lake Timeshare Trust 2019-A                                              | CUSIP: 68504UAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     28122 | PA      | $26464.13     | 0.04%             | 2038-04-09      | Fixed         | 3.36%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                        | Oracle Corp                                                                     | CUSIP: 68389XCJ2<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     65000 | PA      | $68030.36     | 0.11%             | 2032-11-09      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Ross Stores Inc                    | Ross Stores Inc                                                                 | CUSIP: 778296103<br>LEI: 549300ENZFLPGRDFZQ60 | Long             | EC               | CORP              | US        |      7144 | NS      | $829204.08    | 1.30%             |  |  |  | No            |                  1 | On Loan: No      |
| Baltic Classifieds Group PLC       | Baltic Classifieds Group PLC                                                    | CUSIP: 000000000<br>LEI: 213800I1RPHCFSSQS969 | Long             | EC               | CORP              | GB        |    263006 | NS      | $447689.23    | 0.70%             |  |  |  | No            |                  1 | On Loan: No      |
| Pason Systems Inc                  | Pason Systems Inc                                                               | CUSIP: 702925108<br>LEI: 984500DC6T2FLR969F65 | Long             | EC               | CORP              | CA        |     13634 | NS      | $160506.62    | 0.25%             |  |  |  | No            |                  1 | On Loan: No      |
| FMG RESOURCES AUG 2006             | FMG Resources August 2006 Pty Ltd                                               | CUSIP: 30251GBD8<br>LEI: 549300EFD6S2NFE9D745 | Long             | DBT              | CORP              | AU        |     30000 | PA      | $27945.83     | 0.04%             | 2030-04-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Block Inc                          | Block Inc                                                                       | CUSIP: 852234103<br>LEI: 549300OHIIUWSTIZME52 | Long             | EC               | CORP              | US        |      6417 | NS      | $403244.28    | 0.63%             |  |  |  | No            |                  1 | On Loan: No      |
| PUGET ENERGY INC                   | Puget Energy Inc                                                                | CUSIP: 745310AM4<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |     39000 | PA      | $33184.11     | 0.05%             | 2028-06-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Enento Group Oyj                   | Enento Group Oyj                                                                | CUSIP: 000000000<br>LEI: 743700EPLUWXE25HGM03 | Long             | EC               | CORP              | FI        |      6955 | NS      | $159322.57    | 0.25%             |  |  |  | No            |                  1 | On Loan: No      |
| Arroyo Mortgage Trust              | Arroyo Mortgage Trust 2019-2                                                    | CUSIP: 042858AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     42824 | PA      | $39611.96     | 0.06%             | 2049-04-25      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| BRIGHTHOUSE FINANCIAL IN           | Brighthouse Financial Inc                                                       | CUSIP: 10922NAG8<br>LEI: 5493003T8SZSHOGGAW52 | Long             | DBT              | CORP              | US        |     47000 | PA      | $44700.57     | 0.07%             | 2030-05-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust         | Flagship Credit Auto Trust 2020-3                                               | CUSIP: 33844TAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     75000 | PA      | $71505.36     | 0.11%             | 2026-09-15      | Fixed         | 1.73%                 | No            |                  2 | On Loan: No      |
| BERRY GLOBAL INC                   | Berry Global Inc                                                                | CUSIP: 08579JBG6<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | LON              | CORP              | US        |     18408 | PA      | $18240.28     | 0.03%             | 2026-07-01      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| UNIV OF CALIFORNIA CA REVENUES     | University of California                                                        | CUSIP: 91412HBU6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     75000 | PA      | $63604.19     | 0.10%             | 2048-05-15      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                         | Fannie Mae Pool                                                                 | CUSIP: 31407MZH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8291 | PA      | $8467.43      | 0.01%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United Auto Credit Securitizat     | United Auto Credit Securitization Trust                                         | CUSIP: 90943UAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     49840 | PA      | $49480.81     | 0.08%             | 2026-06-10      | Fixed         | 0.84%                 | No            |                  2 | On Loan: No      |
| MPT OPER PARTNERSP/FINL            | MPT Operating Partnership LP / MPT Finance Corp                                 | CUSIP: 55342UAM6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     30000 | PA      | $20564.51     | 0.03%             | 2031-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| EPR PROPERTIES                     | EPR Properties                                                                  | CUSIP: 26884UAC3<br>LEI: 549300YSSXFHMPOWZ492 | Long             | DBT              | CORP              | US        |    120000 | PA      | $107822.11    | 0.17%             | 2026-12-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag     | PRPM 2021-2 LLC                                                                 | CUSIP: 69359UAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     62098 | PA      | $57172.39     | 0.09%             | 2026-03-25      | Variable      | 2.12%                 | No            |                  2 | On Loan: No      |
| HCA INC                            | HCA Inc                                                                         | CUSIP: 404119BZ1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     50000 | PA      | $42585.54     | 0.07%             | 2049-06-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                         | AMSR 2020-SFR1 Trust                                                            | CUSIP: 00180AAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $91203.47     | 0.14%             | 2037-04-17      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| RETAIL OPPORTUNITY IN              | Retail Opportunity Investments Partnership LP                                   | CUSIP: 76132FAB3<br>LEI: 549300KH0PNTJK9NTE57 | Long             | DBT              | CORP              | US        |    105000 | PA      | $100363.43    | 0.16%             | 2024-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Knorr-Bremse AG                    | Knorr-Bremse AG                                                                 | CUSIP: 000000000<br>LEI: 5299001GRRO0Z25YZT52 | Long             | EC               | CORP              | DE        |      4667 | NS      | $254985.13    | 0.40%             |  |  |  | No            |                  1 | On Loan: No      |
| Infrastrutture Wireless Italia     | Infrastrutture Wireless Italiane SpA                                            | CUSIP: 000000000<br>LEI: 81560066183FE361C071 | Long             | EC               | CORP              | IT        |     21981 | NS      | $221507.29    | 0.35%             |  |  |  | No            |                  1 | On Loan: No      |
| GMRF Mortgage Acquisition Co.,     | Galton Funding Mortgage Trust 2017-1                                            | CUSIP: 36416UAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3861 | PA      | $3560.93      | 0.01%             | 2056-07-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| TEXAS ST PUBLIC FIN AUTH LEASE     | Texas Public Finance Authority                                                  | CUSIP: 882669CD4<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     55000 | PA      | $39217.07     | 0.06%             | 2035-02-01      | Fixed         | 2.14%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM TRU     | SoFi Consumer Loan Program 2022-1S Trust                                        | CUSIP: 83406QAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     33000 | PA      | $33001.82     | 0.05%             | 2031-04-15      | Fixed         | 6.21%                 | No            |                  2 | On Loan: No      |
| VNV Global AB                      | VNV Global AB                                                                   | CUSIP: 000000000<br>LEI: 549300ONMNSTOBAU0S14 | Long             | EC               | CORP              | SE        |     17779 | NS      | $44264.98     | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| HeadHunter Group PLC               | HeadHunter Group PLC                                                            | CUSIP: 42207L106<br>LEI: 549300IMUCFEWXP6RU11 | Long             | EC               | CORP              | RU        |     12236 | NS      | $12.24        | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Haw Par Corp Ltd                   | Haw Par Corp Ltd                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | SG        |     58000 | NS      | $414842.47    | 0.65%             |  |  |  | No            |                  1 | On Loan: No      |
| GLS Auto Receivables Trust         | GLS Auto Receivables Issuer Trust 2022-2                                        | CUSIP: 36265NAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     50000 | PA      | $47928.94     | 0.08%             | 2028-04-17      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Mill City Mortgage Trust           | Mill City Mortgage Loan Trust 2019-1                                            | CUSIP: 59981AAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     99816 | PA      | $84759.03     | 0.13%             | 2069-10-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                    | CVS Health Corp                                                                 | CUSIP: 126650CX6<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     45000 | PA      | $43525.92     | 0.07%             | 2028-03-25      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Eli Lilly & Co                     | Eli Lilly & Co                                                                  | CUSIP: 532457108<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | EC               | CORP              | US        |       996 | NS      | $364376.64    | 0.57%             |  |  |  | No            |                  1 | On Loan: No      |
| Equifax Inc                        | Equifax Inc                                                                     | CUSIP: 294429105<br>LEI: 5493004MCF8JDC86VS77 | Long             | EC               | CORP              | US        |      3522 | NS      | $684535.92    | 1.07%             |  |  |  | No            |                  1 | On Loan: No      |
| DISCOVER FINANCIAL SVS             | Discover Financial Services                                                     | CUSIP: 254709AS7<br>LEI: Z1YLO2USPORE63VVUL20 | Long             | DBT              | CORP              | US        |     35000 | PA      | $35576.68     | 0.06%             | 2032-11-29      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| LEVEL 3 FINANCING INC              | Level 3 Financing Inc                                                           | CUSIP: 527298BR3<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |     45000 | PA      | $35446.50     | 0.06%             | 2028-07-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| American Credit Acceptance Rec     | American Credit Acceptance Receivables Trust 2022-1                             | CUSIP: 02530WAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     55000 | PA      | $49485.94     | 0.08%             | 2028-03-13      | Fixed         | 2.46%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivabl     | Santander Drive Auto Receivables Trust 2022-7                                   | CUSIP: 80287FAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     84000 | PA      | $84154.07     | 0.13%             | 2026-01-15      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| AGILITI HEALTH INC                 | Agiliti Health Inc                                                              | CUSIP: 00847YAC6<br>LEI: 25490002CCQ55NKGNB14 | Long             | LON              | CORP              | US        |     14808 | PA      | $14418.99     | 0.02%             | 2026-01-04      | Floating      | 7.75%                 | No            |                  2 | On Loan: No      |
| RCKT Mortgage Trust 2020-1         | RCKT Mortgage Trust 2020-1                                                      | CUSIP: 749389AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22023 | PA      | $18331.84     | 0.03%             | 2050-02-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| SBA SENIOR FINANCE II LLC          | SBA Senior Finance II LLC                                                       | CUSIP: 78404XAH8<br>LEI: 549300PVT2ADFWMYEW87 | Long             | LON              | CORP              | US        |     38200 | PA      | $38030.39     | 0.06%             | 2025-04-11      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust          | Towd Point Mortgage Trust 2019-4                                                | CUSIP: 89178BAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $84080.71     | 0.13%             | 2059-10-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| VCAT Asset Securitization, LLC     | VCAT 2021-NPL2 LLC                                                              | CUSIP: 91822YAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     56004 | PA      | $50605.10     | 0.08%             | 2051-03-27      | Variable      | 2.12%                 | No            |                  2 | On Loan: No      |
| HP INC                             | HP Inc                                                                          | CUSIP: 40434LAN5<br>LEI: WHKXQACZ14C5XRO8LW03 | Long             | DBT              | CORP              | US        |     55000 | PA      | $51669.63     | 0.08%             | 2033-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| DocuSign Inc                       | DocuSign Inc                                                                    | CUSIP: 256163106<br>LEI: 549300Q7PVDWRZ39JG09 | Long             | EC               | CORP              | US        |      4358 | NS      | $241520.36    | 0.38%             |  |  |  | No            |                  1 | On Loan: No      |
| New Residential Mortgage Loan      | New Residential Mortgage Loan Trust 2021-NQM2R                                  | CUSIP: 64831EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     37450 | PA      | $32373.89     | 0.05%             | 2058-10-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| VNV GLOBAL AB                      | VNV GLOBAL AB                                                                   | CUSIP: 000000000<br>LEI: 549300ONMNSTOBAU0S14 | N/A              | DE               | CORP              | SE        |     12500 | NC      | $65.88        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| TEXAS ST TRANSPRTN COMMISSIONS     | Texas Transportation Commission State Highway Fund                              | CUSIP: 88283LKV7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     25000 | PA      | $22728.49     | 0.04%             | 2033-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| KYNDRYL HOLDINGS INC               | Kyndryl Holdings Inc                                                            | CUSIP: 50155QAK6<br>LEI: 549300LQ4LWX2R8ZV130 | Long             | DBT              | CORP              | US        |     37000 | PA      | $27766.76     | 0.04%             | 2028-10-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust          | Towd Point Mortgage Trust 2017-4                                                | CUSIP: 89173UAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $89687.66     | 0.14%             | 2057-06-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| BLUE OWL FINANCE LLC               | Blue Owl Finance LLC                                                            | CUSIP: 09581JAA4<br>LEI: 254900OF2NO2GYFV5T41 | Long             | DBT              | CORP              | US        |     35000 | PA      | $25995.01     | 0.04%             | 2031-06-10      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Boa Vista Servicos SA              | Boa Vista Servicos SA                                                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | BR        |    133302 | NS      | $183298.93    | 0.29%             |  |  |  | No            |                  1 | On Loan: No      |
| GLP CAPITAL LP / FIN II            | GLP Capital LP / GLP Financing II Inc                                           | CUSIP: 361841AR0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      6000 | PA      | $4796.31      | 0.01%             | 2032-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP               | Bank of America Corp                                                            | CUSIP: 06051GJT7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    200000 | PA      | $160076.82    | 0.25%             | 2032-04-22      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| BX Trust                           | BX Trust 2018-GW                                                                | CUSIP: 12433UAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    125000 | PA      | $120597.94    | 0.19%             | 2035-05-15      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| NEXSTAR MEDIA INC                  | Nexstar Media Inc                                                               | CUSIP: 65336RAW8<br>LEI: 5493006PK6I4I2OOT688 | Long             | LON              | CORP              | US        |     10709 | PA      | $10609.86     | 0.02%             | 2026-09-18      | Floating      | 6.85%                 | No            |                  2 | On Loan: No      |
| Tricon Residential                 | Tricon Residential 2021-SFR1 Trust                                              | CUSIP: 89614YAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $86217.91     | 0.14%             | 2038-07-17      | Fixed         | 2.24%                 | No            |                  2 | On Loan: No      |
| NMLT Trust                         | NLT 2021-INV2 Trust                                                             | CUSIP: 62917JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     82273 | PA      | $64687.15     | 0.10%             | 2056-08-25      | Variable      | 1.16%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO           | Capital One Financial Corp                                                      | CUSIP: 14040HCG8<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |     48000 | PA      | $34525.00     | 0.05%             | 2032-07-29      | Fixed         | 2.36%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan      | New Residential Mortgage Loan Trust 2016-2                                      | CUSIP: 64829GAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     47870 | PA      | $44316.41     | 0.07%             | 2035-11-26      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| UNIVERSAL HEALTH SVCS              | Universal Health Services Inc                                                   | CUSIP: 913903AY6<br>LEI: 549300YGMGQDO0NMJD09 | Long             | DBT              | CORP              | US        |     60000 | PA      | $45820.22     | 0.07%             | 2032-01-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO             | General Motors Financial Co Inc                                                 | CUSIP: 37045XDD5<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |     70000 | PA      | $61640.50     | 0.10%             | 2026-01-08      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| MongoDB Inc                        | MongoDB Inc                                                                     | CUSIP: 60937P106<br>LEI: 549300TPTG69WKWE1Z37 | Long             | EC               | CORP              | US        |      1937 | NS      | $381279.08    | 0.60%             |  |  |  | No            |                  1 | On Loan: No      |
| STANDARD INDUSTRIES INC            | Standard Industries Inc/NJ                                                      | CUSIP: 85350EAB2<br>LEI: 54930064UHXCIUWVI755 | Long             | LON              | CORP              | US        |     21201 | PA      | $20921.38     | 0.03%             | 2028-09-22      | Floating      | 6.68%                 | No            |                  2 | On Loan: No      |
| VISTRA ENERGY CORP RIGHTS          | VISTRA ENERGY CORP RIGHTS                                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      1084 | NS      | $1300.80      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| CHURCH & DWIGHT CO INC             | Church & Dwight Co Inc                                                          | CUSIP: 17136MAB8<br>LEI: POOXSI30AWAQGYJZC921 | Long             | DBT              | CORP              | US        |     50000 | PA      | $46758.50     | 0.07%             | 2052-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HealthEquity Inc                   | HealthEquity Inc                                                                | CUSIP: 42226A107<br>LEI: 529900LRJU1RAFQHM467 | Long             | EC               | CORP              | US        |      5421 | NS      | $334150.44    | 0.52%             |  |  |  | No            |                  1 | On Loan: No      |
| BROOKLYN UNION GAS CO              | Brooklyn Union Gas Co/The                                                       | CUSIP: 114259AW4<br>LEI: 83BQ1DXS6VA5GZFK8S35 | Long             | DBT              | CORP              | US        |     65000 | PA      | $60730.18     | 0.10%             | 2032-08-05      | Fixed         | 4.87%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO                        | Southern Co/The                                                                 | CUSIP: 842587DJ3<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |     69000 | PA      | $55714.15     | 0.09%             | 2051-09-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage      | Citigroup Commercial Mortgage Trust 2015-GC27                                   | CUSIP: 17323CAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     61831 | PA      | $58936.21     | 0.09%             | 2048-02-10      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Dayamitra Telekomunikasi PT        | Dayamitra Telekomunikasi PT                                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | ID        |   5006000 | NS      | $257253.89    | 0.40%             |  |  |  | No            |                  1 | On Loan: No      |
| AXIS Equipment Finance Receiva     | Amur Equipment Finance Receivables IX LLC                                       | CUSIP: 03237KAD6<br>LEI: 549300INEWFFGID70G60 | Long             | ABS-O            | CORP              | US        |     57000 | PA      | $52707.12     | 0.08%             | 2027-06-21      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| ASCOT GROUP LTD                    | Ascot Group Ltd                                                                 | CUSIP: 04365XAA6<br>LEI: 213800DJV7WRJBE2II28 | Long             | DBT              | CORP              | BM        |     65000 | PA      | $55909.92     | 0.09%             | 2030-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Mercari Inc                        | Mercari Inc                                                                     | CUSIP: 000000000<br>LEI: 3538009SK4V5AXSTUJ26 | Long             | EC               | CORP              | JP        |     17300 | NS      | $355781.01    | 0.56%             |  |  |  | No            |                  1 | On Loan: No      |
| Accenture PLC                      | Accenture PLC                                                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | IE        |      3251 | NS      | $867496.84    | 1.36%             |  |  |  | No            |                  1 | On Loan: No      |
| TEXAS CAPITAL BANCSHARES           | Texas Capital Bancshares Inc                                                    | CUSIP: 88224QAA5<br>LEI: 549300466Q2SXRX0YM48 | Long             | DBT              | CORP              | US        |     55000 | PA      | $48808.96     | 0.08%             | 2031-05-06      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LINCOLN NATIONAL CORP              | Lincoln National Corp                                                           | CUSIP: 534187BP3<br>LEI: EFQMQROEDSNBRIP7LE47 | Long             | DBT              | CORP              | US        |     85000 | PA      | $61200.00     | 0.10%             | 2067-04-20      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| METLIFE INC                        | MetLife Inc                                                                     | CUSIP: 59156RCA4<br>LEI: C4BXATY60WC6XEOZDX54 | Long             | DBT              | CORP              | US        |     75000 | PA      | $69656.25     | 0.11%             | N/A             | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| BP CAPITAL MARKETS PLC             | BP Capital Markets PLC                                                          | CUSIP: 05565QDV7<br>LEI: 549300CRVT18MXX0AG93 | Long             | DBT              | CORP              | GB        |     45000 | PA      | $39375.00     | 0.06%             | N/A             | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| BOEING CO                          | Boeing Co/The                                                                   | CUSIP: 097023CX1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     18000 | PA      | $16397.00     | 0.03%             | 2060-05-01      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust          | Towd Point Mortgage Trust 2021-1                                                | CUSIP: 89179YAW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $78240.01     | 0.12%             | 2061-11-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| BRITISH AIR 21-1 A PPT             | British Airways 2021-1 Class A Pass Through Trust                               | CUSIP: 11042CAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     54121 | PA      | $44056.08     | 0.07%             | 2035-03-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| ILLUMINA INC                       | Illumina Inc                                                                    | CUSIP: 452327AM1<br>LEI: SQ95QG8SR5Q56LSNF682 | Long             | DBT              | CORP              | US        |     57000 | PA      | $45632.36     | 0.07%             | 2031-03-23      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| BXG Receivables Note Trust         | BXG RECEIVABLES NOTE TRUST 2017-A                                               | CUSIP: 05607BAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     34203 | PA      | $32749.12     | 0.05%             | 2032-10-04      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| HOSTESS BRANDS LLC                 | Hostess Brands LLC                                                              | CUSIP: 44108HAJ0<br>LEI: 549300SW7FLS4O41LD19 | Long             | LON              | CORP              | US        |     22004 | PA      | $21912.41     | 0.03%             | 2025-08-03      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A     | Ginnie Mae I Pool                                                               | CUSIP: 36213S2N4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5504 | PA      | $5657.23      | 0.01%             | 2031-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BROWN GROUP HOLDING LLC            | Brown Group Holding LLC                                                         | CUSIP: 11565HAB2<br>LEI: 25490094PF4HHK9QS109 | Long             | LON              | CORP              | US        |     31889 | PA      | $31255.48     | 0.05%             | 2028-06-07      | Floating      | 6.87%                 | No            |                  2 | On Loan: No      |
| Hargreaves Lansdown PLC            | Hargreaves Lansdown PLC                                                         | CUSIP: 000000000<br>LEI: 2138008ZCE93ZDSESG90 | Long             | EC               | CORP              | GB        |     14967 | NS      | $154923.86    | 0.24%             |  |  |  | No            |                  1 | On Loan: No      |
| TRUIST FINANCIAL CORP              | Truist Financial Corp                                                           | CUSIP: 89832QAF6<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |     70000 | PA      | $64750.00     | 0.10%             | N/A             | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| CITADEL LP                         | Citadel LP                                                                      | CUSIP: 17288XAB0<br>LEI: 549300IPM6EKPVUPFL67 | Long             | DBT              | CORP              | US        |     65000 | PA      | $60412.11     | 0.09%             | 2027-01-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| BRISTOL VA                         | City of Bristol VA                                                              | CUSIP: 110331PQ2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    135000 | PA      | $114699.02    | 0.18%             | 2042-01-01      | Fixed         | 4.21%                 | No            |                  2 | On Loan: No      |
| ORYX MIDSTREAM SERVICES            | Oryx Midstream Services Permian Basin LLC                                       | CUSIP: 68764JAB7<br>LEI: 254900YYHRDANYFAHC43 | Long             | LON              | CORP              | US        |     19537 | PA      | $19277.28     | 0.03%             | 2028-10-05      | Floating      | 7.62%                 | No            |                  2 | On Loan: No      |
| Frontera Energy Corp               | Frontera Energy Corp                                                            | CUSIP: 35905B107<br>LEI: A25574TZFLBNK7NWQT47 | Long             | EC               | CORP              | CA        |       182 | NS      | $1659.56      | 0.00%             |  |  |  | No            |                  1 | On Loan: —       |
| CAJUN GLOBAL LLC                   | Cajun Global LLC                                                                | CUSIP: 12803VAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     49250 | PA      | $41710.56     | 0.07%             | 2051-11-20      | Fixed         | 3.93%                 | No            |                  2 | On Loan: No      |
| NIKE Inc                           | NIKE Inc                                                                        | CUSIP: 654106103<br>LEI: 787RXPR0UX0O0XUXPZ81 | Long             | EC               | CORP              | US        |     10997 | NS      | $1286758.97   | 2.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Pioneer Natural Resources Co       | Pioneer Natural Resources Co                                                    | CUSIP: 723787107<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | EC               | CORP              | US        |      2191 | NS      | $500402.49    | 0.79%             |  |  |  | No            |                  1 | On Loan: No      |
| Credit Suisse Mortgage Trust       | CSMC 2021-NQM1                                                                  | CUSIP: 126407AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     41335 | PA      | $34580.52     | 0.05%             | 2065-05-25      | Variable      | 0.81%                 | No            |                  2 | On Loan: No      |
| Mettler-Toledo International I     | Mettler-Toledo International Inc                                                | CUSIP: 592688105<br>LEI: 5493000BD5GJNUDIUG10 | Long             | EC               | CORP              | US        |       325 | NS      | $469771.25    | 0.74%             |  |  |  | No            |                  1 | On Loan: No      |
| Adevinta ASA                       | Adevinta ASA                                                                    | CUSIP: 000000000<br>LEI: 529900W8V3YLHRSZH763 | Long             | EC               | CORP              | NO        |     21125 | NS      | $141454.35    | 0.22%             |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF NY MELLON CORP             | Bank of New York Mellon Corp/The                                                | CUSIP: 064058AH3<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |     65000 | PA      | $62408.45     | 0.10%             | N/A             | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Progressive Corp/The               | Progressive Corp/The                                                            | CUSIP: 743315103<br>LEI: 529900TACNVLY9DCR586 | Long             | EC               | CORP              | US        |      7308 | NS      | $947920.68    | 1.49%             |  |  |  | No            |                  1 | On Loan: No      |
| SANTA CLARA VLY CA WTR DIST WT     | Santa Clara Valley Water District                                               | CUSIP: 80168ADF1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     65000 | PA      | $42590.96     | 0.07%             | 2050-06-01      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| HUNTINGTON INGALLS INDUS           | Huntington Ingalls Industries Inc                                               | CUSIP: 446413AZ9<br>LEI: 5TZLZ6WJTBVJ0QWBG121 | Long             | DBT              | CORP              | US        |     66000 | PA      | $54400.39     | 0.09%             | 2028-08-16      | Fixed         | 2.04%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                      | TransDigm Inc                                                                   | CUSIP: 89364MBQ6<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | LON              | CORP              | US        |     18519 | PA      | $18300.22     | 0.03%             | 2025-05-30      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                        | Oracle Corp                                                                     | CUSIP: 68389XBY0<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     10000 | PA      | $6644.35      | 0.01%             | 2060-04-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Hypoport SE                        | Hypoport SE                                                                     | CUSIP: 000000000<br>LEI: 391200GNIFXXP6KRYQ46 | Long             | EC               | CORP              | DE        |       525 | NS      | $54737.46     | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| GS Mortgage Securities Trust       | GS Mortgage Securities Trust 2020-GC45                                          | CUSIP: 36258YBL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     80000 | PA      | $66432.21     | 0.10%             | 2053-02-13      | Variable      | 3.17%                 | No            |                  2 | On Loan: No      |
| Visio 2019-2 Trust                 | Visio 2019-2 Trust                                                              | CUSIP: 92837DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     73266 | PA      | $67938.40     | 0.11%             | 2054-11-25      | Variable      | 2.72%                 | No            |                  2 | On Loan: No      |
| NVIDIA Corp                        | NVIDIA Corp                                                                     | CUSIP: 67066G104<br>LEI: 549300S4KLFTLO7GSQ80 | Long             | EC               | CORP              | US        |     11143 | NS      | $1628438.02   | 2.56%             |  |  |  | No            |                  1 | On Loan: No      |
| ALLSTATE CORP                      | Allstate Corp/The                                                               | CUSIP: 020002BB6<br>LEI: OBT0W1ED8G0NWVOLOJ77 | Long             | DBT              | CORP              | US        |    145000 | PA      | $136300.00    | 0.21%             | 2053-08-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan      | New Residential Mortgage Loan Trust 2015-2                                      | CUSIP: 64829EAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     39604 | PA      | $36796.94     | 0.06%             | 2055-08-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| INTL FLAVOR & FRAGRANCES           | International Flavors & Fragrances Inc                                          | CUSIP: 459506AQ4<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |     60000 | PA      | $47602.34     | 0.07%             | 2030-11-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| VCAT Asset Securitization, LLC     | VCAT 2021-NPL3 LLC                                                              | CUSIP: 91824MAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     63947 | PA      | $55375.26     | 0.09%             | 2051-05-25      | Variable      | 1.74%                 | No            |                  2 | On Loan: No      |
| ARAMARK SERVICES INC               | Aramark Services Inc                                                            | CUSIP: 03852JAL5<br>LEI: 42YMHYH0XMHJEXDUB065 | Long             | LON              | CORP              | US        |     15000 | PA      | $14882.85     | 0.02%             | 2025-03-11      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| Allegro.eu SA                      | Allegro.eu SA                                                                   | CUSIP: 000000000<br>LEI: 222100VRLXV3FPMG4982 | Long             | EC               | CORP              | PL        |     42507 | NS      | $243806.34    | 0.38%             |  |  |  | No            |                  1 | On Loan: No      |
| HILTON WORLDWIDE FINANCE           | Hilton Worldwide Finance LLC                                                    | CUSIP: 43289DAH6<br>LEI: 549300406TN7EY0NPH20 | Long             | LON              | CORP              | US        |     20000 | PA      | $19920.40     | 0.03%             | 2026-06-21      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| DENTSPLY SIRONA INC                | DENTSPLY SIRONA Inc                                                             | CUSIP: 24906PAA7<br>LEI: 9NHEHR1SOZCYXDO8HO28 | Long             | DBT              | CORP              | US        |     50000 | PA      | $41508.10     | 0.07%             | 2030-06-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| CCC INTELLIGENT SOLUTION           | CCC Intelligent Solutions Inc                                                   | CUSIP: 12511BAC6<br>LEI: 5493006JEEL9RIWY5T17 | Long             | LON              | CORP              | US        |     19775 | PA      | $19577.43     | 0.03%             | 2028-09-21      | Floating      | 7.23%                 | No            |                  2 | On Loan: No      |
| PepsiCo Inc                        | PepsiCo Inc                                                                     | CUSIP: 713448108<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | EC               | CORP              | US        |      2083 | NS      | $376314.78    | 0.59%             |  |  |  | No            |                  1 | On Loan: No      |
| MTU Aero Engines AG                | MTU Aero Engines AG                                                             | CUSIP: 000000000<br>LEI: 529900807L67JY81RD65 | Long             | EC               | CORP              | DE        |      1740 | NS      | $376614.28    | 0.59%             |  |  |  | No            |                  1 | On Loan: No      |
| NCR CORP                           | NCR Corp                                                                        | CUSIP: 62886VAP5<br>LEI: 549300YKTY8JX1DV2R67 | Long             | LON              | CORP              | US        |     19036 | PA      | $18417.22     | 0.03%             | 2026-08-28      | Floating      | 7.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                         | Fannie Mae Pool                                                                 | CUSIP: 31416ASK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1917 | PA      | $1946.10      | 0.00%             | 2039-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                       | Enbridge Inc                                                                    | CUSIP: 29250NBP9<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |     50000 | PA      | $49315.55     | 0.08%             | 2083-01-15      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| Gruppo MutuiOnline SpA             | Gruppo MutuiOnline SpA                                                          | CUSIP: 000000000<br>LEI: 8156004E40D6A02C5046 | Long             | EC               | CORP              | IT        |     10101 | NS      | $284588.04    | 0.45%             |  |  |  | No            |                  1 | On Loan: No      |
| McCormick & Co Inc/MD              | McCormick & Co Inc/MD                                                           | CUSIP: 579780206<br>LEI: 549300JQQA6MQ4OJP259 | Long             | EC               | CORP              | US        |      8178 | NS      | $677874.42    | 1.06%             |  |  |  | No            |                  1 | On Loan: No      |
| TD SYNNEX CORP                     | TD SYNNEX Corp                                                                  | CUSIP: 87162WAH3<br>LEI: 5493004HI6PFLF46NS53 | Long             | DBT              | CORP              | US        |     60000 | PA      | $48403.71     | 0.08%             | 2028-08-09      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust       | Hilton Grand Vacations Trust 2022-2                                             | CUSIP: 43283GAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     51202 | PA      | $49220.06     | 0.08%             | 2037-01-25      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust         | GLS Auto Receivables Issuer Trust 2019-4                                        | CUSIP: 36258HAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     43258 | PA      | $42650.99     | 0.07%             | 2025-08-15      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| DICK'S SPORTING GOODS              | Dick's Sporting Goods Inc                                                       | CUSIP: 253393AF9<br>LEI: 529900SSBV5I4LWSK313 | Long             | DBT              | CORP              | US        |     57000 | PA      | $44487.85     | 0.07%             | 2032-01-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| MASCO CORP                         | Masco Corp                                                                      | CUSIP: 574599BQ8<br>LEI: 5GCSNMQXHEYA1JO8QN11 | Long             | DBT              | CORP              | US        |     30000 | PA      | $23081.88     | 0.04%             | 2031-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| American Credit Acceptance Rec     | American Credit Acceptance Receivables Trust 2021-3                             | CUSIP: 025286AC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     65000 | PA      | $63270.69     | 0.10%             | 2027-11-15      | Fixed         | 0.98%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding     | Avis Budget Rental Car Funding AESOP LLC                                        | CUSIP: 05377RFV1<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |     42000 | PA      | $42714.19     | 0.07%             | 2027-04-20      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                | COMM 2020-CBM Mortgage Trust                                                    | CUSIP: 20049AAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     70000 | PA      | $63704.82     | 0.10%             | 2037-02-10      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| NMEF Funding LLC                   | NMEF Funding 2022-A LLC                                                         | CUSIP: 62920KAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     45000 | PA      | $40827.94     | 0.06%             | 2028-10-16      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| SALES TAX SECURITIZATION CORP      | Sales Tax Securitization Corp                                                   | CUSIP: 79467BDK8<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     10000 | PA      | $7346.66      | 0.01%             | 2043-01-01      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE PRIVATE CRE             | Blackstone Private Credit Fund                                                  | CUSIP: 09261HAD9<br>LEI: 549300ORP3TTCNXSYO43 | Long             | DBT              | CORP              | US        |     29000 | PA      | $24004.01     | 0.04%             | 2026-12-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Ltd      | Corevest American Finance 2020-1 Trust                                          | CUSIP: 21872UAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     39377 | PA      | $36649.26     | 0.06%             | 2050-03-15      | Fixed         | 1.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                         | Fannie Mae Pool                                                                 | CUSIP: 31409YD53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       635 | PA      | $646.53       | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Hess Corp                          | Hess Corp                                                                       | CUSIP: 42809H107<br>LEI: UASVRYNXNK17ULIGK870 | Long             | EC               | CORP              | US        |      3284 | NS      | $465736.88    | 0.73%             |  |  |  | No            |                  1 | On Loan: No      |
| NORTHERN TRUST CORP                | Northern Trust Corp                                                             | CUSIP: 665859AX2<br>LEI: 549300GLF98S992BC502 | Long             | DBT              | CORP              | US        |     50000 | PA      | $52722.11     | 0.08%             | 2032-11-02      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                         | Fannie Mae Pool                                                                 | CUSIP: 31413BLD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5432 | PA      | $5632.43      | 0.01%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ENTEGRIS ESCROW CORP               | Entegris Escrow Corp                                                            | CUSIP: 29365BAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     60000 | PA      | $54716.24     | 0.09%             | 2029-04-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| New Work SE                        | New Work SE                                                                     | CUSIP: 000000000<br>LEI: 5299002VHN50DM9T9H37 | Long             | EC               | CORP              | DE        |      1644 | NS      | $268548.50    | 0.42%             |  |  |  | No            |                  1 | On Loan: No      |
| Progress Residential Trust         | Progress Residential 2021-SFR3                                                  | CUSIP: 74333VAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $84851.28     | 0.13%             | 2026-05-17      | Fixed         | 2.29%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                    | United States Treasury Note/Bond                                                | CUSIP: 912810SU3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    715000 | PA      | $454416.02    | 0.71%             | 2051-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| FLEX INTERMEDIATE HOLDCO           | Flex Intermediate Holdco LLC                                                    | CUSIP: 33939HAA7<br>LEI: 549300290TQIGM30A243 | Long             | DBT              | CORP              | US        |     65000 | PA      | $50727.29     | 0.08%             | 2031-06-30      | Fixed         | 3.36%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                    | United States Treasury Note/Bond                                                | CUSIP: 91282CCS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     50000 | PA      | $40542.97     | 0.06%             | 2031-08-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Uber Technologies Inc              | Uber Technologies Inc                                                           | CUSIP: 90353T100<br>LEI: 549300B2FTG34FILDR98 | Long             | EC               | CORP              | US        |     23440 | NS      | $579671.20    | 0.91%             |  |  |  | No            |                  1 | On Loan: No      |
| LEIDOS INC                         | Leidos Inc                                                                      | CUSIP: 52532XAH8<br>LEI: 5493006I78VIN6J1BQ95 | Long             | DBT              | CORP              | US        |     80000 | PA      | $61284.44     | 0.10%             | 2031-02-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| AutoZone Inc                       | AutoZone Inc                                                                    | CUSIP: 053332102<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | EC               | CORP              | US        |       284 | NS      | $700395.12    | 1.10%             |  |  |  | No            |                  1 | On Loan: No      |
| TOBACCO SETTLEMENT FING CORP V     | Tobacco Settlement Financing Corp/VA                                            | CUSIP: 88880NAT6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    180000 | PA      | $162151.36    | 0.25%             | 2046-06-01      | Fixed         | 6.71%                 | No            |                  2 | On Loan: No      |
| Workday Inc                        | Workday Inc                                                                     | CUSIP: 98138H101<br>LEI: 549300J0DYC0N31V7G13 | Long             | EC               | CORP              | US        |      5749 | NS      | $961980.17    | 1.51%             |  |  |  | No            |                  1 | On Loan: No      |
| US TREASURY N/B                    | United States Treasury Note/Bond                                                | CUSIP: 912810SN9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    145000 | PA      | $78033.79     | 0.12%             | 2050-05-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| KITE REALTY GROUP TRUST            | Kite Realty Group Trust                                                         | CUSIP: 76131VAB9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     70000 | PA      | $61623.52     | 0.10%             | 2030-09-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| MVW 2020-1 LLC                     | MVW 2020-1 LLC                                                                  | CUSIP: 55400EAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     49646 | PA      | $45210.57     | 0.07%             | 2037-10-20      | Fixed         | 1.74%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust     | Carvana Auto Receivables Trust 2021-N2                                          | CUSIP: 14686KAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     31400 | PA      | $28852.53     | 0.05%             | 2028-03-10      | Fixed         | 1.07%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust     | Carvana Auto Receivables Trust 2019-2                                           | CUSIP: 14686UAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     30415 | PA      | $30172.82     | 0.05%             | 2025-01-15      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                         | Fannie Mae Pool                                                                 | CUSIP: 31413MDE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1814 | PA      | $1859.29      | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC                  | Kinder Morgan Inc                                                               | CUSIP: 49456BAF8<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |     45000 | PA      | $44130.82     | 0.07%             | 2025-06-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Lendbuzz Securitization Trust      | Lendbuzz Securitization Trust 2022-1                                            | CUSIP: 52607KAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     79751 | PA      | $76323.32     | 0.12%             | 2027-05-17      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| Amazon.com Inc                     | Amazon.com Inc                                                                  | CUSIP: 023135106<br>LEI: ZXTILKJKG63JELOEG630 | Long             | EC               | CORP              | US        |     17930 | NS      | $1506120.00   | 2.37%             |  |  |  | No            |                  1 | On Loan: No      |
| Jersey Mike's Funding, LLC         | Jersey Mike's Funding                                                           | CUSIP: 476681AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     79400 | PA      | $71303.58     | 0.11%             | 2050-02-15      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                      | TransDigm Inc                                                                   | CUSIP: 893647BE6<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |     25000 | PA      | $24654.75     | 0.04%             | 2026-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF VENEZUELA              | Venezuela Government International Bond                                         | CUSIP: 922646BL7<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |     65000 | PA      | $4550.00      | 0.01%             | 2034-01-13      | Fixed         | 9.38%                 | No            |                  3 | On Loan: No      |
| BRUNSWICK CORP                     | Brunswick Corp/DE                                                               | CUSIP: 117043AT6<br>LEI: YM4O38W15AX4YLLQKU27 | Long             | DBT              | CORP              | US        |     46000 | PA      | $33819.02     | 0.05%             | 2031-08-18      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| INTL FLAVOR & FRAGRANCES           | International Flavors & Fragrances Inc                                          | CUSIP: 459506AS0<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |     25000 | PA      | $16922.23     | 0.03%             | 2050-12-01      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| PRUDENTIAL FINANCIAL INC           | Prudential Financial Inc                                                        | CUSIP: 744320BK7<br>LEI: 5PRBRS5FEH7NREC8OR45 | Long             | DBT              | CORP              | US        |     10000 | PA      | $9664.76      | 0.02%             | 2052-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Bankers Healthcare Group Secur     | Bankers Healthcare Group Securitization Trust 2020-A                            | CUSIP: 06616PAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     27249 | PA      | $26620.07     | 0.04%             | 2031-09-17      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| BANK OF NY MELLON CORP             | Bank of New York Mellon Corp/The                                                | CUSIP: 06406RBM8<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |     40000 | PA      | $41463.75     | 0.07%             | 2033-10-25      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| Metlife Securitization Trust       | METLIFE SECURITIZATION TRUST                                                    | CUSIP: 59166BAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $86989.49     | 0.14%             | 2055-04-25      | Variable      | 3.44%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag     | PRPM 2020-6 LLC                                                                 | CUSIP: 693587AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     54457 | PA      | $50250.46     | 0.08%             | 2025-11-25      | Variable      | 2.36%                 | No            |                  2 | On Loan: No      |
| Home Depot Inc/The                 | Home Depot Inc/The                                                              | CUSIP: 437076102<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | EC               | CORP              | US        |      2533 | NS      | $800073.38    | 1.26%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                         | Fannie Mae Pool                                                                 | CUSIP: 31415QKZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1850 | PA      | $1911.60      | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| First Investors Auto Owner Tru     | First Investors Auto Owner Trust 2022-1                                         | CUSIP: 32057KAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     55000 | PA      | $51345.72     | 0.08%             | 2028-05-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| MarketAxess Holdings Inc           | MarketAxess Holdings Inc                                                        | CUSIP: 57060D108<br>LEI: 5493002U1CA1XJOVID83 | Long             | EC               | CORP              | US        |      1969 | NS      | $549134.41    | 0.86%             |  |  |  | No            |                  1 | On Loan: No      |
| CoStar Group Inc                   | CoStar Group Inc                                                                | CUSIP: 22160N109<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     13679 | NS      | $1057113.12   | 1.66%             |  |  |  | No            |                  1 | On Loan: No      |
| US TREASURY N/B                    | United States Treasury Note/Bond                                                | CUSIP: 912810TF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    305000 | PA      | $232872.26    | 0.37%             | 2042-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| SG Capital Partners                | SG Residential Mortgage Trust 2021-1                                            | CUSIP: 784212AC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     33555 | PA      | $26791.56     | 0.04%             | 2061-07-25      | Variable      | 1.56%                 | No            |                  2 | On Loan: No      |
| Visio Trust                        | Visio 2020-1R Trust                                                             | CUSIP: 92837MAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     29628 | PA      | $26690.94     | 0.04%             | 2055-11-25      | Fixed         | 1.57%                 | No            |                  2 | On Loan: No      |
| GCAT                               | GCAT 2019-NQM2 Trust                                                            | CUSIP: 36167FAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10804 | PA      | $10170.85     | 0.02%             | 2060-01-25      | Variable      | 2.25%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                         | AMSR 2020-SFR2 Trust                                                            | CUSIP: 00178UAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $91157.42     | 0.14%             | 2037-07-17      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| Arbys Funding LLC                  | Arbys Funding LLC                                                               | CUSIP: 038779AB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     73312 | PA      | $61961.23     | 0.10%             | 2050-07-30      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| Prologis Inc                       | Prologis Inc                                                                    | CUSIP: 74340W103<br>LEI: 529900DFH19P073LZ636 | Long             | EC               | CORP              | US        |      4498 | NS      | $507059.54    | 0.80%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                         | Fannie Mae Pool                                                                 | CUSIP: 31416M4C5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3355 | PA      | $3315.24      | 0.01%             | 2039-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                         | Fannie Mae Pool                                                                 | CUSIP: 31414SX24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5788 | PA      | $5893.67      | 0.01%             | 2038-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Marel HF                           | Marel HF                                                                        | CUSIP: 000000000<br>LEI: 5299008YTLEN09WTHW26 | Long             | EC               | CORP              | IS        |     34831 | NS      | $120057.20    | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| Amphenol Corp                      | Amphenol Corp                                                                   | CUSIP: 032095101<br>LEI: 549300D3L3G0R4U4VT04 | Long             | EC               | CORP              | US        |     20116 | NS      | $1531632.24   | 2.41%             |  |  |  | No            |                  1 | On Loan: No      |
| EQM MIDSTREAM PARTNERS L           | EQM Midstream Partners LP                                                       | CUSIP: 26885BAN0<br>LEI: 549300NELT611CL6XM83 | Long             | DBT              | CORP              | US        |     35000 | PA      | $33723.20     | 0.05%             | 2030-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| STATION CASINOS LLC                | Station Casinos LLC                                                             | CUSIP: 85769EAZ4<br>LEI: 5493004E7Q60TX54WL62 | Long             | LON              | CORP              | US        |     19407 | PA      | $18911.96     | 0.03%             | 2027-02-08      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION           | Sabine Pass Liquefaction LLC                                                    | CUSIP: 785592AU0<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |     60000 | PA      | $56398.26     | 0.09%             | 2028-03-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan      | New Residential Mortgage Loan Trust 2016-3                                      | CUSIP: 64829HAM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     80370 | PA      | $73035.85     | 0.11%             | 2056-09-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                         | Fannie Mae Pool                                                                 | CUSIP: 31415WAZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1731 | PA      | $1748.05      | 0.00%             | 2039-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HAITIAN INT'L                      | Haitian International Holdings Ltd                                              | CUSIP: 000000000<br>LEI: 30030093DDRS825TVP62 | Long             | EC               | CORP              | CN        |    136981 | NS      | $366782.56    | 0.58%             |  |  |  | No            |                  1 | On Loan: No      |
| Roper Technologies Inc             | Roper Technologies Inc                                                          | CUSIP: 776696106<br>LEI: 54930003T4SXCIWVXY35 | Long             | EC               | CORP              | US        |      2260 | NS      | $976523.40    | 1.53%             |  |  |  | No            |                  1 | On Loan: No      |
| TEXAS ST                           | State of Texas                                                                  | CUSIP: 882724QP5<br>LEI: 549300X9CH74QB747L76 | Long             | DBT              | MUN               | US        |     25000 | PA      | $19811.47     | 0.03%             | 2044-04-01      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| MOTOROLA SOLUTIONS INC             | Motorola Solutions Inc                                                          | CUSIP: 620076BN8<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | DBT              | CORP              | US        |    100000 | PA      | $95172.76     | 0.15%             | 2029-05-23      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| PUGET ENERGY INC                   | Puget Energy Inc                                                                | CUSIP: 745310AN2<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |     27000 | PA      | $23961.11     | 0.04%             | 2032-03-15      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| Pawnee Equipment Receivables       | Pawneee Equipment Receivables Series 2022-1 LLC                                 | CUSIP: 70410DAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     45000 | PA      | $43506.37     | 0.07%             | 2028-07-17      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| SKOPOS AUTO RECEIVABLES TRUST      | Skopos Auto Receivables Trust 2019-1                                            | CUSIP: 83085DAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3294 | PA      | $3290.11      | 0.01%             | 2024-09-16      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| MILEAGE PLUS HOLDINGS IN           | Mileage Plus Holdings LLC                                                       | CUSIP: 59921PAB2<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     18000 | PA      | $18490.50     | 0.03%             | 2027-06-20      | Floating      | 9.62%                 | No            |                  2 | On Loan: No      |
| Nakanishi Inc                      | Nakanishi Inc                                                                   | CUSIP: 000000000<br>LEI: 353800EXA7IQ42YKF224 | Long             | EC               | CORP              | JP        |      4500 | NS      | $87675.25     | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| LADDER CAP FIN LLLP/CORP           | Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp              | CUSIP: 505742AM8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     25000 | PA      | $21000.73     | 0.03%             | 2027-02-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| PARAGON OFFSHORE FINANCE CO        | Paragon Offshore Finance Co                                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | KY        |       215 | PA      | $0.00         | 0.00%             | 2021-07-18      | Floating      | 3.75%                 | No            |                  3 | On Loan: No      |
| Schlumberger Ltd                   | Schlumberger Ltd                                                                | CUSIP: 806857108<br>LEI: 213800ZUA17OK3QLGM62 | Long             | EC               | CORP              | US        |      6957 | NS      | $371921.22    | 0.58%             |  |  |  | No            |                  1 | On Loan: No      |
| Howden Joinery Group PLC           | Howden Joinery Group PLC                                                        | CUSIP: 000000000<br>LEI: 213800KC1LJOJTY3JP45 | Long             | EC               | CORP              | GB        |     33340 | NS      | $226363.77    | 0.36%             |  |  |  | No            |                  1 | On Loan: No      |
| Towd Point Mortgage Trust          | Towd Point Mortgage Trust 2018-6                                                | CUSIP: 89176LAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    110000 | PA      | $93997.84     | 0.15%             | 2058-03-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| PRUDENTIAL FINANCIAL INC           | Prudential Financial Inc                                                        | CUSIP: 744320AM4<br>LEI: 5PRBRS5FEH7NREC8OR45 | Long             | DBT              | CORP              | US        |     65000 | PA      | $63862.50     | 0.10%             | 2043-06-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| WF-RBS COMMERCIAL MORTGAGE TRU     | WFRBS Commercial Mortgage Trust 2014-C24                                        | CUSIP: 92939KAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     40000 | PA      | $38118.28     | 0.06%             | 2047-11-15      | Fixed         | 3.93%                 | No            |                  2 | On Loan: No      |
| Tricon American Homes              | Tricon American Homes 2019-SFR1 Trust                                           | CUSIP: 89612LAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $90111.97     | 0.14%             | 2038-03-17      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                    | United States Treasury Note/Bond                                                | CUSIP: 912810SZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     50000 | PA      | $32738.28     | 0.05%             | 2051-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC            | CF Hippolyta Issuer LLC                                                         | CUSIP: 12530MAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     90830 | PA      | $81074.31     | 0.13%             | 2060-07-15      | Fixed         | 1.69%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC        | Hertz Vehicle Financing III LP                                                  | CUSIP: 42806MAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $87035.54     | 0.14%             | 2027-12-27      | Fixed         | 1.68%                 | No            |                  2 | On Loan: No      |
| Dext ABS 2020-1, LLC               | Dext ABS 2020-1 LLC                                                             | CUSIP: 25216AAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     65000 | PA      | $62402.28     | 0.10%             | 2027-11-15      | Fixed         | 1.92%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust           | JP Morgan Mortgage Trust 2017-5                                                 | CUSIP: 46590YAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25932 | PA      | $24656.11     | 0.04%             | 2048-10-26      | Variable      | 3.21%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                      | Citigroup Inc                                                                   | CUSIP: 172967ME8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    165000 | PA      | $148811.15    | 0.23%             | 2030-03-20      | Fixed         | 3.98%                 | No            |                  2 | On Loan: No      |
| SPRINT SPECTRUM / SPEC I           | Sprint Spectrum Co LLC / Sprint Spectrum Co II LLC / Sprint Spectrum Co III LLC | CUSIP: 85208NAE0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    200000 | PA      | $197105.34    | 0.31%             | 2028-03-20      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Zoetis Inc                         | Zoetis Inc                                                                      | CUSIP: 98978V103<br>LEI: 549300HD9Q1LOC9KLJ48 | Long             | EC               | CORP              | US        |      8636 | NS      | $1265605.80   | 1.99%             |  |  |  | No            |                  1 | On Loan: No      |
| SG Capital Partners                | SG Residential Mortgage Trust 2019-3                                            | CUSIP: 78432BAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9004 | PA      | $8623.07      | 0.01%             | 2059-09-25      | Variable      | 2.70%                 | No            |                  2 | On Loan: No      |
| Arivo Acceptance Auto Loan Rec     | Arivo Acceptance Auto Loan Receivables Trust 2022-2                             | CUSIP: 04047JAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     47990 | PA      | $47909.34     | 0.08%             | 2029-01-16      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR COMPANY                 | Ford Motor Co                                                                   | CUSIP: 345370CQ1<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |     15000 | PA      | $10766.89     | 0.02%             | 2043-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                 | VICI Properties LP                                                              | CUSIP: 925650AD5<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |     30000 | PA      | $27778.50     | 0.04%             | 2032-05-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP               | Bank of America Corp                                                            | CUSIP: 06051GKC2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    100000 | PA      | $73476.03     | 0.12%             | 2036-09-21      | Fixed         | 2.48%                 | No            |                  2 | On Loan: No      |
| Bill.com Holdings Inc              | Bill.com Holdings Inc                                                           | CUSIP: 090043100<br>LEI: 549300IBF9VZZIGOZW63 | Long             | EC               | CORP              | US        |      8341 | NS      | $908835.36    | 1.43%             |  |  |  | No            |                  1 | On Loan: No      |
| ALBEMARLE CORP                     | Albemarle Corp                                                                  | CUSIP: 012653AE1<br>LEI: HDBLS2Q6GV1LSKQPBS54 | Long             | DBT              | CORP              | US        |     50000 | PA      | $47124.39     | 0.07%             | 2032-06-01      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Marriott International Inc/MD      | Marriott International Inc/MD                                                   | CUSIP: 571903202<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | EC               | CORP              | US        |      6443 | NS      | $959298.27    | 1.51%             |  |  |  | No            |                  1 | On Loan: No      |
| Foursight Capital Automobile R     | Foursight Capital Automobile Receivables Trust 2022-1                           | CUSIP: 35105JAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     45000 | PA      | $41800.05     | 0.07%             | 2027-05-17      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| Anhui Gujing Distillery Co Ltd     | Anhui Gujing Distillery Co Ltd                                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | CN        |     15300 | NS      | $245021.11    | 0.38%             |  |  |  | No            |                  1 | On Loan: No      |
| BROWARD CNTY FL WTR & SWR UTIL     | Broward County FL Water & Sewer Utility Revenue                                 | CUSIP: 115117NJ8<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    175000 | PA      | $165406.45    | 0.26%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |

### Signature

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

**Name of Applicant:** Virtus Variable Insurance Trust

**Signature:** Amy Hackett

**Name of Signer:** Amy Hackett

**Title:** Vice President and Assistant Treasurer